Combining Liquidity Events, EMA Direction, and a Dynamic Range Filter

Summary

This strategy combines a range filter with a directional EMA condition. The filter smooths price changes over a sampling period and sets a band around its filtered value; signals arise when price moves beyond the filter in the direction of its recent movement. A long signal is accepted only when the fast EMA is above the slow EMA, and a short signal only when it is below. The source uses 50- and 100-period EMAs, a 50-period filter sample, and a range multiplier of three.

The source also calculates a volume-to-absolute-price-change measure, identifies threshold crossings, and applies EMAs to stored values for directional confirmation. This implementation detail differs from the overview's broad description of liquidity boundaries and warrants careful review when reproducing the method. Entries are submitted as stop orders at the filter's target bands. The stated backtest uses daily BTC/USDT futures data from 2019 to 2024, but no returns or other results are reported. The document warns about parameter sensitivity, slippage, and false signals in sideways markets; it does not establish that the combined filters improve performance.

Key ideas

• The range filter smooths price movement and defines upper and lower target bands.
• Directional filter signals are combined with the relative position of fast and slow EMAs.
• A volume-to-price-movement measure and threshold crossings feed the EMA confirmation calculation.
• The source places stop entries at the range filter's target bands.
• The published daily BTC/USDT futures test settings include no performance results, and the document notes parameter and slippage risks.

Tags

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