A Tick-Volume Reversal Rule and Its Multi-FX Backtest Results

Summary

This expert advisor makes a directional decision when a new bar appears by comparing the tick volumes of the two most recent bars. If the newer bar has greater volume, it closes sell positions and opens a buy; if volume is lower, it closes buys and opens a sell. The reported tests ran the rule on hourly charts across multiple currency pairs, with the advisor triggered in one-minute OHLC mode.

The table shows sharply different outcomes by pair: two listed pairs were profitable, while most lost money, and several had very large equity drawdowns. Profit factors were near or below one for most entries, and the results do not establish that the approach generalizes. The document gives no out-of-sample validation, transaction-cost assumptions, position-sizing details, or robustness analysis. The evidence therefore serves as a cautionary example of how a simple volume comparison can perform inconsistently across instruments.

Key ideas

• The advisor compares tick volume on the two latest bars at each new bar.
• Higher recent volume triggers closing sells and opening a buy; lower volume triggers the reverse.
• The reported hourly tests produced mixed results across currency pairs, with losses and high drawdowns common.
• The document provides no out-of-sample or robustness evidence.

Tags

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