Moving Average Turning Points Filtered by Rate of Change
Summary
This strategy identifies changes in the slope of a single moving average to generate trend-following signals. The trader chooses an SMA or EMA and a lookback period; the strategy calculates the average’s rate of change and compares it with a positive or negative threshold. A shift from a falling state to a sufficiently rising state triggers a long entry, while a shift from rising to sufficiently falling triggers a short entry. The supplied parameters include the moving average length, type, lookback, and minimum slope magnitude.
The document presents the approach as simple to configure and test, and suggests adding another moving average, volume, or other indicators. It also warns that trend-following signals lag and cannot predict turning points, and that results depend on parameter choices. A BTC-USDT futures test period is listed, but no performance results are given. The proposed parameter tuning and machine-learning ideas are recommendations, not evidence that they improve the strategy.
Key ideas
- A selected SMA or EMA is tracked using its rate of change over a configurable lookback.
- Crossing a positive or negative slope threshold changes the trend state and can trigger a position in that direction.
- The strategy is designed to follow trends and may enter after a reversal has already begun.
- The document lists a BTC-USDT futures test period but reports no performance results.
- Additional indicators and adaptive parameter selection are proposed but not evaluated.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.