Trend-Filtered Credit Spreads with ATR-Based Stops

Summary

This strategy description pairs trend signals with defined-risk options spreads. It uses a 20/50 EMA crossover to set direction, requires ADX above 15, checks RSI above 45 for bullish setups or below 55 for bearish setups, and confirms price is on the corresponding side of VWAP. The stated structures are bull put spreads in bullish conditions and bear call spreads in bearish conditions, with a long option leg intended to cap risk. An ATR-based stop is set at 1.5 times ATR.

The document identifies risks including crossover lag, false signals, poor fit for range-bound markets, gaps, liquidity constraints, and parameter overfitting. Published settings refer to ETH_USDT futures from January through March 2025, but no results are provided. The source code does not construct option contracts or vertical spreads: it places directional long and short entries on the charted instrument and applies stops based on its price. The claimed spread payoff limits therefore are not demonstrated by that implementation, and the stop calculation alone does not establish options risk or execution behavior.

Key ideas

• EMA crossovers set the proposed bullish or bearish direction, subject to ADX, RSI, and VWAP filters.
• Bull put and bear call spreads are described as defined-risk implementations of the directional signals.
• The stated stop distance is 1.5 times ATR, though the code applies it to the charted instrument.
• The source submits directional entries and does not construct option spreads.
• No performance results are reported for the published ETH_USDT futures settings.

Tags

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