Heavy Volume with Small/High Price Move (10x Volume)

Institutional Footprint Detection\n\nSTRATEGY DESCRIPTION:\nIdentifies stocks where the current 5-minute candle volume is more than 10 times the average volume from the previous trading day, indicating potential institutional participation.\n\nCORE LOGIC (Step by Step):\n\nSTEP 1: Get Previous Day Average Volume\navg_volume = Average volume of all candles from previous day.\n\nSTEP 2: Calculate Volume Multiple\nvolume_multiple = current_volume / avg_volume\n\nSTEP 3: Check Institutional Threshold\nIF volume_multiple > 10:\n Potential institutional activity detected.\n\nSTEP 4: Measure Price Movement\ncandle_range = high - low\nrange_pct = (candle_range / low) × 100\n\nIF volume_multiple > 10 AND range_pct < 1.0:\n → HIGH VOLUME + SMALL PRICE MOVE (Absorption)\nELSE:\n → HIGH VOLUME + LARGE PRICE MOVE (Directional)\n\nPURPOSE:\n- Institutional orders are typically much larger than retail orders.\n- Volume greater than 10x normal levels may indicate significant institutional participation.\n- High volume with a small price move suggests heavy buying or selling without major price impact.\n- High volume with a large price move indicates strong directional momentum.\n\nEXAMPLE:\nPrevious Day Avg Volume: 100,000 shares\nCurrent Candle Volume: 1,200,000 shares\nVolume Multiple = 12.0 (>10)\n\nCase 1: Candle Range: 0.8% (<1%) → HIGH VOLUME + SMALL PRICE MOVE\nCase 2: Candle Range: 2.5% (>1%) → HIGH VOLUME + LARGE PRICE MOVE\n\n[CHANGED: Volume threshold increased from 5x to 10x]