Basket Momentum Rotation with Breakout and ATR-Based Risk Rules

Summary

This script outlines a basket strategy that ranks eight configurable equity symbols by rate of change over a lookback period and combines relative leadership with a price breakout. Its settings include a momentum lookback, breakout window, optional requirement to lose leadership for several bars before rotating out, and an optional long-term moving-average regime filter. The risk controls specify equity risk per trade, an ATR-based stop, and a take-profit multiple relative to that stop.

The available document is incomplete: the source cuts off while defining the breakout level, before the entry, exit, and rotation rules are fully visible. It includes execution assumptions such as commissions and slippage and states that security data is fetched without lookahead, but provides no backtest results. The strategy concept is useful to study, while its full mechanics and actual performance cannot be verified from the supplied excerpt.

Key ideas

• The script ranks a configurable basket of eight symbols by recent rate of change.
• It combines relative momentum leadership with a price breakout concept.
• Optional filters include a regime SMA and confirmation before rotating out of a leader.
• Position risk and exits are parameterized using equity risk and ATR multiples.
• The excerpt ends before the full trading rules and reports no performance evidence.

Tags

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