Price and Volume Breakouts with an SMA Trend Filter

Summary

This strategy combines price and trading-volume breakouts with a simple moving average (SMA) filter. It opens a long position when the close exceeds the prior price-window high, volume exceeds its prior window high, and price is above the SMA. A short entry uses the corresponding downside price breakout, high volume, and a close below the SMA. The published defaults are 60 bars for each breakout window and 200 bars for the trend filter.

Positions close after five consecutive closes on the other side of the SMA. The document describes the approach as suited to volatile markets and gives Bitcoin futures as the published backtest instrument and settings, but provides no numerical performance results. It cautions that low-volatility or sideways conditions may cause costly repeated trades, while higher chart timeframes may produce fewer signals. Suggested adjustments include tuning the lookback windows, trying other trend indicators, and adding stop-loss, position-sizing, or trailing-exit rules; these are suggestions rather than tested findings.

Key ideas

• Long entries require a price breakout, a volume breakout, and a close above the SMA trend filter.
• Short entries use a downside price breakout, elevated volume, and a close below the SMA.
• Positions exit after five consecutive closes across the SMA in the adverse direction.
• The document warns that sideways markets can increase trade frequency and transaction costs.
• The supplied backtest settings describe the market and dates but do not report performance statistics.

Tags

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