Configurable Moving Average Crossover Signals and Trend Filtering

Summary

This strategy generates signals when a short moving average crosses a longer one: an upward cross signals a buy, while a downward cross signals a sell. Users can choose SMA, EMA, WMA, or VWMA independently for the two averages, set their lookback lengths, and select long-only, short-only, or long-and-short operation. An optional trend filter checks whether price is above or below a trend SMA before allowing signals. The published parameter defaults are lengths of 10 and 20 for the crossover averages and 200 for the trend SMA; BTC/USDT futures backtest settings are included, but no results are reported.

The document presents the system as a flexible trend-following framework rather than a fully specified risk-managed strategy: the described rules do not include a stop-loss or position-sizing method. It notes that moving averages lag, poor parameter choices can encourage overtrading, and crossovers may struggle when the market shifts into a range. Suggested extensions include volatility or volume indicators, stop-losses, adaptive parameters, and market-structure filters. Those proposals are not tested in the supplied material.

Key ideas

• An upward crossover of the selected short and long moving averages generates a buy signal; a downward crossover generates a sell signal.
• The two averages can each use SMA, EMA, WMA, or VWMA calculations.
• Trading can be configured for long-only, short-only, or both directions.
• An optional trend SMA filter allows signals only when price is on the selected side of the trend average.
• The document warns that lag and ranging markets can undermine crossover signals, and it provides no backtest results.

Tags

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