Moving-Average Breakout Entries Filtered by Recent Price Range

Summary

This long-only breakout idea combines a 20-period simple moving average with a recent high-low range measure. It enters when price is above and rising relative to the average, while the range across the latest three bars exceeds its own 20-period average. The intended logic is to require both an upward bias and expanding movement before entering. A fixed exit threshold is set at 98% of the current close in the source, despite the prose describing it as a level based on entry price.

The document presents the method as a way to avoid quiet, sideways conditions and includes a Binance BTC/USDT futures backtest window from February 2023 to February 2024. It provides no return, drawdown, or trade-count evidence. Potential weaknesses include parameter sensitivity, false breakouts, and the risk of a wide stop. Volume confirmation, adaptive stops, and additional volatility filters are suggested, but not evaluated.

Key ideas

• The entry filter requires price above a rising 20-period average and an expanding recent high-low range.
• The range is calculated over three bars and compared with its own 20-period average.
• The strategy only opens long positions and does not define a short signal.
• The source exit threshold is based on current close, which differs from the prose description of an entry-price stop.
• A stated BTC/USDT futures test period is included without performance metrics.

Tags

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