High-Low Breakouts with a Trend and Divergence Filter

Summary

This trend-following method compares a selected price series with the prior bar's highest high and lowest low over a lookback window. A move above the prior rolling high signals a potential long entry, while a move below the prior rolling low signals a potential short entry. The document also describes checking trend direction and divergence before trading, with the aim of avoiding breakouts that conflict with indicator evidence.

The published source implements additional conditions using separate high and low guards and a configurable offset, but the prose does not explain those conditions in detail. The parameter list includes a 22-bar lookback and other inputs, while the backtest configuration specifies BTC/USDT futures on hourly bars with a 15-minute base period from August to September 2023. No performance results are reported. The document warns that ranging markets can produce excess signals and recommends confirmation and parameter adjustment; the effectiveness of these filters is not demonstrated.

Key ideas

• The strategy signals long when the selected price rises above the prior rolling high and short when it falls below the prior rolling low.
• The listed lookback setting is 22 periods, and the default price series is HLC3.
• The description calls for trend and divergence confirmation, while the source uses additional high and low guard conditions.
• Ranging markets may generate repeated false breakouts.
• The document gives backtest settings but reports no performance results.

Tags

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