Narrow-Range Breakouts with Dual Stop Orders and Fixed-Ratio Sizing
Summary
This strategy treats a narrow-range day as a possible precursor to a volatility expansion. It identifies a day whose high is below the high from a reference period and whose low is above that period's low, then places buy-stop and sell-stop orders at the reference range boundaries. Whichever side is triggered establishes a position; the opposite order is canceled. A stop loss is set as a fraction of the reference range, and the profit target is one range-width beyond entry.
The document describes a sizing scheme that raises or lowers order capital as equity crosses fixed thresholds. It warns that breakouts may fail or lack follow-through, that stops can be exceeded in extreme moves, and that sizing changes can amplify losses. The source includes BTC/USDT futures backtest settings for a limited period, but provides no performance results. Its description also suggests comparing parameters, adding trend or breakout filters, and considering multi-timeframe signals; these ideas require testing before they support claims of effectiveness.
Key ideas
- A narrow-range condition identifies a contraction relative to a reference day's high and low.
- Buy-stop and sell-stop orders seek to enter in either breakout direction.
- The target distance is based on the reference range, while the stop distance is a configured fraction of it.
- Order capital changes in fixed increments as equity moves above or below thresholds.
- False breakouts and increased sizing after gains or losses can create substantial risk.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.