Dual Moving Average Crossover with an ATR-Based Trailing Stop

Summary

This trend-following approach enters long when a 12-period EMA crosses above a 45-period SMA. It trails a stop using a volatility measure: the description specifies a 15-period ATR multiplied by six, with the stop rising as the EMA rises. A separate 12-period EMA is used as the exit reference; the code closes the long when this stop EMA drops below the trailing stop level.

The document presents the method as a simple way to follow medium-term trends while adjusting the exit distance to market movement. It lists possible drawbacks, including lagging entries, stops that are too wide or too tight, and sensitivity to changing volatility. The published setup gives parameter values and a short BTC futures backtest interval, but no performance statistics. There is also a methodological mismatch: the code calculates its volatility input as a moving average of the high-low range rather than the conventional true range, so the stated ATR interpretation is not exactly what the implementation computes.

Key ideas

• A long entry is triggered when the 12-period EMA crosses above the 45-period SMA.
• The stop distance is based on a 15-period average high-low range multiplied by six.
• A 12-period EMA crossing below the trailing stop level triggers a position close.
• The strategy can lag and its stop settings may trade off larger losses against more frequent exits.
• The stated backtest configuration has no accompanying performance results.

Tags

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