ZTP Delta Strength Indicator

Delta Strength Indicator

A New Concept

The ZoneTraderPro suite introduces a completely new concept called Delta Strength. The Delta Strength is not the delta of the bar. The formula is different and proprietary. For the first time you can now see visually how strong a particular move is.

The indicator now becomes even more unique because it utilizes Tape Reconstruction Filtering. Tape Reconstruction Filtering makes it possible to now view the order size and not the fill size. The size of the fill is completely useless information but that is all other indicators display. You can also see the relative volume. Relative volume is super important because when it increases, that is the definition of buyers and sellers meeting and trying to reverse price. In the picture above we see strong strength numbers to start the selloff, then the numbers become weaker. At the low, we see higher than normal volume, an Exhaustion signal, and extension zones created. That would be a great time to reverse the short to a long trade. Price is again reversed on high volume, extension zones and an exhaustion signal.

Delta Strength
Delta Strength on a 5 minute bar

We can now see things that have never been seen before. Here is  5 point reversal. First we have an up bar on extremely high volume.  Notice the Delta Strength negative number is greater than the positive number on an up bar.   The smaller time frame chart below is creating Exhaustion Sell signals and creating Extension Zones, the combination of which is super important.

Delta Strength

Here we have a strong fight between the bulls and the bears.  This fight is occurring on high volume, indicating a reversal.  Compare the numbers in the Delta Strength and take a guess who won.

Its also great to see the combination of order flow signals supporting the trade including a stopping ratio on high volume.

So Why Does Delta Strength Make such a Difference?

When ZoneTraderPro was created, it was created for price patterns.  But the one thing that could not be explained is why a market enters a strong trend.

Delta Strength changes that.  Now you can understand the strength behind a move.

The picture below is the order flow chart from this trade.

Trend Trade
Delta Strength

Tape Reconstruction Filtering

The Most Valuable Chart on Your Computer

The Delta Strength indicator itself is completely unique.  However,  ZoneTraderPro has added additional functionality to the indicator, making it the most powerful real time indicator in the order flow toolbox.

The indicator can reconstruct the tape and filter for large orders.  No other indicator does this.

Why is this important?  Lets say that 200 contracts are sold.  This is important information, however NinjaTrader does not report the size of the order, it reports the size of the fill.  So if the fill size is just between 1-5 contracts, you would never know this information that a 200 lot was sold.  By reconstructing the tape we now know the order size.

Look at the example chart on the right.  We are filtering for orders of 100 contracts or more.  Where there is a divergence, an up bar with a negative delta or a down bar with a positive delta, the bar is circled. 

This is calling the exact turning points in the market.  Look at the point values for these trades.

This occurs dozens of times per day.

Point and Figure Divergence Chart
Delta Strength Turning Points

Combine These Signals with Order Flow Patterns

The Order Flow Patterns are a great tool that no other software program offers.  But trading in real time is difficult when you have entered a position and immediately after you enter, you see an opposing order flow pattern.  This is common, because the market has two sides and there is an auction taking place between the buyers and the sellers.  Just because you took a position in the market the other side is not going to just give up.

That is why trading with the information from both the Delta Strength and Order Flow Patterns are important. 

The circles on these Order Flow charts coincide with the circles on the Point and Figure Delta Strength charts.


Combine These Signals with Price Patterns and Eliminate Trades that are High Risk and Low Reward

Now that we have a system that can identify market turning points, we turn to the ZoneTraderPro Price Patterns Chart on the right to determine when we have either a high risk trade or a low reward possibility.

There were 3 trades that had a ZoneTraderPro Price pattern and these 3 trades represented a potential profit of only 26 points.

You may have noticed on the charts that were were two trades that were winners, but not by very much.  This is because of the predefined ZoneTraderPro price pattern that we had entered.  The location of the high risk trade would have been a great place to exit a short position.  But it would not have been a good idea to enter a long, because the market is expected to only retrace to the minor resistance zone.  Which is exactly what it did.

The second trade has a low reward possibility because it is very common to just test the low and reverse with an exhaustion pattern.  Again, exactly what it did.  When you see the reversal from the minor resistance zone, you are prepared in advance for a long trade setup.  The same exact pattern occurs at the reversal to the short exhaustion trade.

This is what happens when you have a complete trading system that identifies patterns along with real time information.  This is putting it all together into one trading package.


Price Patterns

37 Point Move after Large Lot Trader Accumulates 7500 Contracts on 12/21/18

Delta Strength on the 500 tick chart
Delta Strength Captures a 500 Lot Trader Accumululating 7500 Contracts Before a 37 Point Market Move
37 Point move after accumulation
37 Point move after accumulation

Then this trader bought more during the day

12/21/18 Mid day
12/21/18 Mid Day Buying

And then he bought more on the close

12/21/18 Close
12/21/18 Close

On Chrismas Eve when the market is crashing and the news is telling us we are all doomed, he buys more at the close. Look at the price he was buying at. 2350

Christmas Eve Close
Christmas Eve Close

Those first lots were profitable by the close on Friday, but the later lots made MILLIONS. 4500 lots from Christmas Eve are now over 150 points in the GREEN

Christmas Week

Tape Reconstruction Filtering with the Cumulative Volume and Delta Strength Indicator

In this video we look at the updates made to the Cumulative Volume and Delta Strength Indicators and see how they worked in today’s market.

Tape Reconstruction Filtering with the Cumulative Volume and Delta Strength Indicator - Part 2

In this video we look at a live market while it is rading to illustrate the tape reconstruction features of the software when using the ZoneTraderPro Delta Strength and Cumulative Delta indicators. Tape reconstruction is an advanced feature not found in other software and is essential for looking at the order size of a trade, not the fill size which is commonly reported.

ZoneTraderPro captures a 500 lot Trader Making 15 Buys Before a 35 Point Move

In this video we look at the ZoneTraderPro Delta Strength and Cumulative Delta indicators capturing a large trader making a significant accumulation of at least 7500 contracts over a 40 minute period, before the market rises a staggering 35 points. But this trader wasn’t alone. The ZoneTraderPro Cumulative Delta indicator was picking up strong divergences in trader that were making trades of 25 contracts or more.