Volume-Conditioned ATR Trailing Stops for Trend Management
Summary
This indicator combines an ATR-distance trailing stop with a candle-based estimate of buying and selling volume. It allocates bar volume according to candle range and open-close structure, averages the estimated buy and sell components, and normalizes their spread over a lookback period. An optional Heiken Ashi calculation and further smoothing are intended to reduce noise in that volume estimate.
In an uptrend, the stop tightens when the volume spread declines; in a downtrend, it tightens when the spread rises, which the author interprets as weakening pressure in the trend direction. A price crossing the stop reverses the trend state. ATR period and multiplier control stop distance, while other settings affect normalization, smoothing, and reversal behavior. The document offers usage suggestions for exits and scaling out, but presents no backtest or measured results. Its buy-sell volume split is inferred from candle geometry rather than observed trade aggressor data, so the signal's reliability requires independent evaluation.
Key ideas
- The indicator estimates buying and selling volume from candle structure and smooths the resulting spread.
- Its stop follows price at an ATR-based distance and tightens conditionally on changes in the estimated volume spread.
- A price crossing the stop changes the trend state and reverses the stop's direction.
- ATR settings control stop distance, while normalization and averaging settings affect the volume signal's scale and responsiveness.
- The volume decomposition is an estimate and the document provides no performance test.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.