Market-State Adaptive Moving Average Crossover Strategy

Summary

This long-only strategy classifies conditions using the slope of a 20-period EMA and whether price is above or below it, producing four market states. Each state selects a different pair of moving average types and periods from SMA, EMA, RMA, and HMA. A crossover of the selected short and long averages opens a long position; a reverse cross closes positions. The parameter pairs are described as selected through a random search over 200 combinations.

The document reports tests on several timeframes and cites strong returns, but the supplied backtest configuration covers SOL perpetual futures over roughly one year, while the narrative refers to Bitcoin data and other timeframes. These inconsistencies make the performance claims difficult to assess. It also notes that the implementation uses full equity, has no explicit stop loss, and may overtrade when states change frequently. Parameter sensitivity, trading costs, and historical-data dependence remain important caveats.

Key ideas

• The strategy assigns one of four states using EMA slope and price position relative to that average.
• Each state selects its own pair of short and long moving average types and periods.
• An upward crossover opens a long position, and a downward crossover closes positions.
• The document reports multi-timeframe returns, but its narrative and published backtest setup do not align clearly.
• The code uses full-equity sizing and has no explicit stop-loss rule.

Tags

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