Price Speed and Linearity Filters for Trend Entries and Exits
Summary
This strategy combines price speed, expressed as change per second, with a linearity score based on directional progress and adverse movement relative to ATR. Entries require minimum speed and score thresholds, and the implementation supports long, short, or two-way trading. It also offers multi-timeframe analysis, a cooldown between signals, and three exit styles: symmetric weakening, hysteresis that allows more room for a trend, and momentum reversal. An optional speed channel can trigger exits when movement returns inside its bounds.
The document reports comparisons for score levels, exit modes, timeframe choices, channel exits, and cooldown settings, including claimed changes in win rate, holding time, losses, and trade frequency. These are presented as backtest or live-data observations, but the excerpt gives no detailed sample methodology or independent validation. The stated backtest configuration is on Bitcoin futures with zero fees, so its results may not represent realistic execution costs or other markets. It also warns of sparse signals in quiet conditions and increased drawdown under more permissive exits.
Key ideas
- Entries combine a minimum speed threshold with a score for directional movement relative to ATR.
- Three exit styles trade off faster exits against giving trends more room.
- Multi-timeframe analysis, speed channels, and signal cooldowns are configurable.
- The document reports comparative results but provides limited methodological detail.
- A zero-fee Bitcoin futures backtest may not capture live trading costs or other markets.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.