Swing High and Low Breakouts with a Trailing Stop Level

Summary

This automated strategy uses the highest high and lowest low over a configurable swing period to define a trailing stop level. A close above the previous period's high sets an upward state, while a close below the previous period's low sets a downward state. In the upward state, the level follows the period low; in the downward state, it follows the period high. Crosses of price through this level trigger entries: a buy signal closes any short and opens a long, while a sell signal closes any long and opens a short. The source uses a default swing period of 3 and a fixed order quantity of one unit.

The document also describes chart annotations and proposes volatility-based sizing, indicator filters, adaptive periods, profit targets, time filters, drawdown controls, and higher-timeframe confirmation. It identifies whipsaws in ranging markets, slippage, fixed sizing, parameter sensitivity, and rapid news moves as limitations. Published settings specify ETH/USDT futures on daily bars from May 2024 to March 2025, but no performance results are supplied; the claims of strong trend performance are therefore not supported by reported statistics.

Key ideas

• The strategy derives a trailing stop level from recent swing highs and lows.
• A close beyond the prior period's high or low sets the direction used to choose the trailing level.
• Crossing the level reverses the position, closing the opposite side and opening a new one.
• The source uses a default swing period of 3 and fixed one-unit orders.
• Choppy markets, execution slippage, fixed sizing, and sudden price moves are stated risks.

Tags

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