A Volatility-Adaptive PID Pressure Indicator for Futures

Summary

The document describes an intraday futures oscillator that adapts the proportional, integral, and derivative structure of a PID controller to price movement around session VWAP. The proportional term measures the current close-to-VWAP gap, the integral term accumulates that gap across a window, and the derivative term tracks its change. Their weighted sum is divided by ATR to make the output comparable across instruments. The integral and derivative weights adjust inversely and directly, respectively, with a ratio of current ATR to its recent average, subject to stated bounds.

Interpretation relies on the signal’s position relative to zero and rolling standard-deviation bands: persistence on one side is presented as directional pressure, while a fading signal may warn of exhaustion. A move beyond a band can mark unusually strong pressure, with high volume suggested as additional confirmation. The material provides formulas and heuristics, but no empirical tests, measured returns, or validation across contracts; the indicator should not be treated as proven predictive evidence.

Key ideas

• The proportional component measures the current distance between price and session VWAP.
• The integral and derivative components represent accumulated deviation and its latest change.
• The component weights adapt to volatility, and the combined signal is normalized by ATR.
• Zero and rolling standard-deviation bands provide a framework for reading directional pressure and extremes.
• The document offers no performance tests establishing the indicator’s predictive value.

Tags

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