Trend-Filtered Moving Average Crossover Strategy

Summary

This strategy combines fast and slow moving average crossovers with a longer moving average used as a trend filter. A fast line crossing above the slow line can trigger a long entry when the trend filter indicates an uptrend; a downward cross can trigger a short entry or close a long when the filter indicates a downtrend. The stated parameter defaults are 9, 21, and 50 periods, and the published backtest configuration uses BTC/USDT futures at one-minute resolution over a brief period.

The document explains the rationale for filtering crossover signals and lists possible additions such as stop losses, position sizing, multiple timeframes, and further parameter selection. It provides no performance results or comparative evidence to establish improved returns or win rates. Moving averages lag price, the trend definition may misclassify conditions, and the extra parameters create tuning risk. The described rules also lack built-in position sizing. The source’s trend state is based on crossovers between the slow and trend averages, so it may only identify direction at the crossover event rather than remain active throughout the resulting trend; this implementation detail affects how the written rules translate into trades.

Key ideas

• Fast and slow moving average crossovers provide the entry signals.
• A longer moving average is used to filter trades by market direction.
• The published defaults use 9, 21, and 50 periods for the three averages.
• Lag, parameter tuning, and the absence of position sizing are stated risks.
• The short BTC/USDT futures backtest configuration is 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.