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Long-Only Divergence Entries with Volatility Filters and Scale-Ins

Article Strategy library · Author: ChaoZhang
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Summary

This long-only strategy combines divergence signals from RSI, MACD, OBV, CCI, CMF, MFI, and a MACD-style histogram with a volatility and money-flow filter. A signal can arise when an indicator forms a lower low while price does not, or when a candle meets user-set range or wick thresholds while the Volume Flow Indicator is negative. After an initial entry, the rules add to the position when price falls a configured percentage below the last entry. A take-profit limit is calculated from the average position price.

The document includes adjustable thresholds and a published BTC/USDT futures backtest configuration, but reports no results. Its description calls the exit a trailing stop, while the source implements a take-profit limit; the source also repeatedly adds long exposure without specifying a downside stop. The author flags the risks of one-way positioning, amplified losses from additions, complex signal parameters, and trading fees. Any benefit from the filters or divergence detection remains unverified by reported performance.

Key ideas

  • The strategy generates long signals from divergences across several price and volume indicators or from a volatility and negative-VFI filter.
  • It adds long exposure after price falls by a configured percentage from the most recent entry.
  • The source sets a take-profit limit relative to average position price and does not specify a downside stop.
  • Scale-ins can increase losses, especially when a long-only signal is wrong.
  • The BTC/USDT futures backtest settings are provided without performance results.

Tags

FuturesMean reversionTechnical indicatorsVolatilityPosition sizingRisk management

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