Trading Three SMA Crossovers with Trend and Session Filters
Summary
This trend-following strategy uses a fast and a slow simple moving average to trigger entries: a cross upward signals a long and a cross downward signals a short. A third, longer-period SMA can filter trades by its slope, allowing longs when it is rising and shorts when it is falling. Users can limit trading direction and restrict entries to a configured intraday session. Positions close at stop-loss or optional take-profit levels measured in fixed price points; the strategy also closes positions at session end and when the trend filter reverses. Opposite crossover entries reverse an existing position.
The script identifies VN30F1M as its intended market and describes entries as occurring on the next bar after signal confirmation. It includes configurable moving-average lengths, session hours, and exit distances, but the document provides no reported backtest statistics or comparison of filtered and unfiltered results. The fixed-point exits and session settings may require adjustment for other instruments, price scales, and trading hours. Its description supports studying the rules, not assuming that the strategy is profitable.
Key ideas
- Crossovers of the fast and slow SMAs trigger long and short signals.
- A third SMA’s slope can filter entries by broad trend direction.
- Direction controls and an intraday time window can restrict which signals are traded.
- Fixed-point stops, optional targets, session-end closure, and trend reversals govern exits.
- The document gives no performance results, so the rules require independent testing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.