Harmonic Moving Average Crossovers for Trend Signals

Summary

This strategy builds six recursively smoothed harmonic averages, starting with a three-bar harmonic average of past closing prices and repeatedly applying the same calculation to prior values. It defines a short-term series as the minimum of the first three averages and a long-term series as the maximum of the next three, then uses their crossover to enter long or short positions. A separate Balance curve combines the six averages through an inverse cubic calculation.

The document presents the averages as a way to combine time horizons and filter noise, but supplies no empirical support for those claims. It warns that repeated smoothing can lag turning points, that cubic calculations may amplify noise, and that extensive parameter tuning can reduce robustness. The published backtest settings cover BTC/USDT futures during January 2024 with 15-minute base data and a two-hour period, but no performance results are reported. The code's sell signal uses a different pair of averages from the stated short-term and long-term crossover description, which is an important implementation distinction.

Key ideas

• The strategy constructs six harmonic averages by repeatedly smoothing earlier averages.
• It defines a short-term signal from the minimum of the first three averages and a long-term signal from the maximum of the next three.
• Crossovers are used to enter long or short positions.
• The Balance curve combines the averages using an inverse cubic calculation.
• The document warns about signal lag and noise and reports no backtest results.

Tags

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