Overview

This strategy uses the Directional Trend Index (DTI) to determine price trend direction for trend following trades. DTI compares the change in highest and lowest prices over a period to judge the trend, with upper and lower thresholds generating signals. Go long when DTI crosses above upper band, and short when crossing below lower band.

Strategy Logic

Calculate price change value from highest and lowest price changes over a period. Apply multiple exponential moving averages to this to derive the DTI curve. Set upper and lower thresholds for DTI. When the indicator crosses above the upper threshold, a long signal is generated. Crossing below the lower threshold gives a short signal. Hold position until next signal occurs.

Advantages

• DTI accurately determines trend direction with fewer signals
• Thresholds filter insignificant breakouts avoiding noise trades
• Continuously following trends, unaffected by short-term fluctuations
• Large parameter tuning space to balance responsiveness

Risks

• Trend reversal points cannot be accurately determined, risks losses
• Poor DTI parameter tuning risks missing opportunities
• Prolonged holding may result in larger drawdowns
• Low trade frequency unsuitable for high frequency trading

Risks can be mitigated by shortening calculation period, adjusting thresholds, or adding reversal indicators.

Enhancements

• Test different parameter combinations for calculating DTI
• Optimize long/short threshold levels
• Consider adding stop loss strategies to control risk
• Test robustness across different products

Conclusion

DTI strategy accurately determines trend direction from clear signals, enabling steady long-term profits. Further refinements like parameter optimization can make it a high-quality trend following system.