Adaptive Range Filter Breakouts with Directional Momentum Confirmation

Summary

This strategy uses an adaptive range filter to track price movement and issue directional signals. Its range can be based on measures such as average change, average true range, standard deviation, ticks, or a percentage of price, with smoothing and averaging options. Two filter variants update the central filter differently, producing upper and lower bands.

A long signal occurs when price is above the filter and the filter is rising, after a prior short condition; a short signal uses the opposite state. The accompanying description characterizes this as combining a breakout with a volume based value direction, but the supplied code uses closing price comparisons and filter direction rather than a volume indicator. The listed test setup is BTC/USDT futures across roughly one year, but no results are provided. Breakouts may lag or fail, and the document flags parameter sensitivity, false moves, and trading near reversals; the described tuning suggestions are not evidence of out of sample robustness.

Key ideas

• The filter derives a dynamic range from selectable price movement measures and can smooth the range.
• Two filter types update the central level using different rules.
• Long and short signals require price and filter direction to agree, with signals triggered after a change from the opposite condition.
• The narrative mentions volume confirmation, while the supplied implementation does not calculate a volume indicator.
• Breakout lag, false moves, and parameter sensitivity are stated limitations, and no performance statistics are reported.

Tags

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