Configurable Three-Moving-Average Trend-Following Strategy

Summary

The strategy uses configurable fast, slow, and exit moving averages, each selectable from simple, exponential, weighted, or Hull types. A long entry requires price to cross above the fast average while price remains above the exit average and the fast average is above the slow average. Optional short entries use the inverse conditions. Positions exit after at least two bars if price crosses the exit average against the trade. The implementation also describes equity-based sizing, a short-trading toggle, and a commission assumption. The document gives a published backtest configuration for BNB futures over about a year and notes that preliminary validation covered only a few instruments, but supplies no performance statistics. It cautions that range-bound conditions can produce false signals, parameters may need market-specific adjustment, and trading costs matter. Suggested extensions include volatility-based stops, other signal filters, adaptive averages, and broader testing; these are ideas for further evaluation, not demonstrated gains.

Key ideas

• The strategy combines fast, slow, and exit moving averages to define entries and exits.
• Long entries require a price crossover and alignment of price and averages; short trades are optional and use inverse conditions.
• Exit signals are gated until at least two bars after entry and use the exit average.
• The document describes a BNB futures backtest configuration but provides no performance results.
• The approach may issue false signals in ranges, and the suggested filters and adaptive parameters remain unvalidated.

Tags

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