Detrended Synthetic Price Bands for Dual-Direction Trading

Summary

This approach constructs a detrended synthetic price (DSP) by subtracting a longer EMA from a shorter EMA applied to the high-low midpoint. With the listed length of 14, the source uses EMAs of 14 and 28 periods. It switches to a long position when DSP rises above the sell band and to a short position when it falls below the buy band; the defaults are 25 and -25. A reverse setting flips the directions.

The document explains the method as a way to track a dominant price cycle, but provides no measured evidence that the signals capture that cycle reliably. It warns that unsuitable cycle or band settings can cause missed signals or repeated whipsaws, that fixed settings may adapt poorly to sharp market changes, and that the described rules lack a stop loss. Suggested extensions include volatility-based bands, filters, trailing stops, and testing across instruments. The published BTC/USDT futures test spans about two days at one-minute intervals, with no reported performance statistics.

Key ideas

• DSP is calculated as the difference between shorter- and longer-period EMAs of the high-low midpoint.
• The strategy enters long above the upper band and short below the lower band, with an option to reverse directions.
• The listed defaults use a length of 14 and bands at 25 and -25.
• The method has no stated stop-loss rule and may whipsaw when price oscillates around the thresholds.
• The document gives backtest settings but no performance evidence for the cycle-based signals.

Tags

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