Rolling Cumulative Volume Delta

The Rolling Cumulative Volume Delta indicator tracks the cumulative sum of buy and sell volume to reveal the underlying momentum and potential exhaustion in the market. By analyzing the relationship between price movement and volume flow, this tool helps traders identify when the volume supports a trend or when a divergence suggests a possible reversal.

Usage

The indicator can be used to confirm price trends or identify potential "fake-outs" through volume divergence.

• Trend Confirmation: If price is making higher highs and the CVD is also making higher highs, it suggests strong buying pressure supporting the move.
• Bearish Divergence: If the price is rising but the CVD is flat or falling, it indicates that the upward move is not backed by aggressive buying and may soon reverse.
• Bullish Divergence: If the price is falling but the CVD is rising, it suggests that sellers are losing control and aggressive buyers are stepping in.
• Scalping & Swing Trading: While effective on various timeframes, the tool is particularly useful on timeframes under 15 minutes for identifying intra-day momentum shifts.

Details

The script calculates the delta by comparing price action (Close vs. Open) or by utilizing high-accuracy footprint data when available.

• Delta Calculation: It determines if a bar's volume is predominantly bullish or bearish. If Close > Open, the volume is added; if Close < Open, it is subtracted.
• Footprint Integration: For supported symbols, the tool can use TradingView's footprint data for more precise buy/sell volume tracking.
• Reset Logic: Unlike standard CVD indicators that reset daily, this "Rolling" version allows users to choose between no reset (rolling forever), automatic resets based on the timeframe, or manual periodic resets.

Settings

Visuals

• Plot Style: Choose between 'Lines' for a simple trend view or 'Candles' to see the open, high, low, and close of the volume delta within a period.
• Candle Colors/Borders: Customize the colors for bullish and bearish delta movements.

Calculation Mode

• Use Footprint Data: Enables TradingView's footprint data for higher accuracy on supported symbols.
• Tick Size Mode: Set to 'Auto' for automatic scaling based on asset type or 'Manual' for custom precision.
• Tick Density Multiplier: Adjusts the size of price buckets for footprint calculations.
• Convert OKX Volume: Specific setting for OKX exchange to convert contract value into coin amounts.

Reset Options

• CVD Reset Period: Determines when the cumulative sum returns to zero (None, Auto, or Manual).
• Manual Reset Timeframe: Defines the specific timeframe for the manual reset (e.g., Daily, Weekly).

FAQ

How do I use the Rolling Cumulative Volume Delta on my charts?

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

What is the difference between Line and Candle mode?

Line mode displays the running total of volume delta, while Candle mode treats the volume delta like price data, showing the range of delta fluctuations within each bar.

Why is the CVD moving in the opposite direction of the price?

This is known as divergence. It typically indicates that the current price trend lacks volume conviction and may be nearing an exhaustion point or reversal.