ATR Stops and Cooldowns for a Moving Average Crossover Strategy

Summary

This system uses a short and a long simple moving average to generate directional entries, with a stated default of 10 and 100 periods. It sets stop distances from a multiple of the 14-period ATR and places profit targets at a configurable multiple of that distance. A UTC time window filters entries, and a bar-based cooldown limits how soon another signal can be taken. The listed defaults include a 1% risk-per-trade setting and a 2:1 risk-reward ratio. Backtest settings specify BTC/USDT on Binance over a defined period, but no returns, drawdowns, or other performance evidence are presented.

The document notes that crossover systems may produce repeated false signals in ranging markets, and that period and ATR choices affect outcomes. The source closes positions outside the time window, which adds an exit rule beyond entry filtering. Although a risk percentage is exposed as an input, the shown code does not use it to calculate position size. Suggested refinements include a trend-strength filter, volume confirmation, adaptive reward targets, and volatility-sensitive cooldowns; these are proposals rather than tested results.

Key ideas

• The entry direction comes from a short and long simple moving average crossover.
• ATR sets a volatility-scaled stop, and the target distance is derived from a configurable reward-to-risk ratio.
• A UTC time filter and a bar-based cooldown restrict trade timing and signal frequency.
• The source exposes a per-trade risk percentage but does not show position sizing based on it.
• No backtest performance results are provided, and ranging markets may trigger repeated false signals.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.