Order Flow Signals with Stacked Imbalances and Delta

Summary

This strategy combines several order flow concepts to identify possible trend starts and reversals. It calculates Delta by assigning volume to rising or falling candles, identifies volume concentration and buy/sell imbalances, and looks for consecutive imbalances that may act as support or resistance. It also describes low-volume reversal signals and volume expansion after consolidation as a possible breakout cue. Entries combine these signals with the direction and magnitude of Delta.

Risk controls use tick-based stop and profit distances and percentage-based position sizing. The document includes example script logic, but its order flow data is only approximated from candle direction and volume rather than measured from real trade-level data. That limits how accurately it can represent activity at individual price levels. It also cautions that results may depend on liquidity, execution speed, market conditions, and parameter choices, and recommends forward validation to reduce overfitting. No performance evidence is provided.

Key ideas

• The strategy estimates Delta from volume on rising and falling candles, which is a simplified proxy for active buying and selling.
• Consecutive same-direction imbalances are treated as potential support or resistance zones.
• Entries combine imbalance structure, low-volume reversal patterns, and Delta expansion, or use expansion after consolidation.
• Stops and targets are based on minimum price ticks, with position sizing intended to limit trade risk.
• The candle-based proxy, parameter sensitivity, liquidity, and execution delay limit the reliability of the signals.

Tags

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