EMA 200 Trend Filter with ATR-Based Trailing Exits
Summary
This strategy uses the 200-period exponential moving average (EMA) as a directional filter: long entries are allowed above it and short entries below it. The source also uses crossovers between 14- and 28-period simple moving averages (SMAs) to trigger entries, a detail that sharpens the general description of trading with the prevailing trend.
After entry, the strategy sets exit limit levels using the prior bar’s high or low and an increment based on the average true range (ATR), with a default length of 7 and multiplier of 1.5. The levels are intended to adjust as prices change. Published backtest settings specify BTC/USDT futures and a short sample from December 2023 to January 2024, but no performance results are reported. The written description has ambiguities about which level closes which position, and the code implements limit exits rather than conventional stop orders. The author flags false trend signals and exits during unusual volatility; the sample settings alone do not establish robustness.
Key ideas
- The EMA 200 filters trade direction, while SMA crossovers trigger long and short entries.
- ATR scaled from prior bar extremes defines dynamic exit limit levels.
- The listed configuration uses BTC/USDT futures with hourly bars and a short historical window.
- False breakouts and volatility spikes can produce poor entries or premature exits.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.