Twin Range Filter for Directional Trend Signals

Summary

The Twin Range Filter combines two smoothed measures of price movement to set a dynamic range around a filtered price. Each measure applies exponential smoothing to absolute price changes over a different lookback, scales it by a multiplier, and the two are averaged. A range filter then limits how quickly its value moves, helping suppress smaller fluctuations.

Signals depend on price position relative to the filter and whether the filter has been rising or falling. A long or short marker appears when conditions switch from the prior directional state. The document lists parameter defaults and a BTC/USDT futures backtest configuration spanning roughly one year, but supplies no return, risk, or benchmark results. It also provides no discussion of transaction costs, stop rules, or performance across other markets and time periods, so the configuration alone does not establish effectiveness.

Key ideas

• The filter averages fast and slow smoothed ranges derived from absolute price changes.
• A range constraint makes the filtered price less responsive to small fluctuations.
• Directional counts track whether the filter is rising or falling.
• Long and short signals require price to be on the matching side of the filter and a change from the previous directional state.
• The published backtest setup contains no performance results to assess the method.

Tags

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