Historical Price Breakouts Filtered by a Long-Term Moving Average
Summary
This long-only trend system combines a historical price breakout with a moving average filter. It enters when price reaches a 55-day high and closes above a 200-day moving average, then exits when price reaches a 20-day low. The moving average can be selected from several types, and the stated position size is 10% of account equity per trade. These rules resemble a channel breakout approach, using a shorter lookback for exits than for entries.
The document includes source logic and published backtest settings for daily BTC/USDT futures from late 2019 to late 2024, but it gives no performance statistics. Its discussion identifies false breakouts in choppy markets, slippage in less liquid markets, and parameter sensitivity as limitations. It proposes testing volume confirmation, volatility-based stops, and adaptive sizing, but those are possible extensions rather than features of the shown strategy. The source’s exit condition is triggered by reaching the rolling low, so the exact fill behavior depends on the platform’s execution model.
Key ideas
- A 55-day high triggers a long entry only when price closes above the selected 200-day moving average.
- A 20-day low is used to close the position.
- The described sizing allocates 10% of account equity per trade.
- The published test uses daily BTC/USDT futures data but reports no returns or risk statistics.
- Choppy conditions, slippage, and parameter sensitivity are stated risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.