Buying and Selling Volume Breakouts Filtered by Weekly VWAP and ATR
Summary
This strategy estimates buying and selling pressure from each bar’s close relative to its high and low, then smooths the component volumes with exponential averages. It combines the resulting directional measure with a Bollinger-style band: a breakout in the measure is considered for a long when it is positive and price is above weekly VWAP, or for a short when negative and price is below VWAP. Daily ATR is used to set percentage-based profit and loss levels. The supplied settings enable longs and disable shorts by default.
The document includes Pine Script and published BTC/USDT futures backtest dates, but provides no performance statistics or interpretable backtest findings. Its description frames the method as trend tracking, while the code’s breakout condition is based on the volume-derived series exceeding its upper band. Volume is inferred from bar location rather than aggressor-side trade data, which may misstate actual buyer and seller initiation. The code and prose also differ in places on how the bands and exits are used, so live behavior should be checked against the implementation and execution assumptions.
Key ideas
- Buying and selling pressure is estimated by allocating bar volume according to the close’s location within its high-low range.
- Smoothed directional volume is compared with a volatility band to identify breakout conditions.
- Weekly VWAP filters long and short signals by the price’s position relative to the broader weekly average.
- Daily ATR informs percentage-based profit and loss levels, with separate settings for long and short positions.
- The supplied futures configuration defaults to long-only, and no backtest performance results are reported.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.