Momentum and Volume Strategy with an EMA Trend Filter and ATR Exits
Summary
This strategy combines directional price momentum with a short moving average’s change in direction, which the author describes as a curl signal. A long setup requires positive 20-period momentum and a rising 50-period simple moving average; a short setup requires both to be negative. In either direction, volume must exceed its 20-period average by a set margin. An optional 200-period exponential moving average filter blocks entries against the broader trend.
Stops are placed beyond the signal bar’s low or high by a direction-specific ATR multiple, and profit limits are set at twice the corresponding stop multiple relative to the average entry price. The script also emits entry and exit alerts and displays directional labels. Although the accompanying description claims broad testing and favorable performance across several assets, it provides no underlying results, test period, or methodology to assess those claims. The strategy therefore presents an implementable rule set, not evidence of a persistent edge; users would need to account for costs and validate it on their own markets and timeframes.
Key ideas
- Long and short signals require momentum and the 50-period moving average to point in the same direction.
- A volume threshold requires activity to exceed its recent average before entry.
- An optional 200-period EMA filter aligns trades with the broader price trend.
- ATR-based stops differ for long and short positions, with profit targets set at twice the stop multiple.
- The text makes performance claims without supplying the test data needed to verify them.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.