Triple Moving Average Trend Filter with Recent High-Low Breakouts

Summary

This strategy combines three moving averages with a recent price breakout to identify entries. It classifies the market as bullish when the short average is above the medium average, which is above the long average, and bearish when their order is reversed. In those respective conditions, a break above the recent high triggers a long entry, while a break below the recent low triggers a short entry. The averages can be simple or exponential, and the example defaults to periods of 5, 10, and 20 with a 10-candle lookback.

The code places a stop at the entry bar’s low for longs or high for shorts, then closes positions after a configurable number of bars. The accompanying explanation presents the system as a trend-following breakout approach, but provides no reported returns or comparison against alternatives. It warns that moving-average signals can be wrong, breakouts may trap entries, and stops may be too tight. The published setup specifies a BTC futures backtest over about a year of daily bars, but does not report its results; its claimed suitability therefore remains unverified.

Key ideas

• The system aligns short, medium, and long moving averages to filter trade direction.
• It enters long above a recent high in an aligned uptrend and short below a recent low in an aligned downtrend.
• The example supports simple or exponential averages and exposes the periods and breakout lookback as parameters.
• Stops use the entry bar’s opposite extreme, and positions also have a bar-count exit.
• The document describes risks but provides no backtest performance figures.

Tags

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