Trend Direction Engine · Taiwan Futures (TX) Quantitative Structure Analysis

Multi-Dimensional Market Direction System Momentum × Strength × Volume Flow × Key Price Levels — Four-Dimensional Cross-Confirmation

Markets are not simply bullish or bearish — direction is determined jointly by momentum, volume flow, structure, and key price levels.
Integrating 8 core indicators, this trend direction engine lets you assess market direction through data, not intuition.

MACD ADX VWAP VAD VADZ VolumeDelta VolumeMA Pivot Points
8Core Direction Indicators
4Confirmation Dimensions
Multi-PeriodCross-Validation
Z-ScoreAnomaly Detection
MACD-Z Momentum Acceleration Detection ▲ EXPANDING ADX > 25 Trend Confirmed — Strength Rising VWAP Positive Deviation Price Holding Above Institutional Cost Line ▲ BULLISH VolumeDelta-Z Active Buy-Side Dominance ▲ Z+1.8 VAD Accumulation Rising Hidden Accumulation Signal Detected Pivot R1 Breakout DiffRatio > +50% ▲ BREAKOUT VolumeMA-Ratio Volume-Confirmed Upside ▲ 1.6x VADZ Volume-Price Accumulation Strength Normalized Z+1.2 MACD-Z Momentum Acceleration Detection ▲ EXPANDING ADX > 25 Trend Confirmed — Strength Rising VWAP Positive Deviation Price Holding Above Institutional Cost Line ▲ BULLISH VolumeDelta-Z Active Buy-Side Dominance ▲ Z+1.8 VAD Accumulation Rising Hidden Accumulation Signal Detected Pivot R1 Breakout DiffRatio > +50% ▲ BREAKOUT VolumeMA-Ratio Volume-Confirmed Upside ▲ 1.6x VADZ Volume-Price Accumulation Strength Normalized Z+1.2
Why Multi-Dimensional

Why Multi-Dimensional Direction Confirmation?

Single indicators are prone to false signals; multi-dimensional cross-confirmation is the foundation of higher-probability setups.

Directional assessment is the starting point for every trading decision. If the direction read is wrong, all subsequent entry and exit logic becomes invalid. Conventional technical analysis often relies on only one or two indicators — this is the core reason why win rates fail to improve.

Don’t chase a move just because price is rising, and don’t short just because it is falling.
Instead — Direction confirmed × Strength sufficient × Volume supporting × Price level reasonable — only then is an entry worth taking.

This trend direction engine integrates momentum, volume-price, strength, and structural indicators — simultaneously confirming market direction from four entirely independent dimensions, significantly reducing false-signal interference.

Dimension 01
Is Momentum Supporting?

MACD histogram direction and Z-score strength confirm whether the trend’s driving force is still accelerating.

Dimension 02
Is Strength Sufficient?

ADX value confirms whether the market has genuinely entered a trending state, filtering false signals during consolidation.

Dimension 03
Is Volume Cooperating?

VolumeDelta, VAD, and VolumeMA — three volume dimensions jointly confirming the capital support behind the trend.

Dimension 04
Is the Price Level Reasonable?

VWAP deviation ratio and Pivot Points confirm whether the current price occupies a structurally favorable position.

Eight Core Indicators

8 Core Indicators — Full Analysis

Each indicator plays a distinct role, collectively forming the four-dimensional confirmation architecture of the trend direction engine.

INDICATOR 01 Trend Momentum
MACD
Moving Average Convergence Divergence

MACD is more than a golden/death cross —
it reveals whether a trend still has propulsive force.

The MACD histogram represents the “acceleration” of momentum — not the trend itself, but the rate of change of its driving force. When the histogram continuously expands, the trend is accelerating; when it begins to contract, even if price is still rising, momentum is already decaying.

  • Histogram expanding → trend accelerating, momentum abundant
  • Histogram contracting (still positive) → trend weakening, momentum decay
  • Z-score > +2 → extreme momentum spike; watch for trend exhaustion or overheating
  • Z-score crossing zero axis → structural shift, bull/bear switch signal
  • Contrarian mode: Z < −2 → panic selling overdone, mean reversion probability elevated
Applicable phases: TrendPhase · ExpansionPhase · TrendExhaustion
Momentum AccelerationZ-ScoreBull/Bear SwitchDivergence Detection
INDICATOR 02 Trend Strength
ADX
Average Directional Index

Without a trend, don’t trade trend positions.
ADX tells you whether it’s worth chasing now.

ADX is the purest “strength meter” among all indicators — it is direction-neutral, telling you only whether sufficient directional force currently exists in the market. Entering trend positions with a low ADX is wasting capital during consolidation.

ADX ValueMarket StateStrategy Guidance
0–20No Trend / ConsolidationAvoid trend positions; apply range-trading approach
20–25Trend EmergingMonitor +DI / −DI; prepare for entry
25–40Trend ConfirmedTrade with the trend; follow DI direction
40–60Strong TrendHold and add; avoid counter-trend positions
60+Extreme TrendWatch for trend exhaustion; prepare to take profit
+DI > −DI = Bullish / −DI > +DI = Bearish / ADX falling from peak = Trend-end warning
Trend StrengthConsolidation FilterDirection NeutralDI Crossover
INDICATOR 03 Volume Flow
VAD
Volume Accumulation Distribution · Cumulative Capital Flow

Price can deceive,
but the direction of volume cannot.

VAD measures the cumulative flow of capital over a period of time, revealing the true operational intent of “smart money.” When VAD rises persistently while price trades sideways, this is a strong hidden accumulation signal — institutional players are quietly building positions.

  • VAD slope continuously rising → bullish capital continuously accumulating
  • Price flat but VAD rising → hidden accumulation; bullish outlook
  • VAD reaching new high while price has not → volume leading price; potential breakout ahead
  • VAD cliff-drop decline → heavy distribution; top-side unloading warning
  • Slope reversal is a leading inflection signal — precedes price
VAD direction = true capital flow direction, reflects institutional intent ahead of price
Capital FlowAccumulation DetectionDistribution WarningLeading Indicator
INDICATOR 04 Volume Flow
VADZ
VAD Z-Score · Volume-Price Accumulation Normalized Strength

A trend doesn’t become dangerous from running too long,
but from running too fast.

VADZ is the normalized version of VAD, converting capital flow intensity into a Z-Score to enable cross-timeframe comparison of volume anomaly levels. Extreme Z-Score readings are often early warnings of trend overheating or an impending reversal.

  • Z > +2 → capital inflow at statistical extreme; overheating warning
  • Z continuously in 0–2 range → healthy volume; trend advancing normally
  • Z falling from peak → accumulation momentum weakening; trend approaching high
  • Z < −2 contrarian mode → mean reversion probability elevated after extreme distribution
  • Comparable across assets and timeframes due to standardization advantage
VADZ makes volume strength quantifiable, comparable, and threshold-triggerable
Z-ScoreAnomalous VolumeOverheating DetectionContrarian Signal
INDICATOR 05 Cost Structure
VWAP
Volume Weighted Average Price · Volume-Weighted Mean Cost

Price above or below VWAP represents entirely different market stances.
It is the institutional cost line — and the benchmark for trend assessment.

VWAP is the “true average cost weighted by volume,” representing the average holding price of institutional traders. Price trading persistently above VWAP indicates bullish control; persistently below indicates bearish control. DiffRatio quantifies the magnitude of this deviation.

  • Positive deviation continuously expanding → strong bullish momentum; trend healthy; institutions continue absorbing
  • Pullback to VWAP without break → optimal trend-following add-on point; support valid
  • Positive deviation beginning to converge → trend-weakening warning; institutions begin to take profit
  • Deviation > +1.5% → short-term overbought; institutions may execute mean-reversion operations
  • Price breaks below VWAP and rally fails → bearish structure confirmed
VWAP = institutional hidden defense line — above = bullish, below = bearish, pullback holds = prime trend-following entry
Institutional Cost LineDynamic SupportDeviation RatioMean Reversion
VWAP DIFFRATIO INTERPRETATION
> +1.5%
Short-term Overbought
+0.5 ~ +1.5%
Bullish Control
−0.5 ~ +0.5%
Neutral Balance
−1.5 ~ −0.5%
Bearish Control
< −1.5%
Short-term Oversold
STRATEGY RULE
✓ DiffRatio > 0 → Long direction
✓ DiffRatio < 0 → Short direction
✓ Pullback to VWAP holds → Trend-following entry
✗ Do not chase after extreme deviation
INDICATOR 06 Volume Confirmation
VolumeMA
Volume Moving Average Ratio · Volume Trend Ratio

A move without volume will not go far.
Use the average-volume lens to see through real vs. false breakouts.

VolumeMA-Ratio compares current volume against recent average volume to quantify the degree of “elevated volume,” incorporating directional interpretation. A genuine breakout must be accompanied by volume; a volume-lite breakout is the single largest source of false signals.

  • Ratio > 1.5 + price rising → strong volume-confirmed breakout; valid
  • Ratio near 1 + price rising → normal volume; trend healthy but no acceleration
  • Ratio < 0.7 + price rising → volume declining; high false-breakout risk; caution chasing
  • Ratio > 1.5 + price falling → strong selling; bearish conviction confirmed
  • Volume declining on decline → selling pressure insufficient; potential bounce ahead
Volume-up + Price-up = Healthy trend / Volume-down + Price-up = False breakout risk / Volume-down + Price-down = Selling exhaustion
Volume RatioBreakout ConfirmationFalse Breakout FilterDirectional Volume
INDICATOR 07 Order Flow
VolumeDelta
Volume Delta Z-Score · Active Buy/Sell Imbalance Normalized

Rising price does not mean someone is actually buying.
VolumeDelta sees through capital intent directly.

VolumeDelta = Active Buy Volume − Active Sell Volume. This is a more precise indicator than raw volume — it tells you directly who is driving the market. When normalized to Z-Score, it can detect statistically anomalous active-trading behavior.

  • VD-Z > +1.5 + price rising → genuine breakout; active buying strongly confirmed
  • VD-Z < 0 + price rising → false bullish; active selling distributing at highs
  • VD-Z > +2 + price stalling → DistributionDivergence distribution signal
  • VD-Z < −2 contrarian → extreme panic selling; mean-reversion bounce probability elevated
  • Consecutive positive Z-Score → buy side continuously dominant; trend confirmed
VD-Z > 0 + Price rising = Genuine breakout / VD-Z < 0 + Price rising = False-bullish distribution warning
Active Buy/SellReal vs. False BreakoutDistribution DetectionZ-Score
INDICATOR 08 Structure
Pivot Points
Pivot Points DiffRatio · Pivot Deviation Ratio

Price levels are where market consensus forms.
Pivot Points are the institutional hidden map.

Pivot points are calculated from the prior session’s high, low, and close, automatically marking the day’s key support and resistance levels. DiffRatio quantifies how far price has deviated from the pivot, telling you the current structural position of price.

  • DiffRatio > +50% → approaching or breaking R1; short-term overbought; watch for pullback
  • +25% ~ +50% → bullish control; trend biased strong; suitable for trend-following strategy
  • −25% ~ +25% → pivot zone oscillation; direction unclear; wait for resolution
  • DiffRatio < −50% → approaching or breaking S1; bearish control; trend biased weak
  • Volume-confirmed R1 breakout + positive DiffRatio → high-confidence bullish breakout signal
Resistance broken becomes support; support broken becomes resistance — DiffRatio identifies role-transition points
Support / ResistanceDeviation RatioBreakout ConfirmationOpening Benchmark
Four-Dimensional Cross Confirmation

Core Advantages of the Trend Direction Engine

Not a single indicator — four dimensions simultaneously asking the right questions.

⚡
Is Momentum Supporting?

MACD histogram direction and Z-score strength confirm the trend’s driving force. Expanding histogram = ample momentum; contracting histogram = decaying momentum, regardless of surface price behavior.

“Is there still propulsive force right now?”
📏
Is Strength Sufficient?

ADX > 25 is required before the market is truly in a trending state. Entering trend positions with low ADX — like forcing trend trades during consolidation — is one of the main sources of drawdown.

“Does the market have enough directionality?”
💰
Is Volume Cooperating?

Triple volume confirmation via VolumeDelta, VAD, and VolumeMA. Without volume support, any price breakout may be a false signal — volume-price divergence is the most common method used for institutional distribution.

“Is real buying (or selling) actually present?”
🗺
Is the Price Level Reasonable?

VWAP deviation ratio and Pivot Points confirm the structural validity of the entry location. Near key price levels is where institutional competition is most intense — and where the most meaningful entries exist.

“Is price in a structurally favorable position?”
Application Scenarios

Four Primary Application Scenarios

How the trend direction engine applies in different market environments.

📈

Trend Following — Entry with the Trend

Confirmation criteria: ADX > 25 + MACD-Z positive + VolumeMA elevated + VWAP positive deviation
Entry logic: Enter on pullback to VWAP without break; stop below VWAP or Pivot S1
Position management: Hold while ADX continues rising; consider reducing if ADX drops more than 15% from peak
Best pairing: Combine with reversal strategy to confirm TrendPhase; highest confidence when momentum and volume resonate
🚫

Filtering False Signals in Consolidation

Identification criteria: ADX < 20 + MACD histogram oscillating near zero + VolumeMA low
Response: Once BalancePhase is confirmed, prohibit activation of trend-following strategy modules
Wait-for criteria: ADX rises back above 25 + MACD-Z breakout + VolumeMA elevated
Core principle: “No trend, no trend trade” is the key to avoiding consecutive losses during consolidation
⚡

Breakout Validity Confirmation

Genuine breakout characteristics: VolumeMA-Ratio > 1.5 + VolumeDelta-Z > +1 + Pivot DiffRatio exceeds +50%
False breakout characteristics: Low-volume breakout + VD-Z still negative + ADX not rising in tandem = high-probability false breakout
Confirmation process: After breakout, wait 1–3 candles to confirm price holding; follow only when volume continues to cooperate
Risk-control setup: Stop at the structural price level preceding the breakout; cut quickly on false breakout confirmation
🔍

Trend Continuation vs. Trend Weakening

Continuation signals: MACD histogram continuously expanding + ADX rising + pullback to VWAP holds + VD-Z still positive
Weakening warning: MACD histogram contracting but still positive + ADX starting to decline + VWAP deviation converging
DistributionDivergence: Price making new high but MACD-Z peak declining + VD-Z turning negative = distribution-type divergence warning
Operational guidance: On weakening, progressively tighten take-profit; no adding to position; wait for TrendExhaustion → ReversalPhase confirmation

Core Analytical Philosophy: Let Indicators Become Your Direction Decision System

⚡ Momentum

MACD
Direction confirmed

×
📏 Strength

ADX
Strength sufficient

×
💰 Volume

VAD / VD
Volume supporting

×
🗺 Price Level

VWAP / Pivot
Position reasonable

→ All four dimensions satisfied simultaneously → only then is an entry worth taking

Don’t chase a move just because price is rising, and don’t short just because it is falling.
Indicators no longer serve merely as references — they become your direction decision system.

When all four dimensions point in the same direction simultaneously,
what you face is not a guess, but a high-probability structural opportunity.

Is now the right time to trade with the trend?
Let the system give you the answer.

System Navigation

All System Modules

01Introduction→ 02Features→ 03Thematic Strategy→ 04Trend Direction→ 05Reversal Strategy→ 06Volatility Risk→ 07Stop-Loss / Take-Profit→ 08Scaled Entry→ 09Scaled Exit→ 10Paper Trading→ 11Broker Setup→ 12Technical Education→