Cumulative Volume Delta Divergence with Pivot Entries and Fixed Exits
Summary
This strategy estimates buying and selling pressure from each bar’s price range, allocates traded volume between bullish and bearish pressure, and cumulatively sums their difference into a Cumulative Volume Delta series. It can optionally compare that series with a moving average. Divergences are identified by comparing confirmed CVD pivots with price pivots: regular bullish divergence pairs a lower price low with a higher CVD low, while regular bearish divergence pairs a higher price high with a lower CVD high. Hidden bullish and bearish patterns use the converse pivot relationships.
Bullish divergence signals open longs and bearish divergence signals open shorts; opposite signals also close the existing direction. The script includes adjustable pivot lookbacks and a fixed percentage stop and profit target, with defaults shown in the code. However, pivot confirmation requires bars after the pivot, so signals are delayed relative to the turning point. The volume-pressure calculation is an estimate derived from bar data, and the document supplies no performance results or broader risk analysis. Position sizing and pyramiding settings are also configurable elements of the backtest.
Key ideas
- The script estimates bar-level buy and sell pressure from price ranges and volume, then cumulatively sums the delta.
- Regular divergence compares price and CVD pivot directions to flag possible reversals.
- Hidden divergence uses the opposite pivot relationships and is also included in the entry signals.
- Pivot detection waits for right-side bars, so the signal appears after the pivot forms.
- Fixed percentage stops and targets are included, but the document reports no validation results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.