SMMA and SMA Crossovers with Fixed Targets and Dynamic Stops

Summary

This strategy uses a 20-period simple moving average (SMA) and a 50-period smoothed moving average (SMMA) to generate directional signals. It enters long when the SMA crosses above the SMMA and short when it crosses below. Each position has a fixed take-profit distance of 150 ticks, while the document describes a stop based on the next bar’s closing price after a signal.

The material explains the rules and suggests filtering crossover signals, adapting stop distances to volatility, and testing alternative moving-average parameters and exit methods. It lists backtest settings for BTC/USDT futures over the stated 2023–2024 period, but provides no performance results. There is also a mismatch between the prose and the supplied code: the code calculates the purported SMMA using a simple moving average, and its stop-price indexing does not clearly implement the described next-bar close. These details limit how confidently the published rules can be reproduced.

Key ideas

• The strategy buys when the 20-period SMA crosses above the 50-period SMMA and sells when it crosses below.
• Each position is assigned a fixed take-profit distance of 150 ticks.
• The description places the stop at the close of the bar after the crossover signal.
• Moving-average crossovers can whipsaw, and fixed targets may cut off extended trends.
• The code and prose differ on the moving-average calculation and stop implementation.

Tags

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