A Dual Thrust Breakout Strategy with Reversals and Recalculated Rails

Summary

The document presents an implementation of a Dual Thrust style breakout system. On a new bar, it calculates a range from the larger of the recent high-to-low-close and close-high-to-low ranges, then places upper and lower trigger rails around the bar’s open using separate multipliers. A close above the upper rail triggers a long position; a close below the lower rail triggers a short. If the system holds the opposite position, it closes that position before opening the newly triggered one. It also cancels pending orders, monitors fills, and logs account profit.

The code specifies a quarterly futures contract and sets leverage, but the excerpt does not define the lookback or multiplier values, transaction cost assumptions, or protective stop rules. It supplies implementation logic rather than backtest results or evidence of performance. Its repeated order and cancellation loops, reliance on exchange behavior, and absence of stated safeguards mean the example alone is not enough to assess live trading reliability or risk.

Key ideas

• The strategy derives upper and lower breakout rails from a recent range and the current bar’s open.
• A close crossing either rail triggers a position in that direction.
• An opposite position is closed before the system opens the new direction.
• The implementation manages pending orders and checks position quantities for fills.
• No parameter values, backtest evidence, or complete risk controls are provided in the excerpt.

Tags

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