Moving Average Crossovers with Profit-Based Position Sizing

Summary

The document describes a crossover strategy using simple moving averages with periods of nine and twenty-one. A cross above the slower average triggers a long entry, and a cross below triggers a short entry. Its proposed sizing rule risks one percent of account balance divided by the current bar's high-low range, then raises the next position size by ten percent when cumulative strategy profit is positive or reduces it by ten percent otherwise.

The accompanying settings and source describe a BTC/USDT futures backtest from June 6 to June 13, 2024, on five-minute bars with one-minute base data, but no results are stated. The text flags whipsaws in choppy markets, transaction costs, slippage, and overfitting to moving-average periods. The sizing rule is presented without evidence that it controls risk effectively; using a single bar's range as the risk denominator and scaling size by overall profitability may produce unstable exposure. Stops and further validation are suggested, not demonstrated.

Key ideas

• A nine-period and twenty-one-period simple moving average crossover supplies the directional entries.
• The described sizing rule bases quantity on one percent of account balance divided by the current high-low range.
• Position size is adjusted upward or downward by ten percent according to cumulative strategy profitability.
• The published backtest settings specify BTC/USDT futures and a short five-minute testing window, but report no outcomes.
• Choppy-market whipsaws, costs, slippage, and parameter overfitting are identified as risks.

Tags

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