Fibonacci Retracement Entries with a Swing-Based Trailing Stop

Summary

This strategy combines Fibonacci retracement levels with a swing-based trailing stop to generate long entries and exits. It calculates retracement prices from the highest high and lowest low over a lookback range, then tracks swing highs and lows to set the stop. A long entry is triggered when the close is above the trailing stop and at least one of several retracement levels; the position closes when the close is below the stop and at least one level.

The document explains the intended logic and discusses volatility, parameter choice, and trend misidentification as risks. It proposes adding other indicators, adapting parameters to market conditions, and applying position and stop management. Published settings describe a BTC/USDT futures backtest over roughly a year, but no performance results are provided. The supplied code also differs from the prose: it uses a one-bar swing setting and its sell condition requires both the stop and a retracement test, rather than allowing either to trigger an exit. These details limit what can be inferred about actual strategy behavior.

Key ideas

• The strategy calculates several Fibonacci retracement prices from a rolling high-to-low range.
• It uses recent swing highs and lows to derive a trailing stop direction.
• A long signal requires the close to exceed both the stop and at least one retracement level.
• The document identifies volatility, parameter selection, and false trend readings as key risks.
• Published backtest settings are given, but no performance evidence is reported.

Tags

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