Moving Average Trend Following with ATR Stops and Risk-Based Sizing
Summary
This strategy uses the relative position of fast and slow simple moving averages to signal long or short positions. Its default periods are 20 and 50. A 14-period ATR multiplied by a configurable factor sets the stop distance, while a chosen fraction of account equity determines position size. A risk-reward ratio sets take-profit levels, and a trailing stop is intended to protect gains as the trend continues.
The document explains the system’s rationale, adjustable inputs, risks, and possible extensions. It warns that moving-average signals lag and may produce repeated losses in sideways markets; slippage, parameter sensitivity, and extreme volatility can also affect outcomes. The published backtest configuration specifies daily ETH-USDT futures data from January to March 2025, but no performance statistics are supplied. The accompanying source’s position-sizing calculation is shown but its computed lot size is not passed into the entry orders, and the trailing-stop input does not appear to determine the trail distance. Treat the claimed risk controls as design intentions, not demonstrated behavior.
Key ideas
- Fast and slow moving-average positioning supplies the directional trend signal.
- ATR-based stop distances adapt to current volatility, while equity risk divided by stop distance is intended to size positions.
- A risk-reward target and trailing stop are designed to manage exits and retain gains.
- Moving-average lag can create false signals and repeated losses in ranging markets.
- The published backtest settings contain no results, and the source leaves some intended risk controls disconnected from order execution.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.