ALMA Trend Entries with Session and Optional Squeeze Filters
Summary
This strategy uses the Arnaud Legoux Moving Average (ALMA) as a directional filter: it favors longs when price is above the average and shorts when price is below. Entries are allowed only during selected London and New York trading windows. An optional TTM Squeeze filter blocks entries while Bollinger Bands remain inside Keltner Channels, allowing trades again after volatility expands.
Position size is calculated from a chosen equity risk percentage and the distance to an ATR-based stop. The strategy pairs a three-ATR stop with a six-ATR profit target, creating a nominal two-to-one reward-to-risk setup. The document supplies implementation details and suggested instruments and timeframes, but no performance results. It cautions that session filtering cuts trade frequency; its stated trade-count expectations imply that several years of data may be needed for a larger sample. Backtest outcomes will depend on the market, timeframe, session settings, and execution assumptions.
Key ideas
- ALMA defines directional bias by comparing the close with its line.
- Entries are restricted to user-selected London and New York time windows.
- An optional squeeze filter blocks entries during volatility compression.
- ATR stop and target distances are paired with risk-based position sizing.
- The document gives no measured performance results and warns that filtering reduces trade frequency.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.