Multi-EMA Trend Confirmation with ATR-Filtered Short Entries
Summary
This strategy uses five exponential moving averages, ranging from a fast line to a long-term line, to define bullish and bearish conditions. It opens a long when the bullish ordering is present and the system is flat; a short also requires ATR to be above its average. Longs close when the fast average falls below the short-term average, while shorts close when it rises above the medium-term average.
The document explains the intended role of RSI, MACD, and ATR, but RSI and MACD are calculated rather than used in the stated trade rules. ATR filters short entries only, so the rules are asymmetric. No performance results are presented. The notes identify familiar trend-system limitations: moving-average lag, whipsaws in sideways markets, sensitivity to parameter choices, and the absence of dynamic stops or explicit position sizing. Suggested extensions include testing parameters across markets, adding trend or volatility filters, and improving risk controls; these are proposals, not demonstrated improvements.
Key ideas
- Multiple EMA relationships determine the trend state and entry direction.
- Short entries require ATR to exceed its average, while long entries have no equivalent volatility filter.
- Long and short exits use different moving-average cross conditions.
- RSI and MACD are described as potential filters but are not part of the stated trade logic.
- The document provides no performance evidence and flags whipsaw, lag, and parameter sensitivity risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.