Volume-flow slope divergence, then separate on-balance-volume and crossover rules

A common slope-percentage scale

Volume-flow, in this archive workflow, is a bounded volume-weighted oscillator built from typical-price change, a volatility cutoff, and a capped volume term, then exponentially smoothed. A linear-regression-slope is the fitted slope of a series over a chosen window, scaled by the absolute level of that series at the start of the window so two different series can be compared.

A divergence series is defined as the difference between a linear-regression slope of a positively shifted volume-flow series and the same-length linear-regression slope of the close, each scaled by the absolute level of that series at the start of the lookback and then smoothed with a 3-period exponential average. Divergence is used here as a signed gap and a coded long-only timing condition, not as a visual chart pattern.

The divergence lookback is exposed as an adjustable input with a stated range of 2 to 200 bars and a default of 120 bars.

Why a positive-offset comes first

The slope-ratio construction is restricted to indicators that stay away from zero. A series that can cross zero is first offset by the absolute value of its lowest reading plus 10 so that it remains positive. That positive-offset is what lets volume-flow sit on the same scaled-slope footing as the close before the two slopes are subtracted.

Four long-only rules kept apart

One long-only volume-flow rule uses a 26-period construction. It enters when a 7-period exponential average of that series is above zero and exits when that average is below zero.

A second long-only rule uses a 130-period volume-flow construction. It enters when the prior smoothed divergence reading is above 100, the current reading has declined from that prior value, and the volume-flow slope is positive. It exits if divergence is negative or the volume-flow slope is negative.

A third rule is a break-from-base. It enters long when volume flow is above -2, its 20-bar linear-regression slope is above 0.1, the series is above its 40-period exponential average, and the 30-bar price slope is positive but smaller than 0.6 percent of the close from 30 bars earlier. It exits if volume flow falls below -2 or that 20-bar slope is below -0.8. The joint condition requires a volume series to turn up from a shallow slope while the price slope stays modestly positive.

A fourth long-only rule is a moving-average-crossover. It enters when a shorter exponential average of the 130-period volume-flow series crosses above a longer one and exits on the opposite cross. The optimized short and long lengths given are 11 and 25.

The same base-break on on-balance volume

The same base-break entry is restated with on-balance volume: a 20-bar on-balance-volume slope above 0.1, on-balance volume above its 40-period exponential average, and the same 30-bar price-slope bounds. The exit is a 20-bar on-balance-volume slope below -0.8. On-balance volume is used here only through its short-window slope and its position versus a moving average.

What the workflow does not merge

Editorial note: the sign rule, the fading-divergence rule, the break-from-base, the on-balance-volume restatement, and the two-average cross remain separate tests. Each long-only rule can be accepted or rejected on its own stated conditions without treating them as a single overlay.