Multi-Indicator Trend Filtering with ADX, CCI, RSI, ATR, and Volume
Summary
This strategy combines directional movement, trend strength, CCI and moving-average signals, RSI boundaries, ATR, and volume to filter entries. DI crossovers set direction, while an ADX threshold screens for stronger trends. CCI is paired with a moving average, and the described RSI rule permits longs below its lower boundary and shorts above its upper boundary. ATR and above-average volume are intended to exclude quiet market conditions. The write-up also describes moving-average exits, ADX-based stops, performance stops, and an option to reverse after closing a trade.
The document reports a 40% reduction in signal frequency, win rates of 45% below the ADX threshold and 62% above it, and 35% higher average holding returns when both activity filters are met. It gives no detailed test methodology or performance breakdown, and the supplied backtest is limited to one futures market and timeframe. The source excerpt is incomplete, and several filters are configurable or disabled by default in the parameter list. The strategy may miss trades and can suffer repeated losses from countertrading in strong trends.
Key ideas
- DI crossovers provide directional signals, while ADX is intended to screen out weaker trends.
- CCI and a moving average add another condition, with exact crossovers producing fewer signals than simple comparisons.
- RSI, ATR, and volume filters aim to avoid extreme or inactive market conditions.
- Moving-average exits, ADX-based stops, and performance stops can be used separately or together.
- Countertrading can reverse a position after exit but may compound losses in a strong trend.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.