Directional Trend Index Thresholds for Trend-Following Trades

Summary

This strategy uses the Directional Trend Index (DTI), derived by smoothing changes in highs and lows, to generate directional positions. The indicator applies three successive exponential averages to signed price movement and its absolute value, then scales their ratio. Threshold crossings determine when positions switch: the document’s prose describes longs above an upper threshold and shorts below a lower threshold, with positions held until an opposing signal.

The parameter example lists smoothing periods of 14, 10, and 5, and threshold values of 45 and -45. A published configuration uses BTC/USDT futures with four-hour strategy bars and 15-minute base data for about a month, but no results are supplied. The source implementation’s position assignments appear opposite to the prose’s stated long and short crossing directions, so the precise trade mapping needs verification before use. The document also warns that reversal timing is difficult, long holds can draw down, and parameter choices may miss opportunities; it suggests testing thresholds across instruments and adding stop losses.

Key ideas

• DTI smooths directional high and low changes and normalizes them by smoothed absolute movement.
• Threshold crossings are intended to establish trend-following positions held until a later signal.
• The example parameters use smoothing periods of 14, 10, and 5, with thresholds of 45 and -45.
• The prose and source code appear to assign opposite position directions to threshold events, requiring reconciliation.
• The BTC/USDT futures example provides settings but 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.