QuantNomad - EVWMA Cross Strategy by QuantNomad
By QuantNomad
Performance Metrics
- Author: QuantNomad
- Symbol: BINANCE:BTCUSDT
- Timeframe: 1 hour
- Net P&L: +227,369.69 NONE (+226.55%)
- Win Rate: 29.9%
- Profit Factor: 1.502
- Max Drawdown: 49,316.11 NONE (16.64%)
- Total Trades: 345
- Sharpe Ratio: 0.661
Description
Pretty simple EVWMA (Elastic Volume Weighted Moving Average) Cross Strategy. Long on bullish cross, Short on Bearish Crosss. EVWMA is a quite interesting moving average where period of the MA is defined from volume itself.It incorporates volume information in a natural and logical way. The eVWMA can be looked at as an approximation to the average price paid per share.As a volume period you can use sum of the last x bars volumes.Here is EVWMA as an indicator: