When buyers are aggressive, does price go up? Often, but not always. Sometimes heavy buying is absorbed by passive sellers and price goes nowhere, or even falls back. How closely price follows delta over the last few bars says a lot about the market you are in. Vantedge FlowPilot uses exactly this to decide whether to follow footprint stacks or fade them.
Two kinds of market
Think of each bar as two numbers: its delta (buy volume minus sell volume) and its price change from open to close.
- In a trend, they move together. Positive-delta bars close higher, negative-delta bars close lower. Aggression is moving price.
- In a regression (mean-reverting) market, the link breaks down. Strong positive delta may come with a flat or lower close. Aggression is being absorbed and price snaps back.
A stacked imbalance means different things in each. In a trend, it is a push likely to be joined. In a regression, it is often a push about to fail.
Measuring the link
Correlation summarises how two series move together, on a scale from -1 to +1. Near +1, high-delta bars reliably close higher. Near 0, there is no consistent relationship. Below 0, aggression tends to be followed by moves the other way.
A short worked example over five bars:
| Bar | Delta | Price change (ticks) |
|---|---|---|
| 1 | +420 | +6 |
| 2 | +150 | +2 |
| 3 | -300 | -5 |
| 4 | +380 | +5 |
| 5 | -90 | -1 |
Here every bar's price change has the same sign as its delta, roughly in proportion. The correlation is close to +1. Swap bars 1 and 4 for, say, +420 delta with -2 ticks and +380 with -3 ticks, and the correlation drops sharply, possibly below zero.
How FlowPilot turns it into a regime
In Auto mode, FlowPilot recalculates this at every bar close over the last Correlation Window bars (5 by default).
- At or above the Trend Threshold (0.6), the regime is Trend, and Auto follows stacks.
- At or below the Regression Threshold (0.0), the regime is Regression, and Auto fades them.
- In between, the previous regime stays in place.
That middle band is deliberate. Without it, a correlation hovering around one value would flip the regime back and forth on every bar.
Two rules on top of the correlation
The range vote
If the session's high-low range over the last 20 bars (Range Bars) is wider than 3 times your bracket (Range To Bracket times target plus stop), the regime is set to Trend. With the default 16-tick target and 16-tick stop, that is 3 x 32 = 96 ticks. A market covering that much ground is moving, whatever the last few bars' correlation says.
The opening warm-up
For the first 3 bars of each session (Open Warm-up Bars), the regime is always Regression. The opening rotation tends to fade more often than it follows.
Tuning the regime
- Correlation Window: longer windows (suggested 5 to 20) give a smoother regime that reacts later. Shorter ones react fast but switch on noise.
- Trend Threshold: raise it and Auto fades more; lower it and Auto follows more. Keep it above the Regression Threshold.
- Regression Threshold: a narrower gap to the Trend Threshold means more switching.
- Range To Bracket: 0 makes Auto almost always Trend after the warm-up.
Every range is in the FlowPilot user guide. Tune the signal settings first, then the regime, then the bracket.
Seeing it live
The Mode button on FlowPilot's panel shows the current regime, for example "Mode: Auto (Trend)" in cyan or "Mode: Auto (Regression)". Watching it change during a SIM session alongside the Vantedge Footprint chart is the fastest way to build a feel for what the correlation is picking up. The FlowPilot product page lists what the plan includes.
A regime label describes the last few bars, not the next one, and futures can turn without warning. Check the regime logic in a Tick Replay backtest and on Sim101 before relying on it in an evaluation, funded or live account.