High-Low Breakouts Filtered by an EMA of Volume-Weighted Price Change

Summary

This futures strategy combines rolling price extremes with a smoothed volume-weighted price-change measure. The indicator multiplies volume by the change in closing price over a configurable lag, then applies an exponential moving average. A positive reading permits long breakouts above the recent high, while a negative reading permits short breakouts below the recent low. The source also includes position sizing based on account value, a minimum order quantity, and a percentage-based stop condition.

The published settings describe an hourly Bitcoin futures backtest over a period of less than two months in 2018, with a one-week contract and selected indicator and order-size parameters. No performance metrics or interpretation of the test are included, so the settings alone do not establish profitability or robustness. The method depends on lookback and smoothing choices, and breakout signals can be vulnerable to reversals and transaction costs. Its brief description offers little discussion of market regimes, execution assumptions, or risk beyond the stop parameter.

Key ideas

• The indicator smooths volume multiplied by the change in closing price over a chosen lag.
• Positive and negative indicator readings gate long and short breakouts beyond rolling price extremes.
• The source includes minimum order sizing and a percentage-based stop condition.
• Published settings describe an hourly Bitcoin futures test over a limited historical interval.
• No performance metrics are reported, leaving the strategy's effectiveness unestablished.

Tags

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