MA Crossover and CCI Entries with ATR Stops and Loss-Based Sizing

Summary

This trading system enters when fast and slow moving averages cross while the Commodity Channel Index crosses its zero line in the same direction. It exits when the moving averages cross back. A stop loss is set using the Average True Range from the most recently completed bar, avoiding the forming-bar ATR used in the earlier version described by the document.

Position size can remain at a fixed initial lot or be tied to available funds. After losses, a configurable factor reduces new position size in proportion to consecutive losing trades; after wins, size returns to the initial lot. The document describes the rules and configurable indicator periods, but supplies no performance results, market selection, or testing details. Its risk controls depend on the chosen ATR period, risk fraction, and loss reduction factor, and the description does not specify how those parameters should be calibrated.

Key ideas

• Entries require a moving-average crossover and a concurrent CCI zero-line crossing.
• Positions close when the moving averages cross in the opposite direction.
• The stop loss uses ATR from the last completed bar.
• Position size may be fixed or based on available funds, with further reductions after losses.
• The document gives no empirical performance evidence or parameter-selection guidance.

Tags

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