Liquidity-Sweep Reversals Filtered by Volume and Delta Proxies

Summary

This strategy looks for price to pierce a confirmed swing high or low and then close back through that level, treating the move as a possible liquidity sweep. A candidate reversal must also meet a candle-close position rule and, by default, volume-spike and directional delta-proxy filters. The delta estimate aggregates lower-timeframe candle volume, classifying volume by whether each candle closed up or down. Traders can require an additional reversal candle before entry, apply an optional EMA trend filter, restrict entries to a session, and limit the number of trades per day.

Stops are placed beyond the sweep wick with an ATR buffer, and targets use a configurable reward-to-risk multiple. The document explicitly cautions that its delta is not exchange bid/ask data and that historical strategy reports do not guarantee future results. It says signals are evaluated on confirmed bars and swing points update after confirmation, which delays availability of levels. The code is framed for intraday futures and other markets, but offers no performance results; the lower timeframe, session, assumptions, and parameters require market-specific evaluation.

Key ideas

• A sweep is identified when price moves beyond a confirmed swing level and closes back inside it.
• The reversal setup combines candle position with optional volume-spike and lower-timeframe delta-proxy filters.
• An optional next-bar confirmation, EMA direction filter, session window, and daily trade cap control entries.
• Stops extend beyond the sweep wick by an ATR buffer, and targets follow a configurable reward-to-risk ratio.
• The delta estimate is based on candle direction rather than bid/ask tape, and the document gives no verified performance results.

Tags

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