EMA-MACD Crossovers with ATR Stops and Risk-Based Position Sizing

Summary

The strategy enters when a short EMA crosses a longer EMA and the MACD line agrees with the trade direction. It places stop-loss and take-profit levels using ATR, with the target set at twice the stop distance. Position size is calculated from the distance to the stop and a stated account-risk percentage. The document also describes possible filters, trailing stops, and volume analysis as future refinements.

The published configuration is for BTC/USDT futures over a multi-year span, but the document provides no performance metrics. Despite calling the approach high-frequency, the configuration uses daily bars, so it does not demonstrate high-frequency behavior. The source code also sets order quantity as a percentage of equity while separately calculating risk-based quantity, leaving a discrepancy between the described sizing method and the strategy declaration. Slippage, fees, ranging-market signals, volatility, and system latency are cited as limitations; live performance remains unsubstantiated.

Key ideas

• EMA crossovers generate candidate trades, while MACD alignment confirms direction.
• ATR sets the stop distance, and the take-profit target is twice that distance.
• The description sizes positions to a fixed share of account risk, though the code’s sizing setup is inconsistent with that claim.
• The daily-bar backtest configuration does not establish high-frequency performance or trading results.

Tags

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