Long-Only Trend Signals from MACD Expansion and Bollinger Width
Summary
The strategy looks for strong directional movement by measuring the change in the gap between fast and slow exponential moving averages, then scaling that change by a sensitivity factor. It compares the resulting value with the width of Bollinger Bands. A positive expansion above the band width can trigger a long entry if RSI exceeds a threshold; a negative expansion above the width closes the long. The price series for the MACD calculation is smoothed using Heikin Ashi closes.
The document presents this as a long-only trend-following approach and notes that sensitivity, moving-average lengths, band settings, and the RSI threshold are configurable. Its stated risks include missing downtrends, noisy signals at high sensitivity, and losses around trend reversals or poorly chosen parameters. It suggests additional filters and stop-loss rules. The published configuration is for BTC/USDT futures, but no performance results are provided, so the claimed stability is not supported by quantitative evidence here.
Key ideas
- The strategy compares scaled changes in the MACD line with Bollinger Band width to identify strong moves.
- Long entries require positive expansion and RSI above a threshold.
- Negative expansion can close an existing long position, while the strategy does not open shorts.
- Sensitivity and indicator settings affect noise and require instrument-specific evaluation.
- The document gives backtest settings but no performance results or stop-loss implementation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.