Momentum Breakouts Filtered by EMA Trend and Risk Controls
Summary
The described system combines a momentum threshold with a 200-period EMA direction filter: it considers longs when momentum rises above its threshold and price is above the EMA, and shorts when momentum falls below its threshold and price is below the EMA. Configurable features include the momentum lookback and source, trading hours with a GMT offset, position size, and a daily trade limit. Stops and targets can be based on ATR or a fixed percentage, with a target ratio tied to the stop setting.
The document identifies sideways markets, slippage during volatile periods, and excessive trading as risks, and suggests filters or limits to address them. It lists BTC/USDT futures backtest settings over a multi-year period, but gives no performance results. The supplied source is truncated, so the written description and parameters provide more detail than the visible implementation. Claims of robustness or profitability are therefore not established by the evidence presented.
Key ideas
- Momentum threshold breaks provide directional signals, while the EMA filter restricts trades to the indicated trend direction.
- The described configuration uses a 200-period EMA and permits configurable momentum thresholds and lookback.
- Trading sessions, GMT offset, position size, and daily trade limits can be configured.
- Stop-loss and take-profit levels may use ATR or fixed-percentage settings.
- Sideways markets, slippage, and frequent signals are stated risks, and the document reports no backtest performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.