Trend-Reset Cumulative Delta with Regime Bands and Z-Score Pivots

Summary

This indicator resets cumulative volume delta when price changes its trend regime. A 50-period EMA with bands two ATRs wide defines persistent bullish or bearish states: a close beyond the opposite band flips the state, while closes inside the channel leave it unchanged. Delta signs each bar’s full volume by whether its close is above or at or below its open, then accumulates within the current leg. The display combines a delta histogram, a regime boundary, leg summaries, and delta pivots projected onto price.

The author reports daily SPY history from 2019 to mid-2026, with 25 regime resets and 77 filtered pivots across 1,883 bars. These are descriptive figures, not evidence of trading profitability. The signed-volume measure is only a candle-body approximation of order flow, and doji bars count as negative. Pivot confirmation is fast but may repaint while its confirmation bar is open. The rolling Z-score can also mix observations across a reset, inflating early-leg readings; pivots well inside a leg are less exposed to that issue. The document presents this as a charting and regime-analysis tool, not a tested entry or exit system.

Key ideas

• A wide ATR channel around an EMA defines persistent regimes and resets cumulative delta when the regime flips.
• Each bar's volume is signed according to whether the close finishes above or at or below the open.
• The volume-delta series approximates pressure from candle direction and does not use trade-level order-flow data.
• Asymmetric local pivots are filtered by the delta's rolling Z-score before being marked on price.
• A Z-score window that crosses a reset can inflate early-leg pivot readings.
• The reported SPY counts describe indicator behavior and do not establish a profitable strategy.

Tags

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