ADX-Gated Closing-Price Breakout Strategy with Session Limits

Summary

This is a long-only breakout strategy that combines the Average Directional Index (ADX) with a closing-price high. It checks whether price reaches the highest close from a lookback window while ADX is below a stated threshold, then enters during a specified session. Risk controls include a fixed dollar stop, a limit on trades per session, and closing open positions when the session ends.

The document gives parameters and source code, and lists a BTC/USDT futures backtest configuration spanning several years of daily data. It reports no return, drawdown, trade count, or other performance results, so the configuration alone does not establish effectiveness. The described approach may take false breakouts in ranging markets; its fixed stop may also behave inconsistently across volatility regimes. The source code’s entry condition and daily trade counter are available for inspection, while proposed improvements include ATR-based stops, volatility or volume filters, and adaptive parameters.

Key ideas

• The entry requires a closing-price breakout alongside an ADX reading below the specified threshold.
• Trades are restricted to a configured session and capped in number per session.
• A fixed dollar stop and end-of-session liquidation are used to manage exposure.
• The stated BTC/USDT futures test configuration provides no reported performance metrics.
• Ranging markets, parameter choices, and fixed-stop sizing are identified as limitations.

Tags

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