High-Low Breakouts with Lookback Filters and Bracket Exits

Summary

This document describes a trend-following strategy that looks for price to exceed recent highs or fall below recent lows. It calculates a rolling range, with an option to use candle highs and lows or closing prices, then requires a minimum distance from the bar that set the prior extreme before generating a signal. Long and short entries receive percentage-based stop-loss and take-profit levels.

The stated defaults use a 50-bar range and a 30-bar minimum separation. The published backtest settings specify one day of one-minute BTC/USDT futures data, but the document gives no performance results, so they do not establish profitability. It identifies choppy markets as a source of repeated entries and notes that poorly chosen parameters can miss trends. Suggested improvements include adding trend or volatility filters, tuning parameters, and applying position controls; these are proposals rather than tested findings.

Key ideas

• The strategy buys when price breaks a recent high and sells when it breaks a recent low, subject to a minimum separation from the prior extreme.
• The range can be calculated from candle highs and lows or from closing prices.
• Percentage-based stop-loss and take-profit levels are set after entry.
• The document warns that range-bound markets can trigger frequent trades and that parameter choices affect signals.
• The provided backtest settings do not include performance results.

Tags

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