Moving Average Trend Alignment with an ATR Volatility Filter

Summary

This trend-following strategy compares four moving averages with periods of 5, 10, 15, and 25. It enters long when the averages are ordered from shortest to longest and short when their order is reversed, using alignment as a measure of directional trend. Entries also require ATR to exceed its 40-period simple moving average, filtering out conditions with relatively low volatility.

The source includes configurable moving-average types and lengths, separate long and short settings, and optional stop-loss and take-profit methods based on percentages, ATR multiples, or a risk-reward ratio. A BTC futures backtest configuration is provided for a period spanning 2023 to 2024, but the document gives no performance results. It identifies whipsaws in ranging markets, sensitivity to chosen periods, and exposure to news or fundamental events as limitations. The proposed remedies include testing parameter combinations and adding volume or other indicator filters.

Key ideas

• The strategy enters long or short according to the ordering of four moving averages.
• An ATR filter requires current volatility to exceed its own 40-period average.
• Stop losses and profit targets can be configured using percentages, ATR, or a risk-reward ratio.
• The provided BTC futures backtest settings include no reported results.
• Ranging markets and poorly chosen parameters can produce misleading signals.

Tags

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