Trend Signals from Smoothed High-Low Channels with ATR Bands

Summary

This strategy derives a trend state from the midpoint between smoothed rolling highs and lows. It compares a short-smoothed closing price with upper and lower bands formed by offsetting that midpoint by a fraction of ATR. Crossings into a positive trend state trigger a long entry; crossings into a negative state close the long. Although the accompanying overview discusses both long and short positions, the supplied code implements long entries and closes rather than short entries.

The described defaults use a 200-bar lookback for extremes, five-bar smoothing, and a 10-bar ATR multiplied by 0.5. The document gives backtest settings for daily BTC/USDT data on Binance Futures across roughly one year, but includes no returns, drawdowns, or comparison benchmark. It presents the method as suited to sustained trends and cautions that ranging markets can produce false signals. Parameter choice may also affect how quickly reversals are detected. The listed ideas for further work include additional confirmation filters and volatility-sensitive tuning; these are suggestions, not tested findings.

Key ideas

• The baseline is the midpoint between smoothed rolling highs and lows.
• ATR offsets around the baseline define thresholds for the trend state.
• A positive trend crossover opens a long position, while a negative crossover closes it in the provided code.
• The document warns that sideways markets may generate false signals and that parameter choices affect reversal timing.
• Published backtest settings identify a BTC/USDT futures period but do not report performance results.

Tags

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