Rolling Previous-EMA Limit Entries with Time and Re-entry Rules
Summary
This strategy places rolling limit orders at the prior bar’s EMA when the previous close is on the corresponding side of that EMA. It can trade long, short, or both directions, within a configurable New York time window. The order price updates with the prior EMA, and optional order-age limits can cancel orders that remain pending. Fixed point stops and targets are measured from the average fill price, and the system can force positions flat at a set time.
After a losing exit, selectable rules can delay same-direction re-entry: wait for the stop bar to close, require a close across the EMA, or require a specified stretch beyond the EMA followed by a close back across it. The opposite direction remains available. The description mentions five-minute MNQ use and example settings, but supplies no backtest report or evidence that these parameters generalize. Outcomes depend on instrument, session, order fills, and chosen settings.
Key ideas
- The strategy places limit orders at the previous bar’s EMA when the previous close indicates direction.
- Long and short entries can be restricted to a configurable New York trading window.
- Fixed point stops and targets are calculated from the average entry price.
- Re-entry rules can pause same-direction trades after a loss until a time delay or price confirmation occurs.
- A force-flat time can cancel pending orders and close open positions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.