Open-Close Moving Average Crossovers with Trailing Stops

Summary

This trend following strategy compares moving averages of opening and closing prices. It opens a long position when the close-based series crosses above the open-based series, and a short position when it crosses below. The rules allow several moving average types, optional use of an alternate chart resolution, and an optional trailing stop; an opposite crossover also exits the current direction. The example settings use a 14-period moving average and enable an alternate resolution and trailing stop.

The document presents the open-close relationship as a way to gauge directional pressure, while warning that crossover signals can lag reversals and whipsaw in volatile sideways markets. It also notes that parameter selection can be overfit and suggests regime filters, volatility-aware stop settings, and additional indicators for investigation. The published setup specifies BTC/USDT futures over roughly a year, but no return, drawdown, or trade statistics are supplied, so the description does not demonstrate profitability.

Key ideas

• The strategy compares moving averages of opening and closing prices to infer direction.
• A close-series crossover above the open-series enters long, while a cross below enters short.
• An opposite crossover exits the position, and an optional trailing stop can manage risk.
• The approach may lag at reversals and generate repeated trades in choppy conditions.
• The stated backtest setup includes no performance statistics.

Tags

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