SuperB Momentum Trend Strategy with High-Low Reversal Tracking
Summary
This strategy combines the SuperB indicator’s SpreadVol momentum measure with a price-based trend tracker. SpreadVol is derived from price range, volume, and the open-to-close move; its smoothed values and dispersion contribute to trend thresholds. A trend is identified when the indicator crosses those thresholds, while highs and lows are tracked to detect reversals after a percentage retracement.
The document describes long entries at upward regime changes and optional short entries at downward changes; its default setting is long-only. It gives no performance statistics, despite listing a BTC perpetual-futures backtest configuration spanning part of 2023. The discussion flags repeated false signals near consolidation, stop-outs during choppy trends, and losses if position changes are delayed. Parameter tuning is suggested, but no tested improvements or evidence of profitability are reported.
Key ideas
- SpreadVol combines price movement, trading volume, and the open-to-close change as a momentum input.
- Moving-average and standard-deviation thresholds classify upward and downward regimes.
- A percentage retracement from tracked highs or lows signals a possible trend reversal.
- The strategy can be configured to trade only long, though its rules also support short entries.
- Consolidation and choppy markets can generate false signals and trigger stop-outs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.