Adaptive Dual Breakout Strategy Using Open–Close Thresholds

Summary

This document describes a two-way strategy that uses the difference between each bar’s open and close to generate long and short signals. A long entry occurs when the close exceeds the open by a threshold; a short entry occurs when the open exceeds the close by that threshold. Once in a position, a larger opposite move, measured with a second threshold, triggers an exit. The source code defines these entry and exit rules, but its time-window condition is always enabled, so the date inputs do not restrict trading as presented.

The document gives no performance results or evidence that the rules are profitable. It identifies possible whipsaw trading, excessive turnover from poor threshold choices, and stop execution or system risks during sharp moves. It suggests adding trend filters and adapting thresholds, but these are proposed extensions rather than tested improvements. The published backtest configuration uses BTC/USDT futures data, while the explanation describes stocks; instrument suitability and the effect of costs are therefore not established.

Key ideas

• Long and short entries depend on the open-to-close move crossing a configurable threshold.
• An opposite move beyond a second threshold closes the position.
• The source keeps its date condition enabled, so the date inputs do not filter trades.
• The document reports no backtest performance to establish profitability.
• Threshold selection and frequent reversals are material risks.

Tags

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