Monthly Trend Breakout Strategy Using Adaptive MA, Trendline, and RSI

Summary

This long-only strategy uses a Trend Regularity Adaptive Moving Average (TRAMA) as a trend filter and a rising upper trendline as the breakout trigger. A long entry occurs when the close is above the adaptive average, crosses above the trendline, and the strategy has not already entered during the current calendar month. The trendline is derived from local pivot highs; the default lookback is 14 bars. The position is closed when a 14-period RSI exceeds 70.

The document describes the approach as a way to combine trend and breakout signals while limiting turnover, but offers no performance results. Its published BTC futures test covers only a short interval, so it cannot establish reliability. The code also does not implement several risk controls discussed in the prose: there is no stop loss for prolonged holdings, and the monthly limit tracks month number rather than year, which can affect how the restriction behaves across calendar years. The source makes entry, exit, and parameter logic inspectable, but the claims of stability require broader testing.

Key ideas

• A long entry requires price above the adaptive moving average and a close crossing above a pivot-based upper trendline.
• The code limits entries by comparing the current month number with the last entry month.
• A 14-period RSI above 70 closes the long position.
• The source contains no stop loss for long holding periods, despite the prose suggesting further risk controls.
• The brief published BTC futures test settings provide no evidence of long-term strategy performance.

Tags

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