Medium-Term SMA Crossover Strategy with Drawdown Exits

Summary

This document presents a long-only approach using a 20-day simple moving average as a faster trend measure and a 60-day average as a slower one. The narrative says to enter on an upward crossover, exit when the averages cross downward, take profit after a specified retreat from the recent ten-day high, and stop out after a specified loss relative to the position's average entry price. The published settings describe a BTC/USDT futures backtest on Binance over roughly one year, but no returns or risk statistics are included.

The intent is to follow medium- and long-term direction while using price-based exits to limit giveback and losses. The document notes that moving averages lag and may miss reversals, and suggests testing other filters and trailing exits. There is a material mismatch between the prose and source: the code enters whenever the fast average is above the slow one, rather than only at the crossover, and closes when price falls below 90% of its ten-day high, not after a retreat greater than 10%. The prose also mentions shorting on a downward cross, while the code only closes a long. These differences make the stated rules and implementation distinct strategies.

Key ideas

• The strategy uses 20-day and 60-day simple moving averages to represent faster and slower trend direction.
• The narrative describes long entries on an upward cross and exits on a downward cross, alongside price-based profit and loss exits.
• The source enters whenever the faster average is above the slower average, rather than only on a crossover event.
• The source closes below 90% of the recent ten-day high and contains no short entry, unlike parts of the prose.
• Moving-average lag and absent performance statistics limit the evidence for the strategy's effectiveness.

Tags

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