Cumulative Volume Delta

The Cumulative Volume Delta indicator tracks the cumulative difference between buying and selling pressure to help traders identify market sentiment and potential trend reversals.

Usage

The Cumulative Volume Delta (CVD) provides a visual representation of the net volume flow over time. It can be used to identify trend exhaustion or confirmation by observing the relationship between price action and the CVD line.

• Trend Confirmation: When price is making higher highs and the CVD is also making higher highs, it suggests strong buying pressure supporting the trend.
• Divergence: If price reaches a new high while the CVD fails to do so, it may indicate weakening buying pressure and a potential reversal.
• EMA Crossovers: The indicator includes an Exponential Moving Average (EMA) of the CVD. When the CVD line crosses above the EMA, it signals a bullish shift in momentum, while a cross below indicates a bearish shift.

Details

This script implements a synthetic version of Cumulative Volume Delta. Since standard Pine Script does not provide direct access to historical tick-level Bid/Ask volume (intrabar data), this indicator estimates buying and selling pressure using candle body length and total volume.

The calculation determines pressure based on the percentage change of the candle:

• If the close is higher than the open, buying pressure is calculated as: Volume * |(Open / Close) - 1|.
• If the close is lower than the open, selling pressure is calculated as: Volume * |(Open / Close) - 1|.

The resulting net difference is then accumulated over time to create the CVD line.

Settings

• Symbol: Allows the user to select the specific asset from which volume and price data are fetched.
• EMA Length: Sets the period for the Exponential Moving Average applied to the CVD line, used for trend smoothing and crossover signals.

FAQ

How do I interpret the CVD crossing the EMA?

A crossover of the CVD line above its EMA suggests that recent volume-weighted buying pressure is increasing relative to the average, often seen as a bullish signal. Conversely, a crossunder suggests increasing selling pressure.

Is this the same as exchange-provided CVD?

No, this is an estimation based on candle geometry and volume. Standard CVD usually requires tick-level data or "Order Flow" data to separate volume into market buys and market sells exactly.

How can I access the Cumulative Volume Delta?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.