Adaptive Parabolic SAR with Strength, Volatility, and Regime Filters
Summary
This strategy modifies Parabolic SAR by adjusting its acceleration according to a sigmoid score derived from price slope relative to ATR. It also smooths the acceleration and trailing path to alter how quickly the indicator follows price. The document describes a confirmation buffer, an ATR-based volatility gate, and a long-term trend filter for short entries. Stops trail the adaptive SAR; long trades use an ATR-based profit target, while short trades have no fixed target by default. A cooldown can limit how soon another entry is allowed.
The document reports backtest comparisons, including fewer false signals than fixed-parameter PSAR, but supplies no performance tables or methodology to assess those claims. Its published test uses hourly SOL/USDT futures data over a short period, so the evidence is narrow. It warns that choppy markets and consecutive stop-outs remain risks, and recommends position limits and diversification. The method may suit volatile trending markets, but parameter choices and execution costs need independent evaluation.
Key ideas
- A sigmoid of normalized price slope adjusts the PSAR acceleration to reflect trend strength.
- An ATR confirmation buffer and volatility gate are intended to screen weak or ambiguous flips.
- Short entries can be restricted to a bearish regime defined by a moving average and declining price slope.
- Stops follow the adaptive SAR, while the default profit target differs for long and short positions.
- The reported backtest claims lack detailed results and cover a limited hourly SOL/USDT futures sample.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.