N-Period High-Low Breakouts for Trend Following

Summary

This breakout strategy calculates the highest high and lowest low over a configurable lookback period. It places a long stop entry just above the upper extreme and a short stop entry just below the lower extreme, with options to enable either or both directions. Position size is based on a configurable share of equity, and a date window can restrict trading; positions are closed after that window ends.

The document includes a brief BTC futures backtest configuration and implementation settings, but supplies no performance results. Its central limitation is that price crossing a recent extreme is not independently confirmed, so false breakouts may trigger trades. Trading both directions and using a large equity allocation can raise transaction costs and exposure. The strategy has no described volatility filter or protective stop for ordinary adverse moves, so sizing, breakout validation, and testing across different conditions are important considerations.

Key ideas

• The strategy tracks the highest high and lowest low over a selected lookback.
• Stop entries trigger just beyond those recent price extremes.
• Long-only, short-only, or two-sided trading can be selected, with equity-based sizing.
• The date controls end trading after the selected window.
• The method provides no stated false-breakout filter or reported performance results.

Tags

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