Swing Breakout Trend Shifts with ATR Filtering and Price Zones

Summary

This strategy identifies potential market structure changes when closing price breaks a previously confirmed swing high or low. Pivot points use bars on both sides, so the swing is only recognized after the right-side bars have formed. An optional ATR threshold requires the close to move a configurable distance beyond the swing level before a break qualifies, which is intended to screen out smaller moves.

After a bullish or bearish shift, the strategy builds a price band from the relevant swing level and the shift bar’s high or low. It divides that band into lower discount and upper premium quarters, with an ATR-based minimum band size, optional timeout, and optional persistence. Entries occur on the first shift in a new direction; settings can close an opposite position, size quantity from account equity, and use a band edge as a stop. The document provides code and published daily ETH/USDT futures backtest settings, but reports no performance results. It does not establish that the signals predict reversals, and pivot confirmation can delay recognition; the default stop and band-based sizing options are disabled.

Key ideas

• A structure shift is signaled when price closes beyond a confirmed swing high or low, optionally by an ATR-scaled distance.
• Swing points require bars on both sides, which means recognition follows the pivot itself.
• The post-shift band defines discount and premium zones using its lower and upper quarters.
• Entries are limited to the first shift in a direction, with configurable reversal, sizing, timeout, and stop behavior.
• The published settings identify a daily ETH/USDT futures test period but provide no performance evidence.

Tags

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