Dual Slope Signals with a Low-Volatility Moving Average Filter

Summary

This strategy compares the slopes of a configurable moving average and a momentum indicator. In ordinary conditions, a long signal occurs when both smoothed slopes exceed an upper threshold, while a short signal occurs when both fall below a lower threshold. The implementation supports several moving-average and momentum choices, and can reference a higher timeframe. When its volatility test identifies subdued conditions, it switches to signals based on the slope of a separate long moving average.

The document explains the intended benefits of combining price trend and momentum, and includes parameters and BTC/USDT futures backtest settings. It provides no reported performance results, and the settings alone do not establish that the approach is profitable or robust. It warns that dual filters can miss valid moves, thresholds and indicator lengths may need instrument-specific tuning, and the large parameter space invites overfitting. It also describes the method as non-repainting, while acknowledging that this property does not remove backtest curve-fitting risk or replace live validation.

Key ideas

• Long and short conditions require both moving-average and momentum slopes to pass separate thresholds.
• A volatility filter switches signal logic to a separate moving-average slope during subdued conditions.
• The implementation allows multiple indicator types, adjustable parameters, and higher-timeframe data.
• The document gives no performance results, so the listed backtest settings do not demonstrate effectiveness.
• Filtering can suppress real signals, and extensive parameter choices raise tuning and overfitting concerns.

Tags

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