Yesterday’s High Breakout with ROC Filtering and Exit Rules

Summary

This short-term trend-following strategy enters long when price breaks above the prior day’s high, with an optional rate-of-change filter based on the current close versus the previous daily close. It tracks the current session’s high and offers an adjustable entry gap. Exits can use percentage stop loss and take profit levels, a trailing stop, or a close below a selected exponential moving average. The source also describes a short-capable approach, though its shown entry logic places long orders.

The document gives parameters and a sample backtest setup for BTC-USDT futures on Binance, using hourly bars with 15-minute base data over roughly one month. It reports no performance results, so it does not establish profitability. The strategy may suffer false breakouts and whipsaws in ranging markets; its threshold and risk settings need testing across market conditions. Volume confirmation and volatility-aware parameters are suggested as possible refinements.

Key ideas

• The strategy enters on a move above the previous session’s high, with an optional ROC filter.
• An adjustable gap can move the entry trigger ahead of or beyond the reference high.
• Stop loss, take profit, trailing stop, and an optional EMA exit provide alternative risk controls.
• False breakouts and range-bound markets are key weaknesses, and the document provides no performance evidence.

Tags

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