Trend Deviation Index Signals with Hull Moving Average Smoothing

Summary

This strategy uses a Trend Strength Index (TSI) derived from price changes, smooths the changes and their absolute values with Hull moving averages, then smooths the resulting index again to form a signal line. The document describes comparing the index with that line to identify trend direction and combining the trend reading with the direction of the price bar: rising price in an uptrend triggers a long entry, while falling price in a downtrend triggers a short entry. The example parameters include two smoothing lengths of 50 and a signal length of 7.

The document offers a method description and an example backtest configuration for BTC/USDT futures over one week in late October and early November 2023, using 30-minute bars and a 15-minute base period. It gives no performance results. It warns that the smoothing can lag at turning points, signals may be unreliable in ranges, and parameters may need adjustment; the described strategy has no explicit stop-loss. Additional filters and risk controls are suggested.

Key ideas

• The index normalizes smoothed price changes by smoothed absolute changes.
• Hull moving averages are used to smooth both the index inputs and the resulting signal line.
• Price-bar direction is combined with the indicator trend to trigger long or short entries.
• The method may lag at turning points and generate false signals in range-bound markets.
• The published backtest settings are not accompanied by performance results.

Tags

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