Price-Change Threshold Breakouts with a Recent-Low Stop

Summary

The strategy compares each bar’s close-to-close percentage change with a user-set threshold. A rise at or above the threshold triggers a long entry when the system is flat or short; a fall at or below the negative threshold signals a short condition when flat or long. After a long entry, it records the lowest low over the preceding six candles as a stop level and closes the long if price falls below it.

The document provides a BTC/USDT futures backtest configuration and a default threshold, but no performance statistics or evidence of profitability. It characterizes the method as suited to rising markets and warns that price-only signals can trade frequently in sideways conditions, increasing costs. The stop may also exit too early, and the described stop logic applies to long positions. Volume, volatility filters, more flexible stops, parameter study, and position sizing are proposed as future improvements rather than tested features.

Key ideas

• The entry signal compares one-bar percentage price change with positive and negative thresholds.
• Signals can switch exposure between long and short positions.
• A long entry sets a stop at the lowest low of the preceding six candles.
• The document provides backtest settings but no reported performance results.
• Choppy markets may cause frequent trades, and the stop may trigger prematurely.

Tags

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