Volume and Momentum Signals with Adaptive Trailing Stops

Summary

This primarily long strategy combines volume, momentum, and trend measures to seek entries when several conditions align. It requires OBV to exceed its moving average, positive net volume, RSI above a threshold, and MFI below a threshold. A short-term EMA is also calculated as a trend reference, although the stated long entry condition does not use it. The exit logic activates a trailing stop after a gain threshold, closes after a specified pullback from the high, and imposes a separate maximum loss. Short signals are described, but the source shown does not submit short entry orders.

The document reports a backtest with a high win rate and hundreds of trades, but also acknowledges average losses substantially exceeding average gains and a profit factor below one. Those caveats materially weaken the favorable headline figures. The published settings specify a short-period ETH/USDT futures test, while the narrative describes a different timeframe and a longer sample, so the evidence is not fully consistent. Costs, execution assumptions, and out-of-sample validation are not established. The proposed improvements include volatility-based stop adjustment, higher-timeframe filters, partial exits, and parameter sensitivity analysis.

Key ideas

• Long entries require aligned OBV, net volume, RSI, and MFI conditions.
• The exit system combines a profit-triggered trailing stop, a pullback threshold, and a maximum loss.
• Short conditions appear in the source, but the shown code does not place short entries.
• The reported high win rate coexists with larger average losses and a profit factor below one.
• The backtest narrative and published settings describe inconsistent timeframes and sample periods.

Tags

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