Price Momentum Signals with Fixed-Percentage or ATR Stop Losses

Summary

This strategy defines momentum as the current close minus its close a configurable number of bars earlier. It labels momentum bullish when that difference is positive and has increased from the prior bar, and bearish when it is negative and has weakened further. The strategy takes long or short exposure according to those conditions, with options to enable either side and to limit the test to a chosen date range.

Risk controls offer fixed-percentage stops or ATR-based stops, calculated from average entry price or a recent close and volatility estimate. The description says the example was backtested on BTCUSD on Coinbase using daily bars, but gives no performance statistics. The supplied code includes configurable stop parameters and execution assumptions, so results depend on those choices and the sample period. The setup is a straightforward trend-momentum example; the document does not establish robustness across markets or timeframes.

Key ideas

• Momentum is measured by comparing the close with its value a specified number of bars earlier.
• Bullish or bearish states require both direction over the lookback and continued movement in that direction versus the previous bar.
• The strategy can take long trades, short trades, or both, and reverses when the opposite momentum state appears.
• Stops can use fixed percentages or an ATR-derived distance.
• The stated example uses daily BTCUSD data from Coinbase, but the document gives no performance statistics.

Tags

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