Bitcoin Long-Only Momentum Strategy with a Caution-Adjusted ATR Trail

Summary

This Bitcoin strategy seeks to stay long during sustained uptrends. It uses price above a 20-week exponential moving average as its higher-timeframe trend filter, then checks for a caution state based on a sharp retreat from a recent high or a close below the daily 20-period EMA. Entries are allowed when the market is bullish and not in caution. The trailing stop follows a recent price high less an ATR distance, with the distance tightened during caution; a close below the stop or the higher-timeframe average triggers an exit.

The document specifies a five-period ATR and a seven-bar trail lookback, and supplies a one-year Bitcoin futures backtest configuration, but no performance results. It describes the approach as long-only and notes that choppy markets may trigger repeated exits, parameters may not transfer to other assets, and slippage and fees can weaken live results. The code and prose differ slightly on the exit rule: the implementation closes on a confirmed bar rather than explicitly waiting for the next bar's open.

Key ideas

• The strategy uses a 20-week EMA to filter for bullish Bitcoin conditions.
• A retreat from a recent high or a close below the daily EMA marks a caution state.
• The trailing stop is based on recent prices and ATR, with a tighter distance during caution.
• The system takes long positions only and exits when price falls below the stop or higher-timeframe EMA.
• The supplied backtest configuration does not include reported performance results.

Tags

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