Hull Moving Average Percentage Bands for Long Entries and Exits
Summary
This strategy builds percentage bands around a Hull moving average and uses price crossings to manage long positions. The source calculates a 9-period Hull moving average, with configurable upper and lower bands set at 3% and 6% by default. It opens a long position when price crosses upward through either lower band and closes the long when price crosses upward through specified bands. The document describes the bands as a breakout and stop-loss framework, although the rules shown focus on long trades rather than short entries.
The approach is presented as adjustable across instruments, but frequent trades can increase slippage, and poor parameter choices may create excess activity or weak signals. The document recommends tuning the average length and bands, improving stop rules, and checking robustness across products. Published settings describe a BTC_USDT futures backtest, but no performance results are given. There is also a mismatch between the prose and source: the prose describes some crossings differently from the actual entry and exit conditions, so the coded rules need careful review.
Key ideas
- A 9-period Hull moving average anchors configurable upper and lower percentage bands.
- Upward crossings through the lower bands trigger long entries in the source rules.
- Upward crossings through selected bands close the long position.
- Frequent signals can create slippage, and band settings require testing across instruments.
- The published backtest settings contain no reported performance results, and prose and code differ.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.