Trend Following with a Long Moving Average and ATR Breakout Bands

Summary

This trend-following strategy uses a long moving average to define direction and Average True Range (ATR) bands to require a price move beyond ordinary volatility. A close above the average plus an ATR threshold signals an uptrend; a close below the average minus that threshold signals a downtrend. It enters long in the uptrend and can optionally enter short in the downtrend. The default trend length is 200 bars, and the ATR is calculated over 10 bars. Exits can occur at the moving average or at the opposite ATR band, depending on the selected setting.

The document supplies configurable moving-average types and published BTC/USDT futures backtest dates from January 2023 to February 2024, but it reports no performance statistics or results. It notes that moving-average and ATR settings affect signals, that reversals can cause drawdowns, and that price-volume relationships are not considered. The method is a rules-based trend filter; its usefulness across instruments and timeframes remains unverified by the evidence provided.

Key ideas

• A long moving average defines the broad direction, while ATR bands require a volatility-adjusted price move.
• The strategy enters long above the upper threshold and can optionally enter short below the lower threshold.
• Exits use either the moving average or the opposite ATR threshold.
• The document provides BTC/USDT futures test settings but no reported outcomes.
• Parameter sensitivity, reversal drawdowns, and absent volume checks are stated limitations.

Tags

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