Aroon Trend Filter Backtest in Crypto: Fees, Slippage and Break-Even Costs
Aroon measures how recently the highest high and lowest low occurred. As a filter it asks: has the market made new highs lately?
Short answer
Aroon Up = (N − bars since highest high) ÷ N × 100; Aroon Down uses the lowest low. A filter might allow longs only when Aroon Up is above 70 and above Aroon Down. Because it reacts to recency, it switches state abruptly when a new extreme prints or drops out of the window. Compare a base strategy with and without the filter on trade count and break-even cost, and test N.
Break-even cost
| Item | Value (illustrative) |
|---|---|
| Trades | 130 |
| Gross avg per trade | +0.47% |
| Fees (2 × 0.05%) | −0.10% |
| Slippage (2 × 0.03%) | −0.06% |
| Net avg per trade | +0.31% |
| Break-even round-trip cost | 0.47% |
Filter effect
| Version | Trades | Net avg (illustrative) |
|---|---|---|
| Base | 290 | +0.08% |
| Aroon Up > 70 | 130 | +0.37% |
| Aroon Up > 90 | 55 | +0.41% (small sample) |
Conclusion
Related: DMI Directional Filter Backtest in Crypto: Fees, Slippage and Break-Even Costs, ADX Trend Filter Backtest in Crypto: Fees, Slippage and Break-Even Costs.
Backtest the aroon trend filter rule with costs in ChartsPod.
Open the ChartsPod terminalCompare a base strategy with and without the filter on trade count and break-even cost, and test N.
Put Aroon Trend Filter Backtest in Crypto next to price, flow and positioning in one workspace.
Open a ChartsPod workspaceQuestions readers ask
How is Aroon calculated?
From bars since the N-bar high or low.
Why does Aroon jump?
A new extreme or one leaving the window changes it abruptly.
Is a stricter filter better?
Only with enough trades.
Sources and methodology
Backtest cost logic follows TradingView's Pine Script strategy documentation; indicator definitions are standard. All performance numbers are illustrative examples of the method, not results of real tests.
- TradingView Pine Script: Strategies — simulated fills and assumptions.
- TradingView Pine Script: Repainting — live vs historical calculation.
- ChartsPod documentation — guides for order flow, derivatives, alerts, backtests, journal and workspaces.
This article explains research tools and workflows. It is not financial advice, does not recommend buying or selling any asset and does not predict prices. Crypto derivatives carry a risk of rapid and total loss of margin.
CHARTSPOD EDITORIAL EDITION · RESEARCH AND EDUCATION ONLY · NOT FINANCIAL ADVICE.