EMA, RSI, and VWAP Filters for Intraday Momentum Trading
Summary
This strategy combines a fast and slow EMA crossover with RSI and VWAP filters to seek intraday momentum trades. Long entries require an upward EMA crossover, RSI below the overbought threshold, and price above VWAP; short entries use the opposite crossover and price location, with RSI above the oversold threshold. The described defaults use 9- and 21-period EMAs, a 14-period RSI, and a session running from 9:30 to 15:45. Positions have percentage-based stop and target levels, and the strategy closes positions outside the defined session.
The document explains the rationale for combining directional, momentum, and price-location signals, then discusses risks and possible refinements. Choppy markets can generate repeated crossovers, fixed percentage exits may not suit changing volatility, and multiple filters can delay entries. It proposes options such as ATR-based exits, trend-strength filters, and dynamic sizing. The document provides rules and source code but no performance results; its claims about signal quality and stability are not supported by reported backtests. The stated session assumptions may also need adjustment for instruments or venues with different trading hours.
Key ideas
- EMA crossovers provide the strategy's primary directional signal.
- RSI thresholds and price relative to VWAP filter potential entries.
- Trades are restricted to a defined session and positions are closed outside it.
- Fixed percentage stops and targets may not adapt well to different volatility regimes.
- The document gives no backtest performance evidence for its claimed benefits.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.