Trend Signals from Historical Highs and Lows of Volume Delta

Summary

This strategy estimates directional volume delta by assigning a bar’s volume to buying when its close is above its open and to selling when its close is below its open. It smooths the difference with a 14-period simple moving average, then compares that series with rolling high and low values intended to represent a year of data. The stated concept looks for a long signal after a very low reading recovers above zero, and an exit after a strong reading retreats from its historical high region.

The document identifies lag, false signals in ranging markets, and threshold sensitivity as limitations. It specifies a year-long BTC/USDT futures test period but reports no performance metrics. The code and prose do not fully agree: the code’s sell trigger uses a 90%-of-high crossing and a 50%-of-high threshold, while the explanation describes different thresholds. In addition, the 365-bar lookback represents a year only on daily bars, whereas the published chart interval is two hours. These details make the precise rules and evidence uncertain.

Key ideas

• The method approximates buying and selling volume from whether each bar closes above or below its open.
• A 14-period simple moving average smooths the resulting volume difference.
• The proposed signals compare the smoothed delta with rolling high and low thresholds.
• Long lookbacks and smoothing can delay signals, while sideways markets may produce false triggers.
• The prose, source thresholds, and two-hour chart interval do not align clearly, and no performance results are provided.

Tags

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