Using Volume Changes and LSTM Forecasts in an Automated Trading System

Summary

The article outlines an automated trading approach that uses changes in trading volume and their acceleration as signals of rising or fading participation. It proposes combining those measures with an LSTM forecast of future volume, with ADX or OBV available as confirmation filters. The described Expert Advisor checks conditions on new bars, opens positions when acceleration persists, and manages trades with daily loss limits, time-based exits, and trailing stops.

The document provides implementation fragments for calculating volume derivatives, tracking positions, estimating daily profit, and updating stops. It also describes a separate LSTM component, but the excerpt does not provide enough detail to assess its architecture, training process, or forecast performance. No backtest results or evidence of predictive advantage are reported. The suggested interpretation that accelerating volume can precede price moves is presented as a rationale, not demonstrated evidence; the strategy would need careful testing and tuning before its signals or risk controls could be relied upon.

Key ideas

• The first difference of volume represents whether activity is increasing or decreasing.
• The second difference measures whether that change in activity is accelerating or slowing.
• The proposed system combines volume measures with LSTM forecasts and optional ADX or OBV confirmation.
• Daily loss limits, trade duration rules, and trailing stops are included in the Expert Advisor design.
• The article provides no performance results establishing that volume acceleration predicts profitable trades.

Tags

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