TrendFollow

TrendFollow trades trend-continuation setups using a trailing stop line and deterministic entry filters.

Visual overview

The illustrations are schematic, not market data. Exact thresholds, confirmation rules, and risk parameters come from the active strategy config.

Entry Logic

1. Replays candles through createTrendFollowEngine(...).
2. Reads runtimeState.signal and runtimeState.snapshot.
3. Skips until a bullish or bearish trend signal exists.
4. Selects LONG or SHORT side config from signal direction.
5. Uses signal.trailStop as the stop-loss reference.
6. Computes target from TRENDFOLLOW_TARGET_R_MULT.
7. Sizes quantity from MAX_LOSS_VALUE / riskDistance, using the RISK_FEE_RATE, RISK_SLIPPAGE_BPS, and RISK_MARKET_IMPACT_BPS estimates.
8. Returns entry with trend-follow figures and trendFollowContext.

Entry codes:

• TRENDFOLLOW_BULL_TREND
• TRENDFOLLOW_BEAR_TREND

Exits

When a position exists:

• TRENDFOLLOW_TRAIL_STOP_EXIT when TRENDFOLLOW_EXIT_ON_TRAIL_STOP=true and price crosses the active trailing stop.
• TRENDFOLLOW_OPPOSITE_SIGNAL_EXIT when TRENDFOLLOW_EXIT_ON_OPPOSITE_SIGNAL=true and the engine emits an opposite trend signal.
• otherwise POSITION_EXISTS.

Configuration keys

The keys are grouped by purpose. A listed _LONG or _SHORT key overrides the unsuffixed value for that direction.

Group	Keys	Purpose
Runtime and decision services	ENV, INTERVAL, MAKE_ORDERS, CLOSE_OPPOSITE_POSITIONS, BACKTEST_PRICE_MODE, AI_ENABLED, AI_MODE, MIN_AI_QUALITY, ML_ENABLED, ML_THRESHOLD	Select the runtime mode and candle interval, control order placement, and enable optional AI or ML decisions.
Shared indicators	MA_FAST, MA_MEDIUM, MA_SLOW, OBV_SMA, ATR, ATR_PCT_SHORT, ATR_PCT_LONG, BB, BB_STD, MACD_FAST, MACD_SLOW, MACD_SIGNAL	Set the periods used to build shared market context and signal filters.
Trend line	TRENDFOLLOW_PIVOT_LENGTH, TRENDFOLLOW_ATR_LENGTH, TRENDFOLLOW_ATR_MULT, TRENDFOLLOW_SIGNAL_OFFSET_ATR, TRENDFOLLOW_MIN_BARS_BETWEEN_SIGNALS	Define confirmed pivots, trailing-line ATR scale, signal offset, and signal cooldown.
Entry structure	TRENDFOLLOW_REQUIRE_STRUCTURE_BREAKOUT, TRENDFOLLOW_REQUIRE_TREND_ALIGNMENT, TRENDFOLLOW_REQUIRE_BENCHMARK_ALIGNMENT, TRENDFOLLOW_MIN_STRUCTURE_ACCEPTANCE_CLOSES, TRENDFOLLOW_MIN_BREAKOUT_BODY_ATR, TRENDFOLLOW_MIN_BREAKOUT_DISTANCE_PCT, TRENDFOLLOW_MIN_BREAKOUT_DISTANCE_PCT_LONG, TRENDFOLLOW_MIN_BREAKOUT_DISTANCE_PCT_SHORT, TRENDFOLLOW_MAX_BREAKOUT_DISTANCE_PCT	Require a confirmed structure break and trend or benchmark agreement inside the configured breakout distance.
Participation and regime	TRENDFOLLOW_MIN_VOLUME_REL20, TRENDFOLLOW_MIN_TREND_PERSISTENCE, TRENDFOLLOW_MIN_TREND_PERSISTENCE_LONG, TRENDFOLLOW_MIN_TREND_PERSISTENCE_SHORT, TRENDFOLLOW_MAX_RSI, TRENDFOLLOW_MAX_RSI_LONG, TRENDFOLLOW_MAX_RSI_SHORT, TRENDFOLLOW_MAX_BB_WIDTH_PCT, TRENDFOLLOW_MAX_BB_WIDTH_PCT_LONG, TRENDFOLLOW_MAX_BB_WIDTH_PCT_SHORT	Set volume, trend-persistence, RSI, and Bollinger-width filters, with directional overrides.
Target and exits	TRENDFOLLOW_TARGET_R_MULT, TRENDFOLLOW_TARGET_R_MULT_LONG, TRENDFOLLOW_TARGET_R_MULT_SHORT, TRENDFOLLOW_EXIT_ON_TRAIL_STOP, TRENDFOLLOW_EXIT_ON_OPPOSITE_SIGNAL	Set directional target distance and enable trailing-stop or opposite-signal exits.
Figures and side policy	TRENDFOLLOW_MAX_FIGURE_POINTS, MAX_LOSS_VALUE, LONG.*, SHORT.*	Limit chart output, set the loss budget, and configure each direction.

Signal Payload

The strategy stores:

• additionalIndicators.trendFollowContext
• trend and trailing-stop figures from buildTrendFollowFigures(...)
• stop at signal.trailStop
• one take-profit at the computed target

Common Skip Reasons

• NO_TREND_FOLLOW_SIGNAL
• POSITION_EXISTS
• DEV_TRADE_COOLDOWN
• STRATEGY_DISABLED
• INVALID_STOP
• INVALID_QTY
• RISK_RATIO:<value>

Validation Notes

Trend-following experiments are very sensitive to stop distance, warmup length, and market regime. Treat guardrail behavior as implementation detail to validate with your own tickers and timeframes.

Related:

• AI/ML workflows
• Backtesting caveats