Multi-Timeframe VWMA Trend Filter with HLCC4 Breakout Entries

Summary

This long-only strategy combines a weekly trend filter with moving-average and price conditions for entry and exit. It permits entries when price is above the 50-period weekly volume-weighted moving average (VWMA). On the chart timeframe, two consecutive closes must be above the 200-period VWMA, and the latest close must exceed the prior candle’s HLCC4 value, calculated from its high, low, and two closes. The described exit uses a daily close below the daily 200-period VWMA, and the stated position size is 10% of account equity.

The document gives Binance BTC/USDT futures backtest settings spanning roughly one year, despite describing a five-year restriction; the code sets that restriction variable to always true. It provides no performance statistics, so the proposed benefits are not demonstrated. The long moving averages can delay signals, and the strategy can still suffer false breakouts, drawdowns, and slippage. Its long-only design also leaves it exposed to missed short-side opportunities.

Key ideas

• The weekly 50-period VWMA acts as a filter that allows long entries only when price is above it.
• Entry requires two consecutive closes above the current-timeframe 200-period VWMA and a close above the prior candle’s HLCC4 value.
• The described exit occurs when the daily close falls below the daily 200-period VWMA.
• The document states a 10% of equity position size but supplies no performance results to validate the strategy.
• The published backtest spans about one year, and the code does not enforce the described five-year restriction.

Tags

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