Squeeze Momentum Breakout Strategy with Momentum Filtering
Summary
The strategy combines Bollinger Bands and Keltner Channels to identify volatility compression and expansion, then uses a linear-regression momentum value to choose trade direction. It enters when the squeeze state ends and momentum points up or down, with an optional threshold filter that requires momentum magnitude to exceed a set level. The described configuration uses an OHLC4 price source and offers adjustable channel lengths and multipliers.
Risk controls include stop loss, take profit, and trailing stop settings. The document also outlines familiar limitations: false breakouts, parameter sensitivity, and stop losses failing to contain losses as intended. It provides a Bitcoin futures backtest setup covering a limited date range, but reports no performance results, so it does not establish profitability or robustness. Suggested extensions include volume confirmation, drawdown controls, and testing across additional instruments and sessions.
Key ideas
- Bollinger Bands and Keltner Channels define squeeze conditions and subsequent volatility expansion.
- Linear-regression momentum determines whether a qualifying breakout is long or short.
- An optional momentum threshold filters signals with smaller absolute momentum readings.
- Stop loss, profit target, and trailing stop settings are provided as trade risk controls.
- The document gives backtest settings but no performance evidence, and warns of false breakouts and parameter sensitivity.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.