ATR Trailing Stop Signals for Long-Only Trend Following

Summary

This strategy uses an ATR-based trailing stop to generate trend signals. The stop distance is the ATR multiplied by a sensitivity setting, with the stop moving behind price as a move continues. A signal occurs when the source price crosses the stop; the strategy opens a long position on an upward cross and closes it on a downward cross. It optionally uses a Heikin Ashi derived close as the source. Although the document describes EMA as part of trend determination, the code’s EMA is set to one period, so its crossover effectively tracks the selected source against the stop.

The published parameters include sensitivity, ATR period, and the Heikin Ashi option. Backtest settings specify BNB/USDT futures on three-hour bars for about three months, with commission and slippage configured in the source. No performance results are supplied. The source only enters long positions, despite the long-short framing, and the document notes that choppy markets can generate false signals and that backtests may differ from live execution.

Key ideas

• The trailing stop is placed at a distance based on ATR multiplied by a sensitivity parameter.
• An upward source-price cross above the stop opens a long position, while a downward cross closes it.
• The source can use a Heikin Ashi derived price instead of the regular close.
• The code’s one-period EMA makes the crossover functionally a comparison of source price and the stop.
• The published futures backtest settings include costs but provide no reported performance results.

Tags

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