Moving Average Crossovers with Trend Filtering and Risk-Based Exits

Summary

This strategy combines 10-period and 25-period simple moving average crossovers with a 250-period exponential moving average filter. It opens long positions on an upward crossover when price is above the long-term average, and short positions on a downward crossover when price is below it. The described approach uses a 5-minute timeframe, although the published backtest settings specify a two-hour interval for BTC futures.

Position sizing is presented as a function of account value, leverage, and price, with a fixed dollar risk amount used to calculate stop distance. Exits include a stop, a trailing stop, and closure when price reaches the long-term EMA. The document emphasizes that leverage can amplify losses and that rapid moves, transaction costs, and parameter sensitivity may undermine the method. It provides implementation details and a brief backtest configuration, but no performance metrics or comparative evidence. The timeframe mismatch and the code's risk calculations merit scrutiny before interpreting the strategy as a tested risk-control system.

Key ideas

• The entry signal combines short and medium moving average crossovers with a long-term EMA direction filter.
• The rules allow long trades above the long EMA and short trades below it, when no position is open.
• The described exits combine a calculated stop, a trailing stop, and a long-EMA touch condition.
• Position sizing and stop distance depend on price, leverage, and a stated fixed risk amount.
• No backtest results are reported, and the described timeframe differs from the published settings.

Tags

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