Trend Following with a Rolling Sum of Price-to-Moving-Average Gaps

Summary

This strategy estimates trend direction by measuring each close’s distance from a simple moving average and summing those gaps over a rolling window. A positive total signals a long position and a negative total signals a short position; positions close when the total crosses to the opposite sign. The listed parameters use a 170-period indicator length and a 29-period summation window, while the prose overview refers to a 200-period average, so the description and configuration differ.

The document reports a one-week BTC/USDT futures backtest on one-minute bars, but gives no performance statistics to support its claim of stable returns. It identifies sensitivity to the moving-average and summation lengths, sharp event-driven moves, and instrument volatility as risks. It suggests parameter testing and adding filters such as RSI or volume, but provides no evidence that these changes improve results. The method also has no effective take-profit or stop-loss enabled in the listed defaults.

Key ideas

• The strategy sums recent closing-price deviations from a simple moving average to estimate trend direction.
• A positive rolling sum signals long exposure, while a negative sum signals short exposure.
• The written overview specifies a 200-period average, but the listed parameter default is 170.
• The published one-week backtest settings include no performance statistics, so the stated results cannot be assessed.
• The document flags parameter sensitivity, abrupt price moves, and instrument choice as risks.

Tags

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