Kinetic Delta Lockout System Strategy

Title

Kinetic Delta Lockout System

Version and compatibility

• Pine Script v6 used
  
• All request.security calls use lookahead off
  
• Strategy execution uses standard candles only
  
• Signals can update while a bar is forming and settle on bar close. For conservative workflows select alerts on bar close
  

Summary in one paragraph
Kinetic Delta Lockout System is a session scoped intraday strategy for ES and NQ on 10 minute charts that trades only when a lower timeframe cumulative volume delta regime flip aligns with a volatility spread filter. It focuses on catching directional bursts while explicitly limiting activity after a losing trade. The core novelty is the fusion of anchored lower timeframe CVD regime shifts with an ATR percent spread gate, wrapped in a strict daily loss lockout to reduce churn and slippage during noisy conditions. Add it to a clean chart, keep the session windows consistent, and treat the signals as a structured decision framework rather than a forecast.

Scope and intent

• Markets. Optimized for ES and NQ index futures. Designed for liquid index futures with reliable volume
  
• Timeframes. Intraday, with the default demo optimized for 10 minute charts
  
• Default demo used in the publication. ES1! on 10 minute
  
• Purpose. Capture intraday regime shifts in volume flow and volatility context while avoiding repeated trades after a loss
  
• Limits. This is a strategy. Orders are simulated by the TradingView engine on standard candles only
  

Originality and usefulness
This strategy is not a simple combination of common indicators. It uses a single regime variable, anchored cumulative volume delta built from lower timeframe signed volume, and triggers only when that regime crosses through zero. It then applies a volatility context gate defined as the difference between fast and slow ATR percent, which is a portable unit across related index futures. Finally, it adds a behavioral risk control: a hard stop trading rule after the first losing trade of the day. This combination addresses a specific failure mode: repeated flip trades during intraday chop, where costs and slippage can dominate.

• Unique concept or fusion. Anchored lower timeframe CVD regime flips plus ATR percent spread gating plus daily stop after first losing trade
  
• What failure mode it addresses. False starts and repeated flips during chop, especially after early day losses
  
• Testability. Each gate is exposed in Inputs so users can isolate what is driving each entry
  
• Portable yardstick. ATR is converted to percent of price so the volatility filter scales across ES and NQ
  

Method overview in plain language

Base measures

• Range basis. True Range smoothed with two ATR windows, a slow baseline and a fast baseline
  
• Yardstick. ATR percent equals ATR divided by price in percent. The filter uses the spread between fast ATR percent and slow ATR percent
  

Components

• Anchored CVD. The script aggregates signed volume from a lower timeframe into a cumulative series and resets it on the chosen reset basis. Signed volume is positive when the bar is classified as buy side and negative otherwise
  
• CVD smoothing. A simple moving average of anchored CVD defines the regime line used for cross events
  
• ATR percent spread. The strategy requires fast ATR percent to exceed slow ATR percent, indicating short term expansion relative to baseline. Longs also require the spread to remain below a cap
  
• Session windows. Entries are only allowed inside the entry window. Positions are forcibly flattened inside the force flat window
  
• Daily loss lockout. After the first losing trade of the day, the strategy stops taking new entries until the next day
  

Fusion rule

• Session gate must be ON and force flat must be OFF
  
• Daily lockout must be OFF
  
• ATR percent spread must be positive. Longs additionally require spread below the long cap
  
• CVD regime must produce a valid cross event and directional confirmations must align
  

Signal rule

• Long suggestion appears when the smoothed CVD crosses above zero, the candle closes above its open, the anchored CVD is rising versus the prior bar, and the ATR spread is positive but below the long cap
  
• Short suggestion appears when the smoothed CVD crosses below zero, the anchored CVD is below its smoothing line and falling versus the prior bar, and the ATR spread is positive
  
• No new entries occur after the first losing trade of the day when the lockout is enabled
  

What you will see on the chart

• Entry markers. Strategy entries labeled A for longs and B for shorts
  
• Exit behavior. Positions are closed when force flat is active, when outside the entry window, after lockout, or when an opposite signal occurs while in a position
  
• Optional diagnostic lines. Anchored CVD and its smoothing line can be shown to confirm regime flips
  

Protected publication note
This strategy is published as a protected script. The implementation details and source code are intentionally hidden, while the full methodology, logic structure, inputs, and usage guidelines are disclosed in this description. The purpose of protection is to preserve the integrity of the execution logic and prevent accidental modification or misuse of internal mechanisms, not to obscure how the strategy works or how it should be evaluated. Users are encouraged to assess the behavior through the visible signals, documented rules, and Strategy Tester results rather than relying on source inspection.

Inputs with guidance

Setup

• Reset basis (empty = chart). Defines when the anchored CVD resets. Blank uses the chart timeframe. Higher anchors reduce resets and can reduce flip frequency
  
• Entry window. Times when new positions are allowed
  
• Force flat window. Times when all positions are closed and no new entries occur
  
• Clock. Timezone used for session windows and the daily lockout day boundary
  

Logic

• Smoothing. SMA length applied to anchored CVD. Typical range 3 to 20. Higher reduces sensitivity and trade frequency
  
• ATR slow. Baseline ATR length. Typical range 10 to 30
  
• ATR fast. Short term ATR length. Typical range 2 to 10
  
• Long cap. Upper bound for the ATR spread for long entries. Typical range 0.05 to 0.20
  

Risk

• Stop after first red trade. If enabled, once a losing trade closes, the strategy stops taking new entries until the next day
  

Usage recipes

Intraday trend focus for ES and NQ 10 minute

• Reset basis. Chart
  
• Smoothing. 5
  
• Entry window. 09:45 to 12:45 New York time
  
• Force flat window. 13:30 to 16:00 New York time
  
• ATR slow 14, ATR fast 3, Long cap 0.10
  
• Stop after first red trade ON
  

More selective regime focus

• Increase Smoothing to 8 or 10 to reduce flip entries
  
• Reduce Long cap to tighten long entries during volatility expansion
  
• Keep Stop after first red trade ON for better chop control
  

Broader session participation

• Extend Entry window earlier or later, but keep Force flat near the close
  
• Keep volatility settings unchanged first, then adjust only one parameter at a time
  

Properties visible in this publication

• Initial capital 25000
  
• Base currency Default
  
• Default order size 1 contract fixed
  
• Pyramiding 0
  
• Commission 3 USD per contract
  
• Slippage 5 ticks
  
• Process orders on close ON
  
• Recalculate after order is filled ON
  
• Calc on every tick OFF
  
• Bar magnifier OFF
  
• Using standard OHLC OFF
  
• Strategy uses standard candles only
  
• All security calls use lookahead off
  

Realism and responsible publication

• This script is for education and research only. Not investment advice
  
• Past results never guarantee future outcomes
  
• Commission and slippage vary by venue and broker. Backtests are approximations
  
• Signals can change intrabar and settle on bar close. Use on bar close alerts for conservative workflows
  

Honest limitations and failure modes

• Intraday chop can create multiple regime flips. Smoothing and the daily lockout reduce but do not eliminate this risk
  
• Economic releases can invalidate volatility assumptions and increase slippage beyond modeled values
  
• Session windows depend on timezone and exchange calendar. Verify windows when changing instrument or venue
  
• If you apply this to symbols with unreliable volume, the CVD component can degrade
  
• Backtests do not include all real world frictions such as partial fills, queue priority, or variable spreads
  

Open source reuse and credits
None

Legal
Education and research only. Not investment advice. You are responsible for your decisions. Test on historical data and in simulation before any live use. Use realistic costs.

Strategy notice
Orders are simulated by the TradingView engine on standard candles. request.security uses lookahead off everywhere. Non standard chart types are not supported for strategies.

Entries and exits

• Entry logic. Long when smoothed anchored CVD crosses above zero with bullish candle confirmation, rising anchored CVD, and positive ATR spread below the long cap. Short when smoothed anchored CVD crosses below zero with anchored CVD below its smoother and falling, and positive ATR spread
  
• Exit logic. Close positions during the force flat window, outside the entry window, after daily lockout, or when an opposite signal appears while holding a position
  
• Risk model. Daily lockout after the first losing trade when enabled. No fixed stop or target is included by default
  

Position sizing

• Fixed size. Default is 1 contract. Adjust based on your risk tolerance and venue constraints
  

Dataset and sample size

• Default test window. Feb 2024 to Feb 2026 on ES1! 10 minute
  
• Trade count. Depends on session settings and costs. The published settings generate more than 100 trades for statistical relevance
  

Account and sizing assumptions used in this publication
For the examples shown in this publication, the strategy is configured with an initial capital of 25,000 to approximate a small intraday futures account under typical day trading margin assumptions. Position sizing is fixed to the minimum of one contract to keep exposure simple and conservative and to avoid compounding effects that can distort backtest interpretation. These settings are used only to standardize the simulation and make results easier to compare across sessions and market conditions. They do not imply suitability for any specific account size or trading arrangement, and users should adapt capital and sizing to their own risk constraints and broker requirements.