Scored EMA Crossover Options Signals with VWAP, Momentum, and ATR Exits

Summary

This SPY/QQQ-oriented script generates bullish and bearish signals after a recent fast/slow EMA crossover. It scores each direction using EMA alignment, RSI range, VWAP position, MACD, volume with candle direction, stochastic conditions, position relative to the 200-period EMA, and recent higher highs or lower lows. A signal must meet a configurable minimum score, exceed the opposing score, occur during selected market sessions, and satisfy a spacing rule between signals.

The strategy enters long or short positions and places stop-loss and take-profit levels using ATR multiples, with closure on an opposite signal. The document provides implementation details and configurable parameters but no backtest results or options-specific contract selection, pricing, or execution method; the strategy trades the chart instrument rather than modeling option payoffs. Signal scores and technical filters are heuristic, so they do not by themselves demonstrate an edge, and the ATR levels are calculated from the signal bar’s close.

Key ideas

• A recent EMA crossover is required before either directional signal can qualify.
• The call and put scores combine trend, momentum, VWAP, volume, stochastic, and price-structure inputs.
• Signals require a minimum score, a stronger directional score than its opposite, an allowed session, and sufficient spacing.
• Entries use ATR-multiple stop and target levels, with opposite signals used to close positions.
• The script gives no performance evidence and does not model options contracts or their payoff characteristics.

Tags

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