Adaptive Range Filter Signals for Trend Breakouts

Summary

This document describes a range-filter strategy that smooths changes in a selected price source to create a moving filter and upper and lower bands. The implementation estimates range size from an exponential average of absolute price changes, applies a swing multiplier, and updates the filter when price moves beyond the range. Long or short entries occur when price is on the corresponding side of the filter and its direction changes, with signals gated to alternate direction. Stop-loss and take-profit percentages are configurable; an EMA is calculated and plotted, but does not gate entries in the supplied code.

The text frames the range as a way to suppress weak signals and catch directional moves, while warning that parameter choices affect signal frequency and quality and that choppy markets can be difficult. It suggests adaptive tuning, a higher-timeframe trend filter, and combining timeframes. Published settings describe BTC/USDT futures over about a year, but no performance results are supplied, so claims of superior risk-reward or steady excess returns are not demonstrated by the document.

Key ideas

• The filter range is based on smoothed absolute changes in the selected price source and a swing multiplier.
• Signals require price to be beyond the filter while the filter direction supports the trade.
• Entry conditions alternate long and short signals after a change in direction.
• Stop-loss and take-profit percentages are configurable, while the plotted EMA does not appear in entry conditions.
• Choppy markets and poorly selected range parameters can reduce opportunity or signal quality.

Tags

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