Three-Day Counter-Trend Entries with an ATR Volatility Filter

Summary

This daily, long-only strategy looks for a rebound after three consecutive down sessions, defined as closes below opens. It allows an entry only when ATR exceeds its 30-day simple moving average. An open position exits after three consecutive up sessions if that rule is enabled, or when the maximum holding period is reached; the stated default is 22 days. The documented default ATR period is 12 days.

The document explains the entry and exit rules, visual indicators, and possible changes such as adding a stop loss, trend filter, or adaptive holding period. It gives published backtest settings for SOL/USDT on daily bars, but no performance statistics, so its effectiveness is unestablished. The strategy has no stop-loss mechanism in the shown implementation, and a fixed time exit can be poorly timed. Three down sessions do not ensure a reversal, while elevated volatility can increase risk; results may also depend on parameter choices and market conditions.

Key ideas

• Three consecutive sessions closing below their opens trigger a potential long entry.
• Entry is filtered by requiring ATR to exceed its 30-day simple moving average.
• Three consecutive up sessions can trigger an exit, and a maximum holding period provides a time-based exit.
• The shown strategy does not include a conventional stop loss.
• Published settings identify a daily SOL/USDT test, but no performance results are supplied.

Tags

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