Liquidation Cascade Detector - BasicThe Liquidation Cascade Detector identifies high-probability reversal entries by detecting the microstructure footprint of forced liquidations in futures, equities, crypto, and forex markets. When leveraged positions are stopped out in clusters, they create a recognizable sequence of price action, volume, and volatility signatures. This indicator scores the confluence of those signatures in real time — for both long and short setups simultaneously — and fires a signal only when the combined evidence exceeds a threshold.
This runs four of the seven analysis modules found in the full LCD system, fires up to five signals per regular trading session, and displays an aggregate confluence score. No external libraries, no dependencies — a single self-contained script.
Designed primarily for micro futures (MNQ, MGC, MES) on intraday timeframes (1m–15m), though the scoring system works on any liquid instrument with reliable volume data. Works on all TradingView plans.
## How It Works
The indicator evaluates four independent analysis modules, computes a directional confluence score for each side, and gates output through a cooldown and session cap before firing.
**Volume Analysis**
Classifies current volume relative to a rolling average. When volume exceeds a configurable spike multiplier, it indicates potential forced liquidation activity — the kind of participation surge that occurs when clustered stop-outs feed into the order book simultaneously. The volume score ramps linearly from normal conditions through spike territory. This module contributes context to both directions, since liquidation events produce volume regardless of which side is being forced out.
**Keltner Channel Exhaustion**
Measures price extension beyond dynamically calculated channel bands. The Keltner midline uses an EMA basis with ATR-scaled bands. When price pushes beyond the outer band, the indicator scores the degree of overextension — how far past the band in ATR terms. Greater extension produces a higher score, reflecting conditions where price has been pushed to statistical extremes consistent with forced-exit overshoot. The scoring is continuous, not binary: a slight breach scores low, while a 2-ATR overshoot receives the full module weight. Upper band exhaustion feeds into the short score; lower band exhaustion feeds into the long score.
**Price Action Structure**
Detects two liquidation-consistent candle patterns. The primary pattern is the liquidation bar: a candle with a disproportionately large wick and a small body on elevated volume, indicating price was shoved through a level by forced exits and then reclaimed by organic flow. Configurable wick-to-range and body-to-range ratios control detection sensitivity. The secondary pattern is the engulfing bar on volume — a full-range candle that absorbs the prior bar on above-average participation. Liquidation bars receive the full module score; engulfing bars receive a partial score reflecting their lower specificity as a liquidation signature.
**Higher Timeframe Trend**
Pulls a single EMA from a configurable higher timeframe and reads its slope direction. Signals aligned with the higher timeframe trend receive the full trend bonus. Counter-trend signals receive zero from this module but are not blocked — they simply need stronger confluence from the other three modules to reach the threshold. Counter-trend signals that do fire are visually dimmed on the chart so you can distinguish them at a glance.
**Scoring**
Each module contributes to a weighted confluence score computed independently for long and short directions on every bar. Volume (20 points max), Keltner exhaustion (30 points max), price action (25 points max), and higher timeframe trend (25 points max) sum to a 0–100 scale. A minimum-modules gate ensures at least two modules contribute meaningfully — a single strong reading in isolation cannot fire a signal. If both directions exceed the threshold simultaneously, only the higher-scoring direction fires.
**Signal Gating**
A fixed cooldown prevents signal clustering: after a signal fires, subsequent signals in the same direction are suppressed for a configurable number of bars. A per-session signal cap limits total signals during regular trading hours. When a signal is detected but suppressed by the session cap, a small marker appears at the bottom of the chart so you know the system saw something. Signals only fire during NY cash session AKA RTH (9:30 AM – 4:00 PM ET).
Functionality not in this version:
- **CVD Divergence Analysis** — Session-aware cumulative volume delta with structural divergence detection and momentum shift analysis. Detects when price is making new extremes but order flow is not confirming, which is one of the strongest signals of impending liquidation exhaustion.
- **PCA Breadth** — Cross-asset market internals aggregation (
TICK
,
ADD
,
V
VOLD
, VIX term structure) into a composite reading of internal market health. Identifies whether conditions favor longs, shorts, or neither.
- **ETF Correlation** — Monitors the relationship between the futures contract and its corresponding ETF, detecting alignment and divergence in relative momentum.
- **MFP Regime Classification** — A macro flow pressure model monitoring six asset classes (equity index futures, dollar, volatility, gold, crude, yield curve) to classify the current environment from Strong Risk-On to Strong Risk-Off. Adjusts signal thresholds, provides position sizing suggestions, and enables emergency exit alerts on adverse regime shifts.
- **Adaptive Thresholds** — Signal threshold adjusts dynamically based on current volatility regime rather than using a fixed value.
- **Full Pattern Library** — Additional liquidation patterns including sweep-reclaim, stop-hunt, and multi-bar absorption with quality scoring.
- **Five Presets** — Pre-tuned parameter sets for aggressive scalping, conservative scalping, intraday trend-fade, mean-reversion, and swing trading.
- **Unlimited signals per session** with adaptive cooldown that responds to market conditions.
## Display
Signal markers plot on the chart as directional triangles. Color intensity indicates trend alignment: bright signals are with-trend, dimmed signals are counter-trend. A small dot marker appears at the chart bottom when a qualifying signal was suppressed by the session cap.
Keltner channel bands are plotted as an overlay (toggle in settings). A score gauge in the bottom-right corner shows the leading direction, aggregate score, threshold, session signal count, and current session state. An info table (position configurable) provides a compact dashboard with scores for both directions, HTF trend, volume state, Keltner status, and signal budget.
Session awareness is built into the display: the RTH open price plots as a dashed horizontal line, and the opening range (9:30–10:00 ET) is highlighted with a subtle background shade.
## Settings
All parameters are adjustable:
- **Volume Lookback / Spike Multiplier** — Controls rolling average length and the threshold for classifying a volume bar as a spike. Default 20-bar lookback, 1.8x multiplier.
- **Keltner Length / ATR Multiple / ATR Length** — Controls channel width and sensitivity. Default 20-bar EMA, 2.0 ATR multiple, 14-bar ATR.
- **Liquidation Wick Ratio / Max Body Ratio** — Controls how strict the liquidation bar pattern detection is. Higher wick ratio and lower body ratio = fewer but higher-quality detections.
- **Trend Timeframe / Trend EMA Length** — Controls the higher timeframe trend overlay. Default 15-minute timeframe with 21-period EMA.
- **Signal Threshold** — Minimum confluence score to fire. Lower = more signals with lower average quality. Default 45.
- **Cooldown Bars** — Minimum spacing between signals. Default 10 bars.
- **Signals per Session** — Maximum signals during RTH. Default 5.
- **Display toggles** — Individually toggle Keltner bands, session markers, info table, and score gauge.
## Usage Notes
This is a scoring and alerting tool, not a strategy. It identifies conditions consistent with forced liquidation events and scores setup quality. It does not determine position size, stop placement, or profit targets. Not financial advice.
Signals are most reliable on liquid futures during active trading hours. The opening range and power hour tend to produce the highest-quality signals. Lunch hours (12:00–1:30 ET) typically produce thinner conditions. The indicator suppresses overnight signals by only firing during RTH.
Uses one `request.security()` call for the higher timeframe trend. All data uses confirmed bars with no lookahead. Open source under the Mozilla Public License 2.0.
Pine Script®指標
