Estimating Buyer and Seller Volume from Price Bars

Summary

This indicator aims to separate trading volume into estimated buying and selling components and display them as a two-color histogram. Its description associates green bars with buyer activity and red bars with seller activity. The calculation uses bar volume and the high-low range, with a separate condition for handling bars marked as auction periods; the resulting series are labeled as sell and buy volume.

The document provides the indicator formula but no tests, market examples, or evidence that the estimates match actual aggressor-side trades. The calculation therefore should be treated as a bar-based proxy rather than a verified measure of order flow. It does not explain how the method performs across instruments, timeframes, or unusual bars, and it gives no guidance for turning the histogram into entry or exit rules. Traders should assess its behavior against market data before relying on it for execution or strategy decisions.

Key ideas

• The indicator plots estimated buying and selling volume as separate histogram series.
• Its calculation derives the two series from bar volume and the high-low range.
• Auction-period bars receive a conditional volume adjustment.
• The document offers no validation that the estimates correspond to actual aggressive trades.
• The histogram is an activity measure, not a complete trading strategy.

Tags

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