Volume Pressure Expert Advisor For ThinkOrSwim

[dap711]

What this strategy does
This strategy is a trend-and-volume-pressure confirmation system. It tries to enter trades only when your chart symbol, plus the broader market filters you chose, are aligned in the same direction.

At the chart-symbol level, it measures:

• Buying pressure versus selling pressure
• A moving average trend filter

A long setup happens when:

• smoothed buying pressure is greater than smoothed selling pressure, and
• price is above the moving average

A short setup happens when:

• smoothed selling pressure is greater than smoothed buying pressure, and
• price is below the moving average

In the strategy version, those conditions become simulated orders through AddOrder(). In thinkScript, AddOrder() places the simulated order on the next bar when the condition is true, and open[-1] is the standard next-bar fill price unless you override it.

How the market filters work
The script also calculates volume pressure for:

• the Magnificent 7 as a group
• QQQ
• SPY

These are used as optional directional filters.
For a long trade:

• your symbol must be bullish
• and, if enabled, Mag 7 must be bullish
• and, if enabled, QQQ must be bullish
• and, if enabled, SPY must be bullish

For a short trade:

• your symbol must be bearish
• and the enabled filters must also be bearish

This makes the strategy more selective. It is trying to avoid taking a long when your symbol looks good but the broader market is weak, or taking a short when the market backdrop is strong.

How entries happen
The strategy does not enter every bar that stays bullish or bearish.
It only enters when the condition turns true on this bar after being false on the prior bar:

• longEntry = longFilterOK and !longFilterOK[1]
• shortEntry = shortFilterOK and !shortFilterOK[1]

That means it is looking for a fresh signal, not repeated signals every bar.

Inputs you can control

Main display input

• PaintBars
  • colors price bars cyan when bullish
  • colors price bars red when bearish
  • otherwise gray

Filter toggles

• Use_Mag7_Filter
• Use_QQQ_Filter
• Use_SPY_Filter

Turning filters on makes the strategy stricter.
Turning them off makes it trade based more on the chart symbol alone.

Volume-pressure settings

• Volume_AvgType
• Volume_Length

These control how fast or slow the buy/sell pressure averages respond.

Smaller length:

• faster signals
• more trades
• more noise

Larger length:

• slower signals
• fewer trades
• more smoothing

Moving-average settings

• MovAvg_AvgType
• MovAvg_Price
• MovAvg_Length

These control the trend filter.

Smaller MA length:

• faster trend changes
• earlier entries
• more whipsaws

Larger MA length:

• slower trend changes
• fewer but more filtered entries

Best way to use it
This strategy is best used as:

• a directional alignment tool
• a backtesting idea generator
• a confirmation system for intraday or swing entries

It is especially useful when you want to know:

• is my symbol strong or weak?
• is that strength or weakness confirmed by the broader market?
• did a fresh alignment just appear?

How to add it in Thinkorswim
Thinkorswim separates studies and strategies. Strategies are added from the Strategies tab in the “Edit Studies and Strategies” window, and custom strategies can be created in the thinkScript editor there.

Basic workflow:

1. Open a chart.
2. Go to Studies > Edit Studies and Strategies.
3. Open the Strategies tab.
4. Click Create.
5. Paste the strategy code.
6. Save it with a name.
7. Add it to the chart.

How to backtest it
Once added as a strategy, Thinkorswim will show simulated entries and exits on the chart. Strategies in thinkorswim are technical analysis tools that add historical trade signals so you can backtest the conditions.

When testing it:

• try multiple timeframes
• test with all filters on, then selectively turn some off
• compare shorter versus longer moving-average lengths
• compare shorter versus longer volume lengths
• check whether the strategy fits trending symbols better than choppy symbols

Important limitations
Right now it does not include:

• stop loss
• profit target
• trailing stop
• time-of-day filter
• volume minimum
• volatility filter
• position sizing logic beyond the fixed strategy size

Also, because it uses next-bar simulated fills, actual live fills can differ from backtest fills. Thinkorswim’s strategy engine is for simulated order testing, not a guarantee of real execution.


Practical starting settings
A good starting point is:

• Volume_Length = 8
• MovAvg_Length = 16
• all three filters on

Then test:

• aggressive mode: shorter lengths, fewer filters
• conservative mode: longer lengths, all filters on

Simple summary
In one sentence:
The strategy goes long when your symbol’s buying pressure and price trend turn bullish, goes short when they turn bearish, and can require Mag 7, QQQ, and SPY to agree before taking the trade.

 

[Zlotko]

Would that work on ES?

 

[dap711]

Would that work on ES?

You could give it a try, but I think you would be disappointed in the performance.

I posted a modified version of my indicator for trading the futures HERE

Cheers!
Dwain

 

[drcocacola]

What this strategy does
This strategy is a trend-and-volume-pressure confirmation system. It tries to enter trades only when your chart symbol, plus the broader market filters you chose, are aligned in the same direction.

At the chart-symbol level, it measures:

• Buying pressure versus selling pressure
• A moving average trend filter

A long setup happens when:

• smoothed buying pressure is greater than smoothed selling pressure, and
• price is above the moving average

A short setup happens when:

• smoothed selling pressure is greater than smoothed buying pressure, and
• price is below the moving average

In the strategy version, those conditions become simulated orders through AddOrder(). In thinkScript, AddOrder() places the simulated order on the next bar when the condition is true, and open[-1] is the standard next-bar fill price unless you override it.

How the market filters work
The script also calculates volume pressure for:

• the Magnificent 7 as a group
• QQQ
• SPY

These are used as optional directional filters.
For a long trade:

• your symbol must be bullish
• and, if enabled, Mag 7 must be bullish
• and, if enabled, QQQ must be bullish
• and, if enabled, SPY must be bullish

For a short trade:

• your symbol must be bearish
• and the enabled filters must also be bearish

This makes the strategy more selective. It is trying to avoid taking a long when your symbol looks good but the broader market is weak, or taking a short when the market backdrop is strong.

How entries happen
The strategy does not enter every bar that stays bullish or bearish.
It only enters when the condition turns true on this bar after being false on the prior bar:

• longEntry = longFilterOK and !longFilterOK[1]
• shortEntry = shortFilterOK and !shortFilterOK[1]

That means it is looking for a fresh signal, not repeated signals every bar.

Inputs you can control

Main display input

• PaintBars
  • colors price bars cyan when bullish
  • colors price bars red when bearish
  • otherwise gray

Filter toggles

• Use_Mag7_Filter
• Use_QQQ_Filter
• Use_SPY_Filter

Turning filters on makes the strategy stricter.
Turning them off makes it trade based more on the chart symbol alone.

Volume-pressure settings

• Volume_AvgType
• Volume_Length

These control how fast or slow the buy/sell pressure averages respond.

Smaller length:

• faster signals
• more trades
• more noise

Larger length:

• slower signals
• fewer trades
• more smoothing

Moving-average settings

• MovAvg_AvgType
• MovAvg_Price
• MovAvg_Length

These control the trend filter.

Smaller MA length:

• faster trend changes
• earlier entries
• more whipsaws

Larger MA length:

• slower trend changes
• fewer but more filtered entries

Best way to use it
This strategy is best used as:

• a directional alignment tool
• a backtesting idea generator
• a confirmation system for intraday or swing entries

It is especially useful when you want to know:

• is my symbol strong or weak?
• is that strength or weakness confirmed by the broader market?
• did a fresh alignment just appear?

How to add it in Thinkorswim
Thinkorswim separates studies and strategies. Strategies are added from the Strategies tab in the “Edit Studies and Strategies” window, and custom strategies can be created in the thinkScript editor there.

Basic workflow:

1. Open a chart.
2. Go to Studies > Edit Studies and Strategies.
3. Open the Strategies tab.
4. Click Create.
5. Paste the strategy code.
6. Save it with a name.
7. Add it to the chart.

How to backtest it
Once added as a strategy, Thinkorswim will show simulated entries and exits on the chart. Strategies in thinkorswim are technical analysis tools that add historical trade signals so you can backtest the conditions.

When testing it:

• try multiple timeframes
• test with all filters on, then selectively turn some off
• compare shorter versus longer moving-average lengths
• compare shorter versus longer volume lengths
• check whether the strategy fits trending symbols better than choppy symbols

Important limitations
Right now it does not include:

• stop loss
• profit target
• trailing stop
• time-of-day filter
• volume minimum
• volatility filter
• position sizing logic beyond the fixed strategy size

Also, because it uses next-bar simulated fills, actual live fills can differ from backtest fills. Thinkorswim’s strategy engine is for simulated order testing, not a guarantee of real execution.


Practical starting settings
A good starting point is:

• Volume_Length = 8
• MovAvg_Length = 16
• all three filters on

Then test:

• aggressive mode: shorter lengths, fewer filters
• conservative mode: longer lengths, all filters on

Simple summary
In one sentence:
The strategy goes long when your symbol’s buying pressure and price trend turn bullish, goes short when they turn bearish, and can require Mag 7, QQQ, and SPY to agree before taking the trade.

looks insanely profitable

 

[antwerks]

@dap711 Script???

 

[merryDay]

@dap711 Script???

I ???think??? the script under discussion is found:
https://usethinkscript.com/threads/volume-pressure-in-a-whole-new-light-for-thinkorswim.21690/

 

[dap711]

# ──────────────────────────────────────────────────────────────────
# Inputs
# ──────────────────────────────────────────────────────────────────
input PaintBars         = yes;

input NumberOfShares    = 10;

# Strategy filters
input Use_Mag7_Filter   = yes;
input Use_QQQ_Filter    = yes;
input Use_SPY_Filter    = no;

# Volume Pressure Inputs
input Volume_AvgType    = AverageType.EXPONENTIAL;
input Volume_Length     = 8;

# Moving Average Inputs
input MovAvg_AvgType    = AverageType.EXPONENTIAL;
input MovAvg_Price      = close;
input MovAvg_Length     = 16;

# ───────────────────────────────────────────────────────────────────────
# Raw Data
# ───────────────────────────────────────────────────────────────────────
def vol = volume;
def range = high - low;
def selling = if range != 0 then vol * (high - close) / range else 0;
def buying = if range != 0 then vol * (close - low) / range else 0;
def buyV_ma  = MovingAverage(Volume_AvgType, buying, Volume_Length);
def sellV_ma = MovingAverage(Volume_AvgType, selling, Volume_Length);
def MA = MovingAverage(MovAvg_AvgType, MovAvg_Price, MovAvg_Length);

# Core symbol signals
def bullishSymbol = buyV_ma > sellV_ma and close > MA;
def bearishSymbol = buyV_ma < sellV_ma and close < MA;

def Dot_Cyan = if bullishSymbol then 1 else Double.NaN;
def Dot_Red = if bearishSymbol then 1 else Double.NaN;

AssignPriceColor(if PaintBars and !IsNaN(Dot_Cyan)
                 then Color.CYAN else
                    if PaintBars and !IsNaN(Dot_Red)
                    then Color.RED else
                       Color.CURRENT);

# ────────────────────────────────────────────────────────────────────────
# Volume Pressure Script
# ────────────────────────────────────────────────────────────────────────
script VolumePressure {
    input sym = "AAPL";
    input VolLen = 14;

    def o = open(sym);
    def h = high(sym);
    def l = low(sym);
    def c = close(sym);
    def v = volume(sym);

    def sp = h - l;
    def uw = if c > o then h - c else h - o;
    def lw = if c > o then o - l else c - l;
    def bd = sp - (uw + lw);
    def pctB = if sp != 0 then bd / sp else 0;
    def pctW = if sp != 0 then (uw + lw) / sp else 0;
    def buyR = if c > o then (pctB + pctW / 2) * v else (pctW / 2) * v;
    def sellR = if c < o then (pctB + pctW / 2) * v else (pctW / 2) * v;
    plot Buy  = MovingAverage(AverageType.EXPONENTIAL, buyR, VolLen);
    plot Sell = MovingAverage(AverageType.EXPONENTIAL, sellR, VolLen);
}

# ────────────────────────────────────────────────────────────────────────
# Mag 7 Aggregate
# ────────────────────────────────────────────────────────────────────────
def avgBuy =
    ( VolumePressure("AAPL", Volume_Length).Buy +
      VolumePressure("MSFT", Volume_Length).Buy +
      VolumePressure("GOOGL", Volume_Length).Buy +
      VolumePressure("AMZN", Volume_Length).Buy +
      VolumePressure("META", Volume_Length).Buy +
      VolumePressure("TSLA", Volume_Length).Buy +
      VolumePressure("NVDA", Volume_Length).Buy ) / 7;

def avgSell =
    ( VolumePressure("AAPL", Volume_Length).Sell +
      VolumePressure("MSFT", Volume_Length).Sell +
      VolumePressure("GOOGL", Volume_Length).Sell +
      VolumePressure("AMZN", Volume_Length).Sell +
      VolumePressure("META", Volume_Length).Sell +
      VolumePressure("TSLA", Volume_Length).Sell +
      VolumePressure("NVDA", Volume_Length).Sell ) / 7;
def mag7Bull = avgBuy > avgSell;
def mag7Bear = avgBuy < avgSell;

def Cyan_M7 = if mag7Bull then -1 else Double.NaN;
def Red_M7 = if mag7Bear then -1 else Double.NaN;

# ────────────────────────────────────────────────────────────────────────
# QQQ
# ────────────────────────────────────────────────────────────────────────
def qqqBuy  = VolumePressure("QQQ", Volume_Length).Buy;
def qqqSell = VolumePressure("QQQ", Volume_Length).Sell;
def qqqBull = qqqBuy > qqqSell;
def qqqBear = qqqBuy < qqqSell;
def Cyan_QQQ = if qqqBull then -2 else Double.NaN;
def Red_QQQ = if qqqBear then -2 else Double.NaN;

# ────────────────────────────────────────────────────────────────────────
# SPY
# ────────────────────────────────────────────────────────────────────────
def spyBuy  = VolumePressure("SPY", Volume_Length).Buy;
def spySell = VolumePressure("SPY", Volume_Length).Sell;
def spyBull = spyBuy > spySell;
def spyBear = spyBuy < spySell;
def Cyan_SPY = if spyBull then -3 else Double.NaN;
def Red_SPY = if spyBear then -3 else Double.NaN;


# ────────────────────────────────────────────────────────────────────────
# Strategy Logic
# ────────────────────────────────────────────────────────────────────────
def longFilterOK =
    bullishSymbol
    and (if Use_Mag7_Filter then mag7Bull else yes)
    and (if Use_QQQ_Filter then qqqBull else yes)
    and (if Use_SPY_Filter then spyBull else yes);

def shortFilterOK =
    bearishSymbol
    and (if Use_Mag7_Filter then mag7Bear else yes)
    and (if Use_QQQ_Filter then qqqBear else yes)
    and (if Use_SPY_Filter then spyBear else yes);

def longEntry = longFilterOK and !longFilterOK[1];
def shortEntry = shortFilterOK and !shortFilterOK[1];

# Macro Recorder Labels
addLabel(yes,"   BUY   ",if longEntry then Color.CYAN else Color.WHITE);
addLabel(yes,"   SELL  ",if shortEntry then Color.RED else Color.WHITE);
addLabel(yes,"   CLOSE ",if !longEntry AND !shortEntry then Color.YELLOW else Color.WHITE);

AddOrder(OrderType.BUY_TO_OPEN, longEntry, open[-1], NumberOfShares, Color.GREEN, Color.GREEN, "Long Entry");
AddOrder(OrderType.SELL_TO_CLOSE, shortEntry, open[-1], NumberOfShares, Color.YELLOW, Color.YELLOW, "Long Exit");

AddOrder(OrderType.SELL_TO_OPEN, shortEntry, open[-1], NumberOfShares, Color.RED, Color.RED, "Short Entry");
AddOrder(OrderType.BUY_TO_CLOSE, longEntry, open[-1], NumberOfShares, Color.CYAN, Color.CYAN, "Short Exit");