SMA Crossover with European-Session Filtering and ATR Exits

Summary

This strategy combines a fast and slow simple moving average crossover with volatility-based exits. A move of the fast average above the slow average signals a long entry; a move below signals a short entry. Signals are allowed only during the European trading session. The described exits use an ATR-based target three times ATR from entry and a stop 1.5 times ATR away. Published parameters include 10- and 50-period averages and a 14-period ATR, with a stated risk-per-trade input.

The document explains the intended trend-following logic and notes that crossovers can generate false signals in choppy markets. Results may also be sensitive to parameter choices, and large moves can still cause losses despite stop orders. The published backtest settings specify BTC/USDT futures over a short April 2024 window, but no performance metrics are provided. There is also an implementation caveat: the source sets exit prices from the current close and ATR, and uses the same stop and target direction for short entries as for longs, so the stated symmetric risk controls are not fully reflected in the code.

Key ideas

• Fast and slow SMA crossovers provide the long and short direction signals.
• Trading signals are restricted to the European session.
• The description sets ATR-based profit and loss distances at three and 1.5 ATR, respectively.
• Choppy conditions and parameter sensitivity may undermine crossover performance.
• The published backtest settings give a market and period but report no performance results.

Tags

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