Trend Signals from Signed Volume and Threshold Bands

Summary

This strategy assigns each bar's volume a positive sign when the close is above the open, a negative sign when the close is below the open, and zero when they match. It sums these signed volumes over a selected window and divides by the window length to form a smoothed volume measure. Crossing above an upper threshold sets a long position; falling below a lower threshold sets a short position. Between thresholds, the prior position is retained, and an option can reverse the direction.

The document provides parameter defaults and BTC/USDT futures backtest settings, but no performance statistics. It presents the approach as a way to follow medium- to long-term trends while acknowledging lag, false signals in ranges, divergence, and static thresholds that may not fit changing volatility. The implementation has no explicit stop-loss mechanism, so risk management and validation across instruments and market conditions remain unresolved.

Key ideas

• Each bar's volume is signed according to whether its close is above, below, or equal to its open.
• A moving average of accumulated signed volume forms the strategy indicator.
• Upper and lower threshold crossings set long and short positions, with the previous position retained between bands.
• Static bands and smoothing can create lag or false signals, and the example has no explicit stop loss.
• The stated backtest settings are not accompanied by performance results.

Tags

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