AVWAP Breakout Strategy with Momentum Filters and ATR Stops

Summary

This trend-following system combines an AVWAP crossing with a 200-period EMA trend filter, RSI and MACD confirmation, and a volume filter that requires volume to exceed its recent average. It also calculates a midpoint from the highest high and lowest low over a fixed lookback, while describing fixed-range volume profile analysis as part of the approach. Entries require several conditions to align; exits use ATR-based initial and trailing stops. The stated position sizing uses a fixed share of equity.

The document outlines potential benefits and risks but supplies no measured performance results. Its published backtest settings identify a one-hour SOL perpetual futures market and a date range, but do not report returns or trade statistics. The source code calculates the range midpoint without using it in the entry conditions, and its VWAP calculation does not visibly apply the described fixed anchor length. Parameter sensitivity, ranging markets, indicator lag, gaps, and trading costs are cited as limitations; the proposed filters and adaptations are suggestions rather than validated improvements.

Key ideas

• Long and short entries require an AVWAP cross, alignment with the long-term EMA, momentum confirmation, and above-average volume.
• ATR multiples set the initial stop and trailing stop to adapt exit distance to volatility.
• The calculated fixed-range midpoint does not appear in the source code's entry rules.
• The listed backtest market and period provide setup details but no evidence of profitability.
• Ranging conditions, parameter tuning, gaps, and trading costs may weaken results.

Tags

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