Futures Entries Based on Lower-Timeframe Signed-Volume Delta

Summary

This futures strategy estimates signed volume from lower-timeframe candles: volume is positive when a candle closes above its open, negative when it closes below, and zero when unchanged. It distributes those values across price bins within the chart candle’s observed range and sums the bins into a delta measure. A configurable threshold triggers a long when delta is sufficiently positive or a short when it is sufficiently negative, provided the strategy is flat and within its date filter.

Exits use fixed tick-based profit targets and stop losses relative to average entry price. The code specifies a lower timeframe, bin count, tick size, target and stop distances, and a futures test account setting, but the document reports no strategy performance results. This is a candle-direction volume proxy rather than direct buyer-initiated versus seller-initiated trade classification; binning and lower-timeframe data availability can affect the estimate. The supplied material does not establish that the threshold or exit distances are robust across instruments or conditions.

Key ideas

• Lower-timeframe candle direction assigns positive or negative signs to volume for a delta estimate.
• Signed volume is apportioned across price bins and summed for the chart candle.
• Threshold crossings generate long or short entries only when the strategy is flat and inside its date range.
• Exits use fixed tick distances from the average entry price for both targets and stops.
• The document supplies code and settings but no performance evidence, and its volume sign is a candle-based proxy.

Tags

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