SMA Trend Following with Standard-Deviation Price Bands

Summary

This trend-following strategy combines a 50-period simple moving average with fast upper and lower price thresholds derived from a weighted price calculation. The thresholds add a multiple of the calculation to moving averages of highs and lows; the documented default multiplier is 6. A trend state turns bullish when price is above both upper thresholds and bearish when it is below both lower thresholds. Entries require the trend state and an additional price condition, while opposite trend states close positions.

The document frames the method as a simple way to detect trend changes and reduce false breakouts through two-condition confirmation. Its published backtest settings use BTC/USDT futures with daily bars over roughly a year, but no performance figures are supplied. The source contains no explicit stop-loss mechanism, and the notes flag whipsaws, moving-average lag, and sensitivity to parameter choice. Longer averages and added stops or trend filters are proposed, but their effects are not demonstrated.

Key ideas

• The strategy defines trend using price relative to two thresholds built from moving averages and a weighted price calculation.
• Long and short entries require both a trend state and an additional price condition.
• Opposite trend states close existing positions, but the source does not specify a dedicated stop-loss.
• The published backtest settings describe BTC/USDT futures on daily bars, with no reported performance results.
• Whipsaws, lag, and parameter sensitivity limit the method and warrant further testing.

Tags

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