Hourly Trend-Filtered Momentum Breakouts with ATR Scaling

Summary

This strategy uses a 1-hour trend filter to qualify 3-minute momentum breakout trades. It considers longs when price is above the hourly 200-period EMA and the MACD histogram is positive, and shorts when both signals point down. Entries follow a close beyond the previous 20 bars’ highs or lows, with two contracts opened per trade. The rules describe scaling out one contract after a favorable move of 1.5 ATR, then managing the remainder with a 40-tick trailing stop or a 30-bar timeout.

The document explains the intended logic and lists possible failure modes, including false breakouts, lagging trend signals, parameter sensitivity, and poor performance in ranging markets. It proposes regime filters, pullback entries, adaptive sizing, parameter adjustment, and session filters. Backtest settings specify Binance ETH/USDT futures from July 2024 to July 2025, but no performance results are reported. The source labels the setup for MNQ while the published settings use ETH/USDT, and its implementation details should be checked against the prose before relying on it.

Key ideas

• Hourly EMA and MACD conditions determine whether the strategy may take long or short breakouts on a 3-minute chart.
• Entries trigger when the close exceeds the prior 20 bars’ highs or lows in the filtered direction.
• The stated trade plan opens two contracts, scales out one at a 1.5 ATR favorable move, and manages the rest with a trailing stop or timeout.
• False breakouts, lagging indicators, parameter sensitivity, and ranging conditions are identified as risks.
• The specified backtest period and instrument are given, but no results are provided.

Tags

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