Filtered Dual SMA Crossover for Long-Only Trend Following

Summary

This long-only trend-following system combines a fast and a slow simple moving average with a faster price filter. Using the stated settings, it enters when the 11-period average is above the 31-period average and price is above the 5-period filter; it exits when the fast average falls below the slow one. The document describes fixed position sizing as a risk-management feature and provides source logic plus a short BTC/USDT futures backtest configuration.

No backtest performance figures are reported, so the claimed ability to follow trends or reduce false signals is not substantiated with results. The source uses crossover conditions in its explanation but implements above/below comparisons, which may keep the entry condition true across multiple bars. The document also recognizes lag, whipsaw trading in ranging markets, fixed-size capital inefficiency, unmodeled volatility changes, and the absence of a stop-loss. Suggested additions such as adaptive periods and volatility filters remain proposals rather than tested improvements.

Key ideas

• The system enters long when the fast average exceeds the slow average and price is above a short-period filter.
• It exits when the fast average falls below the slow average.
• The published configuration describes a BTC/USDT futures test, but gives no performance results.
• Moving-average lag and ranging markets can cause delayed signals and repeated trades.
• The stated fixed sizing and lack of a stop-loss leave capital efficiency and drawdown control unresolved.

Tags

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