Long-Only Trend Following with a Triple Exponential Moving Average

Summary

This strategy uses the Triple Exponential Moving Average (TEMA) as a price trend filter for long-only trading. It calculates three successive exponential averages of closing prices and combines them into a TEMA value. The strategy opens or maintains a long position when price is above that value and closes the position when price is below it. The document also describes adjustable indicator and date-window settings, and suggests percentage-based sizing as a risk management approach.

A BTC/USDT futures backtest configuration is included, but no performance statistics or results are reported. The discussion warns that a lagging trend signal may react slowly at reversals and that a prolonged position can face sharp losses. Percentage sizing alone does not cap the loss on a trade, while parameter selection can overfit past data. Suggested refinements include adding stops, volatility measures, and drawdown-aware sizing. The source’s time-window function is always true, so its date inputs do not appear to limit trades in the supplied implementation.

Key ideas

• TEMA is formed by combining three successive exponential averages of closing prices.
• The strategy goes long when price is above TEMA and closes the position when price is below it.
• The approach is long-only and aims to follow medium- to long-term price direction.
• Lagging signals and sharp reversals can create substantial losses during extended holdings.
• The supplied backtest settings specify BTC/USDT futures, but the document gives no performance results.

Tags

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