Cumulative Volume Delta with Intrabar Precision and Configurable Resets
Summary
This indicator estimates volume delta from lower-timeframe bars, classifying volume as upward or downward from price action, then optionally accumulates the result from a chosen reset point. Reset choices include higher-timeframe boundaries, a fixed time, the regular-session open, the first visible chart bar, or changes in a selected trend indicator. It can also display raw per-bar delta, use percentage delta, and show divergences and session highs and lows.
The key tradeoff is intrabar precision versus historical chart coverage: requesting more intrabars can refine calculations but leaves fewer chart bars available for analysis. The script reports coverage and average intrabars, and warns when the latter is very small. Its estimates depend on vendor volume data and the price-action method used to classify volume; they are not direct measurements of buyer-initiated and seller-initiated trades. The document provides implementation details and configuration guidance, but no performance evidence or validated trading rules.
Key ideas
- The indicator estimates directional volume from lower-timeframe price action and can accumulate delta from configurable reset points.
- More intrabars per chart bar can improve calculation detail while reducing the amount of chart history analyzed.
- Reset options include time boundaries, session opens, the first visible bar, and trend changes.
- Volume availability and intrabar coverage constrain the reliability and extent of the results.
- Delta divergences are displayed as chart cues, but the document does not establish them as profitable signals.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.