PMax Trend Signals with ATR-Based Stops and Optional Shorting
Summary
This strategy combines a configurable moving average with ATR to create a PMax stop line. The average’s direction relative to the prior stop helps define the trend state: the stop trails below the average in an upward state and above it in a downward state. The trading rules can use either moving-average/PMax crossovers or price/PMax crossovers for signals. Long entries are enabled by default; an option enables short entries when the corresponding sell signal occurs. The document also describes adjustable ATR and moving-average settings and chart highlighting.
The source includes backtest settings for BTC/USDT futures over a stated period, but the document gives no performance results. It warns that poor parameter choices can cause whipsaws, and notes leverage risk for shorts and exposure to abrupt market moves. Its claims of stable performance are not supported by reported statistics. The suggested improvements—testing across markets, adjusting parameters, and adding other data or regime methods—are proposals rather than validated changes.
Key ideas
- PMax combines a selected moving average with an ATR-scaled distance to form a trend-following stop line.
- Signals may come from crossings between the moving average and PMax or between price and PMax.
- Long entries are available, while short entries depend on an optional setting.
- Parameter choices can affect whipsaw frequency, and short trades add leverage-related risk.
- The published BTC/USDT futures settings are not accompanied by performance statistics.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.