Parabolic SAR Reversals Filtered by Three Smooth Moving Averages

Summary

This strategy combines Parabolic SAR direction changes with three smoothed moving averages of different lengths. It treats rising averages as an uptrend filter and falling averages as a downtrend filter, then looks for a SAR flip to trigger a long or short entry. The described exits use a SAR-based stop and a fixed percentage take-profit level. The document also outlines parameter adjustments, additional indicator filters, and possible trailing or partial exits as areas to explore.

The rationale is to use SAR for responsive reversal detection and the three averages to screen for broader trend direction. The stated risks include repeated SAR flips in choppy markets, lagging or unsuitable average lengths, and delayed stop execution. It provides example settings and a limited BTC futures test interval, but no performance statistics. There is an inconsistency in the prose: its entry description labels a SAR flip in a way that conflicts with the usual interpretation of the direction change, while the source code defines the flip variables and uses them for entries. The stated profit and loss controls should therefore be checked against an actual implementation before drawing conclusions.

Key ideas

• The strategy combines SAR direction flips with fast, medium, and slow SMMA trend filters.
• It enters long or short when a SAR flip coincides with the corresponding moving-average condition.
• The described exits use a SAR-related stop and a percentage-based take-profit target.
• Frequent SAR reversals in choppy markets can increase turnover and trading costs.
• The prose and source code contain a direction-label inconsistency, and no backtest performance results are given.

Tags

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