Dual EMA Channel Breakouts with a Long-Term Trend Filter and Risk-Based Sizing

Summary

This trend-following system forms a channel from separate 44-period EMAs of highs and lows, with a 200-period EMA of closing prices as an optional long-term filter. It enters long when price closes above the upper channel and short when it closes below the lower channel, subject to the filter and selected trading direction. Stops sit at the opposite channel boundary, and position size is calculated from account equity, the specified risk percentage, and the distance to the stop.

The document outlines risks from lagging signals, false breakouts in range-bound markets, and large stop distances during reversals. The source includes a daily SOL/USDT backtest configuration for a limited date range, but gives no performance results. The written description also mentions trailing stops, while the code sets stop prices at EMA levels; parameter sensitivity, execution costs, and position limits would need assessment before live use.

Key ideas

• The upper and lower channel boundaries are EMAs of high and low prices.
• A long-term EMA can filter breakout entries by direction.
• Stop distance and account equity determine position size under a stated per-trade risk rate.
• Range-bound markets can produce repeated false breakouts, while EMA lag can delay signals.
• The published backtest settings do not include performance statistics.

Tags

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