Volatility-Wall Confluence Strategy with Trend and Volume Filters

Summary

This strategy estimates a daily expected-move range from the daily open and an implied-volatility index selected for the asset class. It plots the open and intermediate and outer price bands, then combines a moving-average crossover with volume, ADX, higher-timeframe EMA, RSI, wall-clearance, and trading-session filters to generate entries. The script offers configurable profit targets and an ATR-based stop capped at a stated tick limit, with a time-based flattening rule and a dashboard of current readings.

The document describes the script’s construction and settings, but gives no performance results or independent evidence that the signals are profitable. Its expected-move calculation depends on the chosen volatility proxy and annualization assumption; the fixed wall-clearance threshold and tick-based risk settings may not transfer across instruments. VWAP is displayed but does not appear in the entry conditions, and the listed asset options do not include the separate crypto case mentioned in the code.

Key ideas

• The script scales a daily expected move from the daily open using implied volatility and an annualization assumption.
• Entries require a moving-average cross plus volume, ADX, higher-timeframe trend, RSI, wall-clearance, and session conditions.
• Stops can use ATR but are capped at a fixed tick limit, while profit targets are set in ticks.
• The document provides no backtest evidence, and several thresholds and volatility-proxy choices may need instrument-specific evaluation.

Tags

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