Dual Linear Regression Crossovers with ATR Stops and Scaled Exits

Summary

This strategy compares two linear regression series, using a shorter period of 20 and a longer period of 40 by default. When the shorter series crosses above the longer one, it opens a long position if none is open; a downward cross similarly opens a short. The method combines these directional signals with an ATR-based trailing stop that closes the position when reached.

For profit taking, the design places 16 exit levels, described as spanning gains from 5% to 80% relative to entry, and closes a configurable portion of the position at each level. The document presents this as a way to retain some exposure if a trend continues, while recognizing that gradual exits can leave the remaining position exposed to a reversal. It provides no reported performance evidence. False crossover signals, ranging markets, parameter sensitivity, and large drawdowns in extreme conditions are identified as limitations; additional filters and position sizing are suggested for further evaluation.

Key ideas

• A shorter and longer linear regression series generate long and short signals when they cross.
• The default regression lengths are 20 and 40 periods.
• An ATR-based trailing stop is intended to close positions when price reaches the stop level.
• Sixteen configurable profit targets close portions of a position at progressively higher or lower prices.
• The document reports no performance results and flags false signals, ranging markets, and drawdown risk.

Tags

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