How to confirm breakout trades with volume in code?
Hi,
Many professional traders recommend using volume to confirm breakouts. They say one can confirm a breakout when there is a spike in volume. I am looking to test this in an ea but can't translate it into code exactly. Now, how would one quantify a "spike" to put implement this in code? When price breaks out of a defined range, I tried taking indicator volume value at shift 1 and indicator volume value at shift 2, and if shift 1 value is higher than shift 2 then this means that volume has increased. This increase can be called a "spike" but this results in many fakeouts. Or is trading breakouts strictly a discretionary technique?
I doubt MT5 gives real volume values. Perhaps volume data the broker or a selected liquidity provider. Confirm this with your broker.
Like MT4, I think MT5 just shows the number of ticks arrived (number of price updates). I'm not sure if this data can be used to confirm breakouts. I read somewhere of people using volume data from forex futures obtained from a third party vendor
I am ware that I will not get real volume data in forex because it's so decentralized. I am ok with tick volume because its better than nothing. I have reconstructed an indicator to give volume weighted moving average and its working alright.
Volume_Weighted_MA.mq4 :
//+------------------------------------------------------------------+ //| Volume_Weighted_MA.mq4 | //| MT4 TO | //| | //+------------------------------------------------------------------+ #property copyright "Community TO" #property link "http://www.mql4.com" #property indicator_separate_window//indicator_chart_window #property indicator_buffers 1 #property indicator_color1 DeepPink extern string aSymbol = ""; extern ENUM_TIMEFRAMES ChartTimeframe=0; extern int Period_MA=21; extern ENUM_APPLIED_PRICE Price_MA = PRICE_MEDIAN; //Price type //extern int Price_MA=PRICE_MEDIAN; extern int Shift=1; double MABuffer[]; double Vol[1]; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ int init() { IndicatorBuffers(1); SetIndexShift(0,0); SetIndexDrawBegin(0,Period_MA); SetIndexBuffer(0,MABuffer); SetIndexStyle(0,DRAW_HISTOGRAM);//SetIndexStyle(0,DRAW_LINE); IndicatorDigits(Digits+1); ArrayResize(Vol,Period_MA); return(0); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ int start() { int limit; int j,i; double sum; double Price; int counted_bars=IndicatorCounted(); if(counted_bars<0) return(-1); if(counted_bars>0) counted_bars--; limit=iBars(aSymbol,ChartTimeframe)-counted_bars; if(counted_bars==0) limit-=Period_MA; for(i=Shift; i<limit; i++)//for(i=0; i<limit; i++) { sum=0; Price=0; for(j=i;j<i+Period_MA;j++) { Vol[j-i]=iVolume(aSymbol,ChartTimeframe,j);//Volume[j]; sum+=Vol[j-i]; } for(j=0;j<Period_MA;j++) { Vol[j]/=sum; } for(j=i;j<i+Period_MA;j++) { Price+=get_price(j,Price_MA,aSymbol,ChartTimeframe)*Vol[j-i]; } MABuffer[i]=Price; } return(0); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ double get_price(int num,int applied_price,string asymbol,ENUM_TIMEFRAMES acharttimeframe) { switch(applied_price) { case PRICE_CLOSE : return (iClose(asymbol,acharttimeframe,num));//return(Close[num]); case PRICE_OPEN : return (iOpen(asymbol,acharttimeframe,num));//return(Open[num]); case PRICE_HIGH : return (iHigh(asymbol,acharttimeframe,num));//return(High[num]); case PRICE_LOW : return (iLow(asymbol,acharttimeframe,num));//return(Low[num]); case PRICE_MEDIAN : return ( (iHigh(asymbol,acharttimeframe,num) + iLow(asymbol,acharttimeframe,num))/2 );//return((High[num]+Low[num])/2); case PRICE_TYPICAL : return ( (iHigh(asymbol,acharttimeframe,num) + iLow(asymbol,acharttimeframe,num) + iClose(asymbol,acharttimeframe,num))/3 );//return((High[num]+Low[num]+Close[num])/3); case PRICE_WEIGHTED : return ( (iHigh(asymbol,acharttimeframe,num) + iLow(asymbol,acharttimeframe,num) + iClose(asymbol,acharttimeframe,num) + iClose(asymbol,acharttimeframe,num))/4 );//return((High[num]+Low[num]+Close[num]+Close[num])/4); default : return ( (iHigh(asymbol,acharttimeframe,num) + iLow(asymbol,acharttimeframe,num))/2 );//return((High[num]+Low[num])/2); } } //+------------------------------------------------------------------+
VWMA_Indicator.mqh:
//+------------------------------------------------------------------+ //| VWMA_Indicator.mqh | //| Copyright 2019, Everybodys' Software Corp. | //| https://www.somewhere.com | //+------------------------------------------------------------------+ #property copyright "Copyright 2019, Everybodys' Software Corp." #property link "https://www.somewhere.com" #property strict //+------------------------------------------------------------------+ // iVWMA //+------------------------------------------------------------------+ /* This gets the current volume weighted moving average value. */ double iVWMA(string vSymbol, ENUM_TIMEFRAMES vChartTimeframe, int vPeriod, ENUM_APPLIED_PRICE vAppliedPrice, int vShift) { double vwma=0; vwma = iCustom(vSymbol,vChartTimeframe,"Volume_Weighted_MA",vSymbol,vChartTimeframe,vPeriod,vAppliedPrice,vShift,0,vShift); return vwma; } //+------------------------------------------------------------------+ // End of iVWMA //+------------------------------------------------------------------+
Example usage of 20 period:
double aVWMA1 = iVWMA(NULL,0,20,PRICE_MEDIAN,1);//shift 1 volume weighted moving average
This indicator does not have a problem I am aware of. Hoping someone could provide alternative ways of confirming breakouts.
- www.mql4.com
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
You agree to website policy and terms of use
Hi,
Many professional traders recommend using volume to confirm breakouts. They say one can confirm a breakout when there is a spike in volume. I am looking to test this in an ea but can't translate it into code exactly. Now, how would one quantify a "spike" to put implement this in code? When price breaks out of a defined range, I tried taking indicator volume value at shift 1 and indicator volume value at shift 2, and if shift 1 value is higher than shift 2 then this means that volume has increased. This increase can be called a "spike" but this results in many fakeouts. Or is trading breakouts strictly a discretionary technique?