Triple-EMA Smoothed ROC Momentum with Money Flow Confirmation
Summary
This strategy combines rate-of-change momentum, smoothed with three successive exponential moving averages, with the Money Flow Index. It enters long when smoothed momentum is positive and MFI is above its middle level, and enters short when both are below their respective thresholds. Its exits are more selective: a long closes when momentum is negative and MFI is below the oversold threshold, while a short closes when momentum is positive and MFI is above the overbought threshold. The published defaults include a seven-period momentum lookback, three-period smoothing, and fourteen-period MFI.
The document provides a two-day SOL spot-market backtest configuration spanning roughly a year, but no performance metrics or trade analysis. It notes potential lag during sharp reversals, false signals in sideways markets, parameter sensitivity, and the need to size positions carefully. Volatility filters, trailing stops, event-time filters, and adaptive parameters are proposed as future refinements; the document does not provide evidence that they improve the strategy.
Key ideas
- Raw momentum is measured with rate of change and smoothed through three consecutive EMAs.
- Long entries require positive smoothed momentum and MFI above its middle threshold.
- Short entries require negative smoothed momentum and MFI below its middle threshold.
- Exits require momentum reversal together with MFI reaching an outer oversold or overbought level.
- The configured SOL spot backtest has no reported performance results, and the document warns of lag and range-market signals.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.