Combining Donchian-Style Breakouts with a Trend Oscillator and ATR Stops

Summary

This strategy pairs a rolling high-low breakout rule with a two-line trend oscillator. A close above the prior rolling high supplies a long signal when the oscillator is bullish; a close below the prior rolling low combines with a bearish oscillator reading for a short. The oscillator is described as MACD-like, using directional-indicator differences, while the breakout component also provides a trailing stop reference. The document describes an additional fixed ATR-based stop and configurable risk and position controls.

The source parameters show that the breakout lookback, ATR stop periods and multipliers, direction, and risk settings can be adjusted. Published backtest settings cover a short sample of Bitcoin futures data, but no performance figures or robust validation are given. The document notes that combining filters can miss trades or yield conflicting signals, and that fixed stops may exit too early. It suggests testing parameter choices and considering volatility or volume filters, while its machine-learning suggestion is not evaluated.

Key ideas

• Long entries require an upper rolling-high breakout and bullish oscillator confirmation; shorts use the lower breakout and bearish confirmation.
• The system combines a trailing stop with a fixed ATR-based stop and configurable risk controls.
• The extra indicator filter may reduce false signals but can also omit trades or conflict with the breakout.
• The brief published backtest configuration contains no reported performance evidence.

Tags

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