The Volume Positive Negative (VPN) strategy is based on the eponymous technical indicator. Both the strategy and the indicator have been developed by Markos Katsanos and act on possible high-volume breakouts.
A simulated buy order is added when all of the following conditions are true:
- The calculated VPN indicator crosses above the critical value (+10 by default).
- 50-bar momentum of average volume is positive.
- The calculated RSI (relative strength index) is less than the specified max overbought level (+90 by default).
- The close price is above the average.
A simulated sell to close order is added when both of the following conditions are true:
- The calculated VPN crosses below the VPN Average.
- The close price is less than a recent highest close minus ATR (average true range) times a specified coefficient.
||The VPN indicator period.|
||The length of the exponential moving average to smooth the result with (VPN calculation).|
||The length of the average used in the calculation of the VPN Average.|
||The length to calculate RSI with (simulated buy condition).|
||The length of the volume average (simulated buy condition).|
||The length of the period for which the highest close is found (simulated sell condition).|
The length to calculate ATR with (simulated sell condition).
||The factor to multiply ATR by when calculating the positive/negative volume(VPN calculation).|
||The critical value of the VPN indicator (simulated buy condition).|
||The maximum overbought value of the RSI (simulated buy condition).|
||The coefficient to multiply ATR by (simulated sell condition).|
||The type of the moving average to be used in the calculation of the VPN Average: simple, exponential, weighted, Wilder's, or Hull.|
1. "Detecting High-Volume Breakouts" by Markos Katsanos. Technical Analysis of Stocks & Commodities, April 2021.