Rate of Change Signals with SMA Filters and a Trailing Exit

Summary

This BTC futures strategy combines a rate-of-change measure with three simple moving averages. It enters long when price is below a reference average, the lookback price range exceeds a lower ROC threshold, and the fast average is rising while the slow one is falling. The described exit requires price above the reference average, a higher ROC threshold, three rising bars, positive open profit, and the fast average above the slow one; the code implements that exit condition with a trailing stop.

Position size is a set fraction of equity, with a high default stake, so exposure can be substantial. The document provides example parameters and a backtest interval, but no performance statistics or evidence that the approach is profitable. It flags parameter sensitivity, whipsaws in ranging markets, stop behavior, and backtest overfitting. The published settings and source also differ in timeframe guidance, so the stated setup should not be treated as a validated result.

Key ideas

• The entry combines price relative to a reference SMA, a lookback ROC threshold, and opposing short- and long-average slopes.
• The exit condition requires strength and positive open profit, while the code uses a trailing stop to close the long position.
• Position size is calculated from equity, making the selected stake a major risk control.
• The document identifies range-bound whipsaws, parameter sensitivity, and backtest overfitting as limitations.

Tags

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