EMA Crossover Trend Following with RSI Filters and Risk-Based Stops

Summary

This strategy uses 20- and 50-period EMA crossovers for entries, with the 200-period EMA defining the broader trend. Long signals require the faster EMA to cross above the slower one while price is above the long-term average; shorts use the inverse. Optional confirmation checks whether price closes beyond both shorter averages and applies an RSI threshold that avoids entries at selected extremes. Stop placement can use either an ATR multiple or recent swing highs and lows. Position size is calculated from account equity and a chosen risk fraction, while profit targets can be set at a multiple of trade risk; an opposite crossover can also close a position.

The document discusses parameter sensitivity, lag, the possibility that RSI filters exclude trades during strong trends, and the need to model commissions and slippage. It provides strategy logic and implementation fragments, but the excerpt is incomplete and includes no backtest configuration or performance results. Suggestions such as volatility-based parameter changes, higher-timeframe confirmation, partial exits, and volume filters are proposed as future refinements, not demonstrated findings.

Key ideas

• The 200-period EMA filters direction while 20/50-period EMA crossovers generate entries.
• RSI and closing-price checks are optional filters for entry signals.
• Stops can use ATR or recent swing extremes, and sizing is tied to account equity risk.
• Profit targets may use a fixed risk multiple, with an optional exit on the opposite crossover.
• The excerpt offers design details and caveats but no performance evidence.

Tags

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