Price Relative Strength Entries with Moving Average and Volume Filters

Summary

This one-hour futures strategy combines a moving-average trend check with price-location and volume-weighted candle measures. Long entries require the close to be above the moving average, both bullish measures to exceed their thresholds, and the high to reach a rolling high. Short entries apply corresponding bearish conditions below the average and at a rolling low. The rules therefore seek directional participation confirmed by recent extremes and the distribution of volume across each bar’s range and body.

A stop distance is set as a multiple of the moving average of the high-low range. Further rules close or reverse positions when price crosses the average or moves beyond the entry by that stop distance. The listed parameters are the moving-average lookback and stop multiplier. The published example uses an hourly commodity futures contract over a limited period, but provides no performance statistics, comparison, or discussion of costs, so its effectiveness and portability cannot be inferred from the document.

Key ideas

• Long and short entries combine price relative to a moving average with volume-weighted candle measures.
• Entries also require price to reach a rolling high for longs or a rolling low for shorts.
• The stop distance scales the moving average of the bar’s high-low range by a configurable multiplier.
• The example is limited to one commodity futures contract and reports no quantified performance evidence.

Tags

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