ATR-Normalized Range Oscillator with Stochastic Confirmation

Summary

This long-only strategy combines a custom range oscillator with a stochastic crossover for entries. The oscillator measures the close's distance from a weighted mean, where historical prices receive weights based on their percentage changes; the distance is normalized by an ATR-based range. A long entry requires the oscillator to exceed its threshold and, when enabled, the stochastic %K to cross above %D while below a specified level. The stated defaults include a 50-period minimum range, a 2.0 range-width multiplier, and a seven-period stochastic with smoothing.

Exits can occur when the oscillator drops below its exit threshold or when a 70-period EMA slope turns negative. Optional stop-loss, take-profit, and reward-to-risk exits are disabled by default. The text claims backtest improvements in win rate, drawdown, and returns, and gives conditional performance figures for selected market environments, but the supplied source excerpt is incomplete and those claims cannot be independently assessed here. It warns that choppy or unusually volatile conditions can produce poor signals and recommends risk limits and volatility filtering.

Key ideas

• The oscillator measures price deviation from a price-change-weighted mean and normalizes it by an ATR-based range.
• Long entries combine an oscillator threshold with an optional stochastic bullish crossover filter.
• A low oscillator reading or a negative EMA slope can close a long position.
• Stop-loss, take-profit, and reward-to-risk exits are optional and disabled by default.
• The document reports backtest claims but supplies an incomplete source excerpt and warns of weak performance in choppy or extreme volatility.

Tags

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