Strategy Overview
The EMA-VWAP Synergy CBC Reversal Trend Following Quantitative Trading Strategy is a sophisticated trading system that combines multiple technical indicators. The core of this strategy leverages the synergistic effect of Exponential Moving Averages (EMA), Volume Weighted Average Price (VWAP), and key price breakthrough confirmation (CBC) to generate precise trading signals.

This strategy is particularly effective in markets with clear trends. By combining the directional relationship between short-term and medium-term EMAs with their position relative to VWAP, and adding CBC breakthrough confirmation, the strategy effectively filters out false breakouts and noise signals. The strategy also incorporates intraday key price references, including the previous day's high (PDH), low (PDL), closing price (PDC), and VWAP level, as well as Monday's high and low points as references for the entire week, providing rich market context information for trading decisions.

The strategy employs clear entry and exit rules. Entry signals require multiple conditions to be simultaneously satisfied, while the exit strategy simply relies on the CBC reversal signal, embodying the trading philosophy of "follow the trend, exit on reversal."

Strategy Principles
The core principles of this strategy are based on the synergistic effect of four key technical elements:

1. Multi-period EMA System: The strategy uses three EMA lines (9-period, 20-period, and 200-period) to form a trend judgment framework. The relative position of the fast EMA (9-period) to the medium EMA (20-period) is used to determine the short-term trend direction. When the fast EMA is above the medium EMA, it is considered a bullish signal; otherwise, it is considered a bearish signal.

2. VWAP Benchmark: VWAP, as the balance point between price and volume, plays the role of a key support/resistance reference line in the strategy. The strategy requires that the price, fast EMA, and medium EMA must all be on the same side of VWAP to confirm the consistency and strength of the trend.

3. CBC (Close, Break, Close) Flip Signal: This is the core trigger mechanism of the strategy, which detects when the price breaks through the previous day's high or low and confirms the validity of the breakthrough at the close. When the closing price exceeds the previous day's high, CBC flips to bullish; when the closing price breaks below the previous day's low, CBC flips to bearish. The CBC signal serves both as an entry trigger condition and as an indicator for closing positions.

4. Intraday Key Price Reference System: The strategy integrates the previous day's high, low, closing price, and VWAP level, as well as Monday's high and low as references for the entire week, forming a complete market structure reference framework.

The entry logic requires the following conditions to be met simultaneously:

• Long entry: CBC flips from bearish to bullish + price is above VWAP + - EMA system shows bullish alignment (fast EMA > medium EMA) + both EMAs are above VWAP
• Short entry: CBC flips from bullish to bearish + price is below VWAP + EMA system shows bearish alignment (fast EMA < medium EMA) + both EMAs are below VWAP

The exit logic directly relies on the CBC's reverse flip, meaning long positions are closed when CBC flips to bearish, and short positions are closed when CBC flips to bullish, reflecting the trend-following nature of the strategy.

Strategy Advantages
Through analysis of the strategy code, this strategy demonstrates the following significant advantages:

1. Multiple Confirmation Mechanism: The strategy requires the EMA trend direction, the position relationship between price and VWAP, and the CBC flip signal to be consistent before triggering a trading signal, effectively reducing the false alarm rate and improving signal quality.

2. Combination of Trend Following and Reversal: The strategy captures both trends (through the consistency of EMA and VWAP) and key breakouts (through CBC signals), balancing the advantages of trend following and reversal trading.

3. Complete Market Structure Reference: By integrating the key price levels of the previous trading day and Monday's high and low points, the strategy provides rich market background information for trading decisions, helping to understand the position of the current price in the larger market structure.

4. Clear Visual Feedback: The strategy uses rich visual elements, including background color changes, shape markers, and labels, allowing traders to intuitively identify signals and current market status.

5. Concise Exit Logic: Using the CBC reverse flip as an exit signal avoids the risks of premature exit or excessive holding, forming a consistent and symmetrical system with the entry logic.

6. Adaptive Parameter Settings: The strategy provides date filtering functionality and multiple display options, allowing traders to customize the strategy according to their needs, enhancing flexibility and adaptability.

7. Integrated Money Management: The strategy defaults to using a percentage of account equity for trading, rather than fixed lots, reflecting good risk management awareness and contributing to long-term capital growth and risk control.

Strategy Risks
Despite its many advantages, through in-depth analysis of the code, we have also identified the following potential risks:

1. Lag Risk: EMAs are inherently lagging indicators and may cause signal delays in highly volatile markets, missing the optimal entry point or resulting in delayed exits, causing additional losses. The solution is to consider adjusting EMA parameters or adding volatility filters in high-volatility environments.

2. False Breakout Risk: Although the CBC logic requires the closing price to confirm a breakthrough, the market may still experience false breakouts followed by quick reversals. The solution is to consider adding volume confirmation or setting breakthrough amplitude filtering conditions.

3. Over-reliance on VWAP: In sideways or narrow-range markets, prices may frequently cross VWAP, increasing signal noise. The solution is to pause trading when a sideways market is identified or add amplitude filtering conditions.

4. Lack of Stop-Loss Mechanism: The current strategy does not have a clear stop-loss mechanism and relies entirely on CBC reversal signals to close positions, which may lead to significant losses in extreme market conditions. The solution is to add fixed stop-losses or ATR multiple stop-losses and set maximum loss limits.

5. Insufficient Date Filtering: Although the strategy provides date filtering functionality, it does not consider the impact of special market events (such as earnings reports, policy announcements, etc.) on strategy performance. The solution is to integrate an economic calendar feature to automatically adjust or pause trading during important events.

6. Backtest Bias: The strategy uses the fill_orders_on_standard_ohlc = true parameter, which may differ from actual trading in backtests, leading to overly optimistic backtest results. The solution is to use tick-by-tick simulation or consider slippage and trading costs for more realistic backtesting.

7. Single Timeframe Dependency: The strategy only runs on a single timeframe, lacking multi-timeframe confirmation, and may miss reversal signals from larger timeframes. The solution is to consider integrating multi-timeframe signal confirmation mechanisms.

Strategy Optimization Directions
Based on a comprehensive analysis of the strategy code, we recommend the following optimization directions:

1. Add Adaptive Parameters: EMA periods can be dynamically adjusted according to market volatility, using shorter periods in high-volatility markets and longer periods in low-volatility markets, improving the strategy's adaptability to different market environments. This can be achieved by calculating ATR (Average True Range) and mapping it to the EMA period range.

2. Integrate Volume Confirmation: Add volume confirmation requirements on top of CBC flip signals, triggering signals only when breakouts are accompanied by significant volume increases, filtering out low-quality breakouts. This can be implemented by comparing the current volume with the N-period average volume.

3. Add Stop-Loss Mechanism: Introduce dynamic stop-losses based on ATR or fixed percentage stop-losses to protect capital from extreme market conditions before waiting for CBC reversal signals. It is recommended to implement trailing stop-loss functionality that automatically adjusts stop-loss levels as prices move in a favorable direction.

4. Multi-Timeframe Synergistic Confirmation: Add checks for trends in higher timeframes, entering positions only when the higher timeframe trend direction is consistent with the current trading direction, improving signal quality. This can be implemented by requesting EMA data from higher timeframes and checking their directionality.

5. Market State Classification: Develop a market state recognition module to distinguish between trending and sideways markets, adjusting strategy parameters or pausing trading in different market states. ADX (Average Directional Index) or price range analysis can be used to identify market states.

6. Optimize Money Management: Dynamically adjust position sizes based on volatility and win rates, increasing positions on high-probability signals and decreasing positions on low-probability signals. Dynamic position adjustment can be achieved through historical signal statistics and current market volatility calculations.

7. Add Time Filtering: Introduce intraday time filtering to avoid high-volatility periods at market open and before close, focusing on trading during active but relatively stable market periods. Optimized trading periods can be set based on the trading time characteristics of different markets.

8. Backtest Environment Optimization: Use fill_orders_on_standard_ohlc = false and actual slippage and commission settings for more realistic backtesting, obtaining more reliable strategy evaluation results.

Summary
The EMA-VWAP Synergy CBC Reversal Trend Following Quantitative Trading Strategy is a structurally complete and logically clear trading system that forms high-quality trading signals by integrating multiple technical indicators and price action analysis methods. The core advantages of this strategy lie in its multiple confirmation mechanisms and complete market structure reference system, effectively reducing the false alarm rate and improving signal quality.

The strategy adopts the trading philosophy of "follow the trend, exit on reversal," requiring multiple conditions to confirm entry and relying on CBC reversal signals for exit, forming a logically consistent and symmetrical trading system. At the same time, the strategy integrates rich visual feedback elements and flexible parameter settings, enhancing user experience and adaptability.

However, the strategy also has potential issues such as lag risk, false breakout risk, and lack of a stop-loss mechanism. Through optimization measures such as adding adaptive parameters, integrating volume confirmation, adding stop-loss mechanisms, and multi-timeframe synergistic confirmation, the strategy's robustness and profitability can be further enhanced.

Overall, this is a well-designed basic strategy framework that has the potential to become a robust trading system through reasonable optimization and risk management configuration. In practical application, traders should personalize strategy parameters according to their risk preferences and trading objectives, and always maintain appropriate money management discipline.

Strategy source code

/*backtest
start: 2024-04-02 00:00:00
end: 2025-04-01 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Maple&CBC Strategy", overlay = true, fill_orders_on_standard_ohlc = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100)


// EMA's
fastEma = ta.ema(close, 9)
middleEma = ta.ema(close, 20)
slowEma = ta.ema(close, 200)
vwap = ta.vwap(close)

plot(fastEma, color=color.blue, title="9 EMA")
plot(middleEma, color=color.green, title="20 EMA")
plot(slowEma, color=color.red, title="200 EMA")
plot(vwap, color=color.yellow, title="VWAP")

// Input settings for line visibility
show_prev_day_high = input.bool(true, title="Toon Previous Day High")
show_prev_day_low = input.bool(true, title="Toon Previous Day Low")
show_prev_day_vwap = input.bool(true, title="Toon Previous Day VWAP")
show_prev_day_close = input.bool(true, title="Toon Previous Day Close")
show_monday_levels = input.bool(true, title="Toon Monday High/Low")

// Previous day levels
[dh, dl, dc, dv] = request.security(syminfo.tickerid, "D", [high[1], low[1], close[1], ta.vwap(close)[1]])

// Monday High and Low
isMonday = dayofweek == dayofweek.monday
var float mondayHigh = na
var float mondayLow = na

if isMonday and barstate.isconfirmed
    mondayHigh := high
    mondayLow := low

// CBC Flip Logic
cbc = false
cbc := cbc[1]
if cbc and close < low[1]
    cbc := false
if not cbc and close > high[1]
    cbc := true

cbc_long = cbc and not cbc[1]
cbc_short = not cbc and cbc[1]

// EMA's bullish/bearish check
ema_bullish = fastEma > middleEma
ema_bearish = fastEma < middleEma

// Price above/below VWAP check
price_above_vwap = close > vwap
price_below_vwap = close < vwap

// ==================== STRATEGIE LOGICA ====================

// Long signaal: prijs boven VWAP + EMA's bullish + EMA's boven VWAP + CBC flip bullish
emas_above_vwap = fastEma > vwap and middleEma > vwap
longCondition = cbc_long and price_above_vwap and ema_bullish and emas_above_vwap and barstate.isconfirmed

// Short signal: price below VWAP + EMA's bearish + EMA's below VWAP + CBC flip bearish
emas_below_vwap = fastEma < vwap and middleEma < vwap
shortCondition = cbc_short and price_below_vwap and ema_bearish and emas_below_vwap and barstate.isconfirmed

// Variables to track whether we are in a position
var bool inLongPosition = false
var bool inShortPosition = false

// Strategy entrypoints
if longCondition and not inLongPosition and not inShortPosition
    strategy.entry("Long", strategy.long)
    inLongPosition := true
    inShortPosition := false

if shortCondition and not inShortPosition and not inLongPosition
    strategy.entry("Short", strategy.short)
    inShortPosition := true
    inLongPosition := false

// Strategy exit points - wait for opposite CBC flip signal
if cbc_short and inLongPosition
    strategy.close("Long", comment="Exit Long on CBC flip short")
    inLongPosition := false

if cbc_long and inShortPosition
    strategy.close("Short", comment="Exit Short on CBC flip long")
    inShortPosition := false

// Visual representation of signals
plotshape(series=cbc_long, location=location.belowbar, color=color.green, style=shape.triangleup, title="Bulls")
plotshape(series=cbc_short, location=location.abovebar, color=color.red, style=shape.triangledown, title="Bears")

// Background color for visual support
bgcolor(cbc_long ? color.rgb(255, 235, 59, 71) : cbc_short ? color.rgb(5, 185, 240, 59) : na)

// Additional background color for trading signals
bgcolor(longCondition ? color.rgb(0, 255, 0, 90) : shortCondition ? color.rgb(255, 0, 0, 90) : na)

// Labels for the trading positions
if inLongPosition and barstate.islast
    label.new(bar_index, low - (low * 0.002), "IN LONG", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.small)

if inShortPosition and barstate.islast
    label.new(bar_index, high + (high * 0.002), "IN SHORT", color=color.red, style=label.style_label_down, textcolor=color.white, size=size.small)

Strategy parameters

The original address: EMA-VWAP Synergy CBC Reversal Trend Following Quantitative Trading Strategy