Volatility-Filtered Short Trend Following with Delayed Exits

Summary

This short-only trend strategy uses a fast and a slow simple moving average to establish a bearish bias. It enters when price crosses below the fast average, provided average true range exceeds a threshold relative to its own average and the recent price range is not too narrow. A percentage stop-loss is set from the entry price. Exit signals are considered only after a configured time delay, when price crosses above the slow average or the fast average crosses above it.

The article explains the purpose of the volatility and range filters, the delayed exit, and the stop, then discusses reversal, parameter, and sideways-market risks. It suggests possible refinements such as volume or trend-strength confirmation, trailing stops, and adaptive parameters. The included code and published settings identify an ETH futures test on two-minute bars, but the document provides no performance statistics. Although the prose describes a breakout confirmation, the code’s entry condition is a close crossing below the fast average; this implementation detail matters when interpreting or reproducing the method. The fixed delay and percentage stop may behave differently across instruments and volatility regimes.

Key ideas

• The strategy opens short positions when bearish moving-average alignment coincides with a price cross below the fast average.
• An ATR filter requires elevated volatility, while a range filter excludes narrow recent price ranges.
• A percentage stop-loss is active, and trend-reversal exits are delayed by a configured time.
• The prose mentions breakout confirmation, but the code uses a fast-average cross for entry.
• The document identifies parameter sensitivity and market reversals as risks but reports no test results.

Tags

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