VolumeDivergence

VolumeDivergence is a built-in TypeScript reversal strategy from @tradejs/strategy-volume-divergence that compares price pivots with normalized volume pivots.

Visual overview

The illustrations are schematic, not market data. Exact thresholds, confirmation rules, and risk parameters come from the active strategy config.

Entry Logic

1. Builds normalized volume series (0..100) over NORMALIZATION_LENGTH.
2. Confirms pivot highs on normalized volume (PIVOT_LOOKBACK_LEFT, PIVOT_LOOKBACK_RIGHT).
3. Compares current and previous pivot:

• bullish divergence: price makes lower low while normalized volume makes higher low
• bearish divergence: price makes higher high while normalized volume makes lower high

4. Validates pivot confirmation distance (MIN_BARS_BETWEEN_PIVOTS, MAX_BARS_BETWEEN_PIVOTS).
5. Applies side config (BULLISH or BEARISH) and TP/SL/risk checks.
6. Applies correlation guard.

Exits

The strategy opens only when there is no active position. core.ts does not perform active exit management; closing is handled by TP/SL and runtime.

Configuration keys

Keys are grouped by the part of the strategy they control. A value of 0 or false disables the corresponding optional filter unless stated otherwise.

Group	Keys	Purpose
Runtime	ENV, INTERVAL, MAKE_ORDERS, CLOSE_OPPOSITE_POSITIONS, BACKTEST_PRICE_MODE	Select the runtime mode, candle interval, order behavior, and backtest fill price.
AI and ML	AI_ENABLED, AI_MODE, MIN_AI_QUALITY, ML_ENABLED, ML_THRESHOLD	Control optional AI and ML enrichment and their acceptance thresholds.
Risk	RISK_FEE_RATE, RISK_SLIPPAGE_BPS, RISK_MARKET_IMPACT_BPS, MAX_LOSS_VALUE, VOLUME_DIVERGENCE_STOP_ATR_BUFFER_MULT, VOLUME_DIVERGENCE_STOP_BUFFER_PCT, VOLUME_DIVERGENCE_TARGET_R_MULT	Estimate one-way fees, slippage, and market impact, size positions, and set the stop buffers and target R multiple.
Shared indicators	MA_FAST, MA_MEDIUM, MA_SLOW, OBV_SMA, ATR, ATR_PCT_SHORT, ATR_PCT_LONG, BB, BB_STD, MACD_FAST, MACD_SLOW, MACD_SIGNAL, LEVEL_LOOKBACK, LEVEL_DELAY	Set the lookback periods used by market context and signal filters.
Pivot search	NORMALIZATION_LENGTH, PIVOT_LOOKBACK_LEFT, PIVOT_LOOKBACK_RIGHT, MIN_BARS_BETWEEN_PIVOTS, MAX_BARS_BETWEEN_PIVOTS	Normalize volume and define how pivots are confirmed and spaced.
Entry quality	ALLOW_STRUCTURE_ADVANCE_ENTRY, MIN_DIVERGENCE_AMPLITUDE_ATR_RATIO, MIN_RECLAIM_PCT, MIN_CONFIRMATION_CANDLE_QUALITY	Choose whether early structural entries are allowed and set the global divergence, reclaim, and candle-quality thresholds.
Strength cap	VOLUME_DIVERGENCE_MAX_STRENGTH, VOLUME_DIVERGENCE_MAX_STRENGTH_LONG, VOLUME_DIVERGENCE_MAX_STRENGTH_SHORT	Reject signals above the global or directional divergence-strength limit.
Direction policy	BULLISH.*, BEARISH.*	Enable each direction and set its minimum risk/reward, divergence amplitude, reclaim, confirmation quality, retest requirement, tolerance, age, and maximum confirmation distance.

Indicators Used (What Each One Means)

Used in Strategy Logic

• normalizedVolume (derived series) — volume normalized to local rolling max.
• volume pivot high — pivot confirmation on normalized volume.
• price pivot high/low — pivot prices used for divergence checks.
• deltaAtPivot — proxy candle delta at pivot (volume * bodyBias).
• correlation — BTC correlation guard.

Signal Payload

figures:

• divergence line between two pivots
• pivot points

additionalIndicators:

• divergenceKind
• normalized volume at current/previous pivot
• deltaAtPivot
• pivot timestamps/indices/price levels

Example Runtime Config

{
  "ENV": "CRON",
  "INTERVAL": "15",
  "NORMALIZATION_LENGTH": 1000,
  "PIVOT_LOOKBACK_LEFT": 21,
  "PIVOT_LOOKBACK_RIGHT": 5,
  "MIN_BARS_BETWEEN_PIVOTS": 5,
  "MAX_BARS_BETWEEN_PIVOTS": 60,
  "BULLISH": {
    "enable": true,
    "direction": "LONG",
    "TP": 4,
    "SL": 1.3,
    "minRiskRatio": 2
  },
  "BEARISH": {
    "enable": true,
    "direction": "SHORT",
    "TP": 4,
    "SL": 1.3,
    "minRiskRatio": 2
  }
}

Run

npx @tradejs/cli backtest --user root --config VolumeDivergence:base --connector bybit --timeframe 15
npx @tradejs/cli signals --user root --timeframe 15