Three Quantitative Trading Templates Using Trend, Intraday Range, and Volatility

Summary

The document outlines three rule-based trading templates and frames them as stages of analysis: summarizing past prices, applying trading rules, and interpreting market positioning. The periodic model combines a moving average, a prior-high or prior-low break, and a price-change filter to generate directional entries. The intraday model uses the previous session’s range and close to set a threshold, then enters on the first qualifying move beyond that threshold for the day.

The third model uses a moving average with bands two standard deviations away; a close beyond a band opens a position, while a return across the average closes it. The article offers formulas and conceptual explanations, but no backtest, transaction-cost analysis, or evidence of profitability. It also argues that open interest may reveal positioning and expectations beyond what price and volume show, especially in futures. These are proposed starting frameworks; their assumptions, thresholds, market fit, and risk controls require independent testing and development.

Key ideas

• The periodic template combines moving-average direction with a prior-bar breakout and a return filter.
• The intraday template derives thresholds from the previous session’s range and permits only the first qualifying entry per day.
• The volatility template enters beyond standard-deviation bands and exits at the moving average.
• The article presents open interest as a way to study market positioning, particularly in futures.
• The templates are conceptual examples without reported backtest or profitability evidence.

Tags

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