Dual Moving Average Crossovers with ATR-Based Stops

Summary

This trend-following method buys when a 50-period simple moving average crosses above a 100-period average and sells or reverses when it crosses below. It calculates a 14-period Average True Range and multiplies it by a configurable factor to set a stop distance from the current close. The published parameter defaults include an ATR multiplier of four. The approach uses the moving averages to define direction and ATR to scale stops to recent volatility.

The document explains that crossovers can lag and produce repeated false signals in range-bound conditions, while ATR may react slowly during fast market changes. It suggests adjusting periods or the ATR factor and adding other filters. A BTC/USDT futures backtest setup is supplied, but there are no reported results. The code sets stop orders when crossover entries occur; it does not describe a separate profit-taking rule, and the stop placement is based on the signal bar's close rather than a continuously updated entry price.

Key ideas

• A fast and slow simple moving average crossover determines entry direction.
• The strategy uses a 14-period ATR multiplied by a configurable factor to place stops.
• The published defaults are 50 and 100 periods for the averages and a factor of four for ATR.
• Lagging signals and range-bound whipsaws are the main stated limitations.
• The provided 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.