Two-Candle NVI Oscillator Strategy for Short-Term Signals

Summary

This short-term strategy derives an oscillator from the Negative Volume Index (NVI), its 15-period exponential moving average, and the oscillator’s range over 90 periods. The NVI updates on days when volume is lower than the previous day, incorporating the proportional close-to-close price change. A long signal occurs when the oscillator moves from negative to positive and rises; a short signal occurs when it moves from positive to negative and falls. The code then closes the corresponding position after two bars.

The published backtest settings identify BTC/USDT futures on Binance over a daily chart from September 2022 to September 2023, with a one-hour base period. No performance statistics are supplied, so the settings alone do not establish profitability. The accompanying text warns of overfitting, sensitivity to market periods and trading costs, and the need to tune parameters for the instrument and control position size. It characterizes the approach as very short term, but the settings do not show execution results or fees.

Key ideas

• The oscillator is based on NVI changes on days when volume declines, compared with an exponential moving average and a rolling range.
• A rising move from below zero to above zero triggers a long signal.
• A falling move from above zero to below zero triggers a short signal.
• The code closes the relevant position after two bars.
• The published settings specify a BTC/USDT futures daily chart, but provide no performance statistics or fee analysis.

Tags

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