BTC Futures Breakout Strategy with Dual EMAs and Daily ATR Bands

Summary

This BTC futures strategy combines a short and long exponential moving average with an average true range channel anchored to the day’s opening price. It enters long when the previous close is above the upper band, above a recent high, and the shorter EMA exceeds the longer EMA; short entries use the mirrored conditions below the lower band and a recent low. The channel width is three times the ATR, while the long EMA period is ten times the short period. Positions exit using a price level from the corresponding side of the market, referenced ten short-period lengths back.

The published configuration uses hourly bars on BTC/USD quarterly futures from January 2018 through June 2021, but no performance results are provided. The code exposes a percentage-based sizing input and includes volume checks. The document does not describe slippage, fees, risk controls, or parameter robustness, so the setup should be treated as a strategy specification rather than evidence of profitability.

Key ideas

• The strategy requires both EMA trend alignment and a close beyond an ATR band and recent price extreme to enter.
• The daily opening price anchors bands spaced three ATRs above and below it.
• The long EMA uses ten times the short EMA period.
• Exit levels reference a prior low for longs and a prior high for shorts.
• The published backtest settings specify hourly BTC/USD quarterly futures data but report no results.

Tags

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