Trading Equal-High and Equal-Low Reversals with ATR Exits

Summary

This countertrend strategy looks for repeated tests of recent high or low levels within a configurable price tolerance. It counts earlier bars near the lookback high and low, then signals a short when price returns near a repeatedly tested high or a long near a repeatedly tested low. Entries are restricted to a user-defined session, and the system allows only one open position at a time.

Stops and profit limits are placed at distances based on the current ATR, using separate multipliers for each side of the trade. The accompanying description recommends the setup for liquid index futures on short intraday charts and says the tolerance should be adjusted for the instrument’s price scale. However, the code does not show an explicit session-end liquidation rule despite the prose claim, and the document provides no backtest results. The equal-level liquidity explanation is a rationale for the signals, not evidence that the levels reliably reverse.

Key ideas

• The strategy counts prior touches near a lookback high or low using a configurable tolerance.
• A repeated high touch can trigger a short, while a repeated low touch can trigger a long.
• Signals are limited to a session and require the strategy to be flat.
• ATR multiples set the stop distance and profit target distance.
• The description recommends testing on the target market and provides no performance results.

Tags

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