Dual-Timeframe Momentum with SMA Trend and Pivot Reversals

Summary

This strategy combines a higher-timeframe trend filter with lower-timeframe reversal signals. It uses the direction of a simple moving average on the higher timeframe to define bullish or bearish conditions, then enters long on a lower-timeframe pivot low during an uptrend or short on a pivot high during a downtrend. The published settings use a 20-period average and a four-hour trend resolution, with five left bars and two right bars for pivots.

The document explains the rationale and configurable inputs, but supplies no performance results. It identifies trend changes, poorly chosen parameters, and extreme moves as risks, and suggests additional filters, parameter selection, and risk controls. The source code also appears to calculate pivots from the higher-timeframe series despite the prose describing lower-timeframe pivots, and its short signal closes a long position rather than opening a short. These implementation details make the stated strategy and the code's behavior differ.

Key ideas

• A higher-timeframe moving-average slope defines the permitted trend direction.
• Pivot lows and highs are intended to time entries in the direction of that trend.
• The settings expose the average period, data source, timeframe, and pivot confirmation bars.
• The document gives no measured backtest performance, and the sample code has mismatches with its prose description.

Tags

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