EMA–SMA Crossover with a TII Filter and Fixed Exit Thresholds

Summary

This document describes a long-only moving-average strategy that buys when a 5-day EMA crosses above a 20-day SMA, provided the Trading Index Index (TII) is positive and no lower than its prior reading. It exits when the price moves 5% above or below the recorded entry price. The accompanying script calculates TII from positive and negative deviations from a longer moving average. Although the published backtest settings specify BTC/USDT futures over January 2024, the document supplies no test results.

The TII condition is intended to filter crossover entries, while the fixed thresholds define profit-taking and loss exits. The document notes that moving-average signals lag, TII may be weak in ranging conditions, and fixed exits may be arbitrary. Its suggested refinements include tuning the averages, adding filters, and making exits responsive to volatility. The described rules are long-only and do not establish how the strategy performs across market conditions or assets.

Key ideas

• A long entry requires a 5-day EMA crossover above a 20-day SMA and a positive, non-falling TII.
• The stated exit thresholds are a 5% gain or a 5% loss relative to the recorded entry price.
• TII is calculated from positive and negative deviations relative to a longer moving average.
• The document identifies lagging signals, ranging markets, and fixed exit levels as limitations.
• Published settings specify BTC/USDT futures, but no backtest performance results are reported.

Tags

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