Standardized Price Deviations with Trend Filters and Managed Exits

Summary

This strategy combines a price deviation score with moving averages to enter trades when price is unusually far from a recent regression line. The score is the difference between the selected price source and its linear regression estimate, divided by the source’s standard deviation. Long entries require a sufficiently negative score and price below a shorter moving average; shorts require a sufficiently positive score and price above it. A longer trend SMA can filter entries by requiring price to be above or below that average, or the filter can be omitted.

Positions exit when price crosses the shorter moving average or a linear regression line, with percentage profit targets and stop losses optionally enabled. Parameters allow selection of direction, source, thresholds, lengths, and exit style. Published settings specify BTC_USDT futures over about a month, but the document reports no returns, drawdowns, or comparison with a benchmark. It also warns of false signals, repeated stop-outs, fees, and slippage, especially in choppy or illiquid conditions. The source and prose do not fully align on the indicator’s interpretation, so the stated trend characterization should be treated cautiously.

Key ideas

• The entry score measures price distance from a linear regression estimate in standard deviation units.
• Long and short entries combine deviation thresholds with a shorter moving average condition.
• A longer SMA can filter positions by the prevailing price regime.
• Exits can use a moving average or linear regression crossover, alongside optional profit and loss limits.
• The document provides backtest settings but no strategy performance results.

Tags

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