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2007issue C091-9

Constructing a three-condition moving-average entry with a volume filter

The archive constructs a jointly testable long or short entry from three simultaneous checks: moving-average location, prior-bar volume confirmation, and an open-to-prior-close gap. Moving-average inputs and a market-bias setting stay separate from the entry logic.

  • A long entry requires three conditions at once: the open above the moving average, prior-bar volume above a volume filter, and a negative open-to-prior-close change.
  • A short entry uses the complementary location and gap checks with the same volume filter.
  • Default construction uses a 34-period simple moving average of close and a volume filter of 500, while price series, lookback, and average type stay separate inputs.
  • A market-bias enumeration keeps the same rule set and limits it to long-only, short-only, or both long and short trades.
Entries in this reading3 entries
Current trackVolume confirmation54 readingsRule-based entry174 readingsMoving average449 readings

A jointly testable entry from three checks

The archive constructs a rule-based entry: a fixed, jointly testable set of entry conditions that must all be true before a long or short signal is issued. The moving average is a defined lookback average of ordered price used as a location baseline for long versus short eligibility. Volume confirmation is a prior-bar volume threshold used as a filter so entries fire only after a minimum activity level.

The remaining check is a same-bar gap on the open relative to the prior close. The location check, the volume filter, and the gap condition must all hold together before a long or short signal is issued.

Long and short conditions

The constructed long entry requires three simultaneous conditions: the open above the moving average, prior-bar volume above a volume filter, and a negative open-to-prior-close change.

The constructed short entry is the complementary three-condition set: the open below the moving average, prior-bar volume above the same volume filter, and a positive open-to-prior-close change.

Inputs that rebuild the baseline

Default construction parameters are a 34-period simple moving average of close and a volume filter of 500.

The moving-average price series, lookback length, and average type are exposed as separate inputs so the baseline can be rebuilt without rewriting the entry logic.

A market-bias setting on the same rules

A market-bias enumeration restricts the same rule set to long-only, short-only, or both long and short trades.

Annualized IRR of timed long trendline-break trades versus indexes

The AIQ stats box under the long-side equity chart gives TLB-4M, the NASDAQ 100 long trendline-break book with the market-timing filter, an 18.81 percent annualized IRR from 10 February 2006 to 12 July 2007, ahead of NDX at 15.16, RUT at 13.10 and SPX at 15.35 in the same window.
The AIQ stats box under the long-side equity chart gives TLB-4M, the NASDAQ 100 long trendline-break book with the market-timing filter, an 18.81 percent annualized IRR from 10 February 2006 to 12 July 2007, ahead of NDX at 15.16, RUT at 13.10 and SPX at 15.35 in the same window.NASDAQ 100 stocks · 10 Feb 2006 – 12 Jul 2007 · 2006-02-10T00:00:00.000Z to 2007-07-12T00:00:00.000Z

Completed chart-pattern breakouts on the NASDAQ 100, next-day open entries, three-day hold, at most three names, three cents per share round-trip. The text rounds this row to a 19 percent annualized return and separately cites an 8 percent maximum drawdown that is not in the table.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
20 of 40 in the Volume confirmation track
20081-4 pp.Next on Volume confirmationBreakout rules that wait for volume and liquidityThe long-side scan required price above the 50-day average and that average above the 200-day average. Shorts reversed both conditions, and new long scans waited for the same stack plus a follow-through day on the indexes.
All readings on this track · 40 readings
  1. 1988Constructing volume-confirmation overlays on OHLC spreadsheet charts
  2. 1989Commodity advance-decline from delivery months
  3. 1989The most-active list as a three-layer breadth lab
  4. 1989Constructing a yield-curve volume-breadth composite
  5. 1989A bond-futures case study in support, volume, and confirmation
  6. 1989Volume-scaled price boxes and volume cycles
  7. 1990Futures-signed on-balance volume construction
  8. 1990Self-relative volume boxes for news-free breakouts
  9. 1990Broadening swings, demand tests, and volume filters
  10. 1991A same-session pressure test of breadth and volume share
  11. 1991Tick extremes that confirm double tops and bottoms
  12. 1991Constructing auction fuel from volume and open interest
  13. 1994Constructing On-balance volume with smoothing and timeframe confirmation
  14. 1996A volume-gated moving-average trend combination
  15. 1996Constructing four-state range-volume bars
  16. 1997Failed trade review of a descending-triangle breakdown
  17. 1997Construct a head-and-shoulders before the neckline break
  18. 2004Volume confirmation is not optional for a head-and-shoulders reversal
  19. 2007Constructing a three-factor volume-price confirmation filter
  20. 2007Constructing a three-condition moving-average entry with a volume filter
  21. 2008Breakout rules that wait for volume and liquidity
  22. 2011Screen futures liquidity with open interest and volume
  23. 2011Filter executable futures with liquidity and open interest
  24. 2012Rank listed futures by liquidity before a forecast chooses the name
  25. 2012Filter futures liquidity using open interest and volume
  26. 2013Pre-trade futures liquidity as an execution filter
  27. 2014A futures liquidity screen from range, open interest and volume
  28. 2014Evaluating futures contract liquidity before execution
  29. 2014Constructing defended price lines from volume clusters
  30. 2014Filter futures by equal-dollar size, open interest, and volume
  31. 2015Filter futures ideas by ranked contract liquidity
  32. 2017Screen listed futures for execution liquidity first
  33. 2017Filter futures orders by liquidity, open interest, and volume
  34. 2018Using open interest and volume to rank futures liquidity
  35. 2018Score listed futures as an execution menu before the setup
  36. 2019Filtering futures orders with liquidity, open interest and volume
  37. 2019Futures liquidity as an execution filter
  38. 2020A futures liquidity board as a pre-trade execution filter
  39. 2020Sequenced volume and golden-cross breakout rules
  40. 2020Use a listed-futures liquidity filter before execution
By fieldEntry and exit rules206 readingsBy year200773 readings
All 54 readings tagged Volume confirmation
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2014A three-gate entry for a triangle pullback1989The most-active list as a three-layer breadth lab1994Constructing On-balance volume with smoothing and timeframe confirmation1988Constructing intraday trade-facilitation percentile tables1988Constructing volume-confirmation overlays on OHLC spreadsheet charts