VWAP and EMA200 Trend Following with Fixed Exits

Summary

This strategy uses price relative to VWAP and a 200-period EMA to set direction. It enters long when price is above both measures and short when below both, requiring the conditions to persist across three bars. The published settings specify separate fixed take-profit and stop-loss percentages for long and short positions.

The document explains the intended roles of VWAP as a reference for average traded cost and EMA200 as a longer-term trend measure. It suggests tuning indicator settings, adding other filters, adapting exits, and sizing positions according to drawdown or losing streaks. It provides no performance statistics or demonstrated backtest results; the included settings describe a BTC/USDT futures test window, while source defaults show a different signal test period. The strategy may lag at new trend starts, produce misleading signals during sharp price moves, and remains exposed to unsuitable fixed exit levels.

Key ideas

• Long entries require price above both VWAP and EMA200 for three consecutive bars.
• Short entries require price below both indicators for three consecutive bars.
• The published exits use different fixed profit and loss thresholds for long and short positions.
• The document identifies indicator lag, false signals, and rigid exits as limitations.
• It proposes parameter tuning, added filters, adaptive exits, and position sizing as possible refinements.

Tags

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