Multi-Level Shifted Moving Average Entries for Trend Trading
Summary
The strategy calculates a simple moving average and places several offset levels above and below it. Limit orders at the lower levels can build a long position, while orders at upper levels can build a short position. The number of levels, their percentage offsets, the average's source and length, and the active date range are configurable. Positions are closed when price reaches the central average, and all positions are closed after the selected end time.
The document presents this as a medium- to long-term trend method, but the described limit-order layering can also increase exposure as price moves away from the average. It notes that pyramiding requires adequate capital and that the strategy lacks explicit position-size controls for total exposure; its source sizes each level from equity and a configured percentage. Backtest settings cover BTC_USDT Binance futures over about a year, but no performance figures are given. Fixed date-based closure, overnight costs, slippage, and parameter sensitivity are relevant limitations for further evaluation.
Key ideas
- A simple moving average anchors multiple percentage-shifted long and short entry levels.
- Limit orders at successive levels can add to positions as price moves through the ladder.
- Positions are closed at the central moving average, with a date-based forced close at the end of the trading window.
- Layered entries can increase exposure and require explicit attention to capital and sizing.
- The settings describe a backtest period but provide no performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.