Reversal Signals from Consecutive Price Moves and Doji Filtering

Summary

This strategy looks for reversals after a configurable run of consecutive price changes. In long mode, it enters after a threshold of falling closes; in short mode, it enters after a threshold of rising closes. A doji test excludes candles whose open-to-close range is small relative to the full high-low range, resetting the streak. Positions are held for a fixed number of periods and then closed, with one position at a time and no scaling.

The document provides default settings and published BTC/USDT futures backtest dates using two-day bars, but reports no performance results. Its description identifies strong-trend continuation, threshold sensitivity, slippage, and frequent-trading costs as risks, and suggests volatility or longer-term trend filters as possible refinements. The prose claims doji filtering helps screen false signals, while the source implements a specific threshold formula; neither the claimed benefit nor the strategy’s performance is demonstrated by the supplied evidence.

Key ideas

• The strategy enters against a run of consecutive falling closes for longs or rising closes for shorts.
• Doji candles interrupt streak counting under a configurable candle-size threshold.
• Positions close after a fixed number of periods, and the system limits itself to one position at a time.
• Strong trends can continue beyond the streak threshold, making countertrend entries vulnerable.
• Published BTC/USDT futures settings are given, but no backtest results are reported.

Tags

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