EMA Crossovers Filtered by Long-Term LSMA and RSI
Summary
This trend-following strategy combines a short and long exponential moving average crossover with two additional direction filters. A long signal requires the shorter average to cross above the longer one while price is above a long-period least-squares moving average and RSI is above its midpoint. The short setup applies the inverse conditions. The stated defaults use EMA lengths of 6 and 20, an LSMA length of 333, and RSI length of 14.
The document describes percentage-based stop and target exits and gives BTC/USDT Binance futures backtest settings spanning roughly one year at daily resolution. It supplies no return, drawdown, trade count, or comparison results, so the settings alone cannot show whether the system worked. The filters may delay entries, and crossovers can produce false signals in ranging markets. The text also flags the risk of overfitting parameter choices and notes that fixed percentage exits may not suit changing volatility. Suggested extensions include volume confirmation, volatility-aware exits, and market-condition filters, all of which would need separate testing.
Key ideas
- Long entries require an upward EMA crossover, price above the LSMA, and RSI above 50.
- Short entries require the opposite crossover and price and RSI filters.
- The strategy pairs trend signals with percentage-based stop-loss and take-profit levels.
- Published settings describe a daily BTC/USDT futures test but provide no performance results.
- Ranging conditions, delayed signals, fixed exits, and parameter overfitting are stated limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.