Volume-Weighted Price Delta with Moving-Average Trend Signals

Summary

This system sums the open-to-close price change multiplied by volume over a selected period, then compares the resulting volume-weighted delta with its simple moving average. The prose assigns bearish meaning to a delta crossover above its average and bullish meaning to a crossover below it. A 20-period EMA is plotted as an auxiliary trend view, and the description proposes a volume threshold as a liquidity filter.

The source code's actual entries are keyed to the moving average crossing the delta, with the bearish and bullish orders assigned in a way that does not clearly match the prose's crossover descriptions. It also does not implement the stated volume threshold as an entry condition. The published test settings cover BTC/USDT futures on daily bars across several years, but no results are reported. The text notes that moving averages can lag, parameters are sensitive, and sideways or volatile conditions may produce misleading signals.

Key ideas

• The indicator aggregates open-to-close price changes weighted by volume over a chosen lookback.
• The prose uses crossings between the weighted delta and its simple moving average to define directional signals.
• The code's entry triggers and order directions differ from the prose, and the described volume filter is absent from the shown entries.
• A 20-period EMA provides auxiliary trend context, while the published test uses daily BTC/USDT futures data.
• No backtest outcomes are reported, and lag, parameter sensitivity, and sideways markets are cited as limitations.

Tags

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