Dual Moving Average Channel Trend Following with Consecutive-Bar Rules

Summary

This long-only trend-following system builds a channel from a simple moving average of highs and a separate simple moving average of lows. It enters after five consecutive bars remain above the upper average, exits after five consecutive bars fall below the lower average, or closes if price drops more than the configured percentage from the highest price reached since entry. The source uses equity-based position sizing, with the published strategy setting the order size to the full account equity. The moving average lengths and drawdown threshold are configurable.

The document provides BTC-USDT Binance futures backtest settings for a brief period of about one week on ten-minute bars, but reports no results. The short sample and lack of performance metrics do not establish effectiveness. The source’s stop condition compares the low with a level based on the post-entry high, despite the prose describing a close-based trigger. The strategy may lag reversals, whipsaw in sideways markets, and be sensitive to parameter choices and slippage.

Key ideas

• The channel uses separate simple moving averages of highs and lows.
• A long entry requires five consecutive bars above the upper average, and a trend exit requires five below the lower average.
• A separate exit triggers when price falls by the configured percentage from its highest level since entry.
• The published strategy sets order size to account equity, which can expose the account substantially.
• The brief backtest settings include no performance results, and the source uses a low-based stop condition.

Tags

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