Low-Friction Price Zones with a Trend-Filtered Entry Strategy

Summary

This strategy estimates price-zone friction by counting how often the current close fell within prior bars' high-low ranges, with more recent observations weighted more heavily. It compares that measure with rolling high and low friction values. A reading below a lower threshold signals that price is in a relatively unfamiliar zone; a short weighted FIR price filter then chooses long or short direction. Positions close when friction rises above a midpoint threshold or when the opposing signal appears. The script also exposes leverage and short-selling controls.

The author presents it for a 30-minute BTCUSD chart while noting it could be adapted to other assets. The published account reports a maximum drawdown and describes both missed portions of large moves and whipsaws, but gives no broader validation across assets or regimes. The author cautions against increasing leverage and notes that direct reversals can complicate bot alerts. The thresholds and lookback choices are discretionary, and the supplied backtest claim should not be treated as evidence of future performance.

Key ideas

• The friction measure weights prior bars according to how often their ranges contained the current close.
• A low friction reading relative to a rolling threshold signals a price zone with limited recent overlap.
• A short weighted FIR filter determines whether the strategy takes a long or short position.
• Positions close when friction rises to a chosen midpoint or the opposite directional signal appears.
• The author reports whipsaws and missed large moves and cautions against higher leverage.

Tags

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