Breakout Volume Delta: Measuring Candle Volume at Swing-Level Breaks

Summary

This indicator marks recent swing highs and lows, then detects when price breaks those levels by a candle close or, optionally, by a wick. On each breakout candle it estimates buying and selling volume from the candle’s total volume and the close’s location within the high-low range. Labels show each side’s estimated volume and share. An optional filter retains a breakout only when the volume estimate for the direction of the break meets a chosen minimum share; rejected levels are removed. Swing points can be calculated on the chart timeframe or a higher timeframe, and intact and broken levels receive different visual styles.

The document explains the calculation and settings and suggests using volume dominance to screen breakouts or identify potentially weak moves. Its volume split is inferred from candle geometry, not trade-level buyer and seller data, so it is only a rough proxy for order flow. It offers no backtest or evidence that the filter improves returns; a strong estimated share does not establish that a breakout will continue.

Key ideas

• Swing highs and lows are identified using configurable candles on each side of a candidate extreme.
• A level breaks when price crosses it by the selected close or wick rule.
• The indicator estimates buying volume from the close’s position within the candle range and treats the remainder as selling volume.
• A configurable dominance threshold can remove breakouts whose estimated directional volume share is too low.
• The candle-based estimate is not trade-level order-flow data and does not establish future price direction.

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