Using Ease of Movement Zero Crossings for Futures Trend Signals

Summary

This document presents a trend-following strategy based on Ease of Movement (EMV), an indicator combining changes in price range and trading volume. It describes EMV as a measure of price movement relative to volume: readings above zero indicate a stronger market, while readings below zero indicate weakness. The strategy opens a long position when EMV is positive and a short position when it is negative, then exits when the reading crosses back through zero.

The implementation example uses daily futures bars and calculates the signal from completed bars, while using the latest bar’s close to set order prices. The article explains this lag as an attempt to make bar-based backtests more like live execution. It includes images of a backtest configuration, logs, and an equity curve, but provides no readable numerical performance results in the text. The author says EMV is intended for medium- to long-term trends and performs poorly over short trading cycles; frequent volume and price changes may also leave the indicator near zero.

Key ideas

• EMV relates price range movement to trading volume to gauge how easily price moves.
• A positive EMV reading is treated as a long signal, while a negative reading is treated as a short signal.
• The example calculates its signal from completed futures bars and uses the latest close for order pricing.
• The document positions EMV for medium- to long-term trends and cautions against short-cycle use.
• The backtest material is shown graphically without numerical performance results in the text.

Tags

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