EMA and SMA Trend Filters with Parabolic SAR Entries and Exits

Summary

This trend-following approach combines two moving-average filters with Parabolic SAR. It classifies the market as rising when the faster EMA is above the slower EMA and the faster SMA is above the slower SMA. During that condition, the rules place a stop entry at the SAR level; the position is closed when the SAR-based stop is reached or the moving-average condition no longer indicates an uptrend.

The document gives example parameter settings and a short BTC/USDT futures test window, but reports no performance results or comparison. It warns that trend classification can be wrong, parameters may need adjustment by instrument, entries can chase price, and trading costs are omitted. The source code’s SAR conditions and the prose explanation do not align cleanly on whether SAR is above or below price for entry and exit, so the operational rule needs careful validation before use. Suggested refinements include testing instrument-specific settings and incorporating costs.

Key ideas

• An uptrend requires both the fast EMA and fast SMA to exceed their slower counterparts.
• The rules use Parabolic SAR as a stop-entry reference and as an exit trigger.
• A change in the moving-average trend filter closes the long position.
• The document warns about parameter sensitivity, late entries, and unmodeled transaction costs.
• The source conditions and prose descriptions of SAR positioning appear inconsistent and need validation.

Tags

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