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Moving Average Crossover

Golden cross / death cross trend following strategy.

Strategy Overview​

  • Type: Trend Following
  • Indicators: SMA(50), SMA(200)
  • Risk Level: Low
  • Assets: Single asset (BTC)

Complete Code​

package main

import (
	"github.com/backtesting-org/kronos-sdk/pkg/types/connector"
	"github.com/backtesting-org/kronos-sdk/pkg/types/kronos"
	"github.com/backtesting-org/kronos-sdk/pkg/types/strategy"
	"github.com/shopspring/decimal"
)

type MACrossover struct {
	strategy.BaseStrategy
	k kronos.Kronos
}

func NewMACrossover(k kronos.Kronos) strategy.Strategy {
	return &MACrossover{k: k}
}

func (s *MACrossover) GetSignals() ([]*strategy.Signal, error) {
	btc := s.k.Asset("BTC")

	sma50, _ := s.k.Indicators().SMA(btc, 50)
	sma200, _ := s.k.Indicators().SMA(btc, 200)
	price, _ := s.k.Market().Price(btc)

	// Golden cross: 50 crosses above 200
	if sma50.GreaterThan(sma200) && price.GreaterThan(sma50) {
		s.k.Log().Opportunity("MA-Crossover", "BTC", "Golden cross detected")
		signal := s.k.Signal(s.GetName()).
			Buy(btc, connector.Binance, decimal.NewFromFloat(0.2)).
			Build()
		return []*strategy.Signal{signal}, nil
	}

	// Death cross: 50 crosses below 200
	if sma50.LessThan(sma200) {
		s.k.Log().Opportunity("MA-Crossover", "BTC", "Death cross detected")
		signal := s.k.Signal(s.GetName()).
			Sell(btc, connector.Binance, decimal.NewFromFloat(0.2)).
			Build()
		return []*strategy.Signal{signal}, nil
	}

	return nil, nil
}

func (s *MACrossover) GetName() strategy.StrategyName         { return "MA-Crossover" }
func (s *MACrossover) GetDescription() string                 { return "Golden/Death cross strategy" }
func (s *MACrossover) GetRiskLevel() strategy.RiskLevel       { return strategy.RiskLevelLow }
func (s *MACrossover) GetStrategyType() strategy.StrategyType { return strategy.StrategyType("Trend")

How It Works​

  1. Calculate SMAs: Get 50-period and 200-period SMAs
  2. Golden Cross: When SMA(50) > SMA(200) and price is above SMA(50), buy
  3. Death Cross: When SMA(50) < SMA(200), sell
  4. Confirm: Only buy when price is also above the fast MA

Key Concepts​

  • Golden Cross: Bullish signal, fast MA crosses above slow MA
  • Death Cross: Bearish signal, fast MA crosses below slow MA
  • Price filter: Ensures momentum in direction of signal
  • Larger position: Uses 0.2 BTC (more confident with trend confirmation)

Backtesting​

Run with:

kronos backtest

Expected characteristics:

  • Low trade frequency (few signals per year)
  • Catches major trends
  • Lags at trend changes (by design)
  • Best in trending markets

Improvements​

Consider adding:

  • Volume confirmation
  • Volatility filter (avoid low-volume periods)
  • Partial exits (scale out of winners)
  • Additional timeframe for confirmation