Twin Range Filter Strategy for Directional Reversals

Summary

This script builds a price filter from two smoothed ranges calculated over separate lookback periods and multipliers. It averages those ranges, then adjusts a persistent filter so that it moves with price while limiting smaller fluctuations. Counters track consecutive rises or falls in the filter. A long signal occurs when price is above the filter and the state switches from short to long; a short signal uses the reverse conditions. The strategy submits entries in both directions, and plots the filter and signal markers.

The source provides default fast and slow periods of 27 and 55, with range multipliers of 1.6 and 2.0. These settings define the example implementation, not demonstrated optimal values. The document includes promotional claims about signal quality and adaptability, but provides no backtest results or risk controls such as explicit stops, position sizing, or performance measures. Because signals depend on smoothed price changes and state transitions, the filter may lag during sharp moves, while choppy conditions can still generate reversals. The supplied text does not specify an asset, timeframe, or empirical validation.

Key ideas

• The filter averages two smoothed price ranges with different periods and multipliers.
• A persistent range filter and directional counters establish the current signal state.
• Long and short entries occur when price position and filter direction indicate a state change.
• The script plots the filter and entry markers but gives no explicit stop or sizing rules.
• Promotional claims are not accompanied by backtest evidence or defined market scope.

Tags

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