Constructing calendar regime overlays and volume-weighted rules

Seasonality as a construction sequence

Seasonality is handled here as a construction problem rather than a standalone calendar story. The first layer is a regime overlay that marks recurring lunar-phase windows. A range-normalized volume increment and one joint trend-and-slope rule set are then attached so entry, exit, and standing aside share the same testable inputs.

Calendar windows as a regime overlay

Calendar-cycle bars can be overlaid on a broad equity average by coloring from a signed moon-position series. Eclipse markers use a 1.9 absolute threshold. New-moon and full-moon markers use a 0.9 absolute threshold.

Volume increments and true session extremes

A stock-oriented on-balance construction uses true session extremes. The true high is the greater of the session high and the prior close, and the true low is the lesser of the session low and the prior close, so gaps enter the day's range. The construction then accumulates a signed range contribution and adds zero when the close is unchanged.

A range-normalized volume increment is formed as today's close minus yesterday's close, divided by today's high minus today's low, then multiplied by volume. That increment is added to a running total and divided by 1,000 for display.

Four facilitation bar classes

Four mutually exclusive facilitation bar classes can be defined from the one-bar change in range divided by volume and the one-bar change in volume. The four states are both rising, both falling, range-per-volume rising while volume falls, and range-per-volume falling while volume rises.

Average rules and a trend-span index

A trend-span index can be built as the highest minus lowest value of a moving average over a short window, multiplied by 100 and divided by the close. A long-only average-based procedure can buy when the prior bar's moving average equals its lowest value over a four-bar lookback, and it can exit when that trend-span index crosses below 0.4. The illustrated defaults use a 28-bar average and a five-bar trend-span window.

A joint trend-and-slope procedure

A joint trend-and-slope procedure can enter long when the close is above a 30-period average and a five-period least-squares slope is above a 50-period fit of those slopes. That second comparison is the slope-of-slopes trigger. The procedure can enter short when both comparisons reverse, and it exits when either comparison fails. Those orders use a next-open fill, so execution delay is part of the rule set.