High-Low Breakouts Filtered by Alpha Trend and Moving Average

Summary

This strategy seeks to enter when a closing price breaks beyond recent closing-price highs or lows. It confirms a long breakout by requiring price to be above both a simple moving average and an ATR-based Alpha Trend line; short entries require price below both filters. The document gives defaults of 20 bars for the breakout lookback, 50 bars for the moving average, and 14 bars for ATR, with a 1.5 ATR multiplier. It also describes percentage-based stop-loss and take-profit settings, defaulted to 2% and 4%.

The supplied example is configured for BTC/USDT Binance futures, with daily strategy bars and hourly base data over roughly one year, but no performance results are reported. The document identifies false breakouts in sideways markets, slippage during fast moves, delayed response to reversals, and parameter sensitivity as limitations. It proposes volume checks, multiple timeframes, volatility-aware settings, and trade-frequency controls as possible refinements; these are suggestions rather than tested improvements.

Key ideas

• A close beyond the prior lookback high or low triggers a potential breakout entry.
• The Alpha Trend line and simple moving average must confirm the breakout direction.
• The example specifies percentage stop and target distances alongside ATR and lookback parameters.
• The published configuration uses BTC/USDT futures data but gives no performance statistics.
• Sideways markets, slippage, reversals, and parameter choices may weaken the rules.

Tags

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