EMA Crossover Entries Filtered by a 50-Period SMA

Summary

This trend-following approach uses a fast and a slow exponential moving average to generate directional crossover signals, then filters them using a 50-period simple moving average. The example uses EMA periods of 9 and 21: a bullish crossover produces a long entry only when the close is above the SMA, while a bearish crossover produces a short entry only when the close is below it. The stated purpose of the filter is to avoid some crossover signals that conflict with the broader price direction.

The document discusses frequent signals and slippage in choppy markets, delayed responses from moving-average smoothing, and the risk of poorly chosen parameters. It gives a BTC/USDT futures backtest configuration for January 2024, but reports no returns, drawdowns, or other performance evidence. The proposed improvements include trying alternative parameters, adding price or volume confirmation, and refining position risk controls; none is evaluated in the material provided.

Key ideas

• The strategy uses a 9-period and 21-period EMA crossover for basic direction signals.
• A 50-period SMA filters long entries above the average and short entries below it.
• The trend filter may reduce conflicting crossover trades but can add lag.
• Choppy markets can create frequent trades and slippage costs.
• The document supplies backtest settings but no performance results.

Tags

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