Volatility-Adjusted Trend and Breakout Trading with Dynamic Sizing

Summary

This daily-system design combines an EMA trend signal with a price-channel breakout. The trend component compares a user-set fast EMA with a slow EMA five times longer, then scales their difference by return volatility. The breakout component measures price against the midpoint of the recent high-low range and signals when price moves far enough above or below that baseline. Either component can be enabled alongside long and short trading.

Position size is adjusted using recent volatility and a target annualized risk level, subject to a leverage cap; the source also includes ATR-based hard stops and channel-based trailing exits. Published settings identify BTC/USDT futures, while the backtest window is only one month on hourly bars with 15-minute base data. No performance statistics are supplied, and the document itself flags sensitivity to parameters, transaction costs, capital, leverage, and volatility estimates. The strategy description therefore outlines a testable framework, not evidence of stable profitability.

Key ideas

• The system combines volatility-scaled EMA trend signals with breakouts from a recent price range.
• Fast and slow EMA periods are related by a five-to-one multiplier.
• Position size falls as estimated volatility rises and is capped by a maximum leverage setting.
• Hard stops use ATR multiples, while trailing exits use recent highs and lows.
• The published BTC/USDT futures test spans one month and includes no reported performance results.

Tags

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