Squeeze Momentum Entries with Momentum and Risk Filters

Summary

This strategy adapts the Squeeze Momentum indicator into long and short trading rules. It compares Bollinger Bands with Keltner Channels to identify squeeze conditions, then uses a linear-regression momentum value to indicate direction and whether momentum is strengthening. An entry occurs when the squeeze-state color changes to the release state and momentum points in the trade direction; an optional threshold filter can reject small momentum readings. Positions can close when momentum weakens, or through configured stop-loss, take-profit, and trailing distances.

The script also allows a custom date window for backtesting and specifies commission and cash-based order settings. The author reports tests on Bitcoin and Ethereum markets, describing favorable results on hourly to four-hour charts and drawdown of about twelve percent at the time of publication. Those claims are not accompanied here by detailed reports, sample definitions, or robustness analysis. Results may be sensitive to the selected assets, dates, costs, and parameter choices, so the reported performance should not be treated as evidence of future returns.

Key ideas

• The strategy identifies volatility squeezes by comparing Bollinger Bands with Keltner Channels.
• A transition to the release state combined with rising positive or negative momentum triggers entries.
• An optional momentum threshold filter can screen out signals with smaller readings.
• Momentum changes, fixed stop and target distances, and trailing stops provide exit mechanisms.
• The author reports historical crypto tests, but the document lacks detailed evidence to assess robustness or future performance.

Tags

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