DEMA and EMA Crossovers Filtered by Relative ATR

Summary

This long-only trend strategy pairs a faster double exponential moving average (DEMA) with a slower exponential moving average (EMA). A DEMA cross above the EMA creates a candidate entry, while a cross below closes the position. Entries are permitted only when ATR expressed as a percentage of price is below a moving average of that measure, intended to avoid signals during unusually high volatility. The described setup also includes a trailing stop and a distant take-profit level.

The document gives default indicator settings and a short BTC-USDT futures backtest window, but provides no reported returns, trade statistics, or evidence that the method is profitable. Its discussion notes that restrictive or poorly chosen parameters may produce few trades, and that extreme market moves can still cause losses. It proposes parameter testing, alternative momentum and volatility measures, volume filters, and exit adjustments. The supplied evidence is a rule description and configuration, not a validated performance study.

Key ideas

• A DEMA crossing above a longer EMA triggers a candidate long entry, and a downward cross closes it.
• The entry filter compares percentage ATR with a moving average of percentage ATR.
• The rules are long-only and include trailing-stop and take-profit exits.
• The document supplies settings and a limited backtest configuration but no performance results.
• Poor parameter choices and extreme price moves remain material risks.

Tags

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