VWAP Pullbacks Filtered by EMA Trend and ATR Strength

Summary

This strategy combines EMA trend direction, an ATR-based strength filter, and VWAP pullbacks to define entries and exits. It classifies direction with fast and slow exponential moving averages, then requires their separation to exceed an ATR-scaled threshold before treating the trend as strong. During an uptrend, a close below VWAP triggers a long entry; during a downtrend, a close above VWAP triggers a short. Profit targets are placed using VWAP adjusted by an ATR multiple.

The document specifies example settings and publishes a backtest configuration for ETH/USDT futures on three-hour bars over roughly a year, but reports no performance metrics. The configuration is not evidence of profitability. Risks include sudden trend reversals, false VWAP crossings, sensitivity to EMA and ATR parameters, and discontinuities from VWAP's daily reset. The strategy also has no stated stop-loss rule. Suggested extensions include higher-timeframe confirmation, volume filters, rolling or multi-anchor VWAP, and more explicit risk controls.

Key ideas

• Fast and slow EMAs define trend direction, while their distance relative to ATR filters for trend strength.
• The strategy enters in the direction of the filtered trend when price crosses to the opposite side of VWAP.
• ATR-scaled targets adapt the exit level to current volatility.
• Daily VWAP resets and temporary price crossings can create inconsistent or false signals.
• Published test settings describe a market and timeframe but provide no results.

Tags

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