Linear Regression Channel Entries with a Hull Moving Average Filter

Summary

This long-only strategy combines a linear regression line and a lower channel band with a Hull moving average (HMA) filter. It enters when price falls below the channel band while remaining above the HMA, then closes the position when price rises above the regression line. The accompanying explanation frames the band as a way to identify relatively low prices and the HMA as a broad trend filter, though the actual conditions amount to buying a pullback while price is above the HMA.

The listed defaults use a 55-bar regression calculation and a 400-bar HMA, with the lower band set as a percentage offset from the regression line. The document suggests testing parameter changes, trailing stops, volatility filters, and volume confirmation. It describes risks including missed opportunities during strong advances and losses from sharp reversals or deep pullbacks. A daily Bitcoin futures backtest configuration is supplied, but no performance statistics are reported; claims about robustness or returns are therefore not substantiated by the included evidence.

Key ideas

• The strategy buys when price is below a regression-derived lower band but above the HMA filter.
• It closes the long position when price moves above the regression line.
• The regression band and HMA lengths control the price reference and trend filter.
• Suggested refinements include a trailing stop, volatility screening, and volume confirmation.
• The published backtest settings lack performance results, so profitability is not demonstrated.

Tags

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