Price and Volume Moving Averages for Long Trend Following

Summary

This long-only trend-following method looks for rising price and volume averages together. The written description specifies a five-day price moving average and a fifteen-day volume moving average: it opens a long when both rise and closes when either falls. The source code uses Hull moving averages for price and volume, checks their direction, and adds a price-above-baseline condition for entry and exit. This implementation detail differs from the simpler moving-average description, so the precise rules require clarification.

The approach treats agreement between price and volume as confirmation intended to filter some false signals. The document cautions that average lengths should be adapted to each instrument and that risk controls matter. It provides BTC/USDT futures backtest settings spanning several months but reports no returns, risk measures, or benchmark comparison, so it offers no evidence that the signal is profitable or robust.

Key ideas

• The method enters long when both price and volume averages are rising.
• It closes the long position when either average turns down, with the source also applying a price baseline condition.
• The written description and source code differ in their stated average types and entry filters.
• Moving-average settings may need adjustment for different instruments, and the document recommends risk controls.
• The BTC/USDT futures backtest settings do not include performance results.

Tags

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