Tick Volume Moving Averages

Bullish Bearish Volume — Measured Participation for MT5

Most volume indicators ship with settings somebody liked the look of. This one ships with settings measured against historical market data.

Bullish Bearish Volume was developed using research covering 146,764 hourly EUR/USD bars from 2003 to 2026. Instead of relying on conventional moving-average periods or visual optimisation, its settings are informed by measurements of volume seasonality, smoothing lag, clock bias and directional behaviour.

The indicator separates each candle's volume into bullish and bearish components, smooths them using your choice of 10 moving-average algorithms, and displays the result as two lines in a dedicated subwindow. An optional gradient candle overlay brings the same information directly onto the price chart.

Its central purpose is to help you distinguish meaningful relative activity from the predictable changes in volume caused by the trading clock.

It is a volume participation and analysis tool, not a promise of future price direction.

WHAT IT MEASURES

Two lines show how much reported volume is associated with bullish and bearish price behaviour.

Four selectable methods determine the allocation:

• Body Direction (default): Attributes the bar's volume according to whether the candle closed above or below its open.

• Close Location in Range: Divides volume proportionally according to the close's position between the high and low. A close at the high assigns the full volume to the bullish side; a midpoint close splits it equally.

• Previous Close (OBV style): Classifies volume according to whether the close is above or below the previous candle's close.

• Direction + Volume Confirmation: The original classification method, retained for users who want to examine agreement between candle direction and rising or falling volume.

The difference between the two smoothed lines measures directional dominance in the chosen classification.

Important distinction: These methods are price-derived estimates. They do not measure the actual volume executed at the bid or ask, and should not be confused with exchange order flow.

The same relative dominance controls the candle colours on the main chart, allowing you to read the indicator without constantly looking at its subwindow.

WHAT MAKES IT DIFFERENT

1. The time-of-day problem — measured, not guessed

The time-of-day problem, and the fix. Across 2003–2026, 78% of the variance in log volume is explained by the calendar alone: hour of day, weekday, year. Activity runs 0.60x at 04:00 and 1.86x at 16:00 UTC. Most volume indicators show you that pattern and call it a signal.

An average spanning exactly one full cycle cancels it, because every hour enters the window exactly once. Measured residual time-of-day bias in the line:

A Simple Moving Average covering exactly one full daily cycle can mathematically cancel a fixed 24-hour seasonal pattern.

Measured residual hour-of-day bias in one period experiment:

The exact measurements depend on the sample and methodology, but the principle is important: complete-cycle averaging suppresses periodic volume patterns more effectively than arbitrary window lengths.

The indicator automatically adapts its smoothing period to the selected timeframe:

• M15 — 96 bars

• M30 — 48 bars

• H1 — 24 bars

• H4 — 6 bars

• D1 — 20 bars by default, covering four trading weeks

• W1 and above — four cycles by default

The user can select one, two, three or five cycles, or enter any custom period.

EMA is the default for responsiveness. SMA is the recommended choice when cancellation of the fixed seasonal cycle is the priority. Unlike SMA, EMA attenuates the daily cycle rather than eliminating it completely.

2. Ten moving averages — selected by measurement

The development research compared 33 smoothing approaches and retained 10 implementations, ranked using their measured properties.

Available algorithms:

• SMA — Simple Moving Average

• Trimmed Mean — rejects the highest and lowest 20% of observations in each complete window

• VIDYA — Chande's adaptive moving average

• KAMA — Kaufman's Adaptive Moving Average

• ADXVMA — adaptive smoothing using directional movement

• T3 — Tillson's six-stage smoothing

• SMMA — Wilder's Smoothed Moving Average

• FRAMA — Fractal Adaptive Moving Average

• LWMA — Linear Weighted Moving Average

• EMA — Exponential Moving Average

The dropdown includes research annotations describing lag and residual clock behaviour, rather than presenting all averages as interchangeable.

For example, SMA provides strong periodic cancellation, VIDYA and KAMA prioritise smoother adaptive readings, while ADXVMA and FRAMA offer alternatives for traders who prefer faster response.

DEMA, TEMA, ZLEMA and HMA were evaluated but excluded from the current selection. Their tendency to overshoot below zero can be undesirable when smoothing a nonnegative volume series.

An optional negative-value clamp is included for algorithms that may overshoot.

3. Seasonal normalisation — relative activity instead of raw volume

Optional seasonal normalisation compares each bar with the historical activity typical of its own calendar slot.

Research found that the EUR/USD hourly activity profile developed on 2003–2014 data retained a correlation of approximately r = 0.82 when compared with 2015–2026.

The indicator does not require the user to download that research dataset. Instead, it builds expectations automatically from the broker history available to the indicator.

• Intraday charts use hour-of-day profiles.

• Daily charts use weekday profiles.

• Weekly and higher timeframes retain their original volume scale.

• Historical bars are normalised using observations preceding them, rather than future observations.

With seasonal normalisation active, a value near 1.0 represents approximately normal activity for the relevant slot; 2.0 represents roughly twice the expected activity before the bullish/bearish split.

This helps distinguish an unusually active quiet session from an entirely ordinary busy session.

4. Reference levels — Normal, Extreme and Minimal

Three reference levels are enabled by default to help interpret the volume lines without guessing what constitutes unusually high or low activity.

NORMAL: The median of the recent bullish and bearish readings, representing typical participation.

EXTREME: The 95th-percentile reference level, identifying unusually elevated readings.

MINIMAL: The 5th-percentile reference level, identifying unusually subdued readings.

The reference horizon adapts to the timeframe and available history.

Instead of drawing multiple overlapping historical averages, the indicator uses one central reference and two extremes to keep the subwindow readable.

All three levels can be enabled or disabled through the inputs.

5. Four signal methods — with published research

The indicator includes four selectable directional signal modes.

Historical testing of EUR/USD H1 volume dominance found that following the indicated direction performed below 50% in the next-bar directional test. Taking the opposite side produced the following results:

The threshold result used a dominance threshold of 0.15.

For this reason, the signal-direction inversion option is enabled by default when signals are activated.

The four modes allow you to study different aspects of relative volume dominance, while optional chart arrows provide a visual indication of the selected signal.

These figures are historical directional frequencies, not strategy returns. They do not include transaction costs, stop-loss behaviour or the magnitude of winning and losing moves. Signals are disabled by default.

6. Bollinger Bands — calibrated for volume

Optional Bollinger Bands are calculated around the midpoint of the bullish and bearish volume lines.

Rather than using the conventional period of 20 without investigation, the default is 24 periods with two standard deviations.

In the development measurements:

The midpoint represents combined participation without directional attribution.

The band calculation offers a selectable moving-average basis, adjustable period, deviation, line width and colour.

The lower band is clamped at zero because negative volume has no meaningful interpretation.

7. Gradient candles — volume dominance directly on price

The indicator can colour the price candles according to the relative dominance between its bullish and bearish lines.

• Bullish dominance uses the selected bullish colour family.

• Bearish dominance uses the selected bearish colour family.

• Greater dominance produces a stronger shade.

• Balanced activity produces a weaker shade.

Candle bodies and wicks are positioned using chart pixel coordinates rather than approximate time-based rectangles.

Their dimensions are recalculated when the chart changes, allowing the overlay to follow scrolling, zooming and price-scale adjustments.

Customisable body width, wick width, border visibility, foreground/background placement and gradient intensity are included.

Six colour schemes are available: three designed for dark charts and three for light charts.

COMPLETE FEATURE LIST

• Four bullish/bearish volume classification methods

• Ten selectable moving-average algorithms with measured characteristics

• Automatic cycle-based smoothing periods

• Direct numerical period override

• Multi-timeframe analysis using a higher timeframe on a lower-timeframe chart

• Optional stepped or interpolated higher-timeframe display

• Seasonal normalisation by hour of day or weekday, where applicable

• Normal, Extreme and Minimal volume reference levels

• Gradient candle overlay with pixel-based chart alignment

• Six colour schemes for dark and light backgrounds

• Adjustable candle bodies, wicks and gradient intensity

• Bollinger Bands around the combined-volume midpoint

• Selectable Bollinger moving-average type and deviations

• Optional bullish/bearish difference histogram

• Four research-ranked signal modes

• Optional directional inversion and chart arrows

• Configurable smoothing and negative-value clamping

• Timeframe-specific subwindow names, such as HOURLY VOLUME, 4HRS VOLUME and DAILY VOLUME

• Adjustable calculation and candle-display limits

• Tick-volume support, plus broker-provided real-volume selection in MT5

The histogram uses a 12-step colour palette in MetaTrader 5. MetaTrader 4 uses separate bullish and bearish histogram colours.

DEFAULT SETTINGS

Additional controls for line colours, band thickness, candle appearance, displayed bars, signal parameters and adaptive-average settings are available in the inputs.

MULTI-TIMEFRAME (MTF) VOLUME ANALYSIS

Analyse higher-timeframe bullish and bearish volume directly on your current trading chart — without switching timeframes.

Bullish Bearish Volume includes built-in Multi-Timeframe (MTF) functionality, allowing traders to monitor broader market participation while analysing short-term price movements.

For example:

• M1 chart + M15 volume: Examine short-term price action alongside 15-minute volume dominance.

• M5 chart + H1 volume: Follow hourly bullish and bearish participation while looking for entries on the 5-minute chart.

• M15 chart + H4 volume: Compare intraday price movements with 4-hour volume conditions.

• H1 chart + D1 volume: Monitor daily participation without leaving the hourly chart.

MTF Features

• Selectable analysis timeframe: Choose the current chart timeframe or any supported higher timeframe.

• Automatic timeframe mapping: Higher-timeframe volume readings are projected onto the corresponding lower-timeframe candles.

• Two display modes: Select stepped lines, which hold each higher-timeframe value across its corresponding chart candles, or interpolated lines for a smoother visual presentation.

• Timeframe-labelled subwindow: Names such as HOURLY VOLUME, 4HRS VOLUME and DAILY VOLUME identify the timeframe being analysed.

• Multiple timeframe comparisons: Attach separate indicator instances with different timeframe settings to compare short-term and longer-term participation.

• Full indicator analysis: The chosen higher timeframe supplies the bullish/bearish volume readings used by the indicator's smoothing and associated analysis.

MTF analysis is especially useful for traders who want to examine lower-timeframe price movements in the context of broader volume conditions.

Example: When trading EUR/USD on M5, select H1 as the indicator timeframe. The subwindow will display hourly bullish and bearish volume analysis while the main chart remains on M5.

Important: Historical higher-timeframe values may reflect information that was not yet final during the formation of that higher-timeframe candle, particularly in interpolated mode. MTF visualisation should not be treated as a guaranteed non-repainting or look-ahead-free trading signal.

RESEARCH PHILOSOPHY

The indicator was designed around a distinction that matters: a setting that looks best in historical data is not necessarily a setting that generalises to new data.

The accompanying development research compared approximately 450 parameter combinations, using 2003–2014 as a development period and 2015–2026 as an out-of-sample period.

Reported correlations between performance across the two periods were negative, ranging from approximately −0.35 to −0.57.

This was evidence against choosing indicator settings solely because they maximised historical directional results.

The defaults therefore favour measurable structural properties — full-cycle smoothing, controlled lag, nonnegative volume behaviour and understandable interpretation — rather than optimised trading returns.

HOW TO USE IT

Use Bullish Bearish Volume to examine:

• Whether current volume is unusually high or low relative to its historical context.

• Whether bullish or bearish price behaviour dominates the selected volume classification.

• Whether a move is supported by increasing measured activity or accompanied by declining activity.

• Whether short-timeframe price action agrees with a higher-timeframe volume backdrop.

• Whether an apparent volume spike is meaningful or simply part of the normal trading-session cycle.

• How dominance, crossovers and reversals behave under different smoothing methods.

The indicator is intended as a research and chart-analysis companion to price action, market structure and risk management.

Measure participation. Understand the clock. Make your own trading decisions.