EMA, RSI, Volume, and ATR Filters for Trend Following
Summary
This trend-following system combines a fast 10-period EMA and slow 20-period EMA crossover with RSI and volume conditions. A long signal requires the fast EMA to cross upward, RSI to exceed 50, and volume to top 1.5 times its 20-period average; a short signal uses the opposite crossover, RSI below 50, and the same volume test. ATR sets exits at two times ATR for the stop and three times ATR for the target, measured from the average entry price.
The document describes the rules and implementation, but gives no backtest settings or performance results. Although MACD is calculated in the code, it is not part of the entry conditions. The stated position sizing uses 90% of equity, a substantial allocation that warrants scrutiny. The text notes crossover lag, potential whipsaws in sideways markets, anomalous volume, fixed ATR multipliers, and curve-fitting risk. It suggests regime filters and adaptive sizing, but these are proposals rather than tested improvements.
Key ideas
- Long and short entries require EMA crossovers, RSI direction, and volume above its moving average by a set multiple.
- ATR-based exits place stops at two ATR and targets at three ATR from average entry price.
- MACD values are calculated but do not affect the entry rules.
- The described equity allocation is 90%, while no performance results are reported.
- Crossover lag, ranging markets, volume anomalies, and parameter fitting can limit reliability.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.