Percentage Box Breakout System with Fixed Per-Trade Risk

Summary

This long-only system builds upper and lower price levels around an initial reference price using a 10% box. It places a limit buy at the upper boundary after price reaches it, subject to a moving-average filter, and uses the lower boundary as a stop. The strategy sizes positions from a fixed dollar risk input divided by the distance to the stop, and it updates the box levels as price crosses prior boundaries. New entries are constrained by a check on recent open-trade counts.

The published settings describe a BTC futures daily backtest over about a year, but include no performance results. The accompanying explanation frames the method as trend tracking with additions only after earlier positions have gained; the source implements its own entry throttling and moving-average condition. The percentage width, fixed-risk sizing, and level updates materially affect outcomes. The text’s claims of controlled risk or stable excess returns are not supported by reported statistics, and the rules warrant testing across regimes and with trading costs included.

Key ideas

• The system uses percentage-based upper entry and lower stop levels that update as price moves through the box.
• Position quantity is based on a fixed risk amount divided by the price distance to the stop.
• A moving-average filter and recent-trade constraint limit entries in the long-only design.
• The described BTC futures backtest has no published performance metrics, so claims of stable returns remain unverified.

Tags

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