ATR Pivot Bands with DMI Trend Filtering
Summary
This strategy forms upper and lower bands around a pivot calculated from the prior high, low, and close. The band distance depends on ATR and a divisor, with timeframe and lookback inputs controlling the reference data and responsiveness. A custom directional movement measure, smoothed into a trend signal, filters entries: the strategy buys when price tests or moves below the lower band and closes back above it while the signal is rising, and sells when price tests or moves above the upper band and closes back below it while the signal is falling. It exits positions at the middle pivot and also exposes take-profit and stop-loss inputs.
The document gives default parameter values and a one-hour BTC/USDT Binance futures backtest configuration using 15-minute base data for November 2023. It supplies no performance results, cost assumptions, or comparison with a benchmark. Although the prose characterizes the setup as a breakout strategy, the code enters after a band excursion and close back inside, which resembles a rejection or reversion entry conditioned on trend. The notes identify abrupt volatility and trend-filter errors as risks, and suggest adjusting band and signal settings or adding confirmation; these changes are not tested in the document.
Key ideas
- ATR-scaled bands are centered on a pivot from the prior period's high, low, and close.
- Long and short entries require a band excursion, a close back inside, and a directional trend filter.
- Positions can close at the middle pivot or through configured profit and loss exits.
- Band width and sensitivity depend on ATR timeframe, lookback, and divisor settings.
- The document provides a BTC/USDT futures test setup but no reported results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.