Triple Moving Average Crossovers for Trend Following
Summary
This trend-following method uses fast, medium, and slow simple moving averages, with default periods of 8, 21, and 55. A fast-average crossover above the medium average opens a long when both are above the slow average; the reverse alignment and crossover opens a short. Positions close when the fast and medium averages cross in the opposite direction. The source uses one contract per entry, while the accompanying discussion suggests ATR-based sizing as an alternative.
The document includes a BTC/USDT futures backtest window for January 2024, but gives no performance statistics, so it does not establish profitability. It identifies whipsaw losses, lagging reversals, trading costs, and risks from fixed sizing. Suggested refinements include adapting periods to the instrument, using ATR for position size, adding stops, and checking volume. The strategy description mentions a sizing option, but the included source submits entries with a fixed quantity of one.
Key ideas
- Long and short entries require a fast-medium crossover aligned with both averages relative to the slow average.
- Opposite fast-medium crossovers close existing positions.
- The default moving-average periods are 8, 21, and 55, and the source enters with one contract.
- ATR-based sizing and stop losses are discussed as possible risk controls, while volume can help assess trend reliability.
- Whipsaws, lag, slippage, and fixed sizing can undermine results; no backtest performance figures are reported.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.