Risk-Budgeted Crypto Breakout Strategy with ATR Stops and Health Monitoring

Summary

This research framework studies how win rate, realized win-to-loss ratio, trading frequency, and position risk interact in a cryptocurrency trend breakout system. It enters long or short when a completed hourly bar breaks the previous 20-bar range and uses ATR to set an initial stop and a tightening trailing stop. Position size is derived from account equity and entry-to-stop distance, with limits on individual, same-direction, and combined exposure. The framework also tracks rolling trade statistics, costs, and portfolio risk, and can reduce or halt new entries when measured performance weakens.

The document describes implementation safeguards such as order confirmation, partial-fill handling, and position reconciliation, alongside configurable execution and data-error controls. It supplies a short ETH perpetual futures backtest configuration, but no performance results. The sample therefore demonstrates setup rather than establishing profitability. Its figures depend on chosen parameters, historical data, and assumed fees; stops are managed by the strategy process rather than exchange-native orders, leaving operational exposure if that process or its connection fails.

Key ideas

• Breakout entries use completed bars crossing the prior range, with ATR-based initial and trailing stops.
• Position size is calculated from the planned account risk and the distance to the stop.
• Exposure caps constrain single-trade, same-direction, and total portfolio risk.
• Rolling win rate, realized payoff ratio, expectancy, frequency, and costs help monitor strategy health.
• The example backtest configuration reports no results and cannot establish future performance.

Tags

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