TTM Squeeze Breakout Strategy with Momentum and a Moving Average Exit

Summary

This BTC/USDT futures strategy uses the TTM Squeeze framework to identify periods when Bollinger Bands contract inside Keltner Channels. It enters a long position after three consecutive squeeze bars and exits when price crosses below a 21-period simple moving average. A momentum histogram based on price deviation and linear regression is plotted for context, though the code’s entry condition does not require a particular histogram direction. The strategy allows channel lengths and multipliers to be changed and includes commission and slippage settings.

The document describes false breakouts, choppy markets, lagging exits, liquidity, and parameter sensitivity as risks, and suggests volume, trend, or multi-timeframe filters. A BTC futures test period is specified, but no performance statistics are provided, so claims about effectiveness are unsupported by the supplied evidence. The prose also describes the method as momentum-confirmed and refers to a trading window, while the shown entry logic only checks the three squeeze bars; those features are not implemented in the displayed code.

Key ideas

• The strategy defines a squeeze when Bollinger Bands fit inside Keltner Channels.
• A long entry follows three consecutive squeeze bars, while a cross below the 21-period SMA closes the trade.
• The plotted momentum histogram does not appear as a required entry filter in the shown code.
• The listed BTC futures test period has no accompanying performance results.

Tags

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