Combining the Voss Predictive Filter with an Instantaneous Trendline

Summary

This strategy combines John Ehlers’ Voss predictive filter with an instantaneous trendline to trade potential cyclical turns. It enters when the Voss output crosses its filter line, using the trendline and its lag line as a directional condition. The document describes the filter as emphasizing cycle information to produce early signals, while the trend measure is intended to screen out signals that conflict with the broader direction.

The published configuration includes a period of 20, prediction setting of 4, and bandwidth of 0.25. The accompanying backtest settings specify BTC/USDT futures on Binance from August 19 to September 18, 2023, using one-hour bars with a 15-minute base period. No returns, drawdowns, trade counts, or benchmark comparisons are reported, so the claim of good backtest performance cannot be assessed. Early signals may miss some trends or trade against strong ones; parameter sensitivity and the absence of specified stop rules also limit what can be concluded.

Key ideas

• The strategy uses Voss filter crossovers to signal potential cyclical turning points.
• An instantaneous trendline comparison acts as a directional filter for entries.
• The published settings include a 20-period filter, prediction setting of 4, and bandwidth of 0.25.
• The stated test uses BTC/USDT futures with one-hour bars over a one-month period in 2023.
• No performance metrics are provided, and early signals may lose against strong trends.

Tags

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