Dual-Momentum Breakout Signals with Directional Stop Losses

Summary

This strategy measures momentum as the difference between the current close and the close 18 periods earlier, then measures the one-period change in that momentum. Positive values for both measures indicate a long bias; negative values for both indicate a short bias. The strategy tracks which directional signal occurred most recently and maintains that direction until a later signal changes it. The document also describes stop losses with fixed-percentage or ATR-derived settings, with separate defaults for long and short positions.

The write-up presents the paired momentum checks as a way to filter weaker moves and discusses increasing exposure during trends. It warns that pullbacks may trigger stops, ranges can produce costly reversals, and stale positions can lose after a trend change. It suggests tuning momentum and stops, adjusting position size, and adding filters. Although a BTC/USDT futures backtest configuration is included, it is only a short sample and no results are reported. The code’s test-period function always returns true, and the short and long entries are issued while their respective momentum conditions remain active, so actual behavior may differ from the narrative about signal transitions.

Key ideas

• The strategy combines 18-period price momentum with its one-period change to define directional conditions.
• It remembers which directional condition was most recently active to determine the current bias.
• Long and short risk controls can use fixed percentage or ATR-based stops.
• Ranging markets can create frequent reversals, costs, and stop-outs.
• The published backtest setup provides no returns or other evidence of performance.

Tags

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