Dual Hull Moving Averages with Daily-Move Thresholds

Summary

This strategy combines two Hull moving averages with a threshold based on the daily change in a selected price series. It compares the fast and slow averages and checks whether price is on the same side of the slower average. A long entry requires the fast average to be above the slow one, price to be above the slower average, and daily change to exceed the decision threshold. A short entry applies the corresponding downward conditions, with daily change below the threshold. The description also specifies a maximum open-trade limit and profit and loss exits based on open profit.

The document presents thresholds as a way to filter small countertrend moves and fixed exits as a risk control. It supplies BTC/USDT futures backtest settings from September 2022 to February 2023, but gives no performance statistics. Thresholds can filter out valid trades if poorly chosen, fixed exits may not adapt to changing conditions, and both the averages and daily-change measure can lag. The suggested need to optimize parameters is not accompanied by evidence that any particular configuration works better.

Key ideas

• The strategy pairs fast and slow Hull moving averages with a daily price-change filter.
• Long and short entries require the averages, price position, and daily-change threshold to align.
• The parameters include a decision threshold, fixed profit and loss levels, and a limit on open trades.
• Threshold selection can exclude opportunities, while fixed exits may not suit all market conditions.
• The listed backtest settings provide no reported results to assess performance.

Tags

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