A Parameter-Light Price-Threshold Trend-Following Strategy

Summary

This Python strategy follows price moves without technical indicators. It stores a reference price and compares the latest price with it; when price rises or falls beyond a configurable fraction, it places a buy or sell order and resets the reference to the latest price. Order size is tied to the same fraction of available balance or holdings, subject to a minimum trade size. The loop also polls frequently and periodically cancels outstanding orders.

The document presents the design as a simple way to avoid indicator parameters and possible overfitting, and mentions a backtest over roughly a year with results shown in images. Those results are not provided as readable figures or analyzed in detail, so they do not establish robustness or profitability. The strategy’s small parameter set does not remove market, execution, or sizing risk, and the article itself frames the example as material for study and possible improvement.

Key ideas

• The strategy uses percentage moves from a stored reference price as its sole entry trigger.
• After an order is placed, the reference price resets to the latest observed price.
• Trade size scales with the configured fraction of available balance or existing holdings.
• A minimum size check filters orders, and open orders are periodically canceled.
• The article mentions an approximately one-year backtest but gives no detailed numerical evaluation.

Tags

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