LUBE: A Price-Friction Breakout Strategy with a Short-Term Trend Filter

Summary

LUBE estimates how often recent bars have traded at the current closing price, interpreting repeated visits as price friction and infrequent visits as a zone where movement may be less constrained. It compares this measure with recent high and low levels, shifted by several bars, and looks for friction to fall below a configurable lower threshold. Trade direction comes from a short weighted FIR filter: rising values favor longs and falling values favor shorts. Positions close when an opposite signal appears or friction rises above a separate threshold. The script includes leverage and short-selling controls and is presented for a 30-minute BTCUSD chart, with possible use on other assets.

The description explains the intuition and tunable lookback and threshold settings, but provides no backtest statistics or evidence that low friction predicts a breakout. The accompanying prose ends before fully explaining the exit threshold, and the code’s friction calculation and delayed bands make parameter choices important to inspect. The strategy should therefore be treated as a heuristic, not a validated breakout method; execution costs and risk from leverage are not analyzed in the supplied material.

Key ideas

• The friction measure counts recent bars whose price ranges include the current close, with more visits interpreted as a congested zone.
• A low friction reading beneath a recent lower threshold triggers a possible directional trade.
• A short FIR filter determines whether the signal is long or short.
• Trades close on an opposite signal or when friction rises above a separate threshold.
• The document provides no performance results, and its explanation of the exit rule is incomplete.

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