Mapping Estimated Volume Delta Across Price Levels and Time
Summary
This indicator estimates buying and selling pressure within chart bars using lower-timeframe price and volume data. It assigns each lower-timeframe bar a direction from its relationship between open and close, falling back to the previous close when they match. The estimated signed volume is distributed evenly across the price rows covered by that bar, then accumulated over time with exponential decay.
The display marks positive and negative concentrations as colored horizontal stripes. Their visibility and intensity depend on relative delta magnitude and its share of accumulated activity; settings control the price resolution, persistence, strength threshold, and appearance. An optional touch filter hides rows crossed by chart-bar prices. The document provides implementation details but no empirical test of whether the patterns predict returns. Delta is inferred from bar direction rather than trade-level aggressor data, so the map is an approximation whose detail depends on lower-timeframe availability and chosen settings.
Key ideas
- Lower-timeframe bars are used to estimate signed volume inside each chart bar.
- Each bar’s estimated volume is spread evenly across the price rows it spans.
- Exponential decay lets earlier delta contribute to the displayed map while gradually losing influence.
- Stripe strength combines relative magnitude and directional dominance, with settings to filter weaker activity.
- The inferred delta is an approximation and the document gives no evidence of trading performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.