Cumulative Delta Candles for Reading Estimated Buying and Selling Pressure

Summary

The document explains an indicator that estimates buying and selling pressure by dividing each bar’s volume according to where its close falls between the high and low. It subtracts estimated selling volume from estimated buying volume, then displays the result as candles. A bar closing at its high contributes entirely to buying pressure, one closing at its low contributes entirely to selling pressure, and a bar with no range contributes zero delta.

It describes three ways to aggregate the delta: a running total, a rolling sum, and an exponential average. Suggested readings include watching candle direction, comparing delta highs and lows with price, and using the rolling modes’ zero line to assess pressure over a chosen window. The examples apply these readings to breakout confirmation, divergence, trend pullbacks, and short-term filtering. The document gives no performance tests or evidence that these signals are profitable. Its main caveat is that close location is only a proxy for trade aggressor data; feeds without reliable volume, including some currency feeds, can make the output uninformative or merely indicative.

Key ideas

• The indicator estimates buying and selling volume from each bar’s close location within its range.
• Its delta is the estimated buying volume minus the estimated selling volume.
• A running total, rolling sum, and exponential average provide different aggregation horizons.
• Comparing cumulative delta with price may reveal whether a price move has pressure confirmation or divergence.
• The estimate is not actual bid-and-ask volume, and its usefulness depends on the quality of volume data.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.