BTC Futures Breakouts from Rolling Support and Resistance with ATR Targets

Summary

This BTC futures system builds rolling resistance and support levels from a weighted price calculation using the high, low, and close. It enters long when the current high reaches or exceeds the prior bar’s resistance, and short when the low reaches or falls below the prior support, provided volume is positive. The levels are calculated over a configurable lookback. After entry, the strategy sets a profit-taking price using the entry price plus or minus an ATR-based distance; the ATR is a moving average of true range over that same lookback, scaled by a fixed factor. Position size is derived from a percentage parameter and contract-related values.

The published configuration tests hourly BTC/USD futures on OKCoin from 2018 through mid-2021 and specifies a quarterly contract. No performance statistics are included, and exits shown are profit targets rather than explicit protective stops. The document offers little discussion of execution, drawdowns, or parameter sensitivity, so the backtest dates alone do not establish profitability. Breakout failure, contract mechanics, and the lack of a clear stop-loss rule are important limits to examine.

Key ideas

• Rolling resistance and support levels are derived from a weighted combination of high, low, and closing prices.
• A long or short position opens when price breaks the previous bar’s corresponding level and volume is positive.
• The profit target is based on entry price and an ATR distance scaled by a fixed factor.
• Position size depends on a percentage input and futures contract values.
• The hourly BTC/USD test configuration spans 2018 to mid-2021, but no performance results or explicit stop rule are reported.

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