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Cumulative Volume Delta for Amibroker (AFL)

5 / 5 (Votes 1)
amibroker, oscillator, AFL, cumulative volume delta

I have coded this “cumulative volume delta” on my own, This is my first code in AFL. I am just testing it on AmiBroker through data feed. Please let me know if it is working properly. Please fix it as necessary, and mention the applied “FIX” in this post as reply. Thanks for your time. Regards.

Indicator / Formula

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Apply as oscillator through "Insert" option.

_SECTION_BEGIN("Cumulative Volume Delta");
upper_wick = IIf(C>O, H-C, H-O); 
lower_wick = IIf(C>O, O-L, C-L);
spread = (H-L);

body_length = (spread - (upper_wick-lower_wick));
percent_upper_wick = (upper_wick/spread);
percent_lower_wick = (lower_wick/spread);
percent_body_length = (body_length/spread);

x= (percent_body_length+(percent_upper_wick+percent_lower_wick)/2*Volume);
y= ((percent_upper_wick+percent_lower_wick)/2*Volume);
buying_volume = IIf(C>O, x, y);
selling_volume = IIf(C<O, x, y);

cumulation_length = Param("Cumulative Length", 14, 10, 100);
cumulative_buying_volume= EMA(buying_volume, cumulation_length);
cumulative_selling_volume = EMA(selling_volume, cumulation_length); 
cumulative_volume_delta = cumulative_buying_volume - cumulative_selling_volume;

cvd_color = IIf(cumulative_volume_delta > 0, colorGreen, colorRed);

PlotGrid(0, colorBlue, pattern=9, width=2, label=True);
Plot(cumulative_volume_delta, "Cumulative Volme Delta", color=cvd_color, styleHistogram | styleThick, width=3);


1. khiru

very helpful

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