Dual Thrust Breakout Rules for Futures Trading

Summary

This example implements a Dual Thrust breakout strategy on a futures contract using daily bars. It calculates a range from the prior five completed sessions: the larger of the highest high minus the lowest close, or the highest close minus the lowest low. Upper and lower trigger levels are set around the current session's opening price using separate coefficients.

When the latest price rises above the upper level, the strategy targets a long position of three contracts; when it falls below the lower level, it targets a short position of three contracts. It recalculates the thresholds when a new daily bar appears or the opening price changes, and otherwise leaves the target unchanged. The document is illustrative code rather than an empirical evaluation: it provides no backtest, transaction costs, slippage analysis, or risk controls, and explicitly cautions that live use requires adaptation. Results will depend on the contract, parameter choices, execution, and market conditions.

Key ideas

• The strategy defines breakout thresholds around the current session's open.
• Its range uses recent highs and lows alongside the highest and lowest closes.
• The larger of two range calculations determines the distance to each trigger.
• Crossing the upper or lower threshold sets a fixed long or short target position.
• The example does not provide backtest evidence or account for execution costs and other live-trading risks.

Tags

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