Multi-Timeframe MACD Continuation with an EMA Trend Filter

Summary

This intraday continuation strategy combines MACD signals from short and higher timeframes with a 200-period exponential moving average. It seeks long entries when the lower-timeframe MACD crosses upward in positive territory, the higher-timeframe MACD is bullish, and price is above the EMA; short signals use the corresponding bearish conditions below the EMA. It also applies New York session filters and describes stop-loss and break-even management.

The document lists slippage, trading costs, missed signals, rigid stops, and drawdowns as risks, and suggests volatility-based stop distances, adaptive parameters, and avoiding major data releases. Published settings specify an ETH/USDT spot-market backtest lasting about two days, with no performance statistics, so they provide little evidence of effectiveness. There are also discrepancies between the prose and code: the higher-timeframe request uses lookahead, and the described stops do not cleanly match how the entry orders are specified. Results would need careful validation before drawing conclusions.

Key ideas

• The entry logic combines MACD crossover direction, higher-timeframe confirmation, and price location relative to a 200-period EMA.
• Trading is restricted to specified New York hours.
• The document describes fixed stops and break-even exits while acknowledging volatility and cost risks.
• The published test covers a short ETH/USDT spot period and reports no performance metrics.
• The code's higher-timeframe lookahead setting and order details warrant careful validation.

Tags

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