Low-Variance Trend Entries with Moving Average Filters

Summary

This strategy combines the variance of recent candle ranges with three moving averages to time long entries. It calculates the range as high minus low divided by close, measures its variance across 30 candles, and scales that value. A long entry is described when the variance is below 35 and MA5 is above MA15, which is above MA30. The stated exits are a close below MA30 or MA5 below MA30, and variance above 500.

The document lists BTC_USDT futures settings for a February 2024 backtest, but gives no performance results or comparison. There is also a material mismatch between the written exit rules and the included strategy source: the source sets the stop-loss condition to always true, so it would close a long position whenever that condition is evaluated. The thresholds and moving average periods are presented without evidence that they generalize. The document itself flags false signals during unclear trends or volatility surges and suggests testing parameters and adding position and risk controls.

Key ideas

• The entry rule requires low range variance and an ascending stack of three moving averages.
• The range variance is measured over 30 candles and multiplied by one million.
• The written exit rules use moving average conditions for a stop and high variance for a take profit.
• The source code instead makes its stop condition always true, conflicting with the written rule.
• The published backtest settings do not include performance results.

Tags

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