Twin Range Filter Strategy with Dual Smoothed Ranges

Summary

The strategy combines two smoothed measures of absolute price changes, one using a faster period and one a slower period. It averages their scaled ranges and uses that result to constrain a recursive price filter: the filter moves only when price passes its prior level, with the range setting its offset. Counters track whether the filter has been rising or falling.

A long condition requires price above a rising filter, and a short condition requires price below a falling filter. Entries occur when these conditions switch from the opposite prior state, so the script alternates between long and short signals. The listing’s prose makes broad claims about signal quality and volatility adaptation, but gives no backtest results or supporting evidence. The source also contains no explicit stop loss, profit target, or position sizing rules, so the entry logic alone does not define a complete risk-managed trading system.

Key ideas

• The range threshold averages fast and slow exponentially smoothed measures of absolute price changes.
• The recursive filter uses that threshold to reduce reactions to smaller price movements.
• A rising filter with price above it supports a long condition, while the mirrored setup supports a short condition.
• Signals trigger when the active direction changes from the prior opposite condition.
• The document supplies no performance evidence or explicit exit and risk management rules.

Tags

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