ATR Adaptive Channels with Breakouts and Floating Profit Exits

Summary

This futures strategy builds upper and lower volatility bands around a moving average using Average True Range. The code calculates true range, smooths it over 200 periods, and places bands four ATR units above and below a moving average. It also tracks 200-period highs and lows. Breaks of those extremes trigger long or short entries, while later conditions combine extended highs or lows and a return inside the bands to support exits with floating profit logic. Separate fixed stop rules are also included.

The accompanying explanation describes ATR as a measure of volatility, not direction, and presents the approach as an adaptive channel with fixed stops and floating take profit. A one-hour XBT/USD futures backtest configuration is listed, but no outcomes are reported. The description is brief and does not fully explain the interaction among entry, exit, and stop conditions, so the code's behavior and parameter choices would need scrutiny and testing across market regimes.

Key ideas

• ATR measures the scale of price movement but does not identify direction by itself.
• The channel places bands around a moving average using a multiple of smoothed true range.
• The code uses long lookback highs and lows to trigger breakout entries.
• Exit logic combines channel re-entry or extended price extremes with profit conditions, alongside fixed stops.
• A one-hour XBT/USD futures setup is provided without backtest performance results.

Tags

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