EMA Cycle Filters and ATR Trailing-Stop Breakouts

Summary

This strategy combines the ordering of three exponential moving averages with ATR-based entry signals. The 5-, 20-, and 40-period EMAs define six possible orderings; the script groups them into bullish and bearish states. A trade signal occurs when price crosses an ATR trailing stop in the matching state. The implementation also checks whether a 14-period ATR’s relative strength index exceeds 50, adding a volatility condition. Opposite signals close existing positions. The published BTC/USDT futures setup uses 15-minute bars with a 5-minute base period and covers a stated date range.

The document explains the intended role of the EMA ordering as a cycle filter and ATR as a volatility-scaled trigger, but supplies no backtest results. It warns that several parameters require tuning, EMA and ATR signals can lag, and losing signals remain possible, so risk controls matter. It suggests testing parameter choices and considering additional volume or volatility filters; these are recommendations rather than demonstrated improvements.

Key ideas

• Three EMAs classify the market into bullish or bearish ordering states.
• A price crossing of the ATR trailing stop generates an entry signal when it agrees with the EMA state.
• The implementation adds an ATR-based RSI condition and closes positions on an opposite signal.
• The document gives a futures backtest configuration but no performance evidence.
• Lag and parameter sensitivity are identified as risks, and strict loss controls are recommended.

Tags

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