AlphaTrend ATR Channel with RSI or MFI Trend Filtering

Summary

The AlphaTrend method combines an ATR-scaled price level with a momentum filter to track directional moves. It derives candidate levels from the low minus a multiple of average true range and the high plus that multiple. A recursive rule holds or updates the AlphaTrend line according to whether RSI, or MFI when volume data is available, is above a midpoint threshold. Crosses between the line and its value two bars earlier generate long and short entries.

The document gives configurable inputs and published backtest settings for BTC/USDT on Binance from January to April 2023, but reports no returns, benchmark, or other test results. The strategy source does not implement the stop loss described as advisable in the prose, and its entries can reverse direction without a separately specified loss limit. ATR smoothing and the trend filter can lag, while results may depend on the multiplier, period, asset, and timeframe. The document recommends testing these choices and managing position risk before live use.

Key ideas

• The strategy uses ATR-scaled price levels to build a trailing directional line.
• Its recursive line update depends on an RSI or MFI threshold filter.
• Crosses between the line and its two-bar lag trigger long or short entries.
• The published backtest configuration does not include reported performance results.
• The source has no explicit stop-loss rule, and the document warns that indicator lag and parameter choices matter.

Tags

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