Buying Selling Volume Strategy

2023년 8월 10일

First I would like to give the original credit and thanks to ceyhun for his amazing volume script.

The way I decided to convert it into a strategy is divided into multiple types.

First, I decided in order to smooth out the values and make it more accurate to adapt the values to multiple timeframes.

After that I took the initial values from the buyers and sellers , and made a rest operation between them to have a flat difference between the power of both sides.

WIth that later on I decided to to apply a volatility filter,in this case bollinger bands, in order to find out potential leading trends.

At the same time in order to filter even more, I decided to make use as well for weekly VWAP values of the asset used.

Lastly I added a dynamic risk management into it , based on the ATR Daily values of the asset values.


As for the rules used, for example for long, I am looking that the price of the asset is above the weekly VWAP, after that I am checking that the MTF volume rest operation is both bullish and above the upper side of the bollinger.
For short we would want the asset to be below the weekly VWAP, and the volume to be bearish and above the upper side of bollinger.

The exit is either based on daily ATR values multipliers, or if we have a reverse condition.



If you have any questions, please let me know !