EMA Crossover Momentum Strategy with RSI Filters and ATR Exits

Summary

This intraday strategy combines fast and slow exponential moving average crossovers with an RSI filter and ATR-based exits. A bullish crossover can initiate a long when RSI is below its overbought threshold; a bearish crossover can initiate a short when RSI remains above its oversold threshold. Stops are placed at a multiple of ATR from the entry region, while profit targets use a larger ATR multiple. The parameters described include 9- and 21-period EMAs and 14-period RSI and ATR calculations.

The document discusses risks from sideways markets, slippage, trading costs, and parameter sensitivity, and recommends historical testing, position controls, and periodic review. It supplies a BTC futures backtest configuration but no reported performance metrics. The source computes exit levels from the current close and ATR at entry, so the described levels may not remain fixed at the actual fill price. The rules also do not show a separate implementation for trailing stops or market-regime filters.

Key ideas

• EMA crossovers determine the initial trade direction.
• RSI thresholds filter crossover entries to avoid some momentum extremes.
• ATR multiples define stop-loss and profit-target distances.
• Sideways trading, execution slippage, costs, and parameter changes may weaken results.
• The supplied backtest setup has no accompanying performance statistics.

Tags

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