Dynamic Momentum Index Signals from Price–EMA Deviations

Summary

This strategy compares price deviations from three exponential moving averages to identify possible trend changes. It calculates each deviation as a percentage of price, using long, medium, and short lookback periods. The stated rules turn bearish when the short-period reading rises above the long-period reading, and bullish when it falls below the medium-period reading; the position is otherwise carried forward. A reverse-trading option can invert those positions.

The document describes adjustable lookback periods and a published BTC/USDT futures backtest configuration, but provides no performance results. The method’s limitations include lag, sensitivity to parameter choices, and potentially repeated false signals. The source labels the measure as a disparity index, and its implementation clarifies the signal logic; the write-up’s shorthand should not be read as a complete entry-and-exit specification. Additional filters may help, but the document does not evaluate them.

Key ideas

• The strategy computes percentage deviations between price and three EMAs of different lengths.
• A short-period reading above the long-period reading sets a bearish position, while a reading below the medium-period reading sets a bullish position.
• The position persists when neither comparison changes the signal.
• Lookback lengths and a reverse-trading option are configurable.
• The document notes lag and false signals, and gives no backtest performance results.

Tags

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