Chande Kroll Stop Entries Filtered by ADX
Summary
This strategy uses Chande Kroll stop lines to signal directional entries and ADX to screen for stronger trends. The stop lines are derived from recent highs and lows adjusted by ATR, then smoothed across a second lookback window. A close crossing above the short stop line signals a long entry, while a close crossing below the long stop line signals a short entry; the strategy requires ADX to exceed its threshold for either signal.
The document describes parameter choices and a published BTC/USDT Binance futures backtest setup spanning late 2022 to mid-2023, but it reports no performance results. It suggests that excessive ADX filtering can delay or miss early trends, while close stops may cause frequent turnover and higher trading costs or slippage. ATR-based stop adjustments and additional trend filters are proposed as possible refinements, not tested findings.
Key ideas
- Chande Kroll stop lines use recent price extremes and ATR to define possible trend reversal levels.
- A close crossing above the short stop line signals a long entry, and a close crossing below the long stop line signals a short entry.
- ADX must exceed a threshold before either directional signal is acted on.
- High ADX thresholds may filter early trend entries, while tight stops can raise turnover and execution costs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.