Trend Following with Configurable Moving Average Crossovers

Summary

This document explains a trend-following system that compares two configurable moving averages and changes position when they cross. The averages can be selected from simple, exponential, Hull, and volume-weighted types, with independent lengths and a configurable price source. A crossover of the first average above the second opens a long position; a cross below opens a short position. The example defaults to a longer first average and a shorter second average, although the source’s crossover direction and prose labels create some ambiguity about which line represents the short-term signal.

A BTC/USDT futures backtest is specified for about one month of hourly bars with 15-minute base data, but the document reports no results. It notes that moving averages lag and that parameter choices can materially change signals. No dedicated stop-loss or position-sizing rules appear in the shown strategy. Additional filters, parameter tuning, and risk controls are proposed, but their effectiveness is not demonstrated.

Key ideas

• The strategy enters long or short when two selected moving averages cross.
• Supported averages include simple, exponential, Hull, and volume-weighted forms.
• The crossover rule and the prose’s description of the line roles are somewhat ambiguous.
• Moving-average lag and parameter sensitivity are the main stated limitations.
• Backtest settings are provided without performance statistics or explicit risk controls.

Tags

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