SMA Crossover Entries with Volatility-Adjusted Trailing Stops

Summary

This long-only trend-following strategy enters when a fast simple moving average crosses above a slower one. Position quantity is based on account balance divided by price, while a confidence factor scales exposure. The exit is a trailing stop that rises with price and does not include a fixed profit target. With its optional adaptive setting enabled, the stop distance is derived from the standard deviation of typical price relative to the current close, scaled by a multiplier.

The document includes a BTC/USDT futures backtest configuration spanning roughly one year on daily bars with hourly base data, along with source code and adjustable parameters. It provides no reported return, drawdown, or trade statistics, so its effectiveness cannot be assessed from the supplied evidence. The accompanying discussion flags lagging crossover signals, false entries in sideways markets, transaction costs, reversal drawdowns, and the limitation that the implemented logic does not open short positions.

Key ideas

• A fast SMA crossing above a slow SMA initiates a long position.
• Position quantity scales with account balance and price, with an additional confidence factor.
• A trailing stop moves upward with price, and the strategy has no fixed take-profit level.
• An optional standard-deviation calculation adjusts the stop distance to market volatility.
• The published backtest setup contains no performance results and the implementation is long-only.

Tags

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