SMA Crossover Entries with a High-Water-Mark Trailing Stop

Summary

This long-only strategy enters when a fast simple moving average crosses above a slower one. While the trade is active, it calculates a stop as a fixed percentage below the bar’s high and carries forward the higher of that stop and the previous stop. The stop therefore rises with new highs but does not move down, aiming to retain gains while leaving room for an advancing trend. The document provides configurable average lengths, a trailing percentage, and a backtest date range.

The published settings describe BTC/USDT futures on four-hour bars during December 2023, but no results are provided, so there is no evidence here that the method was profitable. The text identifies false crossover entries, dependence on stop and average parameters, and exposure to sudden market changes. It also discusses adding entry filters or profit-taking rules. The written overview says the stop is based on the highest price, while the supplied code updates it from each bar’s high; actual execution and stop fills may also differ from the simplified description.

Key ideas

• A fast SMA crossing above a slow SMA opens a long position.
• The trailing stop is set below the bar high by a configurable percentage and can only rise.
• The method has no separate profit target in the described implementation.
• The BTC/USDT futures backtest configuration is given without performance results.
• False crossover signals, parameter choices, and sudden market moves remain risks.

Tags

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