Periodic High-Low Breakouts for Trend Following

Summary

This note describes a trend-following strategy that compares the close with the high and low from a selected lookback period. It uses configurable periods such as daily or weekly data and can reference the current or a prior period. The stated intent is to go long on an upside break and short on a downside break, with an option to reverse the direction of trades.

The document provides an illustrative setup using daily data and the prior period, plus a BTC/USDT futures backtest configuration spanning roughly one year. It reports no performance results, so the setup does not establish profitability. The source conditions also differ from the prose description: the code checks whether the close is above the prior low to go long or below the prior high to go short, rather than requiring a break of the high or low. The note identifies choppy-market false signals, lack of built-in stops and position limits, and sensitivity to fees. It suggests adding filters, exits, position controls, and testing period choices.

Key ideas

• The strategy uses highs and lows from a selected period and lookback to define directional signals.
• The note presents the approach as trend following and allows trade direction to be reversed.
• The source code's entry comparisons do not match the described high-low breakout rules.
• The document gives backtest settings but no reported performance evidence.
• Choppy markets, fees, absent stop rules, and unrestricted position size are identified as risks.

Tags

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