EMA(9/21) + VWAP Control
controlEMA(9/21) crossover, but only taken when price is above rolling VWAP and signed trade flow confirms. Deliberately a reproducible control benchmark, not a claimed edge — richer strategies must beat it net of cost.
Pros
- + Very fast to implement and debug; few features, easy to inspect for leakage.
- + Provides a stable control for A/B tests.
- + Works from 1-minute bars if order-book work is delayed.
Cons
- − Crossovers lag and overtrade in chop.
- − Common parameters are heavily data-mined.
- − Adds little unique information beyond recent return; can look profitable only from bar-close fill assumptions.
Rejection gate
Keep as a benchmark, but reject for production if it does not beat random-time matched entries after costs and across walk-forward windows.
Entry gate funnel (last 24h)
No gate telemetry yet — the engine flushes funnel windows every few minutes while running.
Adjustable parameters
Use only a small sensitivity grid. · candidate range 5–12
Require clear separation from fast. · candidate range 18–34
Reject weak/contrary participation. · candidate range −0.25 to +1.0
Volatility and cash-risk scaled. · candidate range 0.4–1.0%
Must clear Alpaca all-in cost. · candidate range 0.7–1.8%
Skip abnormally wide/stale markets. · candidate range symbol-relative
Avoid indefinite lagging re-entries.
Recent markouts (0)
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