Force on-balance volume to agree with itself at slower horizons

The short flip leaves slower horizons free

On-balance volume is a running sum of volume that adds the session's volume after an up close and subtracts it after a down close. Each bar updates both direction and participation.

The first rule set bought when daily on-balance volume was above its two-week exponential average and sold when it was below that average. Trades were filled on the next session's close. The market in that first pass was the Deutschemark.

Slower averages become the trend filter

A second rule set used the two-week on-balance-volume average relative to a 20-week average as the trend filter. The same conventions were then applied to the yen, treated as correlated with the Deutschemark, and to Treasury bonds, treated as correlated as well.

A third rule set required the two-week, 20-week, and 50-week on-balance-volume averages to stack in the same direction before entry. Mixed AND/OR logic meant disagreement at either slower horizon closed the position.

That multi-horizon stack samples the same on-balance-volume series at nested lookbacks so the short, intermediate, and long traces can confirm or veto one another. The slower confirmation rule is a longer exponential average, or the required stack of averages, that must agree with the shorter-horizon signal before a long or short is opened or held.

The particular months are not required

The stacked design was motivated by a momentum construction that sampled three discrete horizons of 6, 12, and 24 months. Other intervals, including 50 weeks, were then used deliberately to show that those particular months are not required.

A two-scale schematic was drawn as a bimodal distribution, with one peak for moves better matched to the shorter component and one peak for moves better matched to the longer component.

Linear-regression channels sit beside the stack

Intersecting short-horizon and long-horizon linear-regression channels on British pound prices were presented as a way to mark later high-volatility episodes months ahead of the event.

A linear-regression channel here is a fitted price band. When a short-horizon channel crosses a long-horizon channel, the overlay marks multi-scale tension. It does not replace the on-balance-volume entry.