EMA Cross Trend Strategy with ADR Filtering and Daily Risk Limits

Summary

This strategy uses a short and long exponential moving average crossover to signal long or short trades. An Average Daily Range filter blocks entries when measured range is below a chosen threshold. It also restricts trading to a daily time window and sets stop and target levels using recent candle highs and lows with a specified risk-reward relationship. When a trade reaches a configured profit condition, the stop can move to break-even; a daily loss limit and end-of-day liquidation add further controls.

The document describes adjustable settings and a BTC/USDT futures backtest configuration, but includes no reported performance results. The strategy relies on technical signals and may react late to reversals or fail during market regime changes. It also faces event and liquidity risks, and parameter tuning can overfit. Its timing rules and daily close depend on the instrument’s session conventions, while trading costs and execution quality can materially change realized outcomes.

Key ideas

• EMA crossovers determine directional entries, while ADR acts as a minimum-volatility gate.
• Recent candle extremes and a risk-reward setting define stop and target prices.
• Break-even logic, a daily loss cap, a trading window, and end-of-day liquidation constrain exposure.
• The document gives backtest settings but no outcome statistics, and warns about lag, overfitting, and execution risks.

Tags

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