Dual Moving Average Crossovers Filtered by Parabolic SAR and ATR Stops
Summary
This trend-following design combines a fast and slow moving average crossover with price confirmation and a Parabolic SAR filter. A bullish setup requires the fast average to be above the slow average and the close above the fast average; bearish conditions reverse those relationships. The SAR position supplies an additional directional check before entry. The source allows several average types and configurable lengths, and includes ATR-based stop distances with position quantity tied to a chosen share of equity risk.
The document describes the logic and risk controls but provides no measured strategy results. Its published backtest configuration specifies BTC/USDT futures over January 2024, yet reports no returns, drawdowns, or comparison benchmarks. The discussion notes false signals, missed early moves, and currency exposure as limitations, and suggests parameter tuning, additional filters, and multi-timeframe checks. One caution is that some prose and code details do not align exactly, so the implementation should be reviewed before relying on the stated behavior.
Key ideas
- A fast and slow moving average relationship establishes bullish or bearish conditions.
- Close price relative to the fast average confirms the crossover direction.
- Parabolic SAR acts as a further entry filter.
- ATR sets stop distances, while position size is calculated from equity risk and stop distance.
- The stated BTC/USDT futures test period has 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.