Dual Moving Average Signals with Selectable Average Types

Summary

This document presents a moving-average trend strategy whose average type and lookback can be selected. It lists options including simple, exponential, volume-weighted, double and triple exponential, adaptive, and price-channel averages. The written explanation describes buying when a faster average crosses above a slower one and selling when it crosses below. The source implementation instead tracks whether the bar’s low is above the selected average or its high is below it, then changes direction when that state flips. This distinction matters when reproducing the rules.

The strategy is presented as a simple way to identify trend direction and filter some price noise, with configurable inputs intended to suit different instruments and timeframes. The document provides BTC/USDT futures backtest settings on ten-minute bars over four days in September 2023, but gives no performance results. It flags lag, false signals in sideways markets, sudden price shocks, and sensitivity to parameter choice. Suggested refinements include indicator filters, stops, and position or risk budgeting; these are proposals rather than tested improvements.

Key ideas

• The strategy offers several average types and a configurable lookback for trend signals.
• The prose describes entries on crossovers between faster and slower averages.
• The source code changes its trend state when a bar moves fully above or below one selected average.
• The document gives a short futures backtest configuration but reports no results.
• Lag, ranging markets, parameter selection, and sudden shocks are cited as limitations.

Tags

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