Futures reversal with volume

Weekly reversal in futures asks whether last week's worst contracts bounce, and whether trading activity changes the odds. Research on a broad futures set finds short-horizon reversals, and finds that the reversal is stronger after a rise in volume and weaker after a rise in open interest. It is a cross-section of contracts, not a single-chart oscillator.

Not investment advice. Nothing here is a recommendation to buy or sell anything. Backtests and historical studies are not guarantees, and a rule that worked in one sample can fail in the next. Trading can lose money. Links are for education, not endorsements. Do your own research.

Rules

Once a week, rank liquid futures on the prior week's return inside groups defined by lagged volume change and open-interest change. Go long the prior-week losers in the high-volume, low-open-interest group and short the prior-week winners in that group. Weight by how far each contract's week differed from the group average. Reset weekly. Keep rolls and contract selection explicit.

Where AI fits

AI can maintain a continuous futures series, compute lagged volume and open interest without using the same week's data, and reject contracts in delivery. It can report whether any edge survives roll costs. The group cutoffs have to be chosen on a past window.

Markets

Liquid commodity, rate, and equity-index futures. Needs volume and open interest.

Timeframes

Weekly signal and hold.

Risks

Futures rolls, limit moves, and contract changes dominate a weekly return. High volume can mean news, not a fade. Open-interest fields differ by vendor. This is not a reason to fade every red day on one chart.

← Back to all strategies