MA Volume Strategy (C#)

MA Volume Strategy

MA Volume combines a moving average trend filter with volume surges to time entries. Rising volume alongside price above the average signals strong accumulation; falling volume below the average indicates distribution.

Testing indicates an average annual return of about 136%. It performs best in the stocks market.

The strategy trades in the direction of the moving average when volume expands, exiting once volume dries up or the average reverses.

A percent stop protects against sudden shifts in trend.

Details

• Entry Criteria: indicator signal
• Long/Short: Both
• Exit Criteria: stop-loss or opposite signal
• Stops: Yes, percent based
• Default Values:
  • CandleType = 15 minute
  • StopLossPercent = 2
  • MaPeriod = 20
  • VolumePeriod = 20
  • VolumeThreshold = 1.2 Volume expands when a candle's volume exceeds VolumeThreshold times the average of the previous VolumePeriod candles. While flat, an expanding candle closing above a rising SMA goes long and one closing below a falling SMA goes short. The position closes when volume falls below its average or the SMA turns against it.
• Filters:
  • Category: Trend following
  • Direction: Both
  • Indicators: Moving Average, Volume
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium