Z-Distance from VWAP with EMA Filtering and Pyramiding

Summary

This document describes a long-only strategy that standardizes the distance between closing price and a volume-weighted average, then combines that measure with fast and slow exponential moving averages. The stated entry condition requires the fast EMA to exceed the slow EMA, a recent reading at or below the oversold threshold, and the Z-distance to cross above zero. The source checks a recent window for the oversold reading. It adds to a position under a separate condition when price is below the average entry price and the Z-distance crosses zero, and exits on a percentage stop or when the measure crosses below an overbought threshold.

The source sets a two-addition pyramiding limit and publishes BTC/USDT futures test settings spanning about a year, but gives no performance results. The overview frames the method as trend capture, while its oversold entry condition also relies on a pullback. The document warns that the measure can lag, parameters need testing, and adding to positions can magnify losses. Results, robustness, and practical execution costs cannot be assessed from the supplied material.

Key ideas

• The strategy compares price with VWAP using a volume-weighted standardized distance.
• Long entries require a bullish EMA ordering, a recent oversold reading, and an upward cross through zero.
• The source permits additions during a drawdown when the distance crosses upward through zero again.
• A percentage stop and a cross below the overbought threshold are used as exits.
• The published BTC/USDT futures test settings include no reported performance metrics.

Tags

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