Trading Futures with the Slope of a Smoothed High-Low Midpoint

Summary

This futures strategy tracks the midpoint between the highest high and lowest low over a configurable lookback, then smooths that midpoint with a five-period moving average. It calculates the slope of the smoothed series over the selected lookback. When the slope increases versus the prior bar, the strategy enters long; when it decreases, it enters short. The stated sizing logic uses a fraction of capital and the prior close, and the published test settings describe hourly BTC/USD futures data from January 2019 through January 2021.

The document provides rules, a parameter, and backtest setup, but no reported returns, drawdowns, or other results. Its brief rationale treats a falling slope as weakening momentum and a rising slope as strengthening momentum, without specifying filters for noisy or sideways markets. Readers therefore cannot infer profitability or robustness from the supplied information.

Key ideas

• The signal series is a moving average of the midpoint between lookback highs and lows.
• The strategy compares the current slope with its prior value to choose long or short exposure.
• The method is described for hourly BTC/USD futures, with a configurable lookback.
• The document gives test settings but reports no performance metrics or robustness analysis.

Tags

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