Moving Average and MACD Trend Following with Volume and ATR Risk Controls

Summary

This automated trend-following method combines a short and long simple moving average, MACD confirmation, and a volume filter. The stated defaults use 20- and 100-period averages; entries also require the prior candle to be directionally aligned and volume to exceed a multiple of its recent average. ATR sets stop and profit distances, while position size is described as proportional to initial capital and inversely related to ATR-based risk.

The document also describes daily loss and maximum drawdown limits. However, the source’s daily reset condition compares a timestamp to itself, so the daily limit does not appear to reset as intended; the drawdown threshold is initialized once. The position-size value is calculated but its relation to the stated risk limits is not validated. Published settings describe a year of daily BTC/USDT futures data, yet no performance results are provided. The strategy may lag turns and produce weak signals in sideways or extreme conditions, and its risk controls need code-level verification before relying on them.

Key ideas

• Moving-average direction and MACD alignment define the trend filter, with a prior candle’s direction also required.
• A volume threshold can screen out signals during less active conditions.
• ATR determines stop and target distances, and an ATR-based calculation estimates position size.
• The source’s daily-loss reset condition appears ineffective, while its drawdown threshold is initialized once.
• The published year-long BTC/USDT futures test settings include no reported results.

Tags

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