VWMA Trend Confirmation with Monthly and Annual Return Tracking

Summary

This document describes a trend-following strategy that uses the volume-weighted moving average (VWMA) to decide when to enter and exit positions. It opens a long position after the VWMA has risen for more than five days and closes it after the direction reverses for more than five days. The description also proposes shorting during sustained declines, and the accompanying script tracks strategy returns by month and year alongside a buy-and-hold benchmark.

The material gives no performance results. There is also a notable mismatch: the published script enters long when the VWMA rises and closes that long otherwise; it does not implement the described short entries or the stated five-day falling condition. The backtest settings specify BTC/USDT futures, daily bars, and a 2023 date range, but the document provides no report from that test. It flags lag, missed early moves, false reversal signals, stop placement, position sizing, and trading costs as concerns, and suggests testing parameter changes and adding risk controls.

Key ideas

• The strategy uses VWMA direction to identify a sustained trend before entering.
• The description calls for long positions in rising trends and short positions in falling trends.
• The script tracks monthly and annual strategy returns against a buy-and-hold benchmark.
• The published code implements long entries and exits, but not the described short-selling logic.
• Lag, reversal errors, stop placement, sizing, and trading costs are stated risks.

Tags

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