Botvenko Log-Return Signals with EMA Trend Filters

Summary

The strategy uses a log-price change over a lookback window as its Botvenko signal, then compares that value with configurable thresholds to trigger entries, retries, and exits. It combines those signals with the ordering of four exponential moving averages to classify bullish, bearish, or less clearly trending conditions. The published description presents this as a way to pair sensitive breakout-style signals with a slower trend filter.

The document provides parameter defaults and source code, plus a short BTC perpetual-futures backtest window, but reports no performance results. There are inconsistencies between the description and implementation: the source has no horizontal support calculation, and its entry conditions permit both bullish and neutral EMA states for longs and bearish and neutral states for shorts. The signal is sensitive to price changes, while EMA ordering can be unstable in sideways markets. The text suggests tuning periods and adding volatility or volume filters, but gives no validation that these changes improve results.

Key ideas

• The Botvenko signal is the difference between current and lookback closing-price logarithms.
• Threshold crossings drive long and short entries, retries, and some exits.
• EMA ordering serves as a broad trend-state filter, although the source also permits entries in neutral states.
• The document identifies noisy signals and unstable EMA ordering in sideways markets as risks.
• The published backtest settings do not include performance evidence.

Tags

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