Tick-Volume Breakout Entries and Combining Strategy Instances

Summary

This article develops a pending-order strategy based on unusually high tick volume during a candle. It compares current volume with the average from a chosen number of closed candles, then scales the threshold according to a base deviation and an additional deviation for each existing order or position. When the threshold is exceeded, the candle’s direction determines whether a buy-stop or sell-stop is placed; distance, expiry, stop loss, take profit, maximum concurrent orders, and fixed lot size are configurable. The strategy assumes separately accounted positions on a hedging account.

The article then combines two instances of the same strategy, using optimized parameter sets and a shared deposit allocation parameter. It reports a combined test result that exceeded the individual instances, but the supplied discussion does not establish out-of-sample robustness or generalizability. The author notes that this is an early step toward a multi-currency system: the example does not handle netting accounts, opposite positions, multiple symbols, or more complex position management, and terminal recovery is straightforward only for this simple strategy.

Key ideas

• The entry trigger compares current candle tick volume with an average of recent closed candles.
• A volume threshold rises with the number of existing orders and positions, allowing staged entries.
• The candle’s price direction selects a buy-stop or sell-stop, with risk and expiry settings supplied as inputs.
• The example requires a hedging account and does not prevent simultaneous opposing positions.
• Combining two optimized instances improved the reported test result, but robustness evidence is limited.

Tags

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