Volatility Explosive Measure for Bullish and Bearish Price Runs

Summary

The indicator estimates the balance between bullish and bearish directional movement. It treats the candle’s close-minus-open value as its directional range, groups consecutive positive or negative candles into runs, and carries doji candles along with the direction of the preceding candle. For each current run, it sums the directional ranges, then takes a 10-period average of the bullish and bearish outputs. The returned measure is the bullish average minus the bearish average.

The source description presents the measure as a way to identify volatility squeezes and explosive moves. However, the document does not specify thresholds, entry or exit rules, markets, or evaluation results, so it does not show how to turn the output into a tested trading strategy. Because the calculation is based on candle bodies and directional runs, its reading may differ from measures based on full high-low ranges or realized return volatility. Users would need to define signal interpretation and validate it on relevant data.

Key ideas

• The indicator uses close-minus-open values to represent each candle’s directional range.
• Doji candles inherit the direction of the preceding candle when forming bullish or bearish runs.
• It averages summed bullish and bearish run values over a 10-period window.
• The output is the bullish average minus the bearish average.
• The document suggests squeeze and expansion detection but gives no thresholds or performance evidence.

Tags

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