Dual Thrust Futures Breakouts with Reversal on Opposite Signals

Summary

The Dual Thrust method sets daily breakout thresholds from recent price ranges. At the start of a new bar, it measures the greater of two ranges formed from recent highs, lows, and closes, then scales separate upper and lower thresholds by configurable coefficients around the bar’s open. A move through either threshold triggers a position in that direction; an opposite trigger closes the current position and reverses it, with no independent stop-loss rule.

The document describes an OKCoin futures implementation with selectable contract, leverage, lookback, threshold multipliers, and order size. Its source also shows repeated order placement and cancellation to reach target size, along with charting and position tracking. It provides no backtest period or performance evidence. Because exits depend on opposite signals, losses may continue until a reversal threshold is reached; leverage, fills, and trading costs can materially affect outcomes.

Key ideas

• The breakout range is derived from recent highs, lows, and closes, then scaled into upper and lower thresholds.
• A crossing of the upper threshold opens a long position, while a crossing of the lower threshold opens a short position.
• An opposite breakout acts as both the exit and the reversal trigger; no separate stop is described.
• The implementation exposes lookback, threshold multipliers, contract, leverage, and order-size settings.
• The document provides implementation details but no evidence of backtest performance.

Tags

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