Adaptive Range Filter for Directional Entries and Reversals

Summary

This strategy smooths absolute price changes into a volatility-scaled range, then uses a recursive range filter to track directional movement. The filter’s direction and the source price’s position relative to it define bullish and bearish conditions. Entries occur when those conditions switch from the opposite direction, producing alternating long and short signals. The settings include a 50-period sampling window, a range multiplier of 3, optional Heikin-Ashi input, and optional percentage stop and profit exits.

The document includes source logic and a BTC/USDT futures backtest configuration spanning about a year, but it supplies no performance statistics. The title refers to a five-minute strategy while the published test uses a four-hour period with a 15-minute base period, so the setup does not directly demonstrate five-minute results. Stops and targets are disabled by default, and the optional exit values are asymmetric in the supplied defaults. Slippage and fees can also affect practical outcomes.

Key ideas

• The filter width is based on smoothed absolute price changes multiplied by a configurable factor.
• Directional signals require price to be on the corresponding side of the filter while the filter is moving that way.
• A new position signal is generated when the directional state changes from the prior opposite state.
• Heikin-Ashi input and percentage-based stop and profit exits are optional settings.
• The published backtest configuration does not match the five-minute title and contains no reported results.

Tags

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