Range Filter Breakout Strategy for Short-Term Trading

Summary

This short-term strategy smooths recent price changes to create a volatility-scaled range filter. A recursive filter line adjusts in steps according to the smoothed range, and its direction tracks whether the line is rising or falling. A long signal occurs when price is above the filter and the filter is rising; a short signal occurs when price is below it and the filter is falling. Signals are limited to transitions from the opposite prior condition, reducing repeated entries in the same direction.

The document lists a sampling period and range multiplier, optional Heikin-Ashi input, and optional stop and take-profit settings. It provides source code and a BTC/USDT futures test configuration, but no performance statistics. It warns that breakouts can reverse, parameter choices can make the filter too sensitive or slow, and frequent trading can magnify fees. The described default stop and target feature is disabled, and the suggested improvements include testing parameters, adding stops or confirming indicators, and controlling position size.

Key ideas

• A smoothed measure of price change sets the distance used by a recursive range filter.
• Long signals require price above a rising filter, while short signals require price below a falling filter.
• The signal logic acts on a change from the previous opposite condition.
• Optional settings include Heikin-Ashi input and stop-loss or take-profit exits, which are disabled by default.
• The document identifies whipsaws, trading fees, and missing risk controls as concerns but reports no performance results.

Tags

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