ATR Trend Following with EMA Filters and Risk-Based Sizing

Summary

This strategy combines a 50/200 EMA trend filter with ATR-based exits and risk-based position sizing. It opens long or short positions according to the EMA relationship, provided a 20-candle range test does not classify the market as consolidating. Stops are placed two ATRs from the entry price, and profit targets are set at three times that distance. Position size is calculated from account equity and a configurable risk percentage.

The description also presents order blocks and imbalance zones as entry tools, but the supplied strategy logic does not use them to trigger trades; these concepts appear only in helper functions and commented visual elements. Published backtest settings specify daily BTC/USDT futures data from late 2019 to late 2024, but no performance results are provided. The document warns that EMA signals lag, volatility can cause false signals, and trend-dependent rules may struggle in ranges. It recommends backtesting and tuning for the instrument and market conditions before live use.

Key ideas

• The 50 and 200 period EMAs determine the directional trend filter.
• The strategy skips entries when the recent 20-candle range is small relative to ATR.
• Stops use a two-ATR distance, with profit targets set at three times that distance.
• Position size is calculated from account equity, the risk percentage, and stop distance.
• Order blocks and imbalance zones are discussed but do not control the supplied entry logic.

Tags

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