Skip to content
All library documents

VIDYA Trend Following with Adaptive CMO or Standard Deviation Weighting

Article Strategy library · Author: ChaoZhang
Read the original

Summary

This document presents a trend-following system built around the Variable Index Dynamic Average. Its smoothing factor is adjusted by a volatility-related weight: users can select an absolute Chande Momentum Oscillator value, calculated over a configurable or fixed nine-period window, or standard deviation over the base period. The published defaults use a 21-period base length. The script enters long when the VIDYA slope is rising and short when it is falling, reversing direction as the slope changes.

The material includes source code and daily Bitcoin futures backtest settings spanning late 2019 to late 2024, but it reports no performance statistics or results. There is also a mismatch between the prose, which describes signals as line crossings, and the code, which trades based on whether VIDYA rises or falls from the prior bar. The source provides no explicit stop-loss or position-sizing rules; the document itself flags whipsaws in ranging markets, lag, and parameter sensitivity as limitations.

Key ideas

  • VIDYA adapts its smoothing response using either absolute CMO or standard deviation as a weight.
  • The base lookback defaults to 21 periods, while the fixed CMO option uses nine periods.
  • The source enters long when VIDYA rises and short when it falls compared with its previous value.
  • The description refers to line crossings, but the code uses slope direction to generate entries.
  • The published material gives test dates and market settings but no performance results or explicit stop-loss method.

Tags

Trend followingTechnical indicatorsMomentumVolatilityFuturesBacktesting

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