Dual WMA Trend Strategy with ATR Filter and Trailing Stops
Summary
This strategy uses crossovers of 8- and 21-period weighted moving averages to signal long or short positions. An optional filter requires ATR to decline over three consecutive bars before a crossover is acted on. Its risk rules allow a position to move initially, then activate a trailing exit after a stated profit threshold; the stop follows a percentage retracement from the favorable price extreme. A separate maximum-loss rule closes a trade before the trailing stop activates. The document describes a 5-minute design, while the published backtest settings use daily periods for ETH-USDT futures over roughly one year.
The proposed benefit is to combine responsive trend signals with volatility screening and conditional profit protection. The text also flags lagging crossovers, parameter sensitivity, false signals, and execution costs. It reports no performance figures. There are implementation details to check: the source tests ATR decline across three prior comparisons, meaning four observations, and the published daily backtest period does not match the described 5-minute use. These differences limit conclusions until the intended settings and rules are verified.
Key ideas
- Crossovers of 8- and 21-period WMAs define long and short signals.
- An optional ATR filter admits signals only after ATR has declined across consecutive bars.
- A trailing stop activates after a profit threshold and follows a retracement from the price extreme.
- A maximum-loss rule protects positions before the trailing stop becomes active.
- The described 5-minute strategy differs from the daily timeframe in the published test settings.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.