Cumulative Delta (Zeiierman)

2019년 12월 15일

█ Overview
Cumulative Delta (Zeiierman) transforms raw volume and price data into a continuous buying and selling pressure narrative. Instead of treating volume as a static total, it accumulates the net delta (buying vs. selling activity) bar by bar, revealing whether real demand is supporting or contradicting price movement. This tool bridges microstructure-based order flow concepts with high-level market trend modeling, offering a refined look beneath traditional candles.

The indicator visualizes cumulative trade imbalance over time, layering it with adaptive confirmation lines, impulse recognition, and trend filtration. The result is a refined map of volume–price interaction that identifies hidden strength, fading momentum, or early accumulation before visible reversals occur.

This tool is designed for multi-context use — intraday scalping, swing confirmations, or structural bias analysis — offering a precise view of participation flow beneath price behavior.

⚪ Why This One Is Unique
Unlike conventional delta indicators, this version incorporates adaptive smoothing, multi-source delta modeling, and contextual confirmation layers that dynamically adjust based on both volume and price displacement. Its framework is powered by a volume re-normalization algorithm, combined with multi-dimensional weighted mapping between price flow, volume imbalance, and trend inertia.

█ Main feature: Cumulative Delta Candle
The Cumulative Delta Candles visualize how each bar’s internal buying vs. selling pressure builds over time. They represent volume-weighted displacement vectors of market aggression — when buyers dominate, the delta accumulates upward; when sellers dominate, the cumulative curve decays. Signal and confirmation overlays transform this raw delta motion into a structured view of market conviction, helping traders identify early inflows, exhaustion points, or continuation pressure.


█ How to Use

⚪ Trend Following
The Cumulative Delta is an effective tool for identifying who controls the market trend. When delta candles remain above the midline, buyers are in control. Conversely, when delta candles stay below the midline, sellers dominate.

Strong trends are identified when delta candles consistently cluster near the upper or lower levels, indicating sustained directional pressure in that trend’s favor.


⚪ Fading Momentum
The delta can also be used to detect waning momentum. If delta candles are above the midline but turn red with a declining slope, it signals that the current bullish move is losing strength.
If delta candles are below the midline but turn green with an upward slope, it suggests that bearish momentum is weakening.


⚪ Pullback Trading
To identify pullbacks, combine the overall trend of the Cumulative Delta candles with the Signal Line. Set the Signal Line length to 2 to create a fast-reacting delta line suitable for pullback detection.

Bullish Pullback
When the Cumulative Delta remains above the midline or near the upper level, and the Signal Line briefly dips below the midline or touches the lower level before sharply reversing upward, it signals a bullish pullback within an ongoing uptrend — a potential buy opportunity.

Bearish Pullback
When the Cumulative Delta stays below the midline or near the lower level, and the Signal Line briefly rises above the midline or touches the upper level before sharply turning downward, it indicates a bearish pullback within a downtrend — a potential sell opportunity.


⚪ Momentum Trading
Impulse Dots highlight sudden bursts of momentum in either direction.
When they appear around key breakout levels, they may signal the start of a strong move or breakout. However, if impulses appear after an extended trend, they often indicate potential exhaustion or reversal.

Always evaluate impulse signals within the broader market context to confirm their validity.


⚪ Up-Tick and Down-Tick Signals
The Up-Tick Signal confirms a possible shift or strengthening in bullish order flow. It frequently appears near local swing lows, suggesting increased buying pressure.


The Down-Tick Signal confirms potential bearish order flow. It often forms around local swing highs, signaling growing selling pressure.


⚪ Volume Signals
Volume Signals are derived from delta activity to help traders identify volume-based trend entries. They occur only in confirmed trends and serve as trend continuation triggers.

Bullish Volume Signal: When triggered, enter at candle close and use the built-in trailing stop to manage risk. Exit the trade when the Signal Line crosses below the midline again.


Bearish Volume Signal: When triggered, enter at candle close and use the trailing stop to follow the move downward. Exit the trade when the Signal Line crosses above the midline again.


█ How It Works

⚪ Delta Accumulation
Each candle’s internal buy/sell pressure is estimated using a price–volume ratio model. The resulting delta is accumulated over time to form the Cumulative Delta Curve, showing whether buyers or sellers are in sustained control. Users can select Estimated, Volume Data, or Enhanced modes to align the delta calculation with their preferred market source.

• Calculation: Applies Cumulative Delta Integration — a continuous summation of signed volume over time with conditional price weighting. This produces a running measure of net buying or selling activity that evolves dynamically with market flow.
  

⚪ Signal & Confirmation Lines
The Signal Line reacts faster, acting as a short-term direction probe. The Confirmation Line lags slightly, validating the persistence of the delta trend. Crossovers between these lines frequently precede structural price rotations.

• Calculation: Implements Multi-Phase Weighted Moving Functions, layering WMA/EMA structures to control smoothness and minimize phase lag between the fast and slow components.
  

⚪ Impulse & Momentum Bursts
The Impulse Engine detects statistically significant bursts in delta energy — high-magnitude expansions that often precede breakouts or reversals.
Each impulse is colored according to directional bias, helping visualize moments of strong conviction or exhaustion.

• Calculation: Uses Impulse Response Functions, nonlinear filters that measure delta acceleration (Δ²δ/Δt²) to isolate momentum shifts and highlight transient bursts in order flow intensity.
  

⚪ Trend Layer & Filter
A built-in trend filtration algorithm ensures that bullish and bearish signals only appear when aligned with the dominant trend. The Trend Tolerance setting controls how much short-term noise the filter allows before declaring a trend change — effectively balancing agility vs. stability.

• Calculation: Applies Trend Vector Regression, estimating directional slope and deviation using log-based least squares modeling to extract the dominant directional vector from noisy flow data.
  

⚪ VWAP–EMD Trend Core
The main trend estimation engine fuses Volume-Weighted Average Price (VWAP) logic with an Empirical Mode Decomposition (EMD) smoother, creating a non-linear, adaptive response curve. This enhances directional clarity while preserving microstructural sensitivity to shifts in flow balance.

• Calculation: Constructs a VWAP–EMD Composite Curve, merging volumetric centroids with intrinsic mode decomposition for adaptive mean tracking and dynamic equilibrium modeling.
  

⚪ Trailing Stop & Risk Structure
Once a volume-based entry signal appears, a dynamic trailing stop is automatically drawn. It adapts to volatility and follows price movement, helping visualize optimal exit zones, stop hits, and locked profit regions.

█ Any Alert Function Call
The Any Alert Function Call system transforms the indicator into a programmable alert engine:

• Combine multiple triggers (Crossover, Trend Flip, Impulse, Tick, TSL Hit, Volume Signal).
  
• Detect slope, midline, or same-direction confirmations.
  
• Customize messages with placeholders like {{ticker}}, {{close}}, {{volume}}, and {{time}}.
  
• Build complex conditional alerts — such as Bull Volume Signal → TSL Hit — without editing the code.
  

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Disclaimer

The content provided in my scripts, indicators, ideas, algorithms, and systems is for educational and informational purposes only. It does not constitute financial advice, investment recommendations, or a solicitation to buy or sell any financial instruments. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.

All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.

2020년 7월 8일

릴리즈 노트

Major improvements. --> Wicks can now be enabled!

Wick shows more clearly the difference between buyer and seller. The wick is green when there are more purchases than sales, and the wick is red if there are more sales than purchases.

• If the green wick is longer than the red one there is a buying pressure.
  
• If the red wick is longer than the green one there is a selling pressure.
  

Best
Zeiierman

2020년 8월 6일

릴리즈 노트

Major Improvements!

• Short signals are now added. These can also be seen as "Take profit areas" if you are long the market.
  

Clarification: This is not the real version of the cumulative delta. This is my interpretation of it.

Best

2020년 8월 9일

릴리즈 노트

Minor Update

Best

2020년 8월 19일

릴리즈 노트

Major Improvements!

• *Bullish Impulse signals added (Green circles)
  *Bearish Impulse signals added (Red circles)
  
  Impulse signals can either be the start of a trend move or a sign of reversal.
  

• *Market Change signals added (Blue circles)
  
  Market changes signals give a sign when the market structure is about to change.
  

• *Heads-up top signals added (Red triangles)
  *Heads- up bottom signals added (Green triangles)
  
  Heads-Up signals give early signs of when the market might top- or bottom out.
  

Best

2020년 8월 22일

릴리즈 노트

Minor update!

Best

2020년 10월 6일

릴리즈 노트

Major improvements!

• Trend Cloud Added
  
• Trend Signal with Alerts Added
  
• Improved dashboard
  
• Optimization of the input settings layout
  
• Improved computing performances
  

2020년 12월 28일

릴리즈 노트

Improvements!

• Performance improvements
  

2021년 2월 26일

릴리즈 노트

Improvements!

• Performance Improvements
  

2021년 6월 15일

릴리즈 노트

Improvements!

• Color enhancement, now easier to see the candlesticks.
  
• Improvements of the Bullish & Bearish impulse signals.
  
• Market Change feature removed.
  
• Wick feature removed.
  
• Tooltips added.
  

2021년 6월 16일

릴리즈 노트

Improvements!

• Real-Time Volume Data can be used instead of Estimated Delta.
  

2021년 6월 16일

릴리즈 노트

Minor changes

2021년 6월 17일

릴리즈 노트

Improvements!

• Alerts Added
  

2021년 6월 22일

릴리즈 노트

Improvements!

• Cumulative Delta Crossings Alerts Added
  

2023년 10월 26일

릴리즈 노트

• Performance Improvements
  
• Any Alert Function Call Added
  

2023년 10월 27일

릴리즈 노트

Minor change

2024년 2월 27일

릴리즈 노트

Up/Down Tick Signals and Alerts Added

2024년 2월 29일

릴리즈 노트

Minor Update

11월 6일

릴리즈 노트

• Added volume-based signals, which can be enabled from the settings panel.
  
• Minor design improvements implemented.