Filtered Moving Average Crossovers with ATR Stops

Summary

This trend-following method uses 25- and 100-period moving averages to set direction: a fast-over-slow crossover signals long, and a crossunder signals short. A rolling count of price crossings of the fast average acts as a noise filter, allowing signals only when the count stays below a threshold. The strategy also describes a confirmation entry when price returns between the averages while their ordering still supports the trade. Stops are based on ATR and trail from the entry area as price moves.

The BTC futures backtest settings cover about one month, using hourly bars with a 15-minute ATR resolution, and the document reports no performance results. There is an implementation detail to check: the prose says the stop distance is 14 times ATR, while the source uses a multiplier of 4 and a 14-period ATR input. The source uses simple averages despite referring to EMAs in places. The document notes whipsaw risk in sideways markets, sensitivity to ATR and moving-average settings, and exposure to gaps or news shocks. It suggests testing alternate parameters and additional filters.

Key ideas

• The strategy trades 25- and 100-period moving-average crossovers in the direction of the crossover.
• A count of recent price crossings of the fast average filters signals during noisy periods.
• A return of price between the averages can serve as a confirmation entry while the averages retain their directional ordering.
• ATR-based stops trail from the entry area, but the prose multiplier differs from the multiplier in the source.
• The short BTC futures backtest window supplies settings but no reported performance evidence.

Tags

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