DMI Trend Entries with ATR Trailing Stops and Seasonal Filters

Summary

This long-only trend strategy uses the Directional Movement Index to find entries and an ATR-based trailing stop to manage exits. It requires ADX to cross above a threshold while positive directional movement exceeds negative directional movement. The stop begins a set ATR multiple below entry and ratchets upward as price rises. Configurable weekdays and trading hours are described, along with an optional filter based on historically favorable S&P 500 seasonal periods.

The document explains the rules and adjustable parameters but gives no performance results; its published backtest settings cover a short sample of BTC/USDT futures. The implementation also has limitations that complicate interpretation: the time-check function always returns true, so the stated time filter is not enforced, and the seasonality dates include a malformed June range. The stop trails but does not move down, and the S&P 500 seasonal calendar is being applied to a crypto futures example. Parameter tuning, trading costs, and out-of-sample validation would be needed before drawing conclusions.

Key ideas

• The strategy opens long positions when ADX crosses above its threshold and positive directional movement is stronger than negative directional movement.
• An ATR multiple sets the initial stop below entry, and the stop only moves upward as price rises.
• Weekday settings and an optional S&P 500 seasonality calendar are intended to restrict entries.
• The published BTC/USDT futures test settings do not include performance results, and the implementation’s time filter is inactive.

Tags

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