Dual EMA Trend Signals Filtered by Directional Volatility Difference
Summary
This strategy combines a pair of exponential moving averages with a directional volatility measure to generate long and short signals. The first EMA is calculated from the prior close, and a second EMA smooths that series. Long entries require price and the faster average to align above the slower average, alongside positive directional change and a smoothed volatility measure above its further-smoothed version. Short entries apply the inverse conditions. Signals are referenced with a one-bar delay.
The volatility component compares changes in the current bar’s high and low with the previous bar, assigns the movement to an upward or downward measure, and smooths their difference. Positions are sized as a percentage-based quantity with a minimum of one lot. Exits occur when price crosses the first average in a way that meets a fixed one-percent profit condition relative to the recorded entry price. The published settings describe an hourly BTC futures backtest spanning 2018 through mid-2021, but no performance statistics are included. The document therefore explains rules and test configuration, not evidence of profitability; its exchange and contract assumptions may also limit applicability.
Key ideas
- The entry logic requires alignment between price and two smoothed moving averages.
- A smoothed difference between upward and downward bar movements acts as a directional filter.
- Long and short conditions are symmetrical, with signals acted on after a one-bar delay.
- Position quantity is based on a percentage parameter and is constrained to at least one lot.
- The document provides hourly BTC futures test settings but 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.