Session VWMA Breakouts with Synthetic Option Positions

Summary

This intraday approach calculates a volume-weighted moving average that resets with each new day. It signals bullish when an entire candle is above the VWMA and bearish when an entire candle is below it, triggering only when that condition first appears. The described positions are synthetic directional option combinations: long call plus short put for a bullish signal, and long put plus short call for a bearish one. The source models these as ordinary long and short strategy positions rather than pricing or executing option legs, so it does not test actual options behavior.

Trade controls include a position-addition flag, pyramiding, reversals on opposite signals, and a forced close at 15:29 IST. The published test configuration uses one-minute SOL/USDT data for a short period, but no performance figures are supplied. The document notes false signals in sideways markets, overnight gap exposure, slippage, transaction costs from daily liquidation, and risks from imperfect synthetic-option replication. It offers ideas for additional filters and risk limits without evidence that these changes improve results.

Key ideas

• A daily-reset VWMA serves as the intraday reference for directional signals.
• A bullish signal requires the candle low to be above VWMA, while a bearish signal requires its high to be below VWMA.
• The intended directional structures pair a long option with a short option of the opposite type.
• The system allows pyramiding and opposite-signal reversals, then closes positions at the specified session time.
• The short SOL/USDT test setup provides no reported performance evidence, and the source does not model option legs.

Tags

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