EMA Crossover Entries with Candle-Based Sizing and Stops

Summary

This long-only approach combines an upward crossover of the 10-period and 20-period EMAs with confirmation that the signal candle closes above its open. It sizes the position using a fixed numerator divided by the distance between the close and that candle’s low, then sets the stop at the entry candle low. A chart marker identifies the entry. The document explains the intent: position size falls as the candle’s close-to-low distance grows, while the candle low supplies a price-based stop.

The source and description provide rules, parameters, and a published test configuration for BNB/USDT futures on hourly bars from March to June 2024, but no backtest performance results. The sizing formula can generate an extremely large quantity when close and low are very close, and the stop can be vulnerable to ordinary price noise. The presented logic has no explicit profit target or separate trend exit. The document suggests caps on position size, volatility adjustments, filters, and additional exit rules; these are proposals rather than tested improvements.

Key ideas

• A long entry requires the short EMA to cross above the longer EMA on a bullish candle.
• Position quantity is inversely related to the entry candle’s close-to-low distance.
• The entry candle low is used as the stop level.
• Very small close-to-low distances can produce excessive position sizes, so the formula needs risk constraints.
• The published test configuration gives no performance results, and the described system lacks a profit target.

Tags

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