EMA and Volume-Weighted Price Trend Tracking with RSI Exits
Summary
This strategy tracks trends using an EMA of closing price and smoothed values derived from rolling volume-weighted average price. In the long configuration, it enters when the price EMA crosses above the first smoothed weighted-price measure and may add a position when price crosses above a second measure, subject to trend conditions. It uses a fixed-percentage stop and can take a partial exit when a short-period RSI weakens after a profit threshold. The short configuration has separate entry and exit rules.
The document provides a one-week BTC/USDT futures backtest setup, but no performance results. Its overview describes volume as confirming trend changes, though the code uses volume to compute weighted price rather than a standalone volume confirmation signal. The implementation also differs from the prose on some details, including the stated RSI exit threshold and short-side stop behavior. EMA lag, parameter complexity, trading costs, and the mechanical stop are cited risks, and the supplied strategy should be checked against the intended rules before evaluating it.
Key ideas
- The code combines a closing-price EMA with EMAs of rolling volume-weighted average price measures.
- Long entries use an EMA crossover, with an additional conditional re-entry above a second weighted-price measure.
- Partial exits use RSI conditions, while a fixed-percentage stop is specified for long positions.
- The short-side logic differs from the long-side logic, and the implementation does not fully match the prose description.
- A one-week BTC/USDT futures backtest setup is given without reported performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.