Parabolic SAR Trend Following with Adaptive Stop Levels
Summary
This strategy implements a stateful Parabolic SAR calculation for a long-only approach. It tracks the trend direction, an extreme price point, and an acceleration factor that increases when the trend makes new extremes up to a configured maximum. SAR is constrained using recent candle highs or lows, and the next bar’s projected SAR is used as a stop-entry level when an uptrend is active and no long position is held. A held long is closed after the trend turns down.
The stated defaults are a starting acceleration factor of 0.02, an increment of 0.02, and a maximum of 0.2. Although the description refers to multiple periods and broad adaptive risk controls, the supplied logic calculates one SAR series and only takes long positions; it does not implement a separate higher-timeframe confirmation or volatility-based position sizing. The document warns of whipsaws in sideways markets, slippage around projected stops, and delayed exits during sharp reversals. It provides BTC/USDT futures test dates but no performance results, so the claimed usefulness is not substantiated with reported evidence.
Key ideas
- The strategy updates Parabolic SAR using a trend direction, extreme point, and acceleration factor that rises with new extremes.
- Recent candle highs or lows constrain SAR, and projected next-bar SAR is used as a long stop-entry level.
- Long positions are closed when the calculated trend turns down; the supplied logic does not open short positions.
- Sideways conditions, slippage, and sharp reversals are identified as risks.
- A futures test configuration is listed, but no performance results are reported.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.