Trend Following with Smoothed Moving Average Crossovers and Trend Filters

Summary

This strategy combines smoothed moving averages of open and close prices with a trend filter built from correlation and ATR measures. It uses the moving average crossover to time entries and exits, while requiring the trend filter to agree with the direction of a trade. The parameters allow users to select the averaging method, resolutions, and smoothing settings.

The document describes the logic and settings but provides no performance results. Its stated limitations include lag, missed reversals, and sensitivity to parameter choices across timeframes and markets. It recommends testing alternative averages and trend indicators, considering volatility measures, and adding stops. The example backtest settings use BTC/USDT futures, but the published configuration and code excerpts are insufficient to establish profitability or validate the claim of relatively low risk; overfitting is also explicitly identified as a concern.

Key ideas

• The strategy compares smoothed averages of open and close prices to identify crossover signals.
• A combined correlation and ATR trend filter is intended to confirm trade direction.
• The author identifies lag, missed reversals, and parameter sensitivity as key risks.
• The published material gives backtest settings but no performance evidence.

Tags

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