SMA Trend Filter with Volume and Volatility Entry Conditions

Summary

This strategy describes a long entry when price is below a 200-period simple moving average, while volume and true range are below their respective moving averages. It uses RSI, volume, true range, and the SMA to define market conditions. The stated stop is 5% below entry, and the take-profit level is described as 1.5 times the entry price above it. An exit may also occur when RSI exceeds 70 or when a trend change is accompanied by a price break above the SMA.

The document gives parameters and a one-month BTC/USDT futures backtest configuration, but reports no performance results. Its written rules and source logic are not fully aligned: the code sets exit orders only under particular conditions, and the trend-exit condition as described in the prose does not appear to be implemented as written. The strategy also relies on chosen indicator thresholds and omits fundamental inputs, so its effectiveness cannot be established from the supplied material.

Key ideas

• The entry condition combines price below the SMA with below-average volume and true range.
• The strategy is long-only in its stated entry rules.
• A 5% stop and a take-profit multiplier of 1.5 are specified, alongside an RSI-based exit condition.
• The document provides a backtest setup but no evidence of realized strategy performance.
• The prose and source differ in their description of exit behavior.

Tags

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