Log-Return ALMA Trend Signals with Momentum and EMA Filters

Summary

This long-only trend system smooths log returns with short- and long-period Arnaud Legoux moving averages (ALMA). It uses their relative position to define the regime, with a minimum separation threshold to screen weak bullish signals. Entries also require a recent closing-price high and price above a macro exponential moving average (EMA); exits occur when the short ALMA falls below the long ALMA, with an optional sell-momentum filter in the parameters.

The document reports comparisons suggesting lower signal lag and noise than price-based moving averages, and says the combined entry filters improve the backtested win rate. It gives a daily XRP/USDT futures backtest setup, but provides no detailed performance table or methodology to assess those claims. The strategy is intended for sustained upward markets and liquid assets. Sideways conditions can produce repeated losses, and exits may lag during sharp declines. It also needs a long history for its slow filter, and historical results do not establish future performance.

Key ideas

• The strategy applies short- and long-window ALMA smoothing to log returns rather than prices.
• Entries require bullish ALMA separation, recent price momentum, and price above a macro EMA.
• The exit rule uses a bearish ALMA relationship, making entry confirmation stricter than exit confirmation.
• The document reports lower lag and noise and a higher backtested win rate, but supplies limited supporting evidence.
• Choppy markets and rapid declines are identified as conditions where the approach can struggle.

Tags

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