Fourier-Smoothed Moving Average Trend Following with Pyramiding
Summary
This intraday trend-following strategy derives three moving-average series by applying selected Fourier sinusoidal components to price, then smoothing them with a configurable moving-average type. It enters long when the fast series is above the middle series and price is above the slow series; short conditions reverse those relationships. The script allows pyramiding, so it may add orders while conditions persist, aiming to capture sustained trends despite losses during sideways periods.
The author reports testing across multiple pairs and timeframes, and cites a low winning-trade percentage alongside long average durations for winning trades and high overall profit. These are author claims rather than independently documented results; the excerpt provides no detailed statistics or evaluation method. The strategy can incur repeated small losses in flat markets, and its results depend on settings and the market’s ability to trend. Optional fixed and trailing exits are configurable, with zero defaults disabling them.
Key ideas
- Three moving-average series are formed from Fourier components and smoothed using a selectable method.
- Long and short entries use the relative positions of fast, middle, and slow series.
- Pyramiding can add orders during sustained signals and increase exposure.
- The author reports low win frequency but longer winning trades, without detailed supporting statistics.
- Sideways markets can produce repeated losses, while exits are optional and disabled by default.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.