Trend-Channel Breakouts with OBV and EMA Regime Filters
Summary
This long-only strategy buys when price crosses above the upper band of a smoothed Trend Pulse Channel, provided optional filters agree. The channel applies a multi-pole Gaussian-style filter to price and true range; its range multiple sets the upper breakout threshold. The volume filter requires On-Balance Volume to be above its EMA, while the regime filter requires price to be above a separate EMA. Users can also enable exits below the channel midline or regime average, alongside a stop fixed from prior-bar ATR at entry.
The document explains the intended role of each filter and warns that confirmation cannot ensure continuation. It includes backtesting assumptions for commission and slippage, but supplies no measured performance results. The strategy is long-only, and outcomes remain sensitive to settings, market regime, liquidity, and execution. The accompanying text is truncated, so some explanatory details are unavailable; the code provides the clearest account of the rules.
Key ideas
- A long entry requires a close crossover above the filtered true-range upper channel band.
- When enabled, OBV above its EMA and price above a regime EMA must also confirm the breakout.
- Exits can be triggered by a close below the channel midline or regime EMA.
- A stop is set using prior-bar ATR and remains fixed from entry.
- The strategy is long-only, and the document reports no empirical performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.