Moving Average Crossover Entries with a 200-Period Trend Filter and ATR Exits

Summary

This strategy pairs a 20-period SMA and an 89-period EMA crossover with a 200-period SMA trend filter. It enters long when price is above the long-term average and the shorter average crosses upward, and enters short under the inverse conditions. A 14-period ATR, fixed at entry, sets the stop at two ATR units and the target at three, defining a stated 1:1.5 risk-to-reward ratio.

The document explains the logic and discusses expected strengths and weaknesses, including trend alignment and volatility-scaled exits, alongside crossover lag, whipsaws in range-bound markets, and parameter overfitting. It suggests regime filters, confirmation indicators, partial exits, or adaptive risk settings as possible refinements. The published settings describe an ETH-USDT futures backtest on a two-hour interval over about a year, but no performance statistics are supplied. The claims about signal quality and risk control are therefore not validated by results in the document.

Key ideas

• Long and short entries require a 20-period SMA crossover of an 89-period EMA aligned with price relative to the 200-period SMA.
• A 14-period ATR fixed at entry sets stops at two ATR units and targets at three.
• The stated stop-to-target distances imply a 1:1.5 risk-to-reward ratio.
• Moving average crossovers may whipsaw in ranges and react slowly to trend changes.
• The ETH-USDT futures backtest settings include no reported performance results.

Tags

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