Trend-Filtered Support False Breakouts with ATR Stops and Swing Targets

Summary

This document outlines a long-only setup that combines a moving-average trend filter with a support-level false-breakout signal. It defines an uptrend when the 50-period simple moving average is above the 200-period average. Support is calculated from the previous bar’s high, low, and close using a pivot formula. A signal occurs when price trades below that support and then closes above it. The described system uses a 14-period ATR to set a stop below the signal bar’s low and the highest high over the preceding 10 periods as a profit target.

The supplied settings describe a daily BTC/USDT futures backtest on Binance spanning late 2019 to late 2024, but no returns, drawdowns, trade counts, or other outcomes are reported. The source code and prose also leave details that merit scrutiny: the condition checks the prior bar’s low against support while the current close must recover above it, and the ATR stop and swing target are recalculated when a new signal occurs. The text itself warns that range-bound markets can produce false signals, moving averages can lag reversals, and volatility can widen stops. Treat the rules as a testable hypothesis rather than validated performance.

Key ideas

• The 50-period and 200-period simple moving averages define the stated trend filter.
• A long setup requires a move below calculated support followed by a close above it.
• The described stop uses ATR and the signal bar’s low, while the target references a recent swing high.
• The published backtest settings specify daily BTC/USDT futures data but report no results.
• The document identifies ranging markets, lagging trend filters, and wider volatility-based stops as risks.

Tags

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