ATR Trailing Stops with Cross-Based Entry and Exit Signals

Summary

The document describes a volatility-scaled trailing stop strategy. It multiplies ATR by a user-set sensitivity factor to determine the stop distance, then updates the stop as price moves. A signal is generated when the selected price source crosses the stop; the source can use ordinary closes or Heikin-Ashi closes. The prose presents EMA confirmation, but the code sets the EMA length to one, making that series effectively the selected source. The code also contains both long and short orders, alongside separate quantity handling, so its actual trade behavior is more involved than the summary suggests.

Parameters include the ATR period, sensitivity, signal source, and buy and sell quantities. Published settings specify a BTC/USDT futures backtest window, but no performance results are given. The document identifies sideways-market false signals, slippage, parameter sensitivity, excessive leverage, and stop breaches during sharp moves as risks. It recommends testing parameters and considering volume, time, and market-state filters; these are suggestions, not demonstrated improvements.

Key ideas

• The trailing stop distance is based on ATR multiplied by a configurable sensitivity factor.
• Price crossing the stop provides the main signal, with an optional Heikin-Ashi price source.
• The prose describes EMA confirmation, but the code's one-period EMA is effectively the chosen source series.
• The code includes both long and short entries and configurable quantities, making its behavior broader than the prose summary.
• Published backtest settings give a BTC/USDT futures window but 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.