Moving-Average Breakout Retests with ATR-Based Exits

Summary

This strategy uses a 200-period simple moving average as a trend reference. It identifies a cross above or below that average, then seeks a retest within five periods before entering in the breakout direction. Stop-loss and take-profit distances are tied to a 14-period ATR and a configurable risk multiplier, making the stated exit distances responsive to recent volatility.

The document presents the approach as high-frequency trading, but its published backtest uses daily ETH/USDT futures data over roughly one year, which does not demonstrate high-frequency execution or performance. No returns, trade statistics, or cost-adjusted results are provided. The source logic also defines the retest on the breakout bar itself, so the claimed wait for a later retest is not clearly implemented. The text identifies false breakouts, lagging trend signals, parameter dependence, slippage, and fees as limitations, and suggests volume or higher-timeframe confirmation for further investigation.

Key ideas

• A 200-period simple moving average defines the long-term direction and breakout reference.
• The proposed entries combine a crossing of the average with a retest condition over five periods.
• ATR and a configurable multiplier determine stop-loss and take-profit distances.
• The provided backtest is daily futures data and reports no performance statistics.
• The retest implementation may not enforce a later confirmation after the breakout.

Tags

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