Twenty-Bar High-Low Breakout Strategy with Fixed Risk Targets

Summary

This trend-following system tracks the highest high and lowest low across a rolling 20-bar window. It enters long when the close rises above the prior window high and short when it falls below the prior window low. The described risk targets use a 1% stop distance and a 2% profit target, establishing a nominal 2:1 reward-to-risk ratio. The strategy also plots the rolling levels to show the breakout thresholds.

The document provides BTC/USDT Binance futures backtest settings for roughly one month, but gives no return, drawdown, or trade statistics. It notes that fast moves can pass through stops, that long lookbacks may delay reversal responses, and that parameter choices affect results. Suggested experiments include trend-strength filters, lookback tuning, trailing stops, and historical parameter testing; these are proposals, not demonstrated improvements.

Key ideas

• The system uses the prior 20-bar high and low as breakout thresholds.
• It enters long above the prior high and short below the prior low.
• The stated exit distances are a 1% stop and a 2% take-profit target.
• The document identifies whipsaw, delayed reversal signals, and parameter sensitivity as risks.
• Backtest settings are supplied, but no performance evidence is reported.

Tags

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