VWMA Trend Filtering with RSI and ATR Stops

Summary

This strategy uses a volume-weighted moving average to define direction, entering long when price is above it and short when price is below. An RSI calculated on the VWMA acts as a filter for long entries, while an ATR trailing stop tracks price and can close a long trade after a downward break. Position quantity is calculated from account equity, a risk percentage, and a specified stop-loss percentage.

The document gives example settings, including matching VWMA and ATR periods and an ATR multiplier, and provides a short BTC/USDT futures backtest configuration from October 2023. It reports no performance statistics, so the configuration is not evidence of profitability. Its discussion warns that reversals can outpace the trailing stop, and that poorly chosen ATR settings can make the stop too tight or too loose. The described implementation’s entry logic is long-focused, despite the general explanation of taking short trades below VWMA. Suggested filters and parameter adjustments are optimization ideas rather than demonstrated improvements.

Key ideas

• VWMA position is used to identify the prevailing price direction.
• An RSI filter on the VWMA conditions long entries.
• An ATR trailing stop is used to manage long positions, with a close triggered when price crosses below it.
• Position sizing uses account equity, a risk fraction, and a stop-loss percentage.
• The document provides backtest settings but no reported performance results.

Tags

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