MACD and Moving Average Divergence with ZLSMA Trend Filtering

Summary

This BTC futures strategy combines MACD crossovers with separation between the 25-period and 45-period simple moving averages. A ZLSMA line is included to represent the medium- to long-term trend, although the source entry rules do not use it as a condition. The strategy opens long or short positions on a MACD crossover when the moving average separation exceeds a threshold, then sets fixed profit and stop levels relative to the closing price at entry.

The document gives parameter settings and published backtest dates, but reports no performance results, benchmark, or transaction cost assumptions. It describes possible weaknesses: poor behavior in sideways markets, sensitivity to parameter choices, and the limits of fixed exits. Suggested improvements include testing other moving average combinations and using volatility-based stops. The stated trend-filtering rationale should be treated cautiously because the coded entry logic uses MACD and moving average separation, not ZLSMA direction.

Key ideas

• MACD crossovers provide the long and short entry triggers.
• The coded filter requires separation between the 25-period and 45-period simple moving averages to exceed a threshold.
• The source calculates ZLSMA, but does not include it in the entry conditions.
• Fixed profit and stop levels are set relative to the closing price when an entry signal occurs.
• The document warns that moving average approaches can struggle in range-bound markets and that fixed exits may constrain outcomes.

Tags

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