Squeeze Momentum and Rate-of-Change Directional Strategy

Summary

This script combines a volatility squeeze indicator with a rate-of-change filter to define directional trading conditions. It compares Bollinger Bands with Keltner Channels to identify when volatility is compressed or expanding, and calculates a momentum-style value using a linear regression transformation of price relative to a range midpoint. A separate rate-of-change series is smoothed with an exponential moving average; the strategy treats sufficiently positive or negative smoothed readings as evidence of movement. Long or short conditions require the momentum value and movement filter to point in the same direction.

The script also defines a backtest date window and configurable stop and take-profit levels, and tracks signal times and price extrema. However, the shown execution section only submits entries when the long or short conditions hold; it does not show orders that apply the defined stop-loss or take-profit levels. No market, timeframe, test output, or performance evidence is provided in the document. The indicator settings and thresholds are configurable, so results would depend on instrument, timeframe, costs, and parameter choices.

Key ideas

• Bollinger Band and Keltner Channel relationships identify compressed and released volatility states.
• A transformed price series supplies a directional momentum reading.
• Smoothed rate of change filters for movement in the same direction as the momentum signal.
• The script defines risk levels, but the displayed execution logic does not apply them.
• The document provides no backtest results to evaluate profitability or robustness.

Tags

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