Dual Moving Average Crossovers Filtered by Trend Angle

Summary

This strategy combines 8-period and 21-period simple moving averages with a slope filter. A crossover of the shorter average above the longer one supports a long signal, while a cross below supports a short signal. The angle is calculated from the longer average's change over a lookback, normalized by ATR; the source allows a crossover to count if it occurred within the prior 15 bars, then applies positive or negative angle thresholds.

The document explains that the filter is intended to screen out periods without a clear trend, while acknowledging crossover lag and false signals during volatile or sideways conditions. It includes source code, adjustable angle and ATR inputs, and BTC/USDT futures backtest settings for one week, but no performance evidence. There is a mismatch between the prose and implementation: the text calls for 21-period SMA slope, whereas the code calculates an ATR-scaled angle and uses recent crossovers; it also defines an MA source input that is not used in the displayed SMA calculations. These details make implementation behavior worth checking before interpreting the strategy.

Key ideas

• An 8-period and 21-period SMA crossover provides the directional signal.
• The longer average's change is converted to an ATR-scaled angle and compared with thresholds.
• The code allows a crossover from the preceding 15 bars to qualify with the angle filter.
• The published backtest settings cover BTC/USDT futures for one week and include no results.
• The prose and source differ in how they describe the slope and signal rules.

Tags

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