HP Filter and VWAP Trend Strategy with ATR Stops

Summary

This document describes a trend-following approach that smooths price with a Hodrick–Prescott filter and compares price with a volume-weighted average price calculated over a configurable session or timeframe. The stated rule is to favor long positions above the trend estimate and short positions below it. An ATR-based stop is intended to limit losses, with a configurable risk-to-reward setting and trade risk in the accompanying script parameters.

The discussion proposes adjusting the filter’s smoothing factor, filter length, VWAP timeframe, and ATR multiplier to suit different horizons and markets. It acknowledges that range-bound markets may trigger repeated stops, late-trend pullbacks may create false signals, and a poor VWAP timeframe can reduce useful entries. The document offers no meaningful performance evidence: its published backtest window is only one day, and it reports no measured results. It also makes broad claims about win rate and profitability without supporting statistics, so those claims should not be treated as validation. The code excerpt is incomplete, making some implementation details difficult to assess.

Key ideas

• The strategy uses an HP-filtered price estimate and a configurable VWAP as trend references.
• It favors long exposure above the trend reference and short exposure below it.
• ATR-based stops and a risk-to-reward setting are intended to structure trade risk.
• The document identifies false signals in consolidations and near trend reversals as key risks.
• The published backtest covers only a brief period and provides no reported performance measures.

Tags

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