Trading Recent-High and Low Sweeps with SMA Trend and ATR Exits

Summary

This strategy pairs breaks of recent highs or lows, described as liquidity sweeps, with a simple moving average trend filter. A close above the average defines an uptrend and a close below it defines a downtrend; the rules enter long on a recent-high break in an uptrend and short on a recent-low break in a downtrend. ATR sets dynamic stop and target distances, with stated defaults of 1.5 ATR for the stop and 3 ATR for the target. The document also describes equity-based position sizing, though its source code does not show sizing logic.

The published setup is for ETH/USDT futures on a 15-minute timeframe over a short period, but no performance results are provided. The source’s recent-high/low test includes the current bar, so the sweep condition may be triggered by making a new extreme rather than crossing a prior level. The document warns about false signals, overtrading from a short lookback, lagging trend confirmation, and fixed ATR exits. It suggests higher-timeframe, volume, and market-structure filters as possible extensions.

Key ideas

• The strategy enters in the direction of the SMA-defined trend when price reaches a recent high or low.
• ATR multiples define stop and target distances, with a stated 2:1 target-to-stop ratio.
• The document describes equity-based sizing, but the included source does not implement it.
• The source compares current-bar extremes with a lookback that includes the current bar, which affects how sweeps are identified.
• No backtest performance statistics are reported, and the document notes false-breakout and overtrading risks.

Tags

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