A Weighted Price Crossover Strategy in VeighNa

Summary

This VeighNa CTA strategy constructs a weighted price measure from the current bar close and several earlier closes, using coefficients that include Fibonacci-like weights. It compares the measure with an exponential moving average of that series and treats an upward crossover as a long signal and a downward crossover as a short signal. When the signal reverses while a position is open, the code closes the existing position and opens one in the opposite direction.

The example builds bars from tick data, waits for the array manager to initialize and enough history to be present, then submits orders at the bar close. The post itself is a request for help because the author reports that backtests produce no results. It does not include a diagnosis, backtest settings, data details, or performance evidence, so the cause of the reported issue and the strategy's effectiveness remain undetermined.

Key ideas

• The strategy derives a weighted price series from recent bar closes.
• It uses crossovers against an exponential moving average to generate long and short signals.
• A reversal signal closes the current position and opens a position in the opposite direction.
• The post reports an empty backtest outcome but provides no explanation or verification of the cause.

Tags

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