Dual Range Filter Trend Following with Volatility Bands

Summary

This document describes a trend-following system built around a range filter. It estimates a movement threshold from a selected range measure, with options including average change, ATR, standard deviation, price percentage, ticks, and fixed units. The filter updates when price moves beyond that threshold; its direction supplies trend signals, and upper and lower bands frame the permitted movement. The source also offers smoothing and averaging of filter changes. Entries are triggered when direction changes, while opposite signals and percentage-based profit or loss conditions can close positions.

The published setup specifies BTC/USDT futures, daily bars, and a backtest window from January 2023 to February 2024, but supplies no performance statistics or trade results. The written overview refers to dual EMA filtering and a floating stop, which do not precisely describe the provided code: the code implements configurable range filtering and percentage thresholds. Gaps can create false signals, and parameter choices can alter exits; no robustness evidence is presented.

Key ideas

• A range threshold can be based on volatility measures or fixed price units.
• The filter changes direction when price moves beyond its calculated range.
• Smoothing and averaging options alter the range and filter output.
• The source uses opposite signals and percentage thresholds for position exits.
• The stated backtest configuration is not accompanied by performance evidence.

Tags

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