Triple Moving Average Trend Following with a 21-Day Exit

Summary

The strategy uses 5-, 21-, and 50-day simple moving averages to define a long-only trend filter. It enters when the closing price is above all three averages and exits when price falls below the 21-day average. The published implementation allocates 100% of equity to a position and specifies 0.1% commission and three points of slippage. The accompanying discussion explains that the three averages provide short-, medium-, and longer-term context, while the 21-day line serves as the exit reference.

The document identifies lag, parameter sensitivity, whipsaws in range-bound markets, and concentrated exposure as key limitations. It suggests testing volume or trend-strength filters, adapting parameters, using staged position changes, and adding drawdown or profit controls. These are proposals rather than demonstrated improvements. Although backtest settings list BTC/USDT futures from June 2024 to June 2025, no return, drawdown, or trade statistics are supplied. The simple rules and stated costs make the setup reproducible in principle, but the single market and period do not establish robustness across regimes or instruments.

Key ideas

• A long position opens when price is above the 5-, 21-, and 50-day simple moving averages.
• The strategy closes the position when price drops below the 21-day average.
• The published code uses full-equity allocation, 0.1% commission, and three points of slippage.
• Moving-average lag and sideways-market whipsaws can lead to late exits or repeated losing trades.
• The BTC/USDT futures test settings include no reported performance statistics.

Tags

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