SMA Crossover Entries with ATR-Based Stop Distances

Summary

This strategy uses a fast and slow simple moving average crossover to enter long or short positions, then sets a stop distance from ATR measured at the entry signal. The listed defaults are 15 and 45 periods for the averages and a 14-period ATR multiplied by 2. The described stop is anchored to the entry price: below entry for a long and above it for a short. Despite the title and some prose describing a trailing stop, the supplied logic does not appear to move the stop as the trade progresses.

ATR-based distance adapts to recent volatility, widening when volatility is higher and narrowing when it is lower. The document identifies potential stop-outs from ordinary pullbacks, gaps through stop levels, and sensitivity to a short ATR lookback. Published backtest settings cover BTC/USDT futures over January 2024, but no results are included. The text recommends testing parameters across markets and considering after-hours data and additional filters; those choices and any claimed risk benefits need validation against broader data and realistic execution assumptions.

Key ideas

• Fast and slow SMA crossovers generate directional entries, using listed defaults of 15 and 45 periods.
• The stop distance is based on ATR at entry multiplied by a configurable factor, set to 2 by default.
• The source anchors stops to the entry price rather than visibly trailing them as prices move.
• Volatility-based stops may still be hit by pullbacks or bypassed by gaps.
• The published backtest covers only January 2024, and no performance results are reported.

Tags

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