Multi-Indicator Trend Following with ATR-Based Exits

Summary

This strategy combines short and long moving average crossovers with MACD direction, then filters entries using volume relative to its moving average and ATR-based volatility. It opens longs on bullish crossovers and shorts on bearish crossovers when the filters agree. RSI is described as a way to identify overbought and oversold conditions, but the stated entry rules do not use RSI as a filter.

The default setup uses 9- and 21-period moving averages, a 20-period volume average, and 14-period ATR. Fixed exits use stop-loss and take-profit distances of two and four ATR, respectively; an optional trailing stop uses a 2.5 ATR distance. The document provides parameters and a BTC/USDT Binance futures backtest window from March 2024, but reports no performance results. It warns that crossovers can whipsaw in ranging or reversing markets, that parameter tuning can overfit, and that extreme moves can still cause substantial losses. Position sizing and drawdown limits are suggested as possible additions.

Key ideas

• Entries require aligned moving average and MACD crossovers, above-average volume, and volatility below a threshold.
• The described rules enter long on bullish crosses and short on bearish crosses.
• ATR sets fixed stop and target distances, with an optional ATR-based trailing exit.
• The document gives backtest settings but no performance statistics.
• Sideways markets, parameter overfitting, and extreme moves are identified as risks.

Tags

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