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Cumulative Volume Delta Backtest


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Cumulative Volume Delta Backtest

  #1 (permalink)
 Geonss 
Athens
 
Experience: Intermediate
Platform: TradeStation
Trading: ES, NQ
Posts: 23 since Nov 2015
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Hi! I want to open a subject about Cumulative Volume Delta and backtest and other things related to this. Some thoughts/questions for beginning:

1. Can anyone have completing a trading system based on CVD? If yes, can you provide more info about this?
2. Do you know if any data vendor or broker offers historical data for CVD? I mean more than intraday... And how far can I load back?
3. Can anyone had worked on a system like Opening Range Breakout, but on CVD and not to price?

Thanks and I am waiting for opinions!

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  #2 (permalink)
 edgefirst 
Las Cruces, NM
 
Experience: Advanced
Platform: Tradestation, MC, NT
Broker: TradeStation, IB
Trading: Liquid futures contracts
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Geonss View Post
Hi! I want to open a subject about Cumulative Volume Delta and backtest and other things related to this. Some thoughts/questions for beginning:

1. Can anyone have completing a trading system based on CVD? If yes, can you provide more info about this?
2. Do you know if any data vendor or broker offers historical data for CVD? I mean more than intraday... And how far can I load back?
3. Can anyone had worked on a system like Opening Range Breakout, but on CVD and not to price?

Thanks and I am waiting for opinions!

Can only comment on No. 2: I think you can generate CVD from tick data if you use Sierra Chart. They provide tick data maybe back to 2011, if I remember correctly.

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Last Updated on September 9, 2020


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