SMA Crossover Trading with an ATR Volatility Filter

Summary

This strategy combines a short and long simple moving average crossover with an ATR-based volatility condition. A bullish crossover creates a long signal and a bearish crossover creates a short signal, provided current ATR is above a user-scaled average ATR threshold. The strategy sets stop levels just below or above the 200-period SMA for long and short positions, respectively, and uses a fixed price-distance profit target. The published defaults use a 10-period short SMA, a 200-period long SMA, a 14-period ATR, and an ATR multiplier of 1.

The document describes the intended logic and lists drawbacks such as moving-average lag, excess signals in choppy high-volatility conditions, and early exits from fixed targets during sustained trends. It provides backtest configuration for BTC/USDT futures over a one-month period, but reports no performance statistics or trade results. The target distance is expressed in price units, so its practical meaning depends on the instrument’s price scale. The stated benefits are hypotheses, not demonstrated findings; parameter sensitivity and market regime dependence remain material limitations.

Key ideas

• Short and long SMA crossovers determine the strategy’s directional signals.
• Trades are permitted only when ATR exceeds a multiple of its own moving average.
• The 200-period SMA defines dynamic stop levels, while profit targets use a fixed price distance.
• The published BTC/USDT futures test setup includes no reported performance results.
• Lag, choppy markets, and instrument-dependent target sizing are stated limitations.

Tags

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