Trend Following with Moving Average Crossovers and Slope Filters

Summary

This strategy uses a fast and slow simple moving average to trade long when the fast average crosses above the slow one and its slope exceeds a bullish threshold. It also permits entry while the averages remain in bullish order if price is above the fast average and the slope condition holds. A position exits on a bearish crossover or when the fast average’s slope falls below a bearish threshold. The slope is calculated from the one-bar change in the fast average, normalized by ATR and expressed as an angle.

The parameters include 50- and 150-period averages, separate slope thresholds, an ATR period, and a risk allocation setting. Although the prose presents the method as intended for index ETFs and recommends daily index use, the published backtest configuration instead specifies BTC/USDT futures over a short period. No results are reported, so the claims of low risk or stable excess returns are unsupported by the supplied evidence. The document also notes that lag, parameter sensitivity, and range-bound markets can undermine the approach.

Key ideas

• Long entries use a bullish fast-versus-slow average relationship and a fast-average slope above its threshold.
• The slope calculation normalizes the fast average’s one-bar change by ATR.
• Positions exit after a bearish crossover or when the fast-average slope falls below its exit threshold.
• The strategy is presented for index ETFs, while its published backtest settings specify BTC/USDT futures.
• The document provides no performance results and flags lag, parameter sensitivity, and choppy-market risk.

Tags

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