Dual Moving Average Crossovers with a FRAMA Exit Filter

Summary

This long-only strategy uses a 13-period and a 26-period simple moving average to identify crossovers. It opens a long position when the faster average crosses above the slower one. It closes the position when the averages cross in the opposite direction or when the FRAMA line crosses below the closing price. FRAMA is described as an adaptive moving average whose smoothing responds to estimated price structure across different ranges.

The document presents FRAMA as an additional trend or reversal check intended to complement the crossover. It lists parameters for the FRAMA input price, length, and fast and slow constants. Published settings show a short BTC/USDT Binance futures sample using 30-minute bars; no performance statistics are given, so the sample does not demonstrate effectiveness.

The stated caveats include false crossovers, parameter sensitivity, and periods with no signals. The text suggests testing other average lengths, adding stops or volume filters, and evaluating across market conditions. These are possible refinements rather than validated improvements.

Key ideas

• A bullish crossover of the 13-period and 26-period simple averages opens a long position.
• The strategy exits on a bearish average crossover or a downward FRAMA and price cross.
• FRAMA adjusts its smoothing based on price-range structure.
• The published backtest settings cover only a brief sample and provide no reported performance results.
• False signals and sensitivity to average and FRAMA settings are key limitations.

Tags

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