Price and Volume Breakouts with a Moving Average Trend Filter

Summary

This strategy looks for breakouts in both closing price and volume over configurable lookback windows. A long entry occurs when the close exceeds the previous window’s high, volume exceeds its previous window’s high, and price is above a long moving average. A short entry uses the corresponding downside price breakout, elevated volume, and price below the moving average. The settings allow users to choose breakout periods, trend length, and trade direction.

Positions close after price remains on the opposite side of the moving average for five consecutive bars. The document provides the trading rules and script settings, but no performance results or evidence that the conditions predict returns. The example uses a strategy simulator with stated capital allocation and commission assumptions; those settings do not establish realistic results. The description favors volatile assets with momentum spikes, while the rules offer no explicit stop loss or take profit and may behave differently across markets and timeframes.

Key ideas

• A long signal requires simultaneous upside breakouts in closing price and volume, with price above its moving average.
• A short signal requires downside price breakout and elevated volume while price is below the moving average.
• The lookback windows and trend moving average are configurable inputs.
• A position closes after five consecutive closes beyond the moving average in the opposite direction.
• The document gives no performance evidence, and its rules do not specify a stop loss or take profit.

Tags

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