Parabolic SAR Entries with an 11-Period SMA Exit Filter

Summary

This trend-following strategy calculates Parabolic SAR with adjustable acceleration settings and uses the projected next-bar SAR to place stop entries. Its entry logic alternates between long and short orders as the SAR trend state changes, while its stated exit rule applies to long positions: close only when SAR is above the close and the close is below the 11-period simple moving average. Chart markers and shading visualize SAR levels, the moving average, and the exit condition.

The document explains the intended benefit of combining SAR’s trailing behavior with a moving-average confirmation: fewer exits during brief price swings. It also identifies key limitations, including sensitivity to SAR parameters, whipsaws in sideways markets, potentially delayed exits, and slippage on stop entries. No performance statistics or comparative backtest results are provided, so claims of improved robustness or profitability are not demonstrated. The short-only/long-only asymmetry in the described exit logic also deserves attention when implementing the strategy.

Key ideas

• The strategy uses Parabolic SAR trend state and projected SAR values to generate stop-entry orders.
• Long positions exit only when SAR is above the close and the close is below the 11-period SMA.
• The moving-average condition is intended to filter brief SAR reversals and reduce premature exits.
• Sideways markets, parameter choices, delayed exits, and execution slippage are material risks.
• The document provides no quantified evidence that the strategy outperforms a simpler SAR rule.

Tags

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