ATR and SMA Channel Breakout with Risk-Based Position Sizing

Summary

This strategy forms upper and lower channel bounds by adding and subtracting a multiple of ATR from an SMA. A move beyond either bound is treated as a breakout entry, while returns inside the channel indicate consolidation. The described setup also calculates a risk budget as a share of account equity and divides it by ATR to size positions. Stop and profit thresholds are likewise defined using ATR distances from the average price.

The published configuration is for BTC/USDT futures using hourly bars and 15-minute base data over a short stated test period, but no performance statistics are provided. The document notes that choppy markets can produce frequent trades and costs, and that results are sensitive to parameter choices. Its prose says positions close when price returns to the channel, while the source instead uses separate SMA-and-ATR thresholds; the stated stop and profit logic also does not clearly adapt to long versus short direction. These details need clarification before the rules can be assessed or implemented reliably.

Key ideas

• The channel boundaries are an SMA shifted by a configurable multiple of ATR.
• A high above the upper boundary or low below the lower boundary triggers a directional entry.
• Position quantity is calculated from an equity-based risk amount divided by ATR.
• The document warns that choppy conditions and parameter sensitivity can impair results.
• The exit description and source code do not specify fully consistent rules.

Tags

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