Swing Structure and Anchored VWAP for Gold Trend Following

Summary

This excerpt describes a daily gold trend following strategy that uses swing highs and lows to determine structural direction and resets a volume weighted price anchor when that structure changes. It combines this with an EMA filter intended to keep entries aligned with the broader trend, and an ATR based range filter that blocks entries during narrow, low volatility conditions. The default design is long only: it waits through bearish structure rather than shorting, though a setting can permit shorts. Position size is specified as a fixed percentage of equity.

Exits are described as following structural reversals, with a wide ATR stop serving as disaster protection. Inputs include a swing detection period, EMA length, chop filter thresholds, and backtest dates. The supplied excerpt ends at the backtest range check, before the signal, VWAP calculation, and exit code is visible. It contains no reported backtest results, so it explains the intended design but does not establish how it performs or whether the filters improve results.

Key ideas

• Swing highs and lows determine trend changes and reset the anchored volume weighted price reference.
• An EMA filter is used to align entries with the larger trend.
• An ATR based range filter is designed to block entries during low volatility consolidation.
• The system is long only by default and exits on structural reversal, with a wide ATR disaster stop.
• The excerpt omits the implementation of entries and exits and provides no performance results.

Tags

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