Volume Thresholds and Moving Average Signals for Hidden Gap Trading

Summary

The document presents a volume-based method that classifies bars by comparing current volume with prior highs, lows, and the previous bar. It assigns categories intended to represent changing supply and demand, and describes taking long positions when volume suggests excess supply and short positions when it suggests excess demand. It also proposes comparing volume with its moving average as an overall directional signal.

The document supplies example lookback settings and a BTC/USDT futures backtest configuration, but no performance results. There is a material discrepancy between the explanation and the source logic: the plotted volume categories are not what directly determine entries in the code. Instead, the code enters long when volume is below its moving average and short when it is above, with an option to reverse those directions. The stated supply-demand interpretation is therefore an assumption rather than demonstrated evidence. The document warns that volume can change for reasons unrelated to supply and demand and that data quality matters; it suggests confirmation filters, stop losses, position sizing, and further backtesting.

Key ideas

• The method classifies volume by comparing it with prior period highs, lows, and the preceding bar.
• The written description interprets volume categories as supply-demand clues and pairs them with directional trades.
• The source code bases entries on volume relative to its moving average, rather than directly on the displayed categories.
• The published BTC/USDT futures settings are not accompanied by performance results.
• Volume shifts may not reliably reveal supply and demand, and poor data can undermine the signals.

Tags

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