EMA and VWAP Trend Confirmation with Prior-Day Breakouts

Summary

This strategy combines short- and medium-term EMA alignment with VWAP location and a close-confirmed break of a prior-day high or low. Long entries require a bullish CBC flip, price and both EMAs above VWAP, and the fast EMA above the middle EMA; short entries apply the inverse conditions. Positions close when CBC flips in the opposite direction. The framework also tracks prior-day reference prices and Monday’s high and low for market context, although these levels are not all part of the stated entry test.

The document provides strategy logic and source code but no reported performance results. It identifies lagging EMA signals, false breaks, noisy VWAP crosses in sideways conditions, and the lack of an explicit stop loss as concerns. It also notes that the backtest fill assumptions may not match live execution. Suggested improvements include volume confirmation, volatility-based stops, higher-timeframe filters, and realistic costs and slippage in evaluation.

Key ideas

• Entries require agreement among EMA direction, price location relative to VWAP, and a CBC flip.
• The CBC state changes after a close breaks the previous bar’s high or low, and an opposing flip closes an open position.
• Prior-day levels and Monday’s range provide additional market structure context.
• The source has no explicit stop loss, and the document reports no measured strategy performance.

Tags

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