Short-Only DEMA and EMA Crossover with an ATR Volatility Filter

Summary

This short-term system combines a DEMA and EMA crossover with an ATR-based volatility filter. It opens a short when DEMA crosses below EMA while ATR as a percentage of price is above its moving-average benchmark. The written description says the short is closed when DEMA crosses back above EMA, subject to a minimum-profit condition; the code also defines a stop based on recent highs and ATR.

The document frames the approach as momentum trading and suggests tuning the moving-average and ATR periods, adding other indicators, and introducing clearer profit-taking and stop rules. Its parameters include a DEMA length of 10, EMA length of 25, and ATR lookback of 14. The published configuration covers BTC/USDT futures from December 2023 to January 2024, but reports no results. The code's exit conditions and position-size check appear inconsistent with the short-only prose, so implementation behavior may not match the explanation.

Key ideas

• A downward DEMA/EMA crossover is the short entry signal when ATR percentage exceeds its moving benchmark.
• The strategy is short-only, with an upward crossover described as the closing signal.
• ATR and recent highs are used to filter volatility and define a stop level.
• Parameter selection and short-term whipsaws are identified as meaningful risks.
• The published settings describe a limited BTC/USDT futures backtest without performance results.

Tags

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