Fibonacci Retracement Breaks Filtered by EMA Trend

Summary

This strategy combines Fibonacci levels calculated from the recent price range with an EMA trend filter. It measures the highest high and lowest low over the previous 10 bars, derives five retracement levels, and compares 20-period and 50-period EMAs to classify the trend. In an uptrend, closes above retracement levels trigger long entries; in a downtrend, closes below them trigger short entries. Although the title refers to extensions, the supplied code calculates extension levels but does not use them for entries or exits.

The document provides backtest settings for BTC/USDT futures on daily bars over a stated historical interval, but it reports no returns, drawdowns, or other results. The code also does not include explicit exit or risk-management rules, and its repeated entry calls across levels may affect how the strategy behaves in a backtest. The accompanying description flags likely weaknesses: rolling highs and lows can lag, signals may fail in volatile or sideways conditions, and position sizing is not adaptive. The proposed improvements include volume and volatility filters, revised lookback periods, and dynamic stops; these are suggestions rather than tested findings.

Key ideas

• The strategy defines its price range using the highest high and lowest low across the previous 10 bars.
• It derives five Fibonacci retracement levels and uses 20-period and 50-period EMAs to set trend direction.
• Long entries are triggered above retracement levels during uptrends, while short entries are triggered below them during downtrends.
• Although extension levels are defined, the supplied code does not use them in its trading rules.
• The published backtest settings contain no performance results, and the code shows no explicit exit or adaptive position-sizing rules.

Tags

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