Elastic Volume-Weighted Moving Average Crossover Strategy

Summary

This strategy uses two elastic volume-weighted moving averages (EVWMAs) to generate directional signals. A crossover of the shorter line above the longer line triggers a long entry, while a cross below triggers a short entry. The example uses periods of 5 and 40. Its recursive calculation combines the previous EVWMA with current price and volume, with the weights tied to volume accumulated over each selected period.

The document presents the method as a trend signal that may respond differently from a simple moving average, but it gives no measured performance results. Published backtest settings specify BTC/USDT futures on Binance over a short August 2023 interval. The described strategy has no stop-loss or take-profit rule, and crossovers can whipsaw in noisy or ranging markets. The note recommends testing period choices and adding risk controls or filters; these are proposed improvements, not validated results.

Key ideas

• The method compares short and long EVWMA lines to produce long and short signals.
• The example uses periods of 5 and 40.
• The calculation incorporates current volume and price alongside the previous EVWMA value.
• The strategy has no stated stop-loss or take-profit mechanism.
• The brief published backtest settings include no performance evidence.

Tags

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