Filtered Moving-Average Crossovers with Breakout and ATR Checks
Summary
This strategy combines a fast and slow moving-average crossover with filters intended to screen out weak or false signals. The documented defaults use moving-average lengths of 9 and 22, with an ATR threshold, a minimum candle-body move, a pullback condition, and optional confirmation that price has broken the recent high or low. Long and short entries follow upward and downward crossovers respectively, and a percentage-based stop is placed relative to the average position price.
The note presents the filters as ways to reduce whipsaws and describes risks including sudden moves through stops, quiet markets with few signals, and sensitivity to parameter choices. It recommends testing settings across instruments and considering additional indicators or timeframes. The published configuration is for BTC/USDT futures over December 2023, but the document gives no performance metrics. Its prose calls the stop trailing, while the shown stop calculation is tied to average entry price and does not describe updating a peak or trough, so the stated stop behavior should be verified in an implementation.
Key ideas
- Fast and slow moving-average crossovers provide directional entry signals.
- ATR, candle-body, pullback, and optional recent-range breakout checks filter entries.
- A percentage stop is calculated from the position’s average entry price.
- The note gives a backtest setup but reports no measured results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.