Gamma-Weighted Momentum Signals for Bitcoin Futures

Summary

This strategy combines a gamma-weighted average price (GWAP) with a short-term momentum condition to generate Bitcoin futures entries. It weights recent closing prices more heavily through an exponential decay factor, then compares the current close with GWAP. A long signal requires price above GWAP and three consecutive rising periods; a short signal uses the inverse conditions. The example uses a 60-period calculation length and a gamma factor of 0.75, with a six-hour BTC-USDT futures backtest configured from February 2024 to February 2025.

The document explains the signal logic and lists possible issues, including false signals in choppy markets, sensitivity to the weighting parameter, processing delays, and slow reaction to abrupt reversals. It provides no backtest performance statistics or comparison, so the stated settings and strategy rationale do not establish profitability. The accompanying code also does not implement the proposed adaptive volatility weighting, multi-timeframe confirmation, or dynamic stop-loss ideas.

Key ideas

• GWAP applies exponentially decaying weights to historical closing prices, emphasizing more recent observations.
• The long entry requires a close above GWAP and three consecutive increases in closing price.
• The short entry applies the opposite price and momentum conditions.
• The published example configures a six-hour BTC-USDT futures backtest and specifies a 60-period length and a 0.75 gamma factor.
• The document identifies choppy-market signals, parameter sensitivity, latency, and reversal lag as risks, but reports no performance results.

Tags

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