Indicators Description

1. Component Deconstruction¶

This section deconstructs the individual mathematical and logical components that form the foundation of the script’s analysis engine.

Core Delta Calculation (f_delta)¶

• Function: A foundational, reusable function to calculate basic volume delta for a given timeframe (_tf).

• Configuration:

  • Price Source: Open (o) and Close (c) of the candle.

  • Volume Source: volume (v).

  • Lookahead: barmerge.lookahead_on. This is a critical configuration choice, intentionally causing the function to use data from the still-forming higher timeframe candle. This provides real-time data at the cost of repainting.

• Mathematical Logic:

  1. If close > open, delta is +volume.

  2. If close < open, delta is -volume.

  3. If close == open (a doji), it uses the previous candle’s close (c[1]) as a tie-breaker:

     • If c > c[1] (price ticked up), delta is +volume.

     • If c < c[1] (price ticked down), delta is -volume.

     • Otherwise, delta is 0.0.

Intrabar Cumulative Volume Delta (CVD)¶

• Function: A non-standard, custom calculation that aggregates buying and selling pressure from all available lower-timeframe (tf_low) candles within the current primary chart candle. This provides a more granular view of order flow than the standard f_delta.

• Configuration:

  • Data Source: Arrays of OHLCV data from tf_low via request.security_lower_tf.

• Functional Modification: Instead of simple up/down volume, it employs a price-weighted volume split for each sub-candle.

  • Buy Volume (_sBuy): _iv * (_ic - _il) / _sp where _iv is sub-candle volume, _ic is close, _il is low, and _sp is the high-low spread. This attributes a portion of the volume to buyers based on how high the candle closed within its range.

  • Sell Volume (_sSell): _iv * (_ih - _ic) / _sp. This attributes the remaining volume to sellers.

  • Total CVD (ibCVD_total): The sum of all _sBuy minus the sum of all _sSell across all sub-candles.

  • Normalized CVD (ibCVD_norm): ibCVD_total / ibVol_total. This scales the net CVD into a range of -1.0 to +1.0, representing the net pressure as a percentage of total intrabar volume.

Delta Exhaustion Score¶

• Function: Detects potential trend exhaustion by analyzing the pattern of buying and selling pressure over a series of candles. It operates in two modes.

• Configuration:

  • Lookback (Intrabar): All available sub-candles (_subDeltaArr).

  • Lookback (Rolling): Last 6 closed primary candles (_rollDelta).

  • Threshold: exhaustFlips (default: 3) - the minimum number of times delta must change sign (e.g., from positive to negative).

• Functional Modification: This is a hybrid system.

  • Mode Selection: It uses the intrabar array (_useIntrabar = _sdSize >= 3) if at least 3 sub-candles are available; otherwise, it falls back to the rolling array of closed primary candles.

  • Flip Counting (f_countFlips): Iterates through the selected array, incrementing a counter (_fc) each time the sign of the delta value differs from the previous non-zero delta’s sign.

  • Magnitude Decline (_md): A secondary condition that checks if the absolute delta of the most recent period is less than 70% of the prior period’s delta, signaling fading momentum.

  • Trigger: deltaExhausted is true if the flip count meets exhaustFlips OR if the flip count is at least 2 and magnitude is declining.

Absorption Detection¶

• Function: Identifies candles where high volume fails to produce a significant price move, suggesting large passive orders are “absorbing” aggressive market participants.

• Configuration:

  • Volume SMA Length: absorbSmaLen (default: 20 bars).

  • Volume Multiplier Threshold: absorbThreshMult (default: 1.3). Intrabar volume must be at least 1.3x its 20-period SMA.

  • Delta/Volume Ratio: absorbDeltaPct (default: 0.25). The absolute normalized delta (|ibCVD_total| / ibVol_total) must be less than 25%.

• Mathematical Logic: The absorbed boolean is true only when:

  1. ibVol_total / ta.sma(ibVol_total, 20) >= 1.3 (High Volume Condition)

  2. math.abs(ibCVD_total) / ibVol_total < 0.25 (Flat Delta Condition)

  • Accumulation vs. Distribution: The script further classifies this by comparing the tf_high close to its open. Absorption on a down-close (_c5 <= openH) is labeled absorbAccum; on an up-close (_c5 >= openH) it’s absorbDist.

Intrabar Momentum Slope¶

• Function: Measures the acceleration or deceleration of delta within the current candle.

• Configuration:

  • Lookback: slopeLen (default: 3) sub-candles.

  • Minimum Change: slopeMinChg (default: 0.0).

• Mathematical Logic:

  • ibMomSlope is calculated as the delta of the newest sub-candle minus the delta of the sub-candle slopeLen periods ago. This is a simplified linear slope calculation.

  • ibMomAccel (Acceleration) is true if the slope is positive (and greater than slopeMinChg) and the overall ibCVD_total is also positive.

  • ibMomDecel (Deceleration) is true if the slope is negative while ibCVD_total is positive (momentum fading) or if the slope is positive while ibCVD_total is negative (selling pressure is easing).

Point of Control (POC) & VWAP¶

• Intrabar POC:

  • Logic: Iterates through all tf_low sub-candles and identifies the one with the highest volume. The POC price is the midpoint (high + low) / 2 of that specific sub-candle.

  • Rolling POC: A 5-period simple moving average of the intrabar POC price from the last 5 closed primary candles. This provides a smoothed, lagging value area.

• Session VWAP:

  • Configuration: Anchor can be UTC midnight or Rolling 24h.

  • UTC Midnight Logic: A standard cumulative VWAP calculation (sum(tp*v)/sum(v)) that resets its sums (_vwapCumTV, _vwapCumVol) when the UTC day changes. tp is (h+l+c)/3.

  • Rolling 24h Logic: A non-standard implementation that uses ta.sma to create a volume-weighted moving average. It calculates ta.sma(tp * volume, _barsIn24h) and divides it by ta.sma(volume, _barsIn24h).

Other Standard & Modified Indicators¶

• DV Flow (Delta Volume): A standard calculation that splits a candle’s volume based on where it closes within its range. dvRatio represents the proportion of buying pressure.

• Hidden Signal: A specific application of DV Flow. It’s a divergence trigger.

  • hiddenBuy: dvRatio > 0.55 (over 55% buy pressure) on a red candle.

  • hiddenSell: dvRatio < 0.45 (less than 45% buy pressure, i.e., >55% sell pressure) on a green candle.

• OBV Divergence: A custom 3-bar divergence check. It compares the raw change in OBV (_obv5 - _obv5[3]) directly against the raw change in price (_c5 - _c5[3]). This is a non-standard, direct slope comparison, avoiding issues with cumulative OBV values.

• Trend Filter:

  • Configuration: Uses a tf_trend (default: 60m) timeframe.

  • Logic: Calculates the delta on the trend timeframe (deltaTrend) and compares it to its own long-period SMA (ta.sma(deltaTrend, _trend_len)). trend_bull is true if delta is above its SMA.

2. Logic Layering & Confluence¶

The script’s engine moves from raw data to a final signal through a sophisticated, multi-stage filtering and weighting process.

1. The Primary Score: Weighted Delta¶

The initial signal strength is a weighted sum of delta from two timeframes.

• Base Weights: User-defined wHigh (65%) and wLow (35%).

• Dynamic Adjustment: These weights are not static. They are multiplied by a volatility factor (_fH, _fL) which is the ratio of the current delta to its long-term SMA, clamped between 0.5 and 1.5. This amplifies the weight during high-delta moves and reduces it during quiet periods.

• Confluence Boosts: Two additional components are added to this score:

  1. Hidden Signal Boost (wtDV_bull/wtDV_bear): If a hiddenBuy or hiddenSell signal is present, a fixed bonus of 15% of the total base weight is added to the corresponding bull or bear score.

  2. Intrabar CVD Boost (wtCVD_bull/wtCVD_bear): If the normalized intrabar CVD (ibCVD_norm) is strong ( > 0.2 or < -0.2), a proportional bonus of up to 10% of the total base weight is added.

2. Hierarchical Filtering: The Veto System¶

After the initial score (bull_weight, bear_weight) is calculated, it is passed through a series of “Gatekeeper” conditions that can invalidate a signal.

• Gatekeeper 1: Threshold (thresh)

  • The calculated weight must first exceed a minimum threshold, defined as sigThresh % (default 40%) of the total possible weight. A signal with a low weighted score is filtered out immediately.

• Gatekeeper 2: DV Veto (dvVetoBuy/dvVetoSell)

  • Interaction: This checks for a direct Divergence.

  • Logic: A BUY signal is vetoed if there is a hiddenSell signal active and the bull weight is not overwhelmingly strong (i.e., less than 1.2x the threshold). This prevents entering a long trade when the underlying volume flow of the primary candle is bearish.

• Gatekeeper 3: Absorption Veto (absVetoBuy/absVetoSell)

  • Interaction: This is another Divergence filter.

  • Logic: A BUY signal is vetoed if absorbDist (Distribution) is detected. This acts as a powerful gatekeeper, preventing trades into a move that is being actively faded by large passive sellers.

3. The Secondary Engines: Reversal & Prediction¶

These systems run in parallel to the primary execution engine, providing context and alternative signals.

• Reversal Engine:

  • Initial Trigger: Looks for a Convergence of two conditions: conflict (MTF deltas opposing) and near_open (price close to the candle’s open).

  • Confluence Check: It then counts how many of five additional confirming conditions are met (_c1 to _c5_rev), which include DV Flow, Hidden Signals, OBV Divergence, Volume Spikes, and Intrabar CVD confirmation. A signal is only considered “ideal” (revIdeal) if it meets at least 3 of these 5 conditions.

• Composite Confidence Engine:

  • Interaction: This is a pure Confluence model. It synthesizes nine different metrics into a single score (0-100%).

  • Logic: It takes the primary signal’s weight (_wScore), intrabar CVD (_cvdScore), trend alignment (_trendS), and other factors, applies a specific weight to each (e.g., Delta weight is 25%, CVD is 20%), and sums them. This provides a holistic measure of signal quality, layering momentum, trend, and exhaustion factors.

• Next Candle Prediction Engine:

  • Interaction: A weighted voting system where seven factors contribute positively (for UP) or negatively (for DOWN).

  • Hierarchical Weighting: Factors are not equal. Hidden Signal has the highest impact (weight 25), while OBV Divergence is lowest (weight 7). The final score is then multiplied by the candlePhase, giving more authority to predictions made late in the candle’s life.

3. The Execution Engine¶

This section defines the precise boolean logic for the script’s primary trade triggers.

Primary Momentum Signal (final_buy / final_sell)¶

• Boolean Logic for final_buy:

  1. bull_weight >= ( (wHigh + wLow) * sigThresh / 100 )

     • The total calculated bullish score must meet the user-defined threshold.

  2. AND deltaH > 0

     • The main timeframe delta must be positive (a non-negotiable condition).

  3. AND NOT dvVetoBuy

     • The signal is not vetoed by an opposing Hidden Signal.

  4. AND NOT absVetoBuy

     • The signal is not vetoed by the detection of Distribution (absorption).

• Boolean Logic for final_sell:

  1. bear_weight >= ( (wHigh + wLow) * sigThresh / 100 )

     • The total calculated bearish score must meet the user-defined threshold.

  2. AND deltaH < 0

     • The main timeframe delta must be negative.

  3. AND NOT dvVetoSell

     • The signal is not vetoed by an opposing Hidden Signal.

  4. AND NOT absVetoSell

     • The signal is not vetoed by the detection of Accumulation (absorption).

Confirmed Reversal Signal (revEntry_up_confirmed / revEntry_down_confirmed)¶

• Boolean Logic for revEntry_up_confirmed:

  1. reversal_up is true, which requires:

     • (deltaH < 0 AND deltaL > 0) (Conflicting MTF delta)

     • AND math.abs(close - openH) / openH * 100 < revThresh (Price is close to the open)

  2. AND revIdeal is true, which requires:

     • The near_open condition from above.

     • AND _condCount >= 3 (At least 3 of the 5 confluence conditions are met).

  3. AND _c2 is true.

     • This is the hiddenBuy signal. It is a mandatory component for a confirmed reversal entry, acting as the final gatekeeper.

Mathematical Constants & Their Influence¶

• sigThresh (default: 40): Controls the sensitivity of the primary momentum signal. A lower value allows weaker delta scores to generate a signal, increasing frequency but potentially reducing the signal-to-noise ratio. A higher value demands stronger delta confluence, resulting in fewer but higher-conviction signals.

• revThresh (default: 0.1): Defines the “near open” zone for reversals as a percentage of the open price. A smaller value (e.g., 0.05) requires price to have moved very little, targeting tight consolidations or failed breakouts. A larger value (e.g., 0.2) allows for reversals after a more significant initial move.

• absorbThreshMult (default: 1.3): Governs the sensitivity of the Absorption veto. A lower value (e.g., 1.1) will trigger the absorption logic on smaller volume increases, making the veto more frequent. A higher value (e.g., 2.0) requires a massive volume spike, reserving the veto for rare, high-impact events.

• exhaustFlips (default: 3): Sets the threshold for detecting delta exhaustion. A lower number (e.g., 2) will flag exhaustion more readily, potentially acting as an early warning system. A higher number (e.g., 4) requires more definitive back-and-forth action, confirming a true “battle” before signaling exhaustion.

• timePressureMin (default: 80): Determines when “Next Candle” and other time-sensitive signals become “live”. At 80%, a signal on a 5-minute chart becomes active in the last minute. This constant directly controls the trade-off between getting an early signal and having more complete data from the current candle.