Volume Climax Reversal Strategy (C#)

Volume Climax Reversal Strategy

Volume Climax Reversal seeks turning points marked by extremely high volume after a strong trend. Such climactic spikes suggest exhaustion as the last buyers or sellers rush in before momentum fades.

Testing indicates an average annual return of about 82%. It performs best in the stocks market.

The strategy enters against the prior move once a large volume bar closes and price begins to retrace.

A tight percent stop protects the position, and trades exit if volume fails to drop off or price continues in the original direction.

Details

• Entry Criteria: indicator signal
• Long/Short: Both
• Exit Criteria: stop-loss or opposite signal
• Stops: Yes, percent based
• Default Values:
  • CandleType = 15 minute
  • MaPeriod = 20
  • VolumeMultiplier = 2
  • StopLossPercent = 2 A climax is a candle that closes with the trend (bullish above the MaPeriod SMA, bearish below it) on volume above VolumeMultiplier times the average of the previous MaPeriod candles. The next candle closing the other way starts the trade against the move. The trade exits when a close passes the climax extreme, when volume spikes again, or at the percent stop.
• Filters:
  • Category: Volume
  • Direction: Both
  • Indicators: Volume
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium