Volume Energy Signals from Bullish and Bearish Volume

Summary

This strategy estimates buying and selling pressure by splitting each candle’s volume into bullish and bearish portions. It assigns all volume to buyers when the close exceeds the open; for a down candle, it estimates the bullish share from the open’s position within the candle’s high-low range, assigning the remainder to sellers. It then compares weighted moving averages of those estimates across a configurable lookback.

A directional zone forms when one side’s average sufficiently dominates the other, with a smoothing threshold intended to mark flat conditions. The published settings include a lookback of 11 bars and a 15% flat-zone threshold. The source also shows entries at the start of a new zone and closes the opposite position. No performance results are reported. The method depends on a rough allocation of intrabar volume from OHLC prices, and the document cautions that volume may be manipulated, parameters may not transfer across instruments or timeframes, and short-term signals can be false.

Key ideas

• The method estimates bullish and bearish volume separately for each candle using its open, close, high, and low prices.
• Weighted moving averages of the two volume estimates are compared over a configurable lookback.
• A dominance threshold distinguishes directional zones from periods treated as flat.
• The strategy can trade either direction or restrict signals to long-only or short-only.
• The document reports no performance evidence and notes that volume quality and parameter choice affect reliability.

Tags

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