Execution-Aware EMA Trend and Prior-Channel Breakouts

Summary

This strategy defines direction with fast and slow exponential moving averages and requires the slow average to slope in the same direction over a configurable lookback. Entries require a confirmed close to break the prior-bar high or low channel, with the current bar excluded from the channel calculation. A shorter channel provides the exit trigger. Users can trade long, short, or both directions.

Risk is managed with an ATR-based distance from the most favorable confirmed close, which the script says never loosens. The strategy models commission and slippage and processes orders on the next tick rather than at the signal close, explicitly allowing gaps to affect exits. It also offers full-history, in-sample, and out-of-sample sample selection, with guidance to keep signal settings fixed when evaluating the out-of-sample period. The supplied excerpt contains no backtest results, so it describes execution assumptions and validation controls rather than evidence of profitability.

Key ideas

• Trend direction depends on the relative fast and slow EMA values and the slow EMA slope.
• Entry signals require a confirmed close beyond a channel formed from prior bars.
• A shorter prior-bar channel supplies the exit signal.
• An ATR-based close-risk level follows favorable confirmed closes and does not loosen.
• Commission, slippage, next-tick order processing, and sample splits are included to make backtest assumptions explicit.
• The provided material gives no performance results.

Tags

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