EMA and Donchian Breakout Trend Strategy with Selectable Exits

Summary

This BTC futures trend-following system filters Donchian Channel breakouts through a long-term EMA and a faster-versus-slower EMA relationship called the Madrid Ribbon. Long entries require price above the 200-period EMA, a bullish relationship between the 5- and 100-period EMAs, and a close above the prior Donchian high. Shorts apply the corresponding bearish conditions below the long-term average and prior channel low. It waits for a second consecutive qualifying bar before entering.

The strategy offers three alternative exit-setting methods: price ticks, dollar amounts adjusted by contract size, or a risk-reward multiple based on the entry bar's range. Only one mode may be active. The document describes these rules and lists a BTC/USDT futures test period, but provides no performance statistics. It also identifies reversal drawdowns and fixed exits that may not suit all market conditions. Its claim of avoiding look-ahead bias is not independently demonstrated by the supplied material.

Key ideas

• A 200-period EMA sets the broad trend filter, while a 5- and 100-period EMA relationship indicates intermediate direction.
• Entries require a Donchian breakout aligned with both trend filters and a second consecutive qualifying signal.
• Exits can be defined using ticks, dollar amounts, or a risk-reward multiple, with exactly one mode enabled.
• The document gives a backtest date range but no performance evidence, and trend reversals remain a stated risk.

Tags

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