Fractal Support and Resistance Breakout Strategy
Summary
This strategy trades breakouts from support and resistance levels derived from confirmed price fractals. Its fractal rule identifies local highs and lows using a sequence of neighboring bars, so the levels become available with a two-bar confirmation lag. Over a configurable lookback, set to 21 by default, it averages the identified high and low prices and uses their separation to adjust the support and resistance levels.
The strategy takes long positions when its trend state is positive and price breaks above a confirmed high, and short positions when the trend is negative and price breaks below a confirmed low. It closes positions when the trend state reverses. The published backtest settings specify BTC/USDT futures, four-hour bars, and a roughly one-month period, but no performance results are reported. The short sample and fractal lag are relevant limitations; the document does not establish profitability or robustness.
Key ideas
- The strategy identifies local highs and lows with a fractal rule that requires two bars of confirmation.
- A configurable lookback averages confirmed high and low prices to define adjusted support and resistance levels.
- Long entries require a positive trend state and a breakout above a confirmed high.
- Short entries require a negative trend state and a break below a confirmed low.
- Positions close when the trend state switches direction, and the document reports no backtest performance statistics.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.