Trend-Following Entries with Parabolic SAR, SMA, and DMI Filters

Summary

This long-only trend-following system combines Parabolic SAR, a 50-period simple moving average, and the Directional Movement Index (DMI). An entry requires price to cross above SAR, remain above the SMA, and have positive directional movement above negative directional movement. The strategy exits when price reaches a target 3% above the recorded entry price or when MACD crosses bearishly. ATR is calculated as a volatility reference, but the described rules do not use it to place a stop.

The published settings specify BTC/USDT futures on Binance using daily bars from December 2019 to December 2024. No performance results are included. The document itself identifies key limitations: the filters may delay entries, a fixed target may cut short strong trends, and the absence of a stop loss leaves risk open. In ranging markets, SAR and DMI signals may also mislead. The prose refers to MACD divergence, while the implementation uses a MACD line and signal-line crossover.

Key ideas

• Long entries require a close crossing above Parabolic SAR, price above the 50-period SMA, and positive DMI direction.
• The strategy exits at a 3% profit target or on a bearish MACD crossover.
• ATR is calculated but is not used in the described entry or exit rules.
• The document flags lag, false signals in ranging markets, and the lack of a stop loss as risks.
• The published daily BTC/USDT futures backtest settings include no reported performance results.

Tags

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