Dual Moving Average Crossover with Volatility, RSI, and Session Filters

Summary

This document presents a configurable moving-average crossover strategy that adds filters for volatility, momentum, and trading time. It offers EMA, SMA, WMA, or HMA averages with adjustable fast and slow lengths. The visible volatility rule permits signals when the current ATR exceeds a comparison ATR; the RSI filter uses separate thresholds for long and short direction. Session controls include a start time and a number of bars to skip after the open.

The script also defines risk and exit settings, including a per-trade risk input, ATR-based initial and trailing stops, a breakeven trigger, and a time stop, as well as switches for long and short trades. It includes point-value handling for several futures contracts and specifies commission and slippage assumptions. The supplied document cuts off partway through the RSI logic, so complete entry, exit, and order behavior cannot be established. It gives configuration details but no results or evidence that the strategy is profitable.

Key ideas

• The strategy combines a selectable pair of moving averages with an ATR expansion filter.
• An optional RSI threshold filter can screen long and short signals separately.
• Session settings can restrict trading and skip bars after the market open.
• Risk controls include ATR-based stops, a breakeven trigger, and a time-based exit.
• The source is truncated before full trading logic and contains no performance results.

Tags

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