Gaussian Filter Channel Breakouts for Trend Following

Summary

This strategy builds a price channel from a Gaussian-filtered price series and a similarly filtered true range. The filtered price forms the centerline; multiplying filtered range by a chosen factor sets the distance to the upper and lower bands. A close crossing above the upper band opens a long position, while a crossing back below that upper band closes it. Although the overview describes short entries on lower-band breaks, the supplied source only implements long entries and exits. Date inputs are presented for limiting when signals operate, but the shown source sets its time condition to always true.

The document explains that sampling period and pole count affect smoothness and lag, and describes optional reduced-lag and faster-response modes. It recommends parameter checks, out-of-sample evaluation, risk controls, and testing across instruments. A BTC/USDT futures backtest interval is listed, but no results are provided, so the material offers a rule description rather than evidence of profitability.

Key ideas

• The channel uses a Gaussian-filtered price centerline and filtered true range for its bands.
• A close crossing above the upper band opens a long position, and crossing back below it closes the position in the source.
• Sampling period and pole count trade off smoother output against greater lag.
• The overview describes short trades, but the provided trading rules implement long positions only.
• The published backtest settings include no performance figures.

Tags

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