Weighted Moving Average Trend Following with Return Comparisons

Summary

This strategy uses a volume-weighted moving average of the midpoint price, with a default lookback of 400 bars, to determine direction. When the average has been rising for several bars, it holds a long position; otherwise it closes that position. The accompanying reporting method compounds strategy and buy-and-hold returns by quarter and year, with an optional table comparing the two.

The document describes a simple trend-following framework and a way to inspect periodic returns, but it gives no actual performance figures. Its published configuration uses BTC/USDT futures and daily strategy bars with hourly base data. The strategy has no explicit stop-loss, can lag at turning points, and may repeatedly reverse or exit in sideways markets. It may also trail buy-and-hold during a prolonged bull market. The return table supports comparison, but does not include risk measures such as drawdown or risk-adjusted return unless extended.

Key ideas

• The strategy uses a volume-weighted moving average of midpoint prices to classify direction.
• A rising average signals a long position, while a falling average closes the long exposure.
• Quarterly and yearly compounded returns can be displayed alongside buy-and-hold returns.
• The method has no explicit stop-loss and may suffer whipsaws in range-bound markets.
• The published settings describe BTC/USDT futures, but report no performance outcomes.

Tags

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