Phase Oscillator Momentum Entries with Session-Based Exits

Summary

The strategy turns a volatility-scaled measure of distance from an exponential moving average into directional signals. It divides the close-to-EMA distance by a multiple of ATR, smooths that reading, and enters long or short when it crosses a selected positive or negative threshold. The default is an extreme threshold, intended to capture strong price thrusts; lower thresholds are available. Entries are limited by a New York session window, and open positions are normally closed by the session end or on an opposing oscillator signal.

Optional settings add alternative signal levels and exits, overnight holding, VWAP distance filtering, and hard or trailing stops. The document gives the oscillator formula and describes configurable rules, but supplies no backtest statistics or out-of-sample validation. It explicitly cautions that optional layers have not been validated and suggests comparing the implementation with the original indicator. Results would also depend on the selected market, chart interval, trading costs, and session settings; the stated NQ example is a configuration, not evidence of profitability.

Key ideas

• The oscillator measures EMA distance in ATR-scaled units and smooths the result.
• Crosses of positive and negative thresholds trigger long and short entries.
• Session rules constrain entry timing and normally flatten positions near the close.
• Alternative thresholds, exit rules, VWAP filters, and protective stops are optional settings.
• The document reports no validation results, and optional features are explicitly untested out of sample.

Tags

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