Combining Fair Value Gaps, Trend Filters, and ATR-Based Exits

Summary

This multi-signal system combines fair value gap detection with momentum, price action, and trend filters. Potential entries arise from gap-and-RSI conditions, MACD alignment, breakouts or breakdowns confirmed by volume, and rejection patterns around VWAP and a shorter EMA. A SuperTrend filter is enabled by default; a 200-period EMA direction filter is optional. The system also enters positions when its market-trend state changes, separately from its signal-based entries.

Position quantities are calculated from equity, a risk percentage, and ATR-based distances, while exits combine trailing stops and target levels. The document lists a one-hour SOL/USDT Binance test configuration from January 1 to February 20, 2025, but reports no results. Several described features may not work as intended: the signal-based entry quantities are calculated but not clearly tied to the positions, the breakout comparison includes the current bar, and repeated exit orders complicate interpretation. Parameter sensitivity, false signals, slippage, and implementation details limit conclusions about performance.

Key ideas

• Entry signals combine fair value gaps, RSI, MACD, SuperTrend, volume, VWAP, and price action.
• A 200-period EMA trend filter can be enabled, while the SuperTrend filter is on by default.
• The strategy uses ATR-based position calculations and multiple stop and target exit instructions.
• Trend-change entries operate separately from the other signal-based entries.
• The published test configuration has no accompanying performance statistics, and some implementation details may affect behavior.

Tags

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