Twin Range Filter with Smoothed Volatility Bands and Trend Counters

Summary

The Twin Range Filter strategy builds a price-following filter from two exponentially smoothed measures of absolute price changes, each using a different period and multiplier. It averages the resulting ranges and adjusts the filter according to whether price is above or below it. Counters track consecutive rises or falls in the filter; a directional signal is allowed when price is on the matching side and the filter has moved in that direction. A state variable limits entries to changes in signal direction.

The document recommends the approach for sustained trends and warns that smoothing can delay entries, while repeated crossings in sideways markets can generate losses. It gives sample settings and risk suggestions, but makes several strong quantitative claims about backtest performance without presenting supporting results or methodology. The published settings identify an ETH/USDT futures period, but do not provide performance statistics. Those claims should therefore be treated as unverified; the method itself remains vulnerable to lag and market-regime changes.

Key ideas

• The filter averages two smoothed price-change ranges configured with separate periods and multipliers.
• Directional counters require the filter to have moved consistently before a price-side condition can signal.
• A state variable triggers entries when the signal direction changes from the prior state.
• The document warns of lag in fast reversals and repeated losses when price oscillates around the filter.
• Performance claims are not supported by reported metrics or a described validation method.

Tags

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