Volume Speaks Louder: My Custom Volume Indicator for Futures

My Indicator Philosophy: Think Complex, Model Simple

In my first “Modeling 101” class as an undergrad, I learned a mantra that’s stuck with me ever since: “Think complex, but model simple.” In other words, you can imagine all the complexities of a system, but your actual model doesn’t have to be a giant non-convex, nonlinear neural network or LLM—sometimes a straightforward, rule-based approach is all you need.

With that principle in mind, and given my passion for trading, I set out to invent an indicator that was both unique and useful. I knew countless indicators already existed, each reflecting its creator’s priorities—but none captured my goal: seeing what traders themselves are thinking in real time. After all, news is one driver of the market, but you can’t control or predict news. What you can observe is how traders react—especially intraday—so I wanted a simple way to gauge that reaction.

Why intraday volume ? Most retail traders (myself included) focus on shorter timeframes. When they decide to jump into a trade, they’re thinking within the boundaries of a single trading day. They rarely carry yesterday’s logic into today—everything “resets” overnight. If I wanted to see what intraday traders were thinking, I needed something that also resets daily. Price alone didn’t do it, because price continuously moves and never truly “starts over” each morning. Volume, however, does reset at the close. And volume behaves like buying/selling pressure—except that raw volume numbers are always positive, so they don’t tell you who is winning: buyers or sellers?

To turn volume into a “signed” metric, I simply use the candle’s color as a sign function. In Pine Script, that looks like:

isGreenBar = close >= open
isRedBar   = close < open

if (not na(priceAtStartHour))
    summedVolume += isGreenBar ? volume : -volume

This way, green candles add volume and red candles subtract volume, giving me positive values when buying pressure dominates and negative values when selling pressure dominates. By summing those signed volumes throughout the day, I get a single metric—let’s call it SummedVolume—that truly reflects intraday sentiment.

Because I focus on futures markets (which have a session close at 18:00 ET), SummedVolume needs to reset exactly at session close. In Pine, that reset is as simple as:

if (isStartOfSession())
    priceAtStartHour := close
    summedVolume     := 0.0

Once that bar (6 PM ET) appears, everything zeroes out and a fresh count begins.

SummedVolume isn’t just descriptive—it generates actionable signals. When SummedVolume rises above a user-defined Long Threshold, that suggests intraday buying pressure is strong enough to consider a long entry. Conversely, when SummedVolume falls below a Short Threshold, that points to below-the-surface selling pressure, flagging a potential short. You can fine-tune those thresholds however you like, but the core idea remains:

• Positive SummedVolume ⇒ net buying pressure (bullish)
• Negative SummedVolume ⇒ net selling pressure (bearish)

Why do I think it works: Retail/intraday traders think in discrete days. They reset their mindset at the close. Volume naturally resets at session close, so by signing volume with candle color, I capture whether intraday participants are predominantly buying or selling—right now.

Once again: “Think complex, model simple.” My Daily Volume Delta (DVD) indicator may look deceptively simple, but five years of backtesting have proven its edge. It’s a standalone gauge of intraday sentiment, and it can easily be combined with other signals—moving averages, volatility bands, whatever you like—to amplify your strategy. So if you want a fresh lens on intraday momentum, give SummedVolume a try.