Dynamic Trailing Stops from Rolling Highs and Lows

Summary

This strategy sets a stop level from the highest high or lowest low over a configurable lookback window. For a long position, the stop follows the rolling low, adjusted by a percentage offset; for a short position, it follows the rolling high with an offset. When the stop level is reached, the system is designed to exit and enter in the opposite direction. The supplied defaults enable long trades, disable shorts, use a 20-bar lookback, and set the offset to zero.

The document presents the method as a simple way to track price and manage trade risk, but it gives no results demonstrating loss reduction or profitability. In volatile or sideways markets, repeated stop triggers and reversals may create frequent trades and costs. Lookback length and offset affect how tightly the stop follows price. The published settings cover BTC_USDT futures during December 2023, without reported performance statistics, so they do not establish how the approach performs across other assets or market conditions.

Key ideas

• The stop level follows the rolling low for longs and rolling high for shorts.
• A configurable percentage offset adjusts the stop distance from the rolling extreme.
• The strategy is designed to reverse direction when the stop level triggers.
• Short lookbacks or volatile prices may produce frequent stop triggers and trades.
• The published backtest settings include no performance statistics.

Tags

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