Fibonacci Breakouts with SMA Trend Filtering and ATR-Based Exits
Summary
This trend-following method calculates a 0.65 Fibonacci retracement level from recent highs and lows, then uses a long-period SMA to determine market direction. It enters long when price crosses above the level while above the SMA, and short when price crosses below it while below the SMA. ATR-based stop and target distances are set using a 12-period ATR multiplied by 1.8. The described configuration uses a 38-period Fibonacci lookback and a 181-period SMA.
The document says the strategy is intended for 15-minute trading, while its published BTC/USDT futures settings list three-hour bars for about a month. It provides no measured performance, so claims about signal quality are not established by the supplied evidence. The authors identify whipsaws in ranges, delayed trend filtering, fixed ATR scaling, and dependence on reliable high-low data as limitations. Volume or volatility filters and time-of-day restrictions are suggested as possible refinements.
Key ideas
- A 0.65 Fibonacci level is derived from a rolling range of highs and lows.
- An SMA filter aligns breakout trades with the broader direction.
- Long and short entries trigger when price crosses the level in the filtered direction.
- ATR determines stop-loss and take-profit distances using a multiplier of 1.8.
- The published backtest settings do not include performance statistics and use a different bar interval from the overview.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.