Moving Average Ratio Percentiles with Trend and Volatility Filters

Summary

This trend-following method calculates the ratio of a fast and slow moving average, then ranks that ratio against its recent history to create an oscillator. The documented defaults use 10- and 50-period averages; a cross above the lower threshold signals long, while a cross below the upper threshold signals short. Optional filters require Bollinger Band width to be below a percentile threshold and price to be on the appropriate side of one or two longer moving averages. The strategy offers tick-based profit and loss exits, a combined exit, and an optional time window.

The published settings specify a short three-minute BTC/USDT futures test in December 2023, with one-minute base data, but no performance results. The approach may produce false signals in ranges and reacts slowly to reversals; gaps can also pass through stop levels. There are implementation caveats: the narrative describes a sell signal as a downward crossing of the upper oscillator threshold, but the code does so while describing it as a short entry; the second combined exit is only attached to the long entry. The text’s claims of reliability and profit maximization are not supported by reported measurements.

Key ideas

• The strategy ranks a fast-to-slow moving-average ratio against its historical values to create an oscillator.
• Oscillator threshold crossings generate entries, subject to optional Bollinger width and moving-average trend filters.
• Tick-based profit, stop-loss, and combined exits can be enabled, along with an optional time filter.
• The document identifies range-bound false signals, moving-average lag, and gap risk as limitations.
• The stated short test period has no reported performance metrics, and the supplied code has exit-logic inconsistencies.

Tags

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