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Moving Average Crossovers Filtered by ADX and Choppiness

Article Strategy library · Author: ianzeng123
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Summary

This system uses a 9-period and 21-period simple moving average crossover to signal long or short positions. It only opens a position when ADX is above its stated threshold, indicating directional strength, and the Choppiness Index is at or below its maximum. Opposite crossovers close existing positions. The document describes custom calculations for directional movement, true range, ADX, and the Choppiness Index, alongside adjustable indicator periods and thresholds.

A daily ETH/USDT backtest setup is provided for a stated date range, but no returns, trade counts, or risk statistics are reported. The strategy therefore offers a rule set rather than evidence of effectiveness. The notes identify parameter sensitivity, lag, missed short-term opportunities in sideways markets, and added calculation complexity as limitations. Its CHOP offset parameter is listed but marked as unused in the source, and the filter's description of volatility should be interpreted cautiously: the stated rule excludes high CHOP readings rather than all high-volatility periods.

Key ideas

  • A 9-period and 21-period SMA crossover generates directional entry and exit signals.
  • New positions require ADX above its threshold and Choppiness Index at or below its maximum.
  • Opposite moving average crosses close the current position, even when entry filters are not met.
  • The document gives a daily ETH/USDT backtest setup but no performance evidence.
  • The source lists a CHOP offset setting that is not applied in its calculation.

Tags

CryptoTrend followingTechnical indicatorsBacktesting

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