Ehlers MESA Adaptive Moving Average Crossover Strategy

Summary

This trend-following strategy compares two adaptive averages: MAMA and its smoother companion, FAMA. The MAMA smoothing factor changes with the estimated phase difference, bounded by user-selected fast and slow limits; FAMA applies a further low-pass smoothing step. A bullish relationship between the lines signals a long position, while a bearish relationship signals a short position.

The document explains the indicator concept and gives configurable source-price and smoothing-limit settings. It also describes crossover systems as potentially lagging and prone to repeated signals, especially when price lacks a sustained trend. Suggested mitigations include stop-loss rules, signal filters, trend checks, and testing parameter choices across instruments. Published backtest settings identify a short BTC/USDT futures sample, but no performance metrics or trade outcomes are provided, so the settings alone do not demonstrate effectiveness.

Key ideas

• MAMA adapts its smoothing factor according to estimated phase change, within fast and slow limits.
• FAMA further smooths MAMA to create a second line for comparison.
• The strategy takes long or short positions based on which adaptive average is higher.
• Crossovers may lag turning points and produce repeated signals in choppy markets.
• The document supplies backtest settings but no results to support profitability claims.

Tags

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