An ATR-Adaptive Trend Filter with Automatic Position Reversals
Summary
The strategy uses an L1 proximal filter whose updates depend on an ATR-scaled threshold to identify trend changes. It offers three entry approaches: entering on a confirmed filter trend change, crossing the filter line, or waiting one bar after a change. When an existing position encounters an opposite trend change, the script closes it and enters in the other direction. Optional exits can instead respond to a price crossing the filter, while breakeven and partial-profit settings manage open trades.
The accompanying claims about win rates, faster signals, noise reduction, and improved capital use are not supported by detailed trade statistics in the supplied material. The published backtest configuration uses an hourly BNB-USDT futures series, a stated date interval, and zero fees; those choices limit how much can be inferred about live performance. The document itself cautions that choppy conditions, extreme reversals, transaction costs, and timeframe changes can materially affect results.
Key ideas
- An ATR-scaled threshold controls how the adaptive filter responds to price changes.
- Entry modes use trend reversals, price crossings, or delayed confirmation to time trades.
- The reversal logic can close a position and open an opposite one when the filter trend changes.
- Optional breakeven and partial-profit rules adjust exposure after favorable price movement.
- The reported backtest setup omits fees, and the promotional performance claims lack supporting trade statistics.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.