Combining Open Interest, Signed Volume, EMA Crossovers, and Ichimoku Filters
Summary
This strategy combines fast and slow EMA crossovers with order-flow and trend filters. A bullish crossover qualifies when either open-interest change exceeds its threshold or smoothed signed volume is positive, and price is above the currently visible Ichimoku cloud. The bearish rules mirror these conditions. Open interest is requested from a related perpetual-market symbol, while the CVD proxy assigns volume a positive or negative sign based on the candle's direction; it is not a full trade-by-trade delta measure.
Position exits are configured with a stop and one or two ATR-based profit targets, with an alternative fixed-percentage stop. The script also plots the EMA and Ichimoku clouds and trade levels. The accompanying description suggests use in liquid crypto futures, but gives no measured backtest results. Data availability, the simplified CVD calculation, and the exit configuration should be checked for each instrument before drawing conclusions.
Key ideas
- EMA crossovers provide the basic long and short entry triggers.
- Open-interest change or smoothed direction-signed volume confirms order-flow bias.
- An optional Ichimoku cloud filter requires price above the cloud for longs and below it for shorts.
- Stops can use ATR distance or a fixed percentage, while targets can be staged at ATR multiples.
- The described CVD proxy signs bar volume by candle direction and is not transaction-level delta.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.