A Smoothed Range Filter for Directional Breakout Signals

Summary

This strategy builds a trailing range filter from an exponentially smoothed average of absolute price changes, then scales that range by a multiplier. The filter moves only when price exceeds its prior value by more than the smoothed range, creating a stepped line; bands one range above and below it provide visual context. Consecutive filter movement defines direction, while price relative to the filter generates long or short signals when the directional state changes from the opposite side.

The document includes a BTC/USDT futures backtest configuration over a short 2022 sample and parameters for the sampling period, range multiplier, source price, and optional Heikin-Ashi input. It does not report performance results, and the published test settings differ from some default input dates. Optional percentage stop and target exits are available but disabled by default. The strategy therefore illustrates signal construction rather than demonstrating profitability; costs, slippage, robustness across markets, and out-of-sample behavior are not evaluated in the text.

Key ideas

• The filter steps with price only after movement exceeds a smoothed range threshold.
• The threshold is based on an EMA of absolute price changes, smoothed again and multiplied by a user setting.
• Filter direction and price location determine directional signals, with entries triggered when the signal switches sides.
• Optional percentage-based exits exist, but the default configuration leaves them off.
• The document supplies a short BTC/USDT futures test setup without reporting results or broader validation.

Tags

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