AS BMDivReversal

Category: Automated Strategy · For NinjaTrader 8 · Price/Delta Divergence Reversal · Futures (ES, NQ, GC, CL, MES, MNQ, MGC, MCL)

A reversal strategy that enters a trade when price makes a new extreme (swing high or low) but cumulative delta fails to confirm it—indicating a divergence between price and order flow.

How it works: The engine is ported directly from the BMOrderFlowEdge indicator. It detects divergence by comparing the cumulative delta of the current swing against the previous swing of the same type (bullish or bearish), using configurable minimum price and delta movements to filter out noise. Optional confirmation filters include: an absorption filter (extreme delta with compressed price range—signaling that a market side was "absorbed" without moving the price), an RSI filter on the signal bar, and a confluence filter based on levels (Keltner channels and a custom VWAP with standard deviation bands—built internally to avoid reliance on the client's Order Flow+ license). The stop is calculated based on the swing (not ATR, by explicit request), while the take profit is set via fixed ticks or an ATR multiple.

Trader style: Futures traders who already trade price/volume divergence setups and want to automate the logic, with the option to add technical level confluence.

Technical requirements: NinjaTrader 8. Uses a secondary tick series for historical delta; it is backtestable without Tick Replay, though the backtest window is limited to the tick history available in NT8 (it does not cover full years). Licensing: Quarterly, Semiannual, Annual, Lifetime.

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