Trend Pullback Entries with Volatility-Based Exits
Summary
This crypto strategy seeks long entries during a long-term uptrend after a brief pullback. Its stated entry conditions include a rising 200-day exponential moving average, a 200-day RSI above 51, and two successive declining closes. The exit rules close a position after a gain exceeding one volatility unit or a loss exceeding two units; the unit is described as twice the standard deviation of closing prices over 50 days.
The document explains the intent to scale exit distances to market volatility rather than use fixed percentages. It includes source code and published BTC/USDT futures backtest settings spanning roughly one year, but provides no return, drawdown, or other measured results. There are discrepancies between the prose and code: the source does not explicitly check that the 200-day EMA is rising, and its volatility unit uses a smoothed measure of 50-period standard deviation. The strategy may also miss entries when an uptrend continues without the specified pullback, while volatility-based distances can produce poorly timed exits.
Key ideas
- The stated entry combines a long-term bullish filter with a short-term pullback.
- The prose specifies a rising 200-day EMA, a 200-day RSI above 51, and two falling closes.
- Profit-taking and stop-loss thresholds are scaled to a volatility measure rather than fixed percentages.
- The source code and prose differ on the EMA condition and the volatility calculation.
- Published BTC/USDT futures settings are included without reported performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.