EMA Crossover Swing Strategy with RSI Filters and ATR Exits

Summary

This BTC futures swing strategy combines a 20-period EMA and 50-period SMA crossover with RSI confirmation. It permits a long entry when the averages cross upward and RSI is below 70, or a short entry on a downward cross when RSI is above 30. ATR is used to place stop-losses at 1.5 times its value and profit targets at three times its value; trade size is described as based on a 1% capital risk budget.

The document lists Binance BTC/USDT futures daily data from late 2019 through December 2024 as the backtest period, but provides no measured results. There is a mismatch between the prose, which presents the exits as ATR-based, and the parameters labeled as percentage stop and target values; the source calculates position size using the percentage stop input while setting exits with ATR. The code also sets the date-range condition permanently true. These details limit confidence in the stated risk controls. Crossover whipsaws, slippage, and parameter sensitivity remain concerns.

Key ideas

• An upward EMA/SMA cross with RSI below 70 signals a long entry; a downward cross with RSI above 30 signals a short entry.
• The described exits use a 14-period ATR, with a 1.5 ATR stop and a 3 ATR target.
• Position size is calculated from capital, a stated 1% risk budget, and a percentage stop input.
• The published daily BTC futures backtest period has no accompanying performance statistics.
• The prose and source differ on exit and sizing units, so the specified risk behavior is ambiguous.

Tags

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