Moving Average Crossovers with Swing-Based ATR Stops and Risk Sizing

Summary

This configurable crossover strategy enters long when a selected price series or moving average crosses above another, and short when it crosses below. The user can choose among four moving-average types and periods, select the two series compared, and optionally use a longer moving average as a directional filter. Stops are based on recent swing lows for longs and swing highs for shorts, with an optional adjustment tied to ATR. A position-management option sizes trades from account equity, a chosen risk fraction, and the distance to the stop; otherwise, the strategy uses its default sizing behavior.

The document explains the intended mechanics and names common limitations: crossover systems can whipsaw in consolidations, filters can exclude opportunities, and stops or large positions may fail to contain losses in extreme markets. Published backtest settings cover BTC/USDT futures over roughly one week, with 45-minute bars built from five-minute data. No return or drawdown results are supplied, so claims about profitability or risk stability are not demonstrated. The short test window cannot establish how the configurable rules behave across market regimes.

Key ideas

• Selected moving averages or price series generate long and short crossover entries.
• An optional slower moving average filters entries by the broader price direction.
• Swing highs and lows define stop levels, which can be adjusted using ATR.
• Position sizing can be based on a configured risk fraction and stop distance.
• The published BTC futures backtest spans about one week and reports no performance metrics.

Tags

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