EMA Crossover Entries Filtered by Hourly Bias and VWAP

Summary

This script combines a fast and slow EMA crossover with two filters. A long signal requires the fast EMA to cross above the slow EMA, the hourly close to be above its hourly EMA, and the current close to be above VWAP. Shorts require the inverse conditions: a bearish crossover, hourly close below its EMA, and price below VWAP. The defaults use 10- and 20-period chart EMAs and a 20-period hourly EMA.

VWAP also determines the stop level. The target is set at a distance from entry equal to the distance between the entry price and VWAP, implying a one-to-one reward-to-risk relationship when the stop lies on the expected side of price. The document supplies code and a short description, but no backtest period, instrument, cost assumptions, or performance results. It therefore explains a testable rule set without evidence that the filters improve returns; execution behavior and VWAP suitability may also depend on the chart and market used.

Key ideas

• Long entries require a bullish EMA crossover, bullish hourly EMA bias, and price above VWAP.
• Short entries require the corresponding bearish crossover and both price filters below their references.
• VWAP serves as the stop, while the target mirrors the entry-to-stop distance.
• The script provides no market-specific backtest settings or performance evidence.

Tags

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