Extracting Trend Signals with a Bandpass Filter

Summary

This strategy processes the midpoint of each bar with a recursive bandpass filter, then smooths the filtered series with a simple moving average. The resulting signal is compared with a configurable trigger level: readings above it indicate long exposure, and readings below it indicate short exposure. Length and Delta settings shape the filter, while an option can reverse the direction of the trades.

The document gives a BTC/USDT futures backtest configuration and parameter defaults, but no measured returns or other evidence to support its claim of stronger performance in trending markets. Its discussion identifies the main trade-off: smoothing can reduce some price noise, but filtering and averaging introduce lag and may miss rapid reversals or strong moves. Suggested additions such as stop losses, volume signals, and parameter optimization are proposals, not evaluated results. Performance may depend substantially on the selected settings and market regime.

Key ideas

• The strategy filters bar midpoint prices and smooths the resulting series with a simple moving average.
• It takes long or short exposure when the smoothed signal lies above or below a trigger level.
• Length and Delta control filter behavior, and trade direction can be reversed.
• Filtering may reduce noise while adding lag and removing useful signals.
• The published backtest configuration contains no reported performance measurements.

Tags

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