Bear-Market MACD Shorts with a Long-Term Trend Filter

Summary

This BTC futures strategy combines a bearish MACD crossover with a long-term trend filter. It opens a short when the MACD line crosses below its signal line while price is below the 450-day exponential moving average. The stated risk plan places a take-profit level 8% below entry and a stop 4% above it, giving a nominal 2:1 reward-to-risk ratio. The backtest configuration identifies a two-hour chart and a short period in August and September 2023; no performance results are provided.

The long moving average is intended to keep entries aligned with the broader decline, while MACD supplies a shorter-term trigger. The document notes that MACD settings may need tuning, the long average can lag, and a short-only approach misses rising markets. Its written description frames exit levels relative to entry, while the source sets them using the signal bar’s high and low, so implementation details may differ. No evidence is given that the strategy is profitable across market regimes.

Key ideas

• A short entry requires both a bearish MACD crossover and price below the 450-day exponential moving average.
• The stated take-profit and stop levels are 8% below and 4% above entry, respectively.
• The long-term filter may lag and can still produce misleading signals.
• A short-only system cannot participate in bullish moves.
• The published backtest configuration does not include performance statistics.

Tags

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