Cumulative Delta Breakout Strategy Diagram
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This diagram builds a directional-volume delta from finished one-minute candles. A rolling Sum(100) supplies the breakout measure, SMA(20) filters entries, and the opposite delta threshold closes an open position.
Strategy Overview
- Each finished candle is separated into Open, Close, and TotalVolume values.
- Bullish and unchanged candles contribute positive volume, while bearish candles contribute negative volume.
- Sum(100) aggregates the latest one hundred directional-volume values, and SMA(20) follows closing prices; both emit formed values only.
- Position checks allow an entry only while flat and route an opposite delta event to the appropriate reducing exit.
- All four actions are one-unit market operations, and Strategy trades sends every fill to the chart.
Entry and Exit Rules
- Long entry: When the rolling delta is at least +2, Close is above SMA(20), and the position is flat, buy one unit at market.
- Short entry: When the rolling delta is at most -2, Close is below SMA(20), and the position is flat, sell one unit at market.
- Exit: Reduce a long by one unit when delta reaches -2 or lower, and reduce a short by one unit when delta reaches +2 or higher. The exit gates do not use the SMA. The diagram has no stop-loss or take-profit.
Parameters
| Parameter | Default | Description |
|---|---|---|
| Candles Series | 00:01:00 | Finished one-minute candles used for every calculation and decision. |
| Delta Sum Length | 100 | Number of directional-volume values retained by the rolling Sum indicator. |
| Delta Sum Source | Not set | No alternate indicator input field is selected; the directional-volume formula is connected directly. |
| SMA Length | 20 | Number of closing prices in the entry-filter moving average. |
| SMA Source | Not set | No alternate indicator input field is selected; Candle close is connected directly. |
| Delta Threshold | 2 | Absolute delta level used as +2 for bullish events and -2 for bearish events. |
| Order Volume | 1 | Fixed market volume for entries and reducing exits. |
Diagram Details
- The directional-volume formula is positive when Close is greater than or equal to Open, so a doji contributes +TotalVolume; only Close below Open changes the sign.
- The delta is a rolling one-hundred-candle sum: each new value replaces the oldest value after the window is full.
- The positive and negative thresholds are produced from one exposed value, with a formula applying the negative sign to the bearish branch.
- A final evaluation pulse reaches the four AND gates after candle fields, indicators, comparisons, and the position snapshot have been refreshed.
- There is no bar-based waiting period. Flat, long, and short position gates prevent adding to a position and select the valid action for each candle.
- The chart receives six streams: candles, rolling delta, positive threshold, negative threshold, SMA(20), and all entry and exit fills.
Usage
Import the .json file into Designer, run it in the backtester on historical data, then adjust the parameters or the blocks themselves to fit your instrument before trading it live.