Lower-Timeframe Signed Volume Delta for Futures Entries

Summary

This futures strategy estimates signed volume from lower-timeframe candles: volume is positive when a candle closes above its open and negative when it closes below. It distributes those signed values across price bins within the chart bar, sums them into a delta reading, and enters long or short when that total crosses a configurable threshold. If lower-timeframe data is unavailable, it falls back to the chart candle’s signed volume. A date filter restricts signals to a specified start date.

Positions use a fixed futures tick size with preset take-profit and stop distances. The accompanying prose discusses trend filters, imbalances, and absorption, but the shown implementation does not use an EMA or explicitly calculate bid/ask imbalance or absorption. It also reports no backtest results, costs, or instrument validation. The method is therefore best understood as a simplified candle-direction volume proxy, not a full footprint reconstruction, and its thresholds and tick settings require market-specific assessment.

Key ideas

• The script estimates buying and selling pressure by signing lower-timeframe candle volume according to candle direction.
• Signed volume is allocated across price bins and summed to create a delta signal.
• Long and short entries trigger when delta crosses opposite configurable thresholds while flat.
• Stops and targets use fixed tick distances, and the document provides no performance evidence.
• The prose describes additional filters that are not present in the displayed implementation.

Tags

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