EMA and Cumulative Volume Weighted Price Crossover Strategy

Summary

This strategy compares an exponential moving average of closing prices with an EMA of a rolling cumulative volume weighted price. It enters long when the price EMA crosses above the volume based EMA and short when it crosses below. The volume weighted price is derived from the average of each bar’s high, low, and close, weighted by volume over a selected lookback period.

Positions can exit on the reverse crossover or by crossing an EMA calculated from a separate, configurable cumulative volume period. An optional New York time window can restrict entries and close open positions at the window’s end. The document lists BTC perpetual futures backtest settings but gives no performance results, so it does not establish profitability. It identifies lag, false signals in sideways markets, parameter sensitivity, low liquidity, and time zone assumptions as limitations.

Key ideas

• The strategy compares price EMA with an EMA of rolling volume weighted average prices.
• An upward crossover signals a long entry, while a downward crossover signals a short entry.
• Exits can use the opposing crossover or a separate cumulative volume period.
• A time filter can restrict trading hours and optionally close positions at the end of a window.
• The document provides backtest settings but no performance evidence, and notes lag and false signals as risks.

Tags

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