Compound Trend Filters with Moving Averages, Highs and Supertrend

Summary

This strategy combines several trend measures to seek medium- to long-term directional trades. It scores the alignment of moving averages, tracks recent highs and lows over a lookback window, and can optionally apply conditions based on yearly highs and lows. Long or short entries require these signals to align with a secondary moving-average direction filter. A Supertrend-based stop trails positions, while additional rules govern exits and attempts to protect gains. The listed backtest settings use BTC_USDT futures on hourly bars from August to September 2023; no performance results are included.

The document argues that agreement among filters may reduce false signals, while acknowledging that this can also delay or miss trades. The outcome depends on numerous parameters, including average type, lookbacks, Supertrend settings, and direction rules. The source also contains implementation details that merit scrutiny, including exit calls that appear to reference the long entry for both directions. This makes independent review and testing important before interpreting the strategy as a reliable long-short system.

Key ideas

• The entry logic combines moving-average alignment, cumulative recent highs or lows, and an optional yearly-level filter.
• A secondary moving average helps confirm direction, while Supertrend supplies a trailing stop.
• Multiple confirmation filters may reduce false entries but can also delay or exclude trades.
• The published BTC_USDT futures settings cover a short hourly backtest interval and give no results.
• The order-management code should be reviewed, including how exits are associated with long and short entries.

Tags

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