Range-Contraction Filter for Close-Based Breakout Entries

Summary

This strategy looks for closes at recent closing-price extremes while average candle ranges are contracting. It compares the highest close over a short lookback and the lowest close over a longer one, then checks whether the average high-low range over five bars is smaller than over twenty bars. A close at the upper extreme under contraction triggers a long entry; a close at the lower extreme triggers a short entry. Positions close after a configurable number of bars.

The document frames the method for crude oil futures, but its published backtest settings specify BTC futures on a daily chart and provide no performance results. The stated lookback defaults are nine bars for the upper extreme, fifty for the lower, and ten bars to exit. The source confirms a contraction filter and fixed holding period, but it does not establish that these rules avoid false breakouts or lock in profits. Changing market structure, failed breakouts, and the choice of exit interval are cited limitations; additional volatility measures and testing are proposed rather than evidenced.

Key ideas

• Entries require a close at a recent high or low close extreme while candle ranges are contracting.
• The range filter compares short- and longer-window averages of the high-low range.
• Positions exit after a configurable number of bars rather than a price-based target or stop.
• The description focuses on crude oil futures, while the published backtest configuration specifies BTC futures.
• No performance results are reported, and false breakouts and exit timing remain unresolved risks.

Tags

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