Long-Only EMA Breakout Strategy with Frequency and Holding Filters

Summary

This is a long-only trend-following method that combines an EMA direction filter with breakouts above prior highs. It enters when the close crosses above a high from either of two lookback windows while price is above the EMA. A minimum interval between entries is intended to restrain trading frequency, and the strategy exits through a fixed percentage stop or when price falls below the EMA, subject to a minimum holding period.

The document lists default settings and BTC/USDT backtest dates, but provides no performance results. Its code has an important implementation caveat: the stop level is calculated from the current close each bar, so it may move with price rather than remain fixed from entry. The time interval filter also compares elapsed time with a bar count multiplied by the chart timeframe multiplier, which may not represent the intended number of bars across all chart intervals. Breakout failures, EMA lag, parameter sensitivity, and trading costs are noted as risks.

Key ideas

• The system only takes long positions when price is above its EMA and breaks a prior high.
• Breakouts are checked against highs from short and long lookback windows.
• Entry spacing and minimum holding time are intended to limit frequent trading and premature exits.
• The stated exit rules use a percentage stop and a close below the EMA.
• The document reports backtest settings but no results, and its stop calculation may move with the current close.

Tags

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