Angular VWMA Trend Following Strategy with Dynamic Trailing Stop

Pine ScriptTrend following Breakout Momentum EMA Volume

Author: ChaoZhang
Complexity: Starter · 75 lines
Parameters: 0
Backtest bar: 2h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This is a trend-following strategy based on Volume Weighted Moving Average (VWMA) and Exponential Moving Average (EMA), incorporating price angle analysis and dynamic trailing stop mechanism. The strategy primarily determines entry points through VWMA and fast moving average crossovers, combined with price movement angle conditions, while using percentage-based trailing stops for risk management.

Strategy Principles

The core logic is based on several key components:

25-period VWMA as the main trend indicator
8-period VWMA as the fast signal line
50-period EMA for longer-term trend identification
50-period EMA angle calculation (set at 45-degree threshold)
Optional 200-period EMA as market bias filter Entry signals are triggered when the fast moving average crosses the main VWMA and price angle conditions are met. The strategy protects profits through a 1% dynamic trailing stop.

Strategy Advantages

Multi-timeframe validation - Strategy performs well on H1 and above, as well as M1 timeframes
Angle filtration - Reduces false breakouts through price movement angle conditions
Robust risk management - Employs percentage-based trailing stops for dynamic profit protection
High adaptability - Can be adjusted through parameters to suit different market conditions
Comprehensive trend confirmation - Uses multiple moving average crossovers for trend confirmation

Strategy Risks

Suboptimal performance in ranging markets - May generate frequent false signals in sideways markets
Delayed entry - Multiple confirmations may cause missing early trend opportunities
Poor performance on M15 timeframe - Should be avoided on this timeframe
Parameter sensitivity - Angle threshold and moving average period selection significantly impact strategy performance
Early exits from trailing stops - May result in premature stopouts in volatile markets

Strategy Optimization Directions

Implement volatility adaptation - Dynamically adjust trailing stop percentage based on market volatility
Add volume filters - Enhance signal quality through volume confirmation
Optimize angle calculation - Consider using adaptive angle thresholds
Incorporate market state recognition - Develop trend/range market identification mechanisms
Improve exit mechanisms - Optimize exit timing through price patterns and momentum indicators

Summary

This is a well-structured trend-following strategy that achieves good performance in major trends through the combination of angle analysis and multiple moving averages. While it has certain limitations in terms of lag and parameter sensitivity, there is room for improvement through the suggested optimization directions. It is particularly suitable for trend trading in longer timeframes.

Source Pine Script

/*backtest
start: 2024-02-18 00:00:00
end: 2024-10-16 00:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy("PVSRA Trailing Strategy with Angle Condition (40-50 degrees)", overlay=true)

// === INPUTS ===
priceData = input.source(close, title="Price Data")
maLength  = input.int(25, title="Moving Average Length", minval=2)
useBias   = input.bool(false, title="Long/Short just above/below 200 EMA")
useTrailing = input.bool(true, title="Use Trailing Stop")
trailPerc  = input.float(1.0, title="Trailing Stop Percentage", minval=0.1)
anglePeriod = input.int(14, title="Period for Angle Calculation", minval=1)

// === CÁLCULOS ===
maValue = ta.vwma(priceData, maLength)
maLong  = ta.ema(high, 50)
maShort = ta.ema(low, 50)
maFast  = ta.vwma(close, 8)
bias    = ta.ema(close, 200)
longBias  = useBias ? close > bias : true
shortBias = useBias ? close < bias : true

// === CÁLCULO DO ÂNGULO DA MÉDIA MÓVEL DE 50 ===
ma50 = ta.ema(close, 50)
angle = math.atan((ma50 - ma50[anglePeriod]) / anglePeriod) * (180 / math.pi)  // Converte radianos para graus

// === CONDIÇÃO DE ÂNGULO ===
validAngleL = angle >= 45
validAngleS = angle <= 45

// === PLOTS ===
plot(maValue, color=color.orange, title="Moving Average")
plot(maFast, color=color.green, title="Fast MA")
plot(ma50, color=color.blue, title="50 EMA")

plotshape(series=(strategy.position_size > 0) ? maValue : na,
     color=color.red, style=shape.circle, location=location.absolute,
     title="Long Stop")

plotshape(series=(strategy.position_size < 0) ? maValue : na,
     color=color.red, style=shape.cross, location=location.absolute,
     title="Short Stop")

// === CONDIÇÕES DE ENTRADA ===
enterLong  = close > maValue and ta.crossover(maFast, maValue) and close > maLong and longBias and validAngleL
enterShort = close < maValue and ta.crossunder(maFast, maValue) and close < maShort and shortBias and validAngleS

// === CONDIÇÕES DE SAÍDA ===
exitLong  = ta.crossunder(maFast, maValue) and strategy.position_size > 0
exitShort = ta.crossover(maFast, maValue) and strategy.position_size < 0

// === EXECUÇÃO DA ESTRATÉGIA ===
if (enterLong)
    strategy.entry("EL", strategy.long)

if (enterShort)
    strategy.entry("ES", strategy.short)

if (exitLong or exitShort)
    strategy.close_all()

// === TRAILING STOP ===
if (useTrailing and strategy.position_size > 0)
    trailPrice = close * (1 - trailPerc / 100)
    strategy.exit("Trailing Long", from_entry="EL", stop=trailPrice)

if (useTrailing and strategy.position_size < 0)
    trailPrice = close * (1 + trailPerc / 100)
    strategy.exit("Trailing Short", from_entry="ES", stop=trailPrice)

Published by ChaoZhang on the FMZ strategy square · last modified 2025-02-18. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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