Gap Breakout Entries Filtered by a Simple Moving Average
Summary
This strategy trades opening gaps by measuring the percentage difference between the current open and the previous close. A configurable threshold filters out small gaps, while a selectable mode determines whether to go long or short on an upward or downward gap. An optional simple moving average filter allows entries only when the closing price agrees with the selected trade direction. Positions are closed after a preset number of bars.
The document describes the signals, adjustable parameters, and a published backtest configuration for BTC/USDT futures on daily bars from December 2019 to November 2024. It gives no performance statistics, so the test settings alone do not establish profitability. The strategy may lose when gaps quickly reverse or fill, and opening trades can incur substantial slippage. A fixed holding period may also fail to respond to changing conditions. The SMA and gap threshold can reduce some unwanted entries, but the document does not provide evidence that they improve results.
Key ideas
- Gap size is measured as the percentage difference between the open and previous close.
- A threshold filters small gaps, and the selected mode defines the direction of trades.
- An optional SMA filter requires price to align with the intended trade direction.
- Positions are closed after a preset holding period, which may not suit every market condition.
- The published backtest settings contain no performance results, and gap fills and slippage remain risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.