Volume Flow Indicator and EMA Filters for Trend Following

Summary

This strategy uses the Volume Flow Indicator (VFI), which combines price movement and volume, with exponential moving averages to filter long entries. The coded entry occurs when VFI crosses above a configurable buy line while the 50-period EMA is at or above the 200-period EMA. The strategy closes a profitable position when VFI crosses below its sell line; it also attempts a loss exit under that crossover condition when price is below a stop level based on average entry price and a fixed percentage.

The document describes configurable VFI smoothing, volume cutoff, thresholds, and EMA lengths. Its published test uses BTC/USDT futures on three-minute bars over several days, but gives no performance statistics. Although the narrative discusses bearish VFI signals and trend-following more broadly, the supplied code opens long positions only. The stop exit is conditional on a VFI crossover, so it is not an unconditional protective stop. Sideways markets, parameter choices, and abrupt price moves remain risks; suggested parameter tuning and extra filters are not shown as validated improvements.

Key ideas

• VFI estimates directional pressure using price changes and volume, then applies configurable smoothing.
• A long entry requires VFI to cross above its buy threshold while the 50-period EMA is at least as high as the 200-period EMA.
• The code exits on a sell-threshold crossover when the position is profitable or when price falls below its percentage-based loss level.
• The implementation opens long trades only, despite broader discussion of bearish signals.
• The brief BTC/USDT futures backtest description includes no performance results.

Tags

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