Volume Vault | Volume Order Block Retest Strategy

Volume Vault is a strategy that finds order block zones created by high-volume displacement candles and trades the first retest of each zone. A zone only forms when a candle has a large body relative to ATR and trades on above-average volume, so the strategy focuses on moves with real participation behind them. Each zone is drawn on the chart with its impulse volume ratio (for example “×1.8”), so you can see which zones were created on heavier volume.

Entries are taken when price returns to a zone and shows confirmation in the trade direction. Risk is defined from the start: the stop goes beyond the zone plus an ATR buffer, and the target is a multiple of that risk.

How the Strategy Works

Displacement detection: A candle counts as an impulse if its body is at least a set multiple of the previous bar’s ATR and its volume is at least a set multiple of the previous bar’s volume average.
Zone creation: The candle before the impulse becomes the order block. A bullish impulse creates a demand zone and a bearish impulse creates a supply zone. You can use the full high/low range or just the candle body.
Zone management: Zones extend to the right until they are invalidated (a close through the far side), expire (max age), or are pushed out by newer zones (max zone count). Overlapping same-direction zones are not duplicated.
Retest entry: When price touches a zone while the strategy is flat, optional filters decide whether to enter. A zone is only marked as used when a trade actually fires, so a zone that fails the filters can still trade later.
Exit: The stop sits beyond the zone plus an ATR buffer. The take profit is a fixed R multiple. The stop can move to break-even at a chosen R, and an optional time stop closes stale trades.
Signals are evaluated on bar close and orders fill on the next bar, which avoids intrabar signal flicker.

Features

Volume-qualified order block detection (body vs ATR plus volume vs average)
Bullish and bearish zones drawn with the impulse volume ratio on each box
Full range or body-only zone option
Optional filters, each with its own toggle:
opposite-colour candle before the impulse
close beyond the prior candle’s range
confirmation candle in the trade direction
rejection wick with adjustable minimum size
volume dry-up on the retest

EMA trend filter

Zone consumed only when a trade fires
ATR-buffered stop beyond the zone
Fixed R-multiple take profit
Optional break-even move and time stop
Long and short toggles
Impulse markers on the chart
Realistic backtest defaults: 10% of equity per trade, 0.05% commission, 2 ticks slippage

Tips

Start loose, then tighten. The defaults are set for higher trade frequency. Add filters one at a time (trend, rejection wick, volume dry-up) and watch how profit factor and drawdown change, not just net profit.
Match the timeframe to your style. Lower timeframes (5m to 1h) produce more zones and trades. Higher timeframes produce fewer, larger setups.
Use symbols with reliable volume. If volume data is missing or zero, set the impulse volume multiplier to 0 or the zones will not form.
Tune ATR sensitivity per market. Volatile markets may need a higher displacement multiplier, and slower markets a lower one.
Try the EMA filter. Trading only with the trend often reduces the number of losing counter-trend retests.
Check results over a long sample. Aim for enough trades (100 or more) before drawing conclusions from the Strategy Tester.
Adjust costs to your market. Update commission, slippage and position size to match your broker and instrument.

Warnings

This is not financial advice. The script is for educational and research purposes.
Past performance does not predict future results. A good backtest can come from overfitting to one symbol or period.
Lower-frequency settings are not “safer”. Looser filters trade more but usually with lower quality per trade, and strict filters may leave you with too few trades to judge.
Backtests are simplified. Real fills, spreads, gaps and slippage during fast moves can differ from the simulation.
Orders fill on the next bar. Because signals use closed candles, entries can be some distance from the signal price, which affects the actual risk.
Stops and targets can be hit in the same bar. The tester assumes a fixed order of events inside a bar, which may not match live trading.
Volume varies by data source. Volume on spot, futures and different exchanges can differ, so results may not carry across markets.
Risk management is your responsibility. Never risk money you cannot afford to lose, and forward test on a demo account first.

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