Impulse Momentum: Buying Strong Bars on Heavy Volume

// ============================================================
// Impulse Momentum
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: 1 hour
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1             // contracts per trade
momentumPeriod = 13          // price momentum length and normalising window
volumePeriod = 21            // average volume length
fastPeriod = 9               // fast SMA length
slowPeriod = 21              // slow SMA length
impulseBars = 3              // bars in the short impulse window
powerPeriod = 5              // average bar range length for impulse power
momentumWeight = 2           // weight of normalised momentum in the signal
impulseWeight = 3            // weight of normalised impulse in the signal
signalPeriod = 8             // SMA of the signal line
signalLevel = 0.7            // signal must be above this to buy
minVolumeRatio = 1.2         // volume must be this multiple of its average
minImpulsePower = 1.8        // bar range must be this multiple of its average
stopLossPct = 1              // protective stop, percent of entry price

ONCE inTrade = 0

// --- Indicators ---
fastMA = Average[fastPeriod](close)
slowMA = Average[slowPeriod](close)

priceMomentum = (close - close[momentumPeriod]) / close[momentumPeriod] * 100

// Directional movement: only count up moves that beat down moves.
upMove = high - high[1]
IF upMove <= 0 THEN
  upMove = 0
ENDIF

downMove = low[1] - low
IF downMove <= 0 THEN
  downMove = 0
ENDIF

upMoveDominant = 0
IF upMove > downMove AND upMove > 0 THEN
  upMoveDominant = 1
ENDIF

volumeRatio = Volume / Average[volumePeriod](Volume)

impulseUp = (close - close[impulseBars]) / (Highest[impulseBars](high) - Lowest[impulseBars](low)) * 100
impulsePower = (high - low) / Average[powerPeriod](high - low)

// Scale momentum and impulse to 0..1 over the recent window, then blend them.
normMomentum = (priceMomentum - Lowest[momentumPeriod](priceMomentum)) / (Highest[momentumPeriod](priceMomentum) - Lowest[momentumPeriod](priceMomentum))
normImpulse = (impulseUp - Lowest[momentumPeriod](impulseUp)) / (Highest[momentumPeriod](impulseUp) - Lowest[momentumPeriod](impulseUp))

signalLine = (normMomentum * momentumWeight + normImpulse * impulseWeight) / (momentumWeight + impulseWeight)
signalMA = Average[signalPeriod](signalLine)