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Cumulative Delta Breakout (Python)
Published
Jul 19, 2025
1y ago
Total Downloads
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Install
dotnet add package StockSharp.Strategies.0054_Cumulative_Delta_Breakout.py --version 5.0.0
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README
Cumulative Delta Breakout (Python Version)
Cumulative Delta sums the difference between buy and sell volume. This strategy watches the running total and trades when it breaks above its highest value or below its lowest value within the lookback period.
A break of cumulative delta often precedes price follow-through. The strategy closes trades when delta crosses back through zero or a stop-loss level.
Details
- Entry Criteria: Cumulative delta exceeds highest or lowest value in lookback.
- Long/Short: Both directions.
- Exit Criteria: Delta crosses zero or stop.
- Stops: Yes.
- Default Values:
LookbackPeriod= 20CandleType= TimeSpan.FromMinutes(5)
- Filters:
- Category: Breakout
- Direction: Both
- Indicators: Cumulative Delta
- Stops: Yes
- Complexity: Intermediate
- Timeframe: Intraday
- Seasonality: No
- Neural Networks: No
- Divergence: No
- Risk Level: Medium
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