Relative Volume Momentum with Candle Filters and ATR Exits

Summary

This strategy combines a Williams %R-style oscillator applied to volume with fast and slow volume moving averages. Long and short setups require aligned volume conditions, an oscillator threshold, and a selectable candle filter ranging from simple candle direction to stronger range or momentum patterns. An optional five-bar high or low filter screens entries near recent extremes.

Exits can use ATR-based stop and target levels or a fixed bar-count close. The document describes the rules and adjustable components but supplies no performance results to establish an edge. It flags false breakouts, sensitivity to market conditions, and the risk of overfitting its many settings. It also notes that fixed-duration exits can be poorly timed and that complex smoothing methods may add execution burden. The described approach is therefore a configurable signal framework whose robustness would need evaluation across instruments and market regimes.

Key ideas

• The volume oscillator measures current volume relative to its recent high-low range using a Williams %R-like calculation.
• Long and short signals combine volume moving-average alignment, an oscillator threshold, and a configurable candle pattern.
• An optional recent-extreme filter screens entries near five-bar highs or lows.
• ATR-based stops and targets and fixed bar-count exits provide alternative trade management rules.
• The document reports no evidence of profitability and identifies overfitting and false signals as key limitations.

Tags

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