Dual Thrust Breakout Entries from Prior-Period Price Ranges

Summary

Dual Thrust sets daily breakout thresholds using the previous period's price range. The method compares the highest high with the latest close and the highest close with the lowest low over a configurable lookback, takes the larger range, and applies separate upper and lower multipliers. At the next session's open, the thresholds are anchored to that opening price. A move above the upper threshold enters long; a move below the lower threshold enters short.

The system is described as a reversal strategy: a signal in the opposite direction also closes the existing position, with no separate stop loss. The document provides default lookback and threshold coefficients, plus backtest settings for BTC/USD futures over a short 2018 period, but gives no performance results. The rule is straightforward to implement, but it relies on breakout execution and can remain exposed until an opposite signal arrives; it does not describe slippage, sizing, or additional risk controls.

Key ideas

• The trigger distance is based on the larger of two lookback price ranges, scaled by a coefficient.
• Thresholds are set above and below the next session's opening price.
• A breakout above the upper threshold opens a long, while a drop below the lower threshold opens a short.
• An opposite-direction signal also serves as the exit, and the described system has no separate stop loss.
• The BTC/USD futures test settings include no reported performance results.

Tags

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