Multi-Filter Trend Breakout Strategy with ATR-Based Risk Controls

Summary

This trend strategy combines short and long exponential moving average crossovers with several confirming filters: a higher-timeframe EMA, RSI, ADX, VWAP position, and unusually high volume. Long and short entries require the indicators to align with the breakout direction. Position size is tied to account equity and ATR, with a stop set at 1.5 ATR and a target at 3 ATR.

The document describes the rules and lists a short BTC/USDT futures backtest period, but reports no performance metrics or results. Its account of the higher-timeframe filter conflicts with the code: the written description specifies a 15-minute EMA while the backtest runs on an hourly chart, and the script requests the higher timeframe as 15 minutes. The rules may filter some weak signals, but they can also reduce the number of trades, while fixed thresholds and parameter tuning create overfitting risks. The stated ATR sizing and exits should be assessed in realistic tests before drawing conclusions about risk or profitability.

Key ideas

• Entries require an EMA crossover plus RSI, ADX, VWAP, volume, and higher-timeframe trend confirmation.
• The strategy sets stops and targets at 1.5 and 3 ATR, respectively.
• Position size is based on account equity risk divided by ATR.
• Multiple filters can exclude weak signals but may also miss valid trades.
• The document gives a backtest window and market but no reported performance results.

Tags

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