Triple VWMA Trend Signals Filtered by RSI

Summary

This document describes a crypto trend strategy using volume-weighted moving averages (VWMAs) with RSI as a signal filter. It compares 20-, 50-, and 100-period averages: an aligned rising order combined with RSI below 50 signals a long entry, while the reverse order and RSI above 48.5 signal a short entry. The accompanying source code triggers entries when these conditions first become true and closes positions after three bars from the trigger.

The document says the combination can reduce false signals and cites a backtest on BTC/USDT futures over a short January 2024 period, but gives no performance figures to support claims of steady returns or small drawdowns. Moving averages lag, results depend on parameter choices and market regime, and the source's actual conditions describe aligned averages rather than explicit crossovers. It suggests volatility filters, stop rules, and position sizing as possible risk controls.

Key ideas

• The strategy compares 20-, 50-, and 100-period VWMAs to identify directional alignment.
• RSI thresholds filter long and short entries when the moving averages align.
• The source triggers entries when a qualifying condition first appears and closes after three bars.
• Lag, parameter sensitivity, and regime changes are key limitations.

Tags

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