Volume-Flow Signals with Rate-of-Change and Exit Levels

Summary

The script separates traded volume into bullish volume on up-closing bars and bearish volume on down-closing bars, then smooths each series with a selectable simple, exponential, or double exponential average. A long bias occurs when smoothed bullish volume exceeds bearish volume; a short bias occurs in the opposite case. A smoothed rate-of-change condition acts as a movement filter, and changes in the active bias are used to derive entry signals. The code also defines percentage-based stop and profit levels and limits trading to a configured backtest date range.

The available excerpt is truncated during the exit logic, and it supplies no explanatory discussion or performance report. As a result, the precise exit behavior and any evidence of profitability cannot be verified from this text. The method also depends on bar direction as a proxy for buying or selling pressure, which does not reveal aggressor-side volume directly. Results would need evaluation across instruments, settings, costs, and market regimes before drawing conclusions.

Key ideas

• Volume on up-closing bars and down-closing bars is separated into bullish and bearish series.
• A selectable moving average smooths each volume series before their relative values define trade bias.
• A smoothed rate-of-change threshold filters for directional price movement.
• The script defines percentage-based stop and target levels and a date-bounded test interval.
• The excerpt omits part of the exit logic and reports no strategy results.

Tags

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