Using Hull Moving Average Derivatives for Trend Entries and Trailing Exits

Summary

The strategy derives speed, acceleration, jerk, and jounce from a Hull Moving Average. It opens long positions when acceleration, jerk, and jounce are all positive, and shorts when all three are negative. Positions may close on a signal in the opposite direction or through percentage-based trailing stops. The parameters allow adjustment of the HMA and derivative lengths, source price, and separate long and short trailing percentages.

The document frames the method as trend following and discusses possible false signals, event risk, and parameter overfitting. It suggests testing across markets and periods and considering additional filters or alternative exits. A BTC/USDT futures backtest period is listed, but no performance statistics or trade results are reported. The source also contains a mismatch with the prose: it enters based on derivative signs, while the stated reversal-exit description is not directly implemented as a separate exit rule. The listed setting and the source’s position sizing also appear inconsistent, so results would need independent verification.

Key ideas

• The method calculates four finite-difference derivatives from a Hull Moving Average.
• It enters long or short when the second through fourth derivatives share the same sign.
• Percentage-based trailing stops manage open positions, with separate settings for longs and shorts.
• The described backtest window has no reported performance statistics, and implementation details warrant verification.

Tags

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