Multi-EMA Trend Following with Price Crosses and Reversal Exits

Summary

This strategy uses three exponential moving averages, with stated default periods of 10, 30, and 50, to define directional alignment. A bullish arrangement has the shortest EMA above the middle EMA and the middle above the longest; the bearish arrangement reverses that order. Once aligned, a close crossing the middle EMA triggers an entry in the corresponding direction. A cross between the middle and longest EMA in the opposite direction closes the position.

The document describes the system as a way to follow larger trends while filtering short-term movement, but reports no strategy performance statistics. Its published test metadata specifies BTC/USDT futures, daily bars, and a date span from late 2019 to late 2024. It cautions that moving averages lag, whipsaw in sideways markets, and can be affected by price gaps and parameter choices. Suggested additions include volatility-based position sizing, volume or momentum filters, trailing stops, time filters, and adaptive EMA settings.

Key ideas

• The EMA ordering defines the bullish or bearish trend state.
• A close crossing the middle EMA triggers an entry when the EMA ordering agrees.
• An opposite cross between the middle and longest EMA closes the position.
• The document highlights lag, sideways-market whipsaws, gaps, and parameter sensitivity without providing performance results.

Tags

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