Trend Following with Parabolic SAR, EMA Filters, and SAR Stops

Summary

This strategy combines Parabolic SAR with an EMA to determine direction and qualify entries. SAR above price indicates a bearish state, while SAR below price indicates a bullish state. It proposes entering long when price is above the EMA in a bullish state and short when price is below the EMA in a bearish state, with the SAR value serving as a stop reference. The parameter example uses a 100-period EMA and SAR settings of 0.015, 0.005, and 0.2.

The document explains the indicators and outlines risks including reversals, whipsaws in range-bound markets, parameter sensitivity, and trading costs. It suggests testing parameters and considering additional filters or dynamic stops. The published backtest configuration is for BTC/USDT futures over a stated period, but no performance results are reported. The source code's signal and order logic does not align perfectly with the prose rules, and its date filter is set to always true, so the described backtest should not be treated as evidence of effectiveness.

Key ideas

• Parabolic SAR position relative to price is used to classify bullish and bearish conditions.
• EMA acts as an entry filter, with a 100-period length in the parameter example.
• The prose uses the SAR value as a stop reference for trend-following positions.
• The document identifies range-bound whipsaws, reversals, parameter sensitivity, and costs as risks.
• No backtest performance statistics are provided, and the source logic differs from the written rules.

Tags

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