Moving Average Crossover Strategy with ATR Stops and Targets

Summary

This trend and momentum strategy combines a fast and slow simple moving average crossover with a longer moving average as a directional filter. The described settings use five-, thirteen-, and fifty-period averages: a bullish crossover above the trend average opens a long, while a bearish crossover below it opens a short. ATR sets volatility-scaled stop and profit distances, and the source also specifies a trailing exit. A trading-date window is mentioned in the explanation, but no corresponding date filter appears in the supplied strategy code.

The document provides example parameters and a daily ETH/USDT futures backtest configuration, but reports no performance results. It identifies familiar limitations: moving-average lag, whipsaws in ranging markets, and sensitivity to parameter choices and historical overfitting. There is also a distinction between the prose and implementation: the code supplies stop and limit values in entry calls as well as exit calls, so the exact order behavior should be checked in the intended platform before relying on the description. The source is a compact rule set, not evidence of profitability or robustness.

Key ideas

• Fast and slow moving-average crossovers generate entries when price is on the corresponding side of a longer trend average.
• ATR scales the stated stop distance and profit target, with a trailing offset also specified in the code.
• The example uses BTC-related naming in its strategy title but its published backtest configuration specifies ETH/USDT futures.
• The explanation mentions a date filter that is not evident in the supplied code.
• The document reports no performance figures and warns about lag, ranging-market losses, and overfitting.

Tags

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