Volume-Weighted Trend Signals from Bilateral Moving Averages

Summary

This strategy uses rolling high-low averages, labeled XHL2 and XHLC3, to smooth price behavior and assess direction. It derives a price movement measure from the close and changes in the smoothed series, then compares that measure with a factor-scaled price threshold. Volume is normalized by its moving average and accumulated into a flow-style result; changes in that result determine long or short positioning. The method is presented as a relatively simple trend-following approach for medium- and short-term use.

The document gives a 22-period setting, a factor of 0.3, and an optional reverse-trading switch. Its published example uses BTC/USDT futures with daily strategy bars and hourly base data for roughly a year, but it provides no performance statistics or comparison. It cautions that parameter choices can distort signals, volatile conditions can make stops too tight, and strong sustained markets may produce false trades. Backtesting, additional trend or support-resistance filters, and explicit stop rules are proposed as possible refinements.

Key ideas

• Rolling high-low and high-low-close averages are used to smooth price inputs.
• A thresholded price movement measure assigns volume positive, negative, or neutral flow before accumulation.
• Changes in the accumulated volume measure drive long and short positions, with an option to reverse direction.
• The sample configuration specifies BTC/USDT futures and daily bars, but no return or risk results are included.
• The text identifies parameter sensitivity and volatility-related stop risk as limitations.

Tags

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