WAMI Trend Signals from Momentum and Smoothed Moving Averages

Summary

The WAMI strategy combines one-period price momentum with a weighted moving average and two stages of exponential smoothing. It compares the resulting indicator with a configurable trigger: readings above the trigger set a long position, while readings below it set a short position. The parameters shown include EMA length 13, WMA length 4, a zero trigger, and an option to reverse the trade direction. The document describes the indicator components as ways to balance sensitivity and noise reduction.

The source also gives BTC/USDT futures backtest settings for a historical period, but reports no returns, drawdowns, or other performance evidence. Although the explanation mentions Fourier analysis and iterative optimization, the provided strategy code contains no Fourier calculation or optimization routine; it leaves trigger selection to the user. The strategy continuously holds the direction indicated by WAMI, so it can lag at reversals and may produce weak results in sideways markets. Parameter tuning on past data also risks overfitting.

Key ideas

• WAMI is calculated by smoothing one-period momentum with a weighted moving average and two exponential averages.
• The indicator's relationship to a trigger level determines whether the strategy holds a long or short position.
• Users can adjust smoothing lengths, the trigger, and an option to reverse the trading direction.
• The document supplies BTC/USDT futures backtest settings but no performance results.
• The code does not implement the Fourier analysis or iterative optimization described in the text.

Tags

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