Highest-High Breakouts with EMA Exits and a Low-Based Stop
Summary
This long-only trend-following strategy enters when the close rises above the highest high from a chosen lookback period. It uses an EMA, calculated on a selectable chart timeframe, as an exit signal when the close falls below it. The description also specifies a stop based on the lowest low over a separate lookback, with an option to enable that stop. Position size is derived from a user-set risk fraction and the distance between entry and the stop; an option allows sizing from accumulated net profit.
The document lists configurable lookback, risk, stop, timeframe, and date-range settings, and provides a BTC/USDT futures backtest configuration for February 2024. It gives no performance figures. The narrative proposes adapting parameters and adding short trades or other filters, but these are suggestions rather than demonstrated results. The supplied source is visibly truncated, so some implementation details cannot be checked against the description; the stop is also described as configurable and is disabled by default in the listed settings.
Key ideas
- A close above the prior lookback-period high triggers a long entry when no position is open.
- A close below the selected-timeframe EMA triggers a long exit.
- An optional stop uses the lowest low over a separate lookback period.
- Position size is based on a risk fraction divided by the entry-to-stop distance.
- The document gives a backtest configuration but no performance results, and its source is incomplete.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.