VCP probe 05 - cumulative vol delta

// This Pine Script® code is licensed under Apache-2.0
// SPDX-License-Identifier: Apache-2.0
// © PineForge contributors 2026
//
// VCP probe 05 — candle-position volume delta + cumulative sum
//
// Purpose: isolate the cumulative-volume-delta half of the VCP integration
// probe family. That family synthesises buy/sell volume from candle position
// with a tiny
// epsilon in the denominator (``high - low + 0.0001``) to avoid
// division-by-zero on doji bars, computes the per-bar delta, and
// then runs a 10-bar rolling ``math.sum`` on top. ``cumDelta`` then
// gates ``volumeBullish`` / ``volumeBearish`` (which feed the volume
// confluence). Two candidate sources of TV/engine drift here:
//   (1) the doji-epsilon arithmetic on bars where ``high == low``
//       (extremely rare on ETH 15m but possible);
//   (2) the rolling ``math.sum`` window precision over 10 bars.
//
// This probe routes a trivial entry/exit through ONLY the cumulative
// delta. Any TV/engine drift here is attributable to candle-position
// buy/sell synthesis and the 10-bar ``math.sum``, NOT to VCP's other
// filters.
//
// Trade shape: long-only, pyramiding=1. Enter long on cumDelta crossing
// ABOVE zero (was <= 0 last bar, > 0 this bar). Close on cumDelta
// crossing BELOW zero.
//
// TV setup: 15m chart, ETH-USDT-USDT, same window as
// data/ohlcv_ETH-USDT-USDT_15m.csv. Export the trade list to trades.csv
// in this folder.
//@version=6
strategy("VCP probe 05 - cumulative vol delta", shorttitle="VCP_p05",
     overlay=true, initial_capital=1000000,
     commission_type=strategy.commission.percent, commission_value=0,
     slippage=0, default_qty_type=strategy.fixed, default_qty_value=1,
     pyramiding=1, process_orders_on_close=false)

// ---- buy/sell volume — IDENTICAL to VCP (incl. 0.0001 epsilon) ----
float buyVolume  = close > open ? volume : volume * (close - low) / (high - low + 0.0001)
float sellVolume = close < open ? volume : volume * (high - close) / (high - low + 0.0001)
float volumeDelta = buyVolume - sellVolume

// ---- 10-bar cumulative delta (matches VCP line 309) ----------------
float cumDelta = math.sum(volumeDelta, 10)

bool crossUp   = cumDelta > 0 and cumDelta[1] <= 0
bool crossDown = cumDelta < 0 and cumDelta[1] >= 0

// ---- trivial entry / exit ------------------------------------------
if crossUp and strategy.position_size == 0
    strategy.entry("L", strategy.long, qty=1, comment="cumDelta cross-up")

if crossDown and strategy.position_size > 0
    strategy.close("L", comment="cumDelta cross-down exit")