ATR and Volume Filters for a Dynamic Signal Line Trend Strategy

Summary

This intraday trend-following method sets a signal line by subtracting an ATR-based offset from a moving average. It enters long when the bar low crosses above the line, or short when the bar high crosses below it, provided volume exceeds a multiple of its recent average. The described defaults use a 50-period SMA and volume average, a 20-period ATR, and a 1.5 volume multiplier. Positions exit when the close breaks the prior bar’s low for a long or high for a short.

The document explains the rationale for adapting the line to volatility and using volume to filter entries, and lists chart markers for signals. It provides no performance results; the published backtest settings specify BTC/USDT futures over a short June 2024 interval. The approach may whipsaw in choppy markets, and volume reliability, slippage, parameter sensitivity, and delayed reversal response are noted limitations. The entry descriptions and source code also differ slightly in wording about whether the bar’s low or high crosses the signal line, so implementation details merit checking.

Key ideas

• The signal line is a moving average shifted by an ATR-based offset to reflect volatility.
• Entries require a signal-line cross and unusually high volume relative to its recent average.
• Long and short exits use the prior bar’s low and high as thresholds.
• Choppy markets, slippage, volume quality, and parameter sensitivity can undermine results.
• The published backtest settings do not establish profitability.

Tags

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