Gaussian Channel Momentum Strategy with Seasonal and ATR Filters

Summary

This long-only momentum system builds a dynamic price channel by applying a multi-pole Gaussian filter to price and true range. It enters when the filter is rising, price is above the upper band, stochastic RSI is at or above its overbought threshold, and the date falls within the configured seasonal window. An exit occurs when price crosses below the lower band. The source also calculates position size from account equity, a risk percentage, and ATR, subject to a cap.

The document gives a DIA/USDT futures backtest configuration spanning about a year, but reports no returns, trade counts, or risk statistics. It describes possible noise reduction and risk consistency as intended benefits, not demonstrated results. Its caveats include missed opportunities from multiple filters, parameter sensitivity, execution delays, and the risk that fixed seasonal dates may stop fitting market conditions. The strategy’s stated seasonal window crosses the calendar year, and the source’s sizing formula may not by itself guarantee a fixed realized loss per trade.

Key ideas

• A multi-pole Gaussian filter and filtered true range define the channel bands.
• Long entries require an upward filter, a close above the upper band, an overbought stochastic RSI reading, and an in-season date.
• The position size uses ATR and account equity with a stated cap, while exit signals come from a cross below the lower band.
• The backtest settings identify DIA/USDT futures, but the document supplies no measured performance results.
• Fixed seasonal windows, complex filters, and parameter sensitivity may limit robustness.

Tags

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