Liquidity Sweep Entries with Volume and EMA Filters

Summary

This strategy looks for price moves beyond recent swing highs or lows that close back inside those levels, treating them as liquidity sweeps. It uses an 11-period swing lookback, requires volume above its 11-period average multiplied by the configured factor, and uses a 31-period EMA to filter entries. A signal lock is intended to prevent repeated entries in the same direction until price revisits a key level. The document reports that its backtests reduced false breakouts with fewer signals and that volume confirmation raised win rates, but gives no detailed performance table or methodology to assess those claims.

Positions can close after an adverse move from entry once three bars have passed, on an opposite sweep signal, or on a close crossing below the EMA. The EMA exit is described as a trend safeguard, though the code applies the downside crossunder condition to both long and short positions. The approach is presented for trending, volatile markets and warned to struggle in sideways conditions, where exits may trigger often. Other caveats include pivot lag, possible missed breakouts from the signal lock, and losses during market structure changes; the backtest is on ETH/USDT futures at an hourly interval.

Key ideas

• A sweep is identified when price passes a prior swing level and closes back across it.
• Volume above a moving-average threshold confirms entries, filtering some lower-volume setups.
• An EMA trend filter, opposite sweep exits, and a post-entry pullback rule shape trade management.
• Signal locks reduce repeated same-direction entries but can block subsequent breakout trades.
• The document warns that sideways markets, pivot lag, and changing market structure can undermine results.

Tags

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