Chande-Kroll ATR Stops with an SMA Trend Filter

Summary

This strategy uses Chande-Kroll stop bands, calculated from recent highs and lows adjusted by ATR, to define entry and exit levels. A long position begins when the close crosses above the lower stop band while also trading above a simple moving average. It exits when the close falls below the upper band. The description frames the SMA as a trend filter and ATR as a way to adapt stop distances to changing volatility.

Position quantity can be calculated using either an exponential or linear mode, with a risk multiplier and a long lookback low used in the sizing formula. The published settings describe a BTC/USDT futures backtest period, but provide no returns, drawdowns, or other outcome statistics. The rules are long-only, and the document cautions that ranging markets, trend reversals, parameter choices, slippage, and costs can impair results. It suggests testing across conditions and extending the method with short signals or additional filters.

Key ideas

• ATR adjusts the Chande-Kroll stop bands to prevailing volatility.
• Long entries require a close crossing above the lower band and above the SMA filter.
• The position closes when price falls below the upper stop band.
• Position sizing offers linear and equity-scaled calculation modes.
• The supplied backtest configuration has no reported performance results, and the strategy may struggle in choppy markets.

Tags

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