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Ichimoku, MACD, and Volatility Filters for Trend Following

Article Strategy library · Author: ianzeng123
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Summary

This ETH/USDT strategy combines trend, momentum, and volatility filters. It identifies direction from price relative to both Ichimoku cloud spans, requires a weekly trend check using the 50-period moving average, and confirms momentum with the MACD histogram. Entries are permitted only when Bollinger Band Width exceeds a threshold. Stops adapt to volatility: the method uses recent highs or lows in low-volatility conditions and an ATR multiple in higher-volatility conditions.

The document reports a backtest with 10.80% net profit, a 2.593 profit factor, a 50.70% win rate, and 1.47% maximum drawdown for a two-day ETH/USDT test spanning November 2024 to February 2025. These figures describe one historical run, not evidence of performance across markets or regimes. The document also identifies risks from ranging conditions, parameter sensitivity, and delayed entries; it notes that fees and slippage can affect live results. The source presents stop management but no explicit profit target.

Key ideas

  • Price above or below both Ichimoku spans determines the primary trend direction.
  • A weekly 50-period moving-average comparison confirms the higher-timeframe direction.
  • The MACD histogram and Bollinger Band Width filter momentum and low-volatility conditions.
  • Stop placement switches between recent extremes and an ATR-based distance according to volatility.
  • Reported results come from one short historical ETH test and do not establish future performance.

Tags

CryptoTrend followingMomentumVolatilityTechnical indicatorsBacktesting

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