Combining 123 Reversal Signals with an ETT Trend Filter

Summary

This strategy combines a short-term reversal system with an Extracting The Trend (ETT) filter. The 123 component looks for a two-day change in closing-price direction and uses stochastic oscillator conditions to qualify long or short signals. The ETT component derives a directional state from a band-pass filter and a moving average. The strategy takes a position only when both components agree; otherwise, it closes open positions. A reverse-trading option can invert the resulting signal.

The document explains the rationale and lists parameter defaults, and it publishes a one-month BTC/USDT futures backtest configuration using hourly bars with a 15-minute base period. It gives no performance metrics or results, so its claims that combining the signals improves quality are not demonstrated. The written description and source differ in their stochastic conditions, making the exact intended 123 rules worth checking before implementation. The text also acknowledges false signals, trend-filter errors, and losses when both components misclassify market conditions; position sizing and parameter selection remain unresolved.

Key ideas

• The 123 component uses recent closing-price reversals and stochastic conditions to form directional signals.
• The ETT component estimates trend direction with a band-pass filter and a moving average.
• The strategy enters only when the reversal and trend signals agree, and closes positions when they do not.
• A reverse option can invert the combined directional signal.
• The published backtest settings include BTC/USDT futures data, but no performance results are reported.

Tags

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