A Slope-Based Momentum Strategy Using Smoothed Price Ranges

Summary

The document presents a trend-oriented trading signal built from the slope of a smoothed midpoint between the rolling high and low. It first calculates the high and low over a lookback window, averages them, smooths that series with a moving average, and measures its regression slope. A rising slope is treated as strengthening momentum and triggers a shift toward long exposure; a falling slope is treated as weakening momentum and triggers a shift toward short exposure. The signal is intended to act near changes in momentum rather than after large price moves.

An illustrative backtest applies the rules to a BTC quarterly futures contract using hourly data, fixed trade size, and stated account and fee assumptions. The document reports one year of results, including trade count, return, drawdown, and Sharpe ratio. Those figures are specific to the stated historical setup and do not establish robustness: no out-of-sample evidence, comparison strategy, or broader sensitivity analysis is presented. The strategy also relies on a simple slope-change rule, which may react to noise or perform differently across markets and settings.

Key ideas

• The indicator measures the regression slope of a moving average applied to the midpoint of rolling highs and lows.
• A rising slope signals strengthening momentum and shifts exposure toward long positions.
• A falling slope signals weakening momentum and shifts exposure toward short positions.
• The example backtest uses BTC quarterly futures on hourly data with fixed trade sizing and stated fees.
• Reported historical performance is limited to the tested setup and does not demonstrate results across other periods or markets.

Tags

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