Dual Thrust Range Breakouts with Reversal Entries

Summary

This Dual Thrust method sets daily trigger levels from a recent price range. It compares the highest high with the lowest close and the highest close with the lowest low over a configurable lookback, then uses the larger range component with separate upper and lower multipliers. At the start of a new session, the opening price anchors the two triggers. Crossing the upper trigger opens a long, while crossing the lower trigger opens a short.

The strategy is described as a reversal system: an opposite signal closes the existing position and establishes the new direction, with no separate stop loss. The document includes sample parameter values and implementation details for quarterly OKEX futures, including contract sizing and order handling, but provides no backtest period or performance evidence. It does not discuss transaction costs or slippage, and the absence of an independent stop means risk depends heavily on position sizing and the timing of a reverse trigger.

Key ideas

• The trigger distance comes from the larger of two recent high-to-close and close-to-low range calculations.
• The current session's opening price anchors the upper and lower entry levels.
• An upper-level break opens long exposure, and a lower-level break opens short exposure.
• Opposite signals reverse the position and also act as the exit, with no separate stop loss.
• The document describes futures execution and sizing but reports no performance results.

Tags

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