Long-Only Momentum and Trend Strategy with Dynamic Position Sizing

Summary

This document describes a medium- to long-term, long-only strategy intended for T+1 stock trading. It combines moving-average conditions, a short exponential moving average crossing a slope-based signal, volume confirmation, and a weekly trend filter. Position size is adjusted using account equity, a maximum position setting, risk factor, and ATR; the code also specifies stop-loss and take-profit exits.

The text reports backtest returns of 128.86% and a win rate of 60.66%, but also cites a large single-trade loss and warns of false signals and changing market conditions. The published test settings use a short period on BTC futures, which does not match the stock-market framing, and the description's claims about drawdown control are not established by the reported figures. The results are limited evidence and require independent validation, including checks for parameter overfitting.

Key ideas

• The entry logic combines a fast signal-line crossover with price, volume, and weekly trend filters.
• The strategy opens long positions and uses equity, ATR, and a risk factor to size trades.
• The source includes stop-loss and take-profit exits, although the text recommends improving loss control.
• Reported backtest performance should be treated cautiously because the test is limited and its market framing is inconsistent.

Tags

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