Percentage-Based Entries, Exits and Time Limits in a Squeeze Backtest

Summary

This backtesting system places a limit entry at a configurable percentage above or below a selected price reference, depending on whether it is set to trade short or long. Once a position is open, it cancels the initial exit orders and sets profit-taking and stop levels as percentages from the average entry price. An optional maximum bar count forces a position to close after a time limit. Users can choose a fixed date range or a rolling historical interval.

The document describes adjustable direction, price binding, entry, exit, stop, and holding-time parameters. Published settings use BTC-USDT futures with daily bars and hourly base data for roughly a year, but no backtest results are included. The approach does not explain a market signal for choosing entries; performance therefore depends heavily on the selected price levels and percentages. The text flags immediate stop-outs in volatile conditions, missed opportunities from time-based exits, and possible weakness in sideways markets.

Key ideas

• The strategy places limit entries at a selected percentage offset from a chosen price reference.
• Profit and stop orders are recalculated from the position's average entry price after a fill.
• A configurable maximum holding period can force positions closed after a set number of bars.
• Backtest dates can be fixed or selected from rolling historical windows.
• No results are reported, and the document warns that parameter choices and market conditions can drive poor outcomes.

Tags

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