Long-Only SMA Crossover Strategy with a Fixed Percentage Stop

Summary

This long-only strategy uses a fast and a slow simple moving average to follow broad price trends. It enters when the fast average crosses above the slow one and exits when the averages cross down or price reaches a fixed percentage stop based on the entry price. The document presents parameter tuning of the two average lengths and stop distance as central design choices.

The discussion says crossover signals can lag and may whipsaw in sideways markets; it also notes that the described approach holds a full position, creating concentrated exposure. Suggested refinements include volatility-based stops, position sizing, auxiliary indicators, and parameter adaptation. The published example settings name BTC/USDT futures and daily bars across roughly one year, but the document gives no measured results. The source implements a stop check alongside the crossover exit, so the stop is part of the rule set, not evidence that drawdowns are controlled in practice. Fees, slippage, and out-of-sample robustness are not evaluated.

Key ideas

• A long position opens when the fast SMA crosses above the slow SMA.
• The strategy closes on a reverse crossover or a decline to a fixed percentage stop from entry.
• The document identifies lag and sideways-market whipsaws as key limitations.
• The described full-position approach has concentrated exposure and no explicit allocation framework.
• The stated backtest setup contains no reported performance results.

Tags

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