16 July, 2016

Delta Scalper

Rationale & Trading Techniques

Delta Scalper provides real-time, tick-by-tick order flow analysis of changes in buying and selling dominance between the current price bar and the previous price bar. It can be used with Numbers Bars, bar, candlestick, Renko and Heiken Ashi charts and allows the trader to quickly see if a near-term change in price direction is likely based upon the relative weight of buying/selling compared to the previous price bar.

When a Delta Scalper condition is encountered in real-time, an indicator will appear below the current price bar if Delta has increased by the Buy Imbalance percentage set within the Study Settings. Conversely, if the current price bar’s Delta decreases by the Sell Imbalance percentage set within the Study Settings, an indicator will appear above the current price bar. The price range across which the condition is occurring is highlighted within the price bar.

As Delta changes in real-time, the indicators may well appear and disappear multiple times during the bar’s formation.

At the end of the price bar’s formation, if the Delta Scalper condition is in place, the indicator will remain above/below the price bar. Additionally, a Forward Projection Zone and Extension Lines may be drawn showing the range of prices at which the condition was first encountered through to the closing price of the bar to assist in determining low risk entry points and stop levels.


Examples

15 July 2016 – E-Mini S&P500

 

Shortly after the open in the 08:39:07 price bar, even though prices rose and the bar closed at its high, strong negative Delta was in place. The 09:01:56 bar’s Delta Scalper condition provided excellent confirmation of the selling pressure at a range of prices below the 08:39:07 price bar’s Delta Scalper price range.Between 09:04:22 and 09:12:17 there were multiple opportunities for low risk entries (with a hard stop just above the top of the 08:51:05 price bar) with strong profit potential as the market explored lower prices during the morning.


 

Delta Scalper Settings


Input Name Description
Delta Scalper Buy Imbalance % The positive percentage change between the current bar’s Delta and the previous bar’s Delta to determine if a buy Delta Scalper condition is encountered. This value can be displayed using the Delta Change indicator.
Delta Scalper Sell Imbalance % The negative percentage change between the current bar’s Delta and the previous bar’s Delta to determine if a sell Delta Scalper condition is encountered. This value can be displayed using the Delta Change indicator.
Delta Scalper Lookback Period If set to a value greater than 0, Delta Scalper indications will not be displayed unless the current bar’s high (or low) is greater than (or less than) or equal to the highest high (or lowest low) within the lookback period.
Extend Until Future Intersection? Select whether Extension Lines are enabled/disabled for the highest and lowest price levels where the Delta Scalper condition occurred within the current bar.
Extension Line Label Text indicator for the Extension Lines.
Delta Scalper Forward Projection Zone The number of bars forward from the bar in which the Delta Scalper condition occurred that a Forward Projection Zone will be drawn.
Symbol Offset (Ticks) Specifies the indicator’s display position above/below the current bar.
Volume Threshold basis Determines whether the Volume Threshold (see below) is calculated using the bar’s volume that matches the Delta direction or the bar’s Delta.
Volume Threshold Specifies the level of Volume or Delta (see above) that must be present in the bar in the direction of the Delta in order for the Delta Scalper condition to be indicated.

Indicator Subgraphs

Subgraph ID Subgraph Description
SG1 Delta Divergence Condition Evaluates to 1 when a positive Delta Scalper condition occurs, -1 when a negative Delta Scalper condition occurs, 0 otherwise.
SG2 Delta Scalper Positive Indicator The symbol used to indicate a positive Delta Scalper condition.
SG3 Delta Scalper Negative Indicator The symbol used to indicate a negative Delta Scalper condition.
SG4 Delta Scalper Zone High Price Use in conjunction with SG5 to highlight the highest and lowest price levels where the Delta Scalper condition occurred within the current bar. Follow this link for the Sierra Chart Notes about Top and Bottom Draw Style Pairs
SG5 Delta Scalper Zone Low Price Use in conjunction with SG4 to highlight the highest and lowest price levels where the Delta Scalper condition occurred within the current bar. Follow this link for the Sierra Chart Notes about Top and Bottom Draw Style Pairs
SG6 Delta Scalper High Extension Line Use to set the drawing properties for the Extension Line drawn from the Delta Scalper Zone high price. 
SG7 Delta Scalper Low Extension Line Use to set the drawing properties for the Extension Line drawn from the Delta Scalper Zone high price.