Trend-Filtered KDJ Crossover Strategy for Futures

Summary

This futures strategy combines a moving-average trend filter with KDJ momentum signals. It waits for at least 100 bars, then evaluates the previous completed bar: a close above the 100-period moving average and K above D opens a long position, while the corresponding conditions below the average open a short. K-D reversals close existing positions. The supplied KDJ settings use 50 for the main period and 15 for the other two inputs.

The document provides implementation logic but no backtest results, market rationale, or performance evidence. The rules use a single moving average and K-D comparisons rather than requiring a fresh crossover, and they do not specify position sizing, stop losses, transaction costs, or treatment of repeated signals. The method therefore describes a basic trend-and-momentum template, not evidence that it is profitable or suitable across futures markets.

Key ideas

• The strategy uses the 100-period moving average to define the direction for new positions.
• K above D supports a long entry above the average, while K below D supports a short entry below it.
• A reversal in the K-D relationship closes an open position.
• The document provides code but no performance results or explicit risk controls.

Tags

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