Combining Candle-Based Volume Delta with Fibonacci Price Levels

Summary

This strategy combines a rolling estimate of buying and selling volume with price levels derived from a recent high-low range. It classifies all volume on rising candles as buying volume and all volume on falling candles as selling volume, then subtracts the latter from the former. A positive delta and price above the upper Fibonacci-style threshold trigger a long entry; a negative delta and price below the lower threshold close it. The document lists a BTC-USDT futures example on a daily strategy period with hourly base data, but gives no performance results.

The approach is presented as a way to pair a directional volume proxy with price confirmation. Its limitations include possible frequent trading and costs in choppy markets, sensitivity to sharp price moves, and dependence on sufficient historical data. The source calculations use proportions that do not correspond to the stated 61.8% and 38.2% labels: the upper threshold uses 78% of the range and the lower uses 50%. The documented start and end date inputs also appear not to be applied in the code, so the implementation should be checked before testing.

Key ideas

• The volume delta is the rolling sum of volume on rising candles minus volume on falling candles.
• A positive delta with price above the upper range threshold opens a long position.
• A negative delta with price below the lower threshold closes the long position.
• The source threshold formulas differ from the Fibonacci percentages stated in the prose.
• Choppy markets, sharp moves, and limited historical data can impair the approach.

Tags

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