EMA Crossover Trend Strategy with RSI, Bollinger and ATR Filters

Summary

This trend-following system uses a 9-period and 21-period EMA crossover to identify short-term direction, with price relative to a 200-period SMA as a broader trend check. Long entries also require RSI above 50 and price above the Bollinger middle band; shorts require RSI below 50 and price below that band. A 14-period ATR determines both stop-loss and take-profit distances through configurable multipliers.

The document explains the intended benefit of combining trend, momentum, and price filters, while warning that crossovers can lag or whipsaw in sideways markets. It suggests additional filters and validation methods, including trend-strength checks, pullback entries, volume, and out-of-sample testing. Published settings show an ETH-USDT spot backtest on 10-minute bars for one week in February 2025, but no results are supplied. The code also sets position size as a share of equity; the document offers no evidence that the strategy is profitable.

Key ideas

• A 9/21 EMA crossover supplies the entry trigger, and price relative to the 200-period SMA confirms broader direction.
• RSI above or below 50 and position relative to the Bollinger middle band filter long and short signals.
• A 14-period ATR sets stop and target distances using configurable multipliers.
• The strategy may whipsaw in range-bound markets, and moving-average signals can arrive late.
• The published ETH-USDT spot backtest settings contain no reported performance results.

Tags

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