EMA Crossover Trend Following Across Three Futures Expiries

Summary

This document describes an exponential moving average crossover approach applied to weekly, next-week, and quarterly futures contracts. It opens positions in either direction when a short EMA crosses a longer EMA, and exits on the opposing crossover or when a trailing level based on average true range is reached. The implementation also checks available margin, calculates position size from account equity and contract prices, and tracks open positions separately by expiry. The accompanying explanation presents the broader trend-following idea of limiting losses while allowing profitable trends to continue.

The source contains operational details for a particular exchange setup and contract, including leverage and account-mode assumptions. These details make the implementation venue-specific, and the supplied material does not provide a backtest period or measured performance results. The text frames the strategy as educational and warns against assuming live trading outcomes. The crossover and volatility-based exit logic are described, but the document does not establish that the configuration is profitable or suitable for other instruments.

Key ideas

• EMA crossovers provide entry and exit signals across three futures expiries.
• The implementation uses average true range based levels to manage exits as prices move.
• Position sizing and margin checks depend on account equity and contract details.
• The source assumes a specific exchange setup, leverage, and contract configuration.
• No measured performance results are provided, and the material is presented for learning and testing.

Tags

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