Raw traded volume per bar, color-coded by direction (up bars vs. down bars), with an optional moving average overlay. The simplest volume indicator — and the foundation that OBV, MFI, and the rest are built on.
What it measures
- Trading activity per bar. Number of contracts or shares that changed hands during the bar's time window.
- Direction-coded. AlgoLift splits volume into "up volume" (close ≥ open) and "down volume" (close < open) for visual clarity.
- Activity relative to baseline. The optional moving average gives a reference for what "normal" volume looks like — making it easy to spot unusual activity.
Formula
Inputs in AlgoLift
| Setting | Default | Range | Notes |
|---|---|---|---|
| MA Period | 20 | 0–200 | Lookback for the volume moving average. Set to 0 to hide. |
| MA Type | SMA | SMA / EMA | Moving average type. |
Recommended settings
- (20, SMA) — default: Standard. Works for most timeframes.
- (50, EMA): Smoother — for longer-horizon volume regime detection.
- (10, SMA): Faster — for short-term volume spike detection.
Outputs in AlgoLift
| Handle | Type | Plotted | Notes |
|---|---|---|---|
| Up Volume | Numeric | Always | Volume on bars where Close ≥ Open. Plotted as green bars. |
| Down Volume | Numeric | Always | Volume on bars where Close < Open. Plotted as red bars. |
| Volume MA | Numeric | Always | Moving average of total volume. Plotted as a line overlay. |
How to read it
- Volume > 1.5× MA: Unusual activity — institutional participation or news-driven flow.
- Volume > 2.5× MA: Major event — typically a news release, capitulation, or capitulation reversal.
- Volume < 0.5× MA: Light tape — be skeptical of breakouts that occur here; institutional traders aren't participating.
- Persistent up-volume > down-volume: Bullish bias — buyers dominate.
- Persistent down-volume > up-volume: Bearish bias.
- Volume MA rising: Activity regime is intensifying.
- Volume MA falling: Activity regime is calming.
Volume alone tells you about participation, not direction. A high-volume bar means a lot of trading happened — it doesn't mean buyers won. The up/down volume split adds direction. The volume-MA ratio adds context. Use all three readings together.
Best in / worst in
Best in liquid instruments during regular trading hours — where volume actually reflects institutional flow. Particularly valuable for breakout confirmation on equity index futures and major stocks.
Worst in off-hours futures (ETH) where volume is structurally lower and doesn't represent the same kind of participation. Also weak on instruments with frequent halts or auctions, where volume can spike artificially at session boundaries.
Three setups
1. Breakout volume confirmation
Use volume as a filter for breakout entries.
- Long: Price breaks above a Donchian 20-bar high AND current bar's volume > 1.5 × Volume MA.
- Short: Price breaks below the 20-bar low AND volume > 1.5 × Volume MA.
A breakout on below-average volume is usually a fakeout. The volume filter catches this directly.
2. Volume spike detection
Detect bars with unusual activity for any reason.
- Spike condition: Current volume > 2.5 × Volume MA.
- Action: Set a Set Variable flag for the next N bars — the strategy enters a "post-event" state where wider stops and tighter triggers apply.
Useful for handling news-driven moves that distort normal market behavior.
3. Volume-weighted regime classification
Use the Volume MA itself as a regime indicator.
- High-volume regime: Volume MA > 1.2 × its own 50-bar average — institutional participation is elevated.
- Low-volume regime: Volume MA < 0.8 × its 50-bar average — quiet market, summer-doldrum conditions.
- Normal: Between.
Most breakout strategies favor high-volume regimes; mean-reversion favors low-volume.
Advanced patterns in AlgoLift
Volume ratio for position sizing. Scale position size by current volume relative to MA: size = base × min(1.5, Volume / Volume_MA). Larger positions when participation is real; smaller when the tape is thin. Combined with fixed-fractional risk math, this naturally avoids low-conviction entries.
Up-volume vs. down-volume net flow. Compute (Up Volume − Down Volume) summed over the last N bars via a Tally node. The net flow is a directional volume signal that complements pure direction indicators.
Volume MA divergence with price. When price is making new highs but the Volume MA is falling, participation is declining despite the move — often precedes reversals. Compare Volume MA to its value N bars ago via Bars Ago Modifier, alongside price.
Common mistakes
- Using futures volume the same way as equity volume. Futures volume during ETH (overnight) is much lower than RTH — comparing them directly is meaningless. Apply session filters.
- Trading volume direction without price confirmation. A high-volume bar doesn't always mean what it looks like — it could be heavy selling absorbed by buyers (bullish) or heavy buying overwhelmed by sellers (bearish). The bar's close-relative-to-open determines which.
- Ignoring the Volume MA when volume is "high." Without the baseline, "high volume" is subjective. The MA gives you the objective threshold.
- Using volume alone as a primary signal. Volume confirms direction signals; it rarely produces them. Pair with a price-based indicator.