Volume-Adjusted Momentum Strategy with Price Direction Filters

Summary

This strategy builds a normalized volume measure by comparing a shorter rolling volume sum with a smoothed longer sum. It treats rising volume activity or a threshold crossover as a potential entry condition, then checks whether the close is above or below its close a configurable number of bars earlier to assign direction. A state variable tracks bullish and bearish setups, while falling volume can end the active state. The implemented orders, however, open long positions and close them; despite calculating short-side conditions, the code does not submit short entries.

The description frames the measure as a volume-based volatility oscillator and says the price comparison is intended to reduce false signals during volatile periods. The document provides the formula, adjustable lookbacks, thresholds, and a commission assumption, but no performance results or asset-specific evaluation. Its usefulness therefore lies in illustrating a rule-based volume and price filter, not demonstrating profitability. Threshold behavior and results may depend on market, timeframe, data quality, and parameter choices.

Key ideas

• The volume measure compares recent volume with a smoothed longer-term volume baseline.
• Entries require rising or threshold-crossing volume together with price direction over a configurable lookback.
• Falling volume can reset the strategy state, while a separate threshold condition can close a long position.
• Although bearish conditions are calculated, the submitted orders only enter and close long trades.
• The document describes the logic but supplies no empirical performance evidence.

Tags

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