Contrarian MACD and VWMA Entries with ATR-Based Exits

Summary

This strategy reverses a conventional momentum setup. It enters short when MACD crosses its signal line, the histogram is positive, and price reaches or exceeds VWMA; it enters long when the histogram is negative and price touches or falls below VWMA. Choppiness and ADX thresholds must also pass, and a cooldown after each exit limits immediate re-entry. Users can restrict trading to either direction.

At entry, the system records ATR as a percentage of price, then uses the position’s fill price to set fixed profit and stop levels. The stop is tightened by a separate maximum-loss percentage when that produces a closer level. The document provides implementation details and rationale, but no performance results or empirical evidence that fading these signals is profitable. Its claim that the filters identify credible exhaustion points is a hypothesis; thresholds, behavior across assets and timeframes, and execution assumptions require independent testing.

Key ideas

• The strategy shorts a bullish MACD crossover setup and buys a bearish one.
• A VWMA touch and the sign of the MACD histogram help define each conventional signal being faded.
• ADX and Choppiness thresholds filter entries, while a cooldown separates trades after exits.
• ATR percentage at the trigger bar sets fixed take-profit and stop distances from the eventual fill price.
• A hard percentage stop can tighten the ATR stop, but the document reports no backtest results.

Tags

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