Long-Only Trend Following with Three EMA Crossovers and Slope Filters

Summary

This long-only strategy uses fast, intermediate, and slow exponential moving averages to identify entries in rising trends. It enters when the fast EMA crosses above the intermediate EMA while both intermediate and slow EMA slopes are positive, or when the fast EMA crosses above the slow EMA while the slow EMA is rising. A fast-EMA cross below the intermediate EMA exits the trade. The description also specifies a fixed 6% stop loss, although the supplied source code does not implement that stop.

The published backtest settings cover BTC/USDT futures on daily bars from late 2019 through November 2024, but the document gives no performance statistics. It notes that moving-average lag can delay entries and that sideways markets may generate false signals; fixed stops may also be less suited to changing volatility. The suggested refinements include volatility-based parameter and stop adjustments, trend-strength filters, and dynamic position sizing. These are proposed improvements rather than tested results in the document.

Key ideas

• The strategy enters long when fast EMA crossovers align with rising intermediate or slow EMA slopes.
• It exits when the fast EMA crosses below the intermediate EMA.
• The prose specifies a 6% stop loss, but the supplied strategy code does not implement it.
• The stated backtest spans daily BTC/USDT futures data from late 2019 to November 2024, with no metrics reported.
• Lagging averages, sideways markets, and fixed-stop sensitivity are identified as limitations.

Tags

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