Phase Oscillator Momentum Entries for NQ Futures

Summary

The strategy uses a smoothed oscillator that measures how far closing price sits from a 21-period EMA, scaled by three times the 14-period Wilder ATR. A reading of +100 corresponds to price being three ATRs above the EMA; −100 corresponds to three ATRs below it. The default setup enters long or short when the oscillator crosses those extremes, with new entries limited to the New York morning session.

Positions exit on a cross of the opposite extreme or at the specified afternoon flat time. The published defaults use one contract and no stop or profit target; commissions and slippage are included in the strategy settings. Optional changes include alternate signal levels, session and exit rules, VWAP filtering, stops, and overnight holding. The document provides settings and implementation details, but no performance results. It also says the optional layers have not been validated out of sample, so their effectiveness is unknown.

Key ideas

• The oscillator normalizes the close-to-EMA distance by ATR and smooths the result with an EMA.
• The default long and short triggers are crosses above +100 and below −100.
• New entries are restricted to the New York morning window, with a scheduled afternoon flat.
• The default setup uses one contract and has no stop loss or profit target.
• Optional filters and exit variations are presented without out-of-sample validation.

Tags

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