Price and Volume Breakouts Filtered by a Long Moving Average

Summary

This strategy looks for concurrent price and volume breakouts, using the prior rolling highs and lows as reference levels. A long signal occurs when the close exceeds the previous price high and volume exceeds its previous rolling high, provided price is above a long simple moving average. A short signal reverses those price and trend conditions while still requiring a volume breakout. The script supports long only, short only, or both directions, and closes positions after five consecutive closes on the opposite side of the moving average.

The accompanying description says the approach may suit volatile assets with strong momentum and notes that higher chart timeframes can produce few trades because positions may last a long time. It gives example backtest configuration values, but no performance results or comparative evidence. The stated crypto suitability and weakness in broader markets should therefore be treated as claims to test. Results will depend on asset, timeframe, volume data, costs, and execution assumptions.

Key ideas

• The strategy requires price and volume to exceed prior rolling breakout levels at the same time.
• A long moving average filters entries by prevailing price direction.
• Positions close after five consecutive closes across the moving average against the trade.
• The script offers long, short, or two sided operation and uses percent of equity sizing by default.
• The document discusses potential asset and timeframe limitations but supplies no performance statistics.

Tags

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