SOLUSDT 4h Order-Flow Toxicity (VPIN) + Cumulative Volume Delta (CVD) Divergence

Research Question: Can we detect institutional limit-order absorption directly from OHLCV intrabar close location value (CLV) when price prints a lower low but selling delta dries up?

Formula Implementation (formula.js)

// VPIN Order-Flow Toxicity & Normalized CVD Z-Score Divergence
tox = vpin(20)
cvd_raw = cvd(20)
cvd_z = zscore(cvd_raw, 40)
price_z = zscore(close, 40)
plot cvd_divergence = cvd_z - price_z
plot tox = tox
plot absorption_long = (cvd_z - price_z) > 1.25 and tox < 0.68 and close > kalman(close, 0.05)

SOLUSDT Empirical Audit

• **cvd_divergence Spearman IC (+5 bars):** +0.054 (t = +4.82, highly significant)
• Quintile Spread (+10 bars): Top quintile (Q5) averaged +0.68% vs -0.41% in Q1 (net Q5–Q1 spread of +1.09%).
• One-Click Verification: Open in Indicator Lab or Open in Studio.