Trend Entries with a Chart-Based Market Breadth Proxy

Summary

This strategy combines a moving-average trend filter with a simplified measure of participation. It labels the market bullish or bearish according to whether the fast EMA is above or below the slow EMA. Its breadth-style proxy is the 20-bar average of a binary signal indicating whether the current chart’s close is above its slow EMA. Readings above 60 support long entries in a bullish trend, while readings below 40 support short entries in a bearish trend.

Stops and targets are based on ATR: the stop distance is 1.5 ATR and the target distance is twice that amount. The document describes the logic but supplies no performance results or empirical validation. Because the proxy uses only the current chart’s prices, it does not measure participation across an exchange or market. The strategy is presented for research and testing, and its behavior may vary by symbol, timeframe, and market conditions.

Key ideas

• The strategy requires both EMA trend alignment and a breadth-style filter before entering a trade.
• Its participation proxy averages whether the current chart closes above its slow EMA over 20 bars.
• Long and short exits use ATR-based stops with targets set at twice the stop distance.
• The proxy is not exchange-wide breadth data, and the document reports no backtest evidence.

Tags

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