Dual EMA Crossovers Filtered by ATR Volatility with Dynamic Exits

Summary

This strategy combines a fast and slow exponential moving average crossover with a one-bar comparison of the Average True Range. A bullish crossover is accepted when ATR is lower than its previous value; a bearish crossover is accepted when ATR is higher. The described defaults are EMA lengths of 20 and 55 and an ATR length of 14. ATR multiples are also used to define stop and profit exit levels, with both multiples defaulting to three.

The document gives a rule set and BTC/USDT futures backtest settings for hourly bars from mid-October to mid-November 2023, but it reports no test results or supporting performance evidence. The crossover logic can lag and may generate repeated signals in ranges; the ATR filter may also exclude trades. The source code’s handling of exits and price references does not consistently align with the prose description, so the intended stop and target behavior should be checked before relying on it. Parameters may need adjustment across markets and timeframes.

Key ideas

• The strategy requires an EMA crossover and a matching direction in the one-bar change in ATR.
• The stated defaults use 20- and 55-period EMAs and a 14-period ATR.
• ATR multiples define stop and profit exit levels in the described approach.
• Moving average lag and ranging markets are identified as potential weaknesses.
• The document gives backtest settings but no results, and the source exit logic should be verified against the prose.

Tags

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