ATR Volatility Filter, RSI Entries, and Trailing Exits

Summary

This strategy combines ATR and RSI to select trades and manage exits. It treats ATR above its moving average as a high-volatility condition, then uses RSI thresholds to determine long or short direction. In the supplied parameters, an RSI entry offset is measured from the midpoint of 50. Once a position is open, the code tracks the trade high or low to set a percentage-based trailing stop, and places a separate profit target relative to the average entry price.

The document notes that both indicators lag and that ATR can remain elevated during a ranging market, potentially causing excess trading. It recommends testing parameters carefully and considering additional trend filters, dynamic exits, and size controls. Published settings describe a one-hour BTC/USDT futures backtest over one month, but no results are provided. The narrative simplifies the entry logic: the code also requires ATR as a percentage of price to fall within a configured band, and the profit targets are fixed percentages rather than dynamically set profit ratios. These implementation details limit how directly the prose can be taken as a full specification.

Key ideas

• The strategy requires ATR to exceed its moving average and to fall within a configured normalized band.
• RSI above or below thresholds around 50 triggers long or short entries.
• A trailing stop follows the highest price in a long trade or the lowest price in a short trade.
• Fixed percentage profit targets are set relative to the average entry price.
• The brief BTC/USDT backtest settings include 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.