Dual Moving Average Crossovers with Volatility, RSI, and Risk Filters

Summary

This futures-oriented framework enters when a selectable fast moving average crosses a slower one. Before entry, it can require expanding volatility, measured by a shorter-period ATR exceeding a longer-period ATR, and directional RSI confirmation. A time filter can skip early bars after the start of each day, and separate switches enable long and short positions. The code includes estimated contract point values for several named futures symbols and sets commission and slippage assumptions in its strategy configuration.

Position size is calculated from a chosen fraction of account equity divided by the ATR-based initial stop distance and point value, with a minimum size of one contract. After a favorable move reaches a configurable risk multiple, the stop moves to entry and then trails using ATR. A time exit is also intended to close positions that fail to make a new high or low within a set bar window. The listing explains the intended mechanics but shows no results or validation. Its symbol-specific point-value mapping, bar-based timing logic, and execution assumptions need instrument-specific review before interpreting any backtest.

Key ideas

• Entries require a fast and slow moving-average crossover, with optional ATR expansion, RSI, and intraday timing filters.
• The moving-average type, indicator periods, and long or short permissions are configurable.
• Position size uses account equity risk, ATR stop distance, and a futures point-value estimate.
• Stops move to breakeven after a favorable risk-multiple move, then trail by ATR; a time-based exit is also included.
• The description offers no performance evidence, and the point-value and timing assumptions may need adjustment for the instrument.

Tags

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