Moving Average Crossovers with Fixed Percentage Stops and Targets

Summary

This strategy pairs a fast weighted moving average with a slower simple moving average. A bullish crossover opens a long position and a bearish crossover opens a short position. Each entry is managed with fixed percentage stop-loss and take-profit levels, combining a changing market signal with preset exit distances. The example parameters specify periods of 9 and 21 and equal stop and target percentages of 5%.

The document explains that moving-average crossovers can be whipsawed in sideways markets, while fixed exits may not fit unusually volatile conditions. It suggests testing parameter combinations, adding trend filters, and adapting stops to volatility. A BTC/USDT futures backtest configuration for January 2024 is included, but no performance statistics or evidence comparing this method with alternatives are reported. There is also a discrepancy between the prose and source: the text describes the short period as an SMA and the long period as a WMA, while the code uses a WMA for the fast series and an SMA for the slow series.

Key ideas

• A fast weighted moving average crossing a slower simple moving average defines directional entries.
• The described approach uses fixed percentage stops and profit targets after entry.
• Frequent crossovers can produce losses in range-bound markets.
• Fixed exit levels may be poorly suited to sharp volatility changes.
• The backtest configuration is provided without outcome statistics.

Tags

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