VIDYA and ATR Bands for Reversal-Based Trend Trading
Summary
This strategy uses a Variable Index Dynamic Average (VIDYA) as a responsive baseline and places upper and lower thresholds at a multiple of a long-period Average True Range. VIDYA’s smoothing adapts to the balance of positive and negative momentum, while the ATR bands scale the distance price must move before a signal occurs.
A close crossing above the upper band opens a long and closes any short; a crossing below the lower band opens a short and closes any long. The script exposes the VIDYA length, momentum window, band distance, and price source as inputs. Its description reports a historical test on ETHUSD at five-minute resolution, with 251 trades and stated commission, slippage, and account assumptions. These are setup details rather than evidence of profitability: no performance metrics or comparison are supplied. Signals reverse positions, and the document does not describe a separate protective stop or profit target; results may vary across markets, settings, and execution conditions.
Key ideas
- VIDYA adjusts its smoothing in response to recent directional momentum.
- Upper and lower thresholds are set using ATR multiplied by a configurable distance factor.
- A crossing above the upper band enters long and closes a short position.
- A crossing below the lower band enters short and closes a long position.
- The described historical test is limited to one ETHUSD timeframe and does not establish future performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.