ZTP Cumulative Delta Indicator

Cumulative Delta Example
ZTP Cumulative Delta

The ZoneTraderPro suite is now complete with an enhanced Cumulative Delta indicator.  Unlike other cumulative delta indicators, including the one that is packaged with NinjaTrader Volumetric bars, the ZoneTraderPro Cumulative Delta indicator uses a reconstructed tape feature that allows you to filter for large orders.

Any cumulative delta indicator can show divergence, but no other cumulative delta indicator can show you filtered divergence.

As you can see from the chart on the left, the small retail buyers were the buyers as the market traded up, and the large lot traders were the sellers at the same time.  Only with ZoneTraderPro would you know not to be a retail buyer, but a seller in this situation.

Also note what the cumulative delta calculation is telling you.the retail crowd was net long by 6000 contracts, but the large lot traders were net short -4000 contracts.  Going into the exhaustion pattern, who was right?

ZTP Cumulative Delta Divergence Indicator

The ZoneTraderPro Cumulative Delta Indicator now has divergence built in making it a more powerful trading tool.  Have youu seen divergence indicators that are based on momentum, RSI, MACD?  What good are these?  Why put divergence on a 50 year old indicator that is not based on real time information?

A divergence indicator is only valuable if it is based on real time information, and not other indicators.  The indicator allows you to filter for order size.  This way you have the ability to see only what the large lot traders are doing.

The chart on the right illustrates how powerful the indicator is.  You can see two things on the chart where the trend short trades occurred.  The first is obviously the divergence.  The second is what the cumulative delta is telling us also.  As the market traded down and large lot traders sold, we can also see lower cumulative deltas from the previous highs.  This is represented by the red line I drew on the cumulative delta itself.

Divergence Setup
ZTP Divergence

Multiple Divergences

Multiple Divergences
ZTP Cumulative Delta

One of the interesting things about this indicator is that you can have  multiple divergences from key points.

The most interesting is the first bearish divergence that occurred as price rose into the exhaustion trade.  The large lot traders were sellers as price rose.

Multiple Divergences
Multiple Divergences

Note how after the successful exhaustion pattern, that we traded into a broken reversal pattern.  It is interesting how the pattern prints at the apex low of the exhaustion trade, further preparing you for the broken reversal pattern short trade.

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