USDJPY Reversal Strategy with Three-Bar Runs, ADX, and ATR Filters

Summary

This proposal describes a USD/JPY strategy on hourly bars that looks for reversals after three consecutive candles of the same direction. It filters entries with ADX, ATR-based activity, and a fast versus slow moving-average relationship: after falling bars it buys when the fast average is above the slow one, while after rising bars it sells when the fast average is below it. Position size is scaled inversely to ATR, and exits use ATR multiples for profit targets and stops.

The author reports a favorable result and mentions a static 70/30 walk-forward analysis with three variables, but provides no performance figures or underlying test results in the text. Several key inputs are commented out while still referenced in the code, so the supplied listing is not fully self-contained as shown. The idea is specific to one currency pair and timeframe, and the document does not establish robustness across markets, costs, or different test periods.

Key ideas

• The setup seeks a reversal after three consecutive candles move in the same direction.
• ADX, ATR, and the relative positions of fast and slow moving averages condition entries.
• Position size varies inversely with ATR, while profit and loss exits are specified as ATR multiples.
• The author cites a 70/30 static walk-forward analysis but gives no numerical results in the text.
• The code references parameters whose definitions are commented out in the displayed listing.

Tags

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