Multi-Period Momentum with an Annualized Volatility Filter

Summary

This long-only trend-following system averages price momentum across four lookback periods, spanning three to twelve months. It admits a long position when the composite score crosses above its threshold while annualized volatility remains below a set limit, and exits when momentum falls back below the threshold. Stop-loss and take-profit orders are also specified. The document provides default indicator settings and a published test configuration for SOL/USDT spot trading, but supplies no performance results.

Several details need care when interpreting the proposal. The overview describes a 1% stop and 50% take-profit, while the parameter defaults and source specify 5% and 15%. The volatility calculation uses daily-return logic on a one-hour chart, and the prose’s suggested volatility filtering should not be treated as demonstrated performance. The document flags sensitivity to parameters, reversals, range-bound markets, and slippage, and suggests adaptive settings and position sizing as possible future work.

Key ideas

• The composite momentum score averages available returns over four lookback periods from three to twelve months.
• A long signal occurs when momentum turns positive above its threshold and annualized volatility is under its limit.
• The source includes stop-loss and take-profit exits, though their stated levels conflict with the overview.
• The published test configuration names SOL/USDT spot, but no performance results are provided.
• Reversals, sideways conditions, parameter sensitivity, and slippage 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.