Cumulative Delta for each day

Max911

Member
Plot CVD = TotalSum(volume*(close-low)/(high-low))-(volume*(high-close)/(high-low));

Hi, when I plot this Cumulative Delta on a 10d 5m chart, I get the Total Sum of the 10 days. Instead of the TotalSum of full chart (eg 10d 5m), I need the TotalSum for each day. If I have to run a backtest, I don't want the TotalSum of the entire chart. I need the right signals for each day.

What should I add in the script so that it only accumulates each day separately even though I use a 10-day chart? How can i get this cumulative delta for each regular trading day? Maybe using aggregation.period, I don't know. Thx.
 

halcyonguy

Well-known member
VIP
Lifetime
Plot CVD = TotalSum(volume*(close-low)/(high-low))-(volume*(high-close)/(high-low));

Hi, when I plot this Cumulative Delta on a 10d 5m chart, I get the Total Sum of the 10 days. Instead of the TotalSum of full chart (eg 10d 5m), I need the TotalSum for each day. If I have to run a backtest, I don't want the TotalSum of the entire chart. I need the right signals for each day.

What should I add in the script so that it only accumulates each day separately even though I use a 10-day chart? How can i get this cumulative delta for each regular trading day? Maybe using aggregation.period, I don't know. Thx.

totalsum() , returns the sum of all values from the first bar to the current.
so this isn't the correct function to do what you want.
https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Math---Trig/TotalSum

if you want a count to reset each day, then you need a way to determine when a new day starts.
this is one way,

Code:
declare lower;
def diffday = GetDay() <> GetDay()[1];

def x = (volume*(close-low)/(high-low))-(volume*(high-close)/(high-low));

def y = if diffday then x
  else x + y[1];

Plot CVD = y;

-------------------------------------

here is another version, that draws a new line each day. it looks at a day counter and plots a line, depending of if day count is even or not.

Code:
declare lower;
def bn = barnumber();
def na = double.nan;

def diffday = GetDay() <> GetDay()[1];
def daycnt = if bn == 1 then 1 else if diffday then daycnt[1] + 1 else daycnt[1];
def dayeven = (daycnt % 2) == 0;

def x = (volume*(close-low)/(high-low))-(volume*(high-close)/(high-low));
def y = if diffday then x
  else x + y[1];

Plot CVD1 = if dayeven then y else na;
Plot CVD2 = if !dayeven then y else na;

2RZEfQw.jpg
 
Last edited:

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