Polynomial Trailing Stops After Moving-Average Entries

Summary

This strategy enters long when the closing price crosses above a simple moving average. At entry, it records the lowest price over a specified lookback, then raises a stop according to that baseline plus a decrement multiplied by the number of bars in the trade raised to a chosen power. It closes the position when the stop crosses above the close. The parameters include the decrement, polynomial degree, moving-average period, and minimum-price lookback.

The document presents the nonlinear stop as a way to adjust profit protection over time, while noting that its shape depends on parameter choices. The method can exit too early, miss larger gains, or behave unexpectedly, and it may respond poorly to sudden events. Published backtest settings specify BTC/USDT futures over roughly a year, but no performance results are given. The prose refers at points to a short entry, while the supplied rules implement a long entry, so the entry description is inconsistent.

Key ideas

• A long position opens when the close crosses above a simple moving average.
• The strategy fixes a lookback-period low at entry as the baseline for its stop.
• The stop rises according to a polynomial function of the number of bars held.
• The stop’s parameters affect its behavior, and aggressive settings may cause early exits.

Tags

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