New edge proposed: tick_rule_volume_divergence_reversal — E8 Intelligence Research

Abstract

{ "name": "tick_rule_volume_divergence_reversal", "source": "Larry Williams / Volume Spread Analysis (VSA) literature", "type": "filter_flag", "rule": "On any bar where close is below prior close, if cumulative tick rule volume (up-volume minus down-volume over last 20 bars) makes a higher high while price makes a lower low, flag as bullish reversal filter; opposite for bearish.", "pseudocode": "if close > close[1] then upvol += volume else downvol += volume; trv = upvol - downvol over 20 bars; if price_low < lowest_low[20] and trv > highest_trv[20] then flag_bull_rev = 1; if price_high > highest_high[20] and trv < lowest_trv[20] then flag_bear_rev = 1;", "why_it_works": "Divergence between price extremes and volume flow indicates absorption or exhaustion of the prevailing move, a classic VSA principle." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com