Relative Volume Entries Filtered by ATR Stability with a Trailing Stop

Summary

This strategy combines unusually high trading volume with a filter for comparatively stable volatility. It compares current volume with a moving average over 20 periods and treats volume above a stated multiple of that average as elevated. A 14-period average true range (ATR), compared with its own recent average and standard deviation, screens for periods when volatility remains within a defined band. When both conditions hold, the strategy enters long. Its stop follows rising lows at a distance of twice ATR, and a position is closed when price reaches that stop.

The document describes the rationale that elevated activity during a calmer range may precede a breakout, but it offers no quantified test results to substantiate that claim. It identifies false breakouts as a central risk and suggests adding measures such as turnover or price change, or tuning volatility settings. The published backtest configuration uses Bitcoin USDT futures, while the explanatory text also discusses stocks; performance across either market is not demonstrated, and costs and execution effects are not assessed.

Key ideas

• The entry setup requires elevated volume relative to a moving average and ATR within a recent statistical band.
• The described signal opens a long position when both filters pass.
• A trailing stop tracks lows using a distance based on twice the ATR.
• Volume surges can mark false breakouts, so the entry condition does not confirm a lasting trend.
• The document provides backtest settings but no performance statistics or evidence of robustness.

Tags

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