EMA Crossovers Filtered by Hourly Bias and VWAP

Summary

This strategy combines a fast and slow exponential moving average crossover with two filters. It checks whether the hourly close is above or below an hourly EMA to define directional bias, then requires the current close to be on the matching side of VWAP. A bullish crossover can therefore enter long only when both filters are bullish; a bearish crossover follows the inverse conditions.

VWAP also supplies the stop level, while the target is set at a distance from entry equal to the distance between entry and VWAP, creating a nominal one-to-one reward-to-risk relationship when the stop is on the expected side of price. The document presents the indicator logic but no backtest, execution details, or evidence of profitability. The EMA lengths are configurable, whereas the VWAP method and higher timeframe are fixed in the script. Results may depend on chart timeframe, market session, and costs, and the document does not discuss handling repeated or overlapping signals.

Key ideas

• Fast and slow EMA crossovers generate candidate long and short signals.
• An hourly close relative to its EMA supplies the higher-timeframe direction filter.
• Long entries require price above VWAP, and short entries require price below VWAP.
• VWAP is used as the stop, with a target at the same distance from entry.
• The document gives no performance evidence or detailed execution assumptions.

Tags

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