Trend-Filtered Moving Average Crossovers with ATR Stops

Summary

This EMAC variant combines a recent trend filter with several moving averages to identify long entries. The description says shorter averages crossing above a longer simple moving average provide confirmation, while a trend measure classifies the broader market. Risk controls include an initial stop based on the entry bar and ATR, a trailing stop, a profit target, and an optional exit when price falls below a short moving average. Position size can be based on a fixed or equity-linked risk amount.

The document warns that moving averages can whipsaw in sideways markets, ATR-based stops can become wide, and overnight gaps and broader market conditions are not addressed. It recommends testing parameter combinations across longer histories, but the supplied BTC/USDT futures backtest covers only a short stated interval and provides no performance statistics. The available source excerpt is incomplete, so the described entry and exit rules cannot be fully checked against the implementation; its stated optimization and potential live performance are therefore unverified.

Key ideas

• The strategy combines a broader trend classification with moving-average crossover filters for long entries.
• Initial and trailing stops use ATR, with an optional profit target and early moving-average exit.
• Position size can be tied to either a static risk amount or a percentage of equity.
• Sideways-market whipsaws, wide volatility-based stops, and overnight gaps are identified risks.
• The supplied backtest setup gives no performance results, and the source excerpt is incomplete.

Tags

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