SMA Slope Trend Following with a Trailing Stop

Summary

This long-only trend strategy measures the slope of a simple moving average over a chosen window. It enters when the slope exceeds a minimum threshold and price is above the average. An optional trailing stop is set as a percentage below the current price and can rise as price advances; a close below the average also exits the position. The document describes a re-entry restriction after a stop-out when price is substantially above the average, intended to avoid buying at an extended level.

The listed defaults include a 150-period average, a 20-period slope window, and a 2.8% trailing-stop setting. The stated backtest configuration covers BTC/USDT futures on Binance from May 2023 to June 2024, with daily bars and hourly base data, but no performance results are included. The source shown does not implement the described post-stop re-entry restriction, so that feature should not be assumed present in the backtest. The document also cautions that parameter sensitivity, choppy markets, and unexpected price moves can undermine results.

Key ideas

• A positive SMA slope above a threshold and price above the SMA trigger long entries.
• The strategy exits on a close below the SMA or an enabled trailing stop.
• The described trailing stop is calculated as a percentage below current price.
• The written re-entry rule is not evident in the provided source excerpt.
• The backtest settings are supplied without performance results.

Tags

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