Volatility-Adaptive Williams Percent Range Trend Signals
Summary
This trend-following method combines price-range volatility measurements with Williams Percent Range (WPR). It calculates a recent high-low range and its moving average, then counts unusually large bar moves and multi-bar price changes. Those counts select among WPR calculations with different lookback lengths, so the indicator’s sensitivity changes with recent volatility. The resulting value is compared with upper and lower thresholds to maintain a bullish or bearish state; crossings of that state through zero create entries.
The document describes adjustable ASC length and risk parameters and provides a one-hour BTC/USDT futures backtest window, but gives no measured outcomes. Its stated limitations include sensitivity to parameter choices, delayed signals from smoothing, excess signals in ranging markets, and false breakouts during high volatility. It recommends backtesting and additional confirmation, while also identifying volume filters, stop-loss rules, and market-regime filters as possible extensions. No evidence is presented that these changes improve performance.
Key ideas
- Recent range size and counts of unusually large moves determine which WPR lookback is used.
- Upper and lower thresholds convert the adjusted WPR value into a persistent trend state.
- Signals occur when the trend state crosses between bearish and bullish.
- The document provides a BTC/USDT futures test window but no performance statistics.
- Parameter sensitivity, range-bound conditions, and volatility-related false signals are identified as risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.