Momentum Mean Deviation Signals from Double-Smoothed Price Detrending

Summary

This strategy describes a momentum mean deviation indicator inspired by William Blau’s work. It first subtracts an r-period EMA from price, then smooths that deviation twice with EMAs to form an indicator line. A further EMA provides a signal line; the indicator’s position above or below that line determines long or short exposure. The published parameter defaults are r=32, s=5, u=5, and a smoothing length of 3, with an optional direction reversal. Backtest settings specify BTC_USDT futures, a one-hour period, and a 15-minute base period over roughly one month.

The document frames the method as a way to detect changes in price momentum and direction, but it gives no performance results. It cautions that parameter choices affect signals, smoothing may suppress useful moves, and the method can trade against a broader trend. It also raises the possibility of conflicting long and short signals and suggests trend filters or other conditions as possible additions.

Key ideas

• The indicator measures price deviation from an EMA and applies repeated EMA smoothing.
• The smoothed deviation is compared with a signal line to determine long or short exposure.
• The default parameters are r=32, s=5, u=5, and smoothing length 3, with optional direction reversal.
• Published settings use BTC_USDT futures with a one-hour period and a 15-minute base period.
• Parameter sensitivity, missed signals, and trading against a broader trend are stated limitations.

Tags

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