High-Low Moving Average Channel Breakout with Trailing Stops

Summary

This strategy uses moving averages of high and low prices to create a channel, with a persistent state determining which boundary acts as the active line. A crossover between the lines triggers long or short entries. The source allows several average types and uses a lookback default of 10, while the accompanying description emphasizes SMA boundaries. Exit orders combine a fixed loss distance with an activated trailing component; a date window can restrict the backtest.

The document provides code and BTC/USDT futures backtest settings, but no performance results, so it does not establish profitability. It warns that channel signals can whipsaw in ranging markets and that abrupt moves may pass through stops. The stop and trailing parameters are fixed rather than volatility-adjusted, and the stated historical date filter is not visibly applied in the source's time-check function. Volume filters, volatility-based stops, or exits on a return into the channel are suggested as possible extensions.

Key ideas

• Moving averages of highs and lows define the channel boundaries.
• Crossovers of the channel lines generate directional entries.
• The source offers multiple moving-average types and a lookback setting.
• Fixed loss and trailing exit parameters manage open positions, but do not adapt to volatility.
• The document supplies backtest configuration without performance evidence.

Tags

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