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VolumeDivergence

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

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
  1. Validates pivot confirmation distance (MIN_BARS_BETWEEN_PIVOTS, MAX_BARS_BETWEEN_PIVOTS).
  2. Applies side config (BULLISH or BEARISH) and TP/SL/risk checks.
  3. 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.

Config Parameters (What Each One Means)​

Shared Runtime Parameters​

  • ENV — runtime mode.
  • INTERVAL — strategy timeframe.
  • MAKE_ORDERS — whether to execute orders.
  • BACKTEST_PRICE_MODE — backtest execution price mode.

AI/ML Parameters​

  • AI_ENABLED — enables AI enrichment/gating.
  • MIN_AI_QUALITY — minimum AI quality.
  • ML_ENABLED — enables ML enrichment.
  • ML_THRESHOLD — ML threshold in runtime policy.

Trading and Risk Parameters​

  • CLOSE_OPPOSITE_POSITIONS — close opposite position before new entry (hook-level).
  • FEE_PERCENT — fee in risk/reward calculations.
  • MAX_LOSS_VALUE — max loss value for quantity sizing.
  • MAX_CORRELATION — maximum allowed BTC correlation.

Divergence Model Parameters​

  • NORMALIZATION_LENGTH — window used to normalize volume.
  • PIVOT_LOOKBACK_LEFT — candles to the left for pivot confirmation.
  • PIVOT_LOOKBACK_RIGHT — candles to the right for pivot confirmation.
  • MIN_BARS_BETWEEN_PIVOTS — minimum distance between pivot confirmations.
  • MAX_BARS_BETWEEN_PIVOTS — maximum distance between pivot confirmations.

BULLISH Scenario Parameters​

  • BULLISH.enable — enable/disable bullish scenario.
  • BULLISH.direction — order direction.
  • BULLISH.TP — take-profit in percent.
  • BULLISH.SL — stop-loss in percent.
  • BULLISH.minRiskRatio — minimum allowed risk/reward.

BEARISH Scenario Parameters​

  • BEARISH.enable — enable/disable bearish scenario.
  • BEARISH.direction — order direction.
  • BEARISH.TP — take-profit in percent.
  • BEARISH.SL — stop-loss in percent.
  • BEARISH.minRiskRatio — minimum allowed risk/reward.

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