Two-Sided Range Breakout Signals from Recent Up and Down Closes

Summary

This two-sided strategy tracks the latest close associated with an up move and the latest close associated with a down move. It measures the current close’s percentage change from each reference level, then compares those changes with configurable thresholds to trigger long or short entries. Long and short trading can be enabled separately, and position size is based on account equity. The source also uses the direction of the current candle to close an open position after a favorable move.

The document presents the approach as a blend of trend and range behavior and allows date filters and threshold adjustments. However, it does not provide backtest performance results, and its explanation of the threshold signals is difficult to reconcile with the code’s calculations and default values. It also has no explicit stop-loss, leaving per-trade losses insufficiently bounded. Suggested improvements include trailing stops, more stable volatility-based sizing, entry filters, and spreading exposure across related products.

Key ideas

• The strategy measures the close against the latest close associated with an upward or downward move.
• Configurable percentage thresholds generate long and short signals, which can be enabled independently.
• Position size is derived from account equity, while candle direction is used to close positions after a favorable move.
• The published description and code appear inconsistent about how the signal thresholds work.
• The strategy lacks an explicit stop-loss, and the document suggests trailing stops and volatility-based sizing.

Tags

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