ATR Trailing Stops and EMA Filters for Trend Following
Summary
This strategy combines an ATR-based trailing stop with an EMA trend filter. A long signal occurs when price crosses above the trailing stop while above the EMA; a short signal uses the opposite conditions. The ATR period and sensitivity setting control the stop distance, and the system tracks positions in either direction.
Profit management uses staged thresholds: the stop moves toward breakeven as gains grow, partial profit-taking and tighter stops are applied at higher gains, and the position is closed at a specified return. The document describes the rules and settings but supplies no performance statistics; its published backtest covers BTC/USDT on Binance at a daily interval over a limited period. It warns that ranging markets can cause frequent losing trades and reversals can produce drawdowns. The code and narrative also differ in places: the short profit thresholds use entry-price multiples, so the described ROI levels may not match the implemented exits.
Key ideas
- ATR sets a volatility-scaled trailing stop distance, while an EMA filter determines the permitted trend direction.
- Long and short signals occur when price crosses the trailing stop in line with the EMA filter.
- Staged exits move stops, take partial profits, and eventually close the position at a configured return threshold.
- The document cautions that ranging conditions, reversals, and parameter choices can undermine results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.