Volume-Adaptive EVWMA Crossovers for Trend Following

Summary

This trend-following method compares fast and slow Elastic Volume Weighted Moving Averages (EVWMAs). Each line updates using closing price weighted by current volume, with its effective volume period based on the sum of recent bars. The published settings use sums over 10 bars for the fast line and 20 for the slow line. A fast-line crossover above the slow line signals long; a cross below signals short.

The document argues that incorporating volume may help the averages respond to changing activity and filter false breakouts, but it provides no performance results to support those claims. Its backtest configuration specifies BTC_USDT futures from December 2022 to December 2023, with a daily strategy period and one-hour base period. The stated risks include false signals from unsuitable periods and losses during abrupt reversals. Parameter tuning, stops, volume confirmation, and adaptive settings are suggested, but their effectiveness is not demonstrated.

Key ideas

• The strategy compares fast and slow EVWMAs that incorporate closing price and volume.
• The fast and slow volume-sum lookbacks are set to 10 and 20 bars, respectively.
• Crossovers signal directional entries for long or short positions.
• The backtest settings specify BTC_USDT futures with daily bars and a one-hour base period.
• No performance results are given, and abrupt reversals and parameter sensitivity remain risks.

Tags

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