MACD and Price Momentum Signals with a Moving Average Filter and Fixed Exits

Summary

This rules-based system uses MACD crossovers as trade triggers, with price momentum and a 50-period simple moving average as confirmation filters. It requires a minimum gap between trades and can enforce alternating long and short signals. Positions use fixed percentage take-profit and stop-loss levels, and an opposite signal closes an existing position before entering the other direction. ATR is calculated as a volatility measure, but the supplied entry and exit rules do not use it to adapt signals or risk. The document describes the method and lists daily test settings for BTC perpetual futures from 2019 to 2024, but provides no backtest performance statistics.

The write-up warns that sideways markets may create repeated false signals, while slippage and parameter choices can affect results. There is also a mismatch between the strategy’s ETH framing and its published BTC test settings. The daily test configuration alone does not demonstrate effectiveness, and the stated adaptive behavior is not evident in the supplied rules; the results should be independently evaluated across instruments and market regimes.

Key ideas

• MACD line crossovers trigger trades, with price momentum and a 50-period moving average filtering direction.
• A minimum bar interval limits trade frequency, and an optional rule requires buy and sell signals to alternate.
• Exits use fixed percentage stop-loss and take-profit levels rather than ATR-adjusted distances.
• The published daily test settings reference BTC perpetual futures, despite the strategy being framed as an ETH system.
• No performance results are provided, and sideways markets, slippage, and parameter sensitivity are identified as risks.

Tags

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