Dual EMA Trend Following with ATR and ADX Filters

Summary

This document outlines a BTC futures trend strategy built around 8-period and 20-period EMAs. It combines their crossovers with normalized ATR thresholds, a SuperTrend market direction filter, expanding-volume entry and exit checks, and stop-loss and take-profit levels. It also describes adjusting those levels based on a simplified measure of dollar strength, though the implementation derives that measure from the traded price relative to its own 50-period EMA.

The published settings specify BTC_USDT futures on Binance from mid-October to mid-November 2023, using daily bars with a one-hour base period, but provide no performance results. The code and explanation do not fully agree: ADX is described as a trend-strength measure, yet the code smooths closing prices instead of calculating ADX; the sell logic and dollar-strength proxy also warrant scrutiny. EMA lag, parameter sensitivity, and inaccurate filters are acknowledged or evident, so the proposed rules need careful validation before use.

Key ideas

• The strategy uses 8-period and 20-period EMA crosses to signal trend changes.
• Normalized ATR thresholds are intended to vary entry filtering with volatility conditions.
• SuperTrend direction and expanding volume act as additional signal filters.
• The stated ADX calculation in the implementation does not match the described indicator.
• The published backtest settings include no evidence of profitability or robustness.

Tags

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