EMA Trend Filtering with RSI Entries, ATR Volatility Gating, and Timed Exits

Summary

This strategy combines a short and long exponential moving average to classify the trend, then uses RSI and ATR to qualify entries. The stated rules seek longs when the short EMA is above the long EMA and price is above the short EMA, with RSI below its overbought boundary; shorts apply the reverse trend and price conditions with RSI above its oversold boundary. Trades also require ATR to exceed a threshold, and positions are closed after a specified number of bars.

The document gives default indicator settings and describes a daily BTC/USDT futures backtest spanning several years, but reports no return, risk, or benchmark statistics. Its prose says ATR dynamically adjusts holding time, while the source uses ATR only as an entry filter and closes positions on a fixed bar count. The rules may generate false signals in ranges, lag turns, or exit strong trends early; the ATR threshold and other parameters need validation for each market and timeframe.

Key ideas

• EMA ordering defines the directional trend filter, with price relative to the short EMA refining entries.
• RSI conditions qualify entries within the trend, while ATR must exceed a threshold.
• The source closes positions after a fixed number of bars rather than dynamically varying the holding period with ATR.
• The supplied long-span daily test settings include no reported performance statistics.
• Range-bound conditions, indicator lag, and fixed exits are stated limitations.

Tags

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