Price Momentum Entries Using VWAP and a Smoothed Moving Average

Summary

This long-entry strategy combines volume-weighted average price with a smoothed moving average. It first tracks whether price moves above VWAP while remaining below the smoothed average, requiring that this state was not already present on the prior bar. The strategy saves that trigger while price remains above VWAP, then enters when price is also above the smoothed average. A setting controls whether consecutive qualifying entries are allowed. Stop distance and a reward-to-risk input configure the exit levels.

The document presents the staged confirmation as a way to filter some false signals, while noting that lagging averages, parameter sensitivity, and the small number of entries can lead to missed opportunities. It proposes testing other momentum or volume measures and adapting parameters, but supplies no reported performance results. The listed parameter labels and source code appear to disagree about which exit distance is the stop versus the target, so the exit behavior should be checked before evaluating the strategy. The published backtest settings identify BTC/USDT futures but do not include outcome statistics.

Key ideas

• A VWAP condition triggers a saved bullish state when price is above VWAP but below the smoothed average.
• The strategy enters long after price rises above the smoothed average while the saved state remains active.
• Inputs govern consecutive entries and the stop and reward-to-risk distances.
• The document notes that staged confirmation may reduce false signals but also miss trades.
• No backtest results are reported, and the stop and target definitions should be verified against the inputs.

Tags

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