Dual EMA Trend Signals Filtered by an ATR Threshold

Summary

This trend-following system compares the gap between a fast and a slow exponential moving average with a volatility-scaled threshold. With the stated defaults, it uses 30- and 60-period EMAs and compares their difference with 0.3 times a 60-period ATR. Crossing above the positive threshold signals a long entry; crossing below its negative counterpart signals an exit from the long position.

The ATR threshold is intended to make the required EMA separation respond to market volatility and filter small fluctuations. The source leaves short entries commented out, so the described implementation is effectively long-only. The document lists lag, weak behavior in ranging markets, parameter sensitivity, and the absence of a stop-loss as limitations. It includes settings for a short ETH/USDT futures backtest but supplies no performance results, so claims of reliability or long-term stability are not substantiated by the evidence shown.

Key ideas

• The strategy measures the gap between fast and slow EMAs.
• A multiple of ATR sets a volatility-adjusted threshold for trend signals.
• Crosses of the positive and negative thresholds trigger long entry and long exit signals.
• The source comments out short entries, making the shown implementation long-only.
• The brief published backtest settings contain no reported performance results.

Tags

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