A Volume Oscillator Strategy with Price Direction Filters

Summary

This strategy builds a volume-based oscillator by comparing a rolling volume sum with a longer smoothed volume baseline. Rising oscillator readings or a threshold cross can qualify an entry, while price direction relative to its value a configurable number of bars earlier determines whether the signal is treated as long or short. The documented implementation opens long positions and uses falling oscillator readings or another threshold condition to close them; it includes configurable dates, commission, and position sizing based on equity.

The author describes the oscillator as a volume-derived volatility measure and says the price comparison is intended to reduce misleading signals during volatile periods. The post supplies code and default parameter settings, but no backtest results or evidence that the filters improve performance. It is presented as an unattributed script with a request for community suggestions. Its actual order logic is long-only, despite calculating a short-entry state, which limits how closely the implementation matches a two-sided strategy description.

Key ideas

• The oscillator normalizes a rolling volume sum against a longer volume baseline.
• Entry qualification combines oscillator behavior with price direction over a configurable lookback.
• The supplied order logic opens long trades and closes them under specified oscillator or state conditions.
• The author intends the price comparison to filter misleading signals during high volatility.
• No test results establish profitability, and the code does not place short orders.

Tags

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