Swing Volume Profiles [LuxAlgo]The Swing Volume Profiles indicator aims to calculate and highlight trading activity at specific price levels between two swing points; allowing traders to reveal dominant and/or significant price levels based on volume.
By measuring traded volume at all price levels in the market over a specified time period, the script can also be used to detect some key analysis generally such as supply & demand, buy-side & sell-side liquidity levels, unfilled liquidity voids, and imbalances that can highlight on the chart.
🔶 USAGE
A volume profile is an advanced charting tool that displays the traded volume at different price levels over a specific period. It helps you visualize where the majority of trading activity has occurred.
Key Levels are the areas where the volume is concentrated or where there are significant volume spikes. These levels are known as key support and resistance levels. High-volume nodes indicate areas of high activity and are likely to act as support or resistance in the future.
Volume profile also helps identify value areas, which represent the price levels where the most trading activity has taken place. These levels can act as areas of support or resistance as traders perceive them as fair value.
The Point of Control describes the price level where the most volume was traded. A Naked Point of Control (also called a Virgin Point of Control) is a previous POC that has not been traded. Extending PoC options 'Until Bar Cross' or 'Until Bar Touch' helps in identifying Naked Point of Control Lines.
Previous PoC levels can serve as support and resistance for future price movements. Extending PoC Level 'Until Last Bar' option will help to identify such levels.
🔶 DETAILS
One of the unique features of the script is its ability to detect some other key levels such as levels of acceptance and rejection.
Levels of rejection we may summarize as supply and demand levels, these are also referred to as buy-side and sell-side liquidity levels. They usually occur at extreme highs or lows, where prices may be too high for buyers (high supply, low demand) or too low for sellers (low supply, high demand)
Levels of acceptance are the levels where Liquidity Voids occur, these are also referred to imbalances. Liquidity voids are sudden changes in price when the price jumps from one level to another. The peculiar thing about liquidity voids is that they almost always fill up, so we call them levels of acceptance.
🔶 ALERTS
When an alert is configured, the user will have the ability to be notified in case:
Point Of Control Line is touched/crossed
Value Area High Line is touched/crossed
Value Area Low Line is touched/crossed
🔶 SETTINGS
🔹 Display Options
Mode: Controls the lookback length of detection and visualization, where Present assumes last X bars specifid in '# Bars' option and Historical assumes all data available to the user as well as allowed limits of visiual objects (boxs, lines, labels etc)
# Bars: Controls the lookback length.
🔹 Swing Volume Profiles
The script takes into account user-defined parameters and plots volume profiles. Due to Pine Script™ drwaing objects limit only total volume profiles are presented.
Swing Detection Length: Lookback period
Swing Volume Profiles: Toggles the visibility of the Volume Profiles, with color options to differentiate the Value Area within a profile.
Profile Range Background Fill: Toggles the visibility of the Volume Profiles Range
🔹 Point of Control (PoC)
Point of Control (POC) – The price level for the time period with the highest traded volume
Point of Control (PoC): Toggles the visibility of the Point of Control
Developing PoC: Toggles the visibility of the Developing PoC
Extend PoC: Option that allows detecting virgin PoC levels. Virgin Point of Control (VPoC) is defined as a Point of Control that has never been revisited or touched. The option also allows PoC levels to extend till the last bar aiming to present levels from history where the levels were traded significantly and those levels can be used as support and resistance levels.
🔹 Value Area (VA)
Value Area (VA) – The range of price levels in which the specified percentage of all volume was traded during the time period.
Value Area Volume %: Specifies percentage of the Value Area
Value Area High (VAH): Toggles the visibility of the Value Area High, the highest price level within the Value Area
Value Area Low (VAL): Toggles the visibility of the Value Area Low, the lowest price level within the Value Area
Value Area (VA) Background Fill: Toggles the visibility of the Value Area Range
🔹 Liquidity Levels / Voids
Unfilled Liquidity, Thresh: Enable display of the Unfilled Liquidity Levels and Liquidity Voids, where threshold value defines the significance of the level.
🔹 Profile Stats
Position, Size: Specifies the position and the size of the label presenting Profile Stats, the tooltip of the label includes all related info for each profile.
Price, Price Change, and Cumulative Volume: Enable display of the given options on the chart.
🔹 Volume Profile Others
Number of Rows: Specify how many rows each histogram will have. Caution, having it set to high values will quickly hit Pine Script™ drawing objects limit and may cause fewer historical profiles to be displayed.
Placement: Place profile either left or right.
Profile Width %: Alters the width of the rows in the histogram, relative to the calculated profile length.
🔶 RELATED SCRIPTS
Alternative Liquidity Void Detection script, Buyside-Sellside-Liquidity
Search in scripts for "volume profile"
Zig-Zag Volume Profile (Bull vs. Bear) [Kioseff Trading]Hello!
Thank you @Pinecoders and @TradingView for putting polylines in production and making this viable!!
This script "Zig Zag Volume Profile" implements the polyline feature for Pine Script!
Features
Volume Profile anchored to zig zag trends
Bull vs Bear profiles!
Delta x price level
Standard POC and value area lines, in addition to separated POCs and value area lines for bull profiles and bear profiles
Up to 9999 profile rows per zigzag trend
Stylistic options for profiles
Configurable zig zag - profiles generated for small to large trends
Polylines!
This script generates Bull vs. Bear volume profiles for zig zag trends!
The zigzag indicator is configurable as normal; minor and major trend volume profiles are calculable. This indicator can be thought of as "Volume Profile/Delta for Trends''.
Up to 9999 volume profile levels (price levels) can be calculated for each profile, thanks to the new polyline feature, allowing for less aggregation / more precision of volume at price and volume delta.
Zig Zag Bull Vs Bear Profiles
The image above shows primary functionality!
Green profiles = buying volume
Red profiles = selling volume
Profiles are generated for each trend identified by the zigzag indicator.
The image above shows the indicator calculating volume delta for specific price blocks on the profile. Aggregate volume delta for the identified trend is displayed over the profile!
The image above shows Bull Profile POC lines and value area lines. Bear Profile POC lines and value area lines are also shown!
All colors and transparencies are configurable to the user's liking :D
Additionally, you can select to have the profiles drawn on contrasting sides. Bull Profile on left and Bear Profile on right.
For a more traditional look - you can select to draw the Bull & Bear profiles on the same x-point.
The indicator is robust enough to calculate on "long zig zags" and "short zig zags"; curved profiles can also be used!
The image above exemplifies usage of the indicator!
Bull & Bear volume profiles are calculated for trends on the 30-second timeframe.
The image above shows a more "utilitarian" presentation of the profiles. Once more, line and linefill colors/transparencies are all customizable; the indicator can look however you would like it to!
The image above shows key levels, the Bull vs. Bear profile, and volume delta for the current trend!
That's about it :D
This indicator is part of a series titled "Bull vs. Bear" - a suite of profile-like indicators I will be releasing over coming days. Thanks for checking this out!
Of course, a big thank you to @RicardoSantos for his MathOperator library that I use in every script.
If you have any suggestions please feel free to share!
Oscillator Volume Profile [Trendoscope®]The Oscillator Volume Profile indicator is designed to construct a volume profile based on predefined oscillator levels. It integrates volume data with oscillator readings to offer a unique perspective on market dynamics.
🎲 Selectable Oscillators:
Users can select from an array of oscillator options for the basis of the volume profile, including:
Relative Strength Index (RSI)
Chande Momentum Oscillator (CMO)
Center of Gravity (COG)
Money Flow Index (MFI)
Rate of Change (ROC)
Commodity Channel Index (CCI)
Stochastic Oscillator (Stoch)
True Strength Index (TSI)
Williams %R (WPR)
The length parameters - Length, Fast Length, Slow Length allows users to define the period over which the chosen oscillator is calculated, tailoring the sensitivity of the indicator to their trading strategy.
🎲 Dynamic Overbought/Oversold Ranges:
This indicator enhances traditional concepts by introducing dynamic overbought and oversold levels. These adaptable thresholds are calculated using various methods, including:
🎯 Highest/Lowest Range Method : This method establishes the range based on the highest and lowest values of the oscillator within the last N bars.
🎯 Moving Average Range Method : The range is derived from a moving average of the oscillator, providing a smoothed threshold that reflects more recent market conditions.
In addition to these methods, the indicator incorporates a unique 'Sticky Border' feature:
🎯 Sticky Border: With this option enabled, the dynamic ranges maintain their levels until the oscillator breaks out of the range. Once a breakout occurs, the levels are recalculated and updated. This mechanism ensures that the borders remain consistent and relevant, only adjusting to significant market movements that warrant a recalculation.
Users can select their preferred method for determining dynamic ranges, allowing for a customized approach that aligns with their analysis and trading strategy. The sticky border feature further refines this functionality, offering continuity until a decisive market move occurs.
🎲 Volume Profile Calculation Parameters:
🎯 Trend Filter: The indicator provides a versatile trend filter with four selectable options:
Uptrend: The volume profile is calculated when the oscillator indicates an uptrend.
Downtrend: The volume profile is calculated when the oscillator indicates a downtrend.
Any: The volume profile is calculated regardless of the trend.
External: Users can input values from an external indicator. The volume profile is then calculated only when the external indicator's value is non-zero, integrating external analysis into the volume profile construction.
🎯 Precision: Users have the option to define the precision for calculating the volume profile, which is crucial due to the varying scales of different oscillators (e.g., some oscillators range from 0 to 100, while others from -1 to 1). Selecting an appropriate precision ensures that the volume profile is accurately aligned with the minimal price range significant to the chosen oscillator. This setting requires user intervention for optimal configuration, as automatic calculation is not feasible due to the diverse nature of oscillator ranges.
🎯 Number of Bars: Users can select a specific number of bars for volume profile calculation, or opt to include all available historical bars for a comprehensive profile.
🎲 Selecting the right precision:
Users must select the right precision based on their choice of indicator. For example, RSI values range from 0-100. Hence, the default precision of 1 work fine on RSI as the volume profiles are plotted from 0 to 100 at the interval of 0.1
But, the default precision of 1 will not be ok on TSI because TSI values range from -1 to 1. Hence, using 1 as precision will result in very less volume profile lines as shown below.
Due to this, it is necessary to increase the precision for oscillators such as TSI where the range between highest and lowest value is far less. Once we set the precision to 2, we can see more appropriate volume profile division.
🎲 Note of thanks:
This publication uses polyline feature for drawing volume profiles. The advantage of using polyline is that we can overcome max 500 lines issue that we face by using the regular line objects. More details of polyline can be found in the tradingview blog post
Further, using polyline for display of volume profiles is inspired by the publications of fikira and KioseffTrading
Enhanced Volume Profile [TFO]The Enhanced Volume Profile analyzes volume by price to find potential inflection points that we can reference in future price action.
The volume profiles altogether are simply an estimation from price/volume data that TradingView is capable of providing. Below is an example of 1 day volume profiles. The left chart uses 50 rows for each profile, while the right chart uses 500 rows. As a result, the right chart is capable of providing much greater detail.
Profile Timeframe specifies the timeframe of the profile to be constructed. When set to 1 day for example, then each profile represents the price/volume data from 1 daily bar.
Resolution Timeframe is the timeframe of price/volume data used to construct the profile. Lower timeframes result in higher resolution, but also greater computation time.
Below is an example of 1 day volume profiles. Both charts are using 250 rows for every profile, but the left chart is using a 15m resolution timeframe, while the right chart is using a 1m resolution timeframe. The lower timeframe data on the right chart allows for greater detail than the left.
Volume Point of Control (VPOC) shows the price level where the most volume was traded during a given session. Show VPOCs will draw these levels on each volume profile, with the corresponding color. In the following chart, each solid blue line represents a VPOC for the corresponding session.
Extend Recent VPOCs will track the N most recent VPOC levels, and extend them to the right side of the chart for easy visual reference. Show VPOC Labels will annotate each VPOC extension with the date (and time, for lower timeframes) that each corresponding profile began. Below is an example where Extend Recent VPOCs and Show VPOC Labels are both enabled.
Show Previous HVN will show High Volume Nodes from previous sessions, and extend them until price trades through them. When a session ends, any new HVNs located above that close price will be red while any HVNs below will be green (default colors).
HVNs are validated with a strength parameter that compares the peak volume to its neighboring levels to determine local extremes, along with a percentile filter to optionally specify if valid nodes must contain a peak volume greater than X% of the volume traded at VPOC.
The same capabilities exist for Low Volume Nodes as well. Show Previous LVN will extend these Low Volume Nodes from previous sessions until price trades through them.
The default color scheme will color nodes proportionate to the individual session. For example, a HVN derived from VPOC would always result in the deepest possible color because the node's peak contains the highest volume traded for that session. Every lesser node would be colored lighter than this, proportional to that session's VPOC.
We can also choose to color these nodes in a way that reflects their relative volume compared to recent sessions. For HVNs, darker colors imply more volume was traded at said nodes while lighter colors imply less volume. In the following example, the left chart uses the session based color scheme while the right chart uses the historical color scheme.
Visible Range Volume Profile Heatmap [MyTradingCoder]The Visible Range Volume Profile Heatmap indicator offers a visually striking and insightful way to analyze trading volume within the visible price range of your chart. This tool goes beyond traditional volume profiles by displaying volume distribution as a heatmap, where color intensity represents the volume traded at each price level.
Key Features:
Dynamic Heatmap: Displays volume concentration using a color gradient, making it easy to spot areas of high and low trading activity.
Customizable Grid: Choose between auto-scaling or manual grid configuration to suit your analysis needs.
Flexible Color Schemes: Select from tri-tone or two-tone color palettes to represent bullish and bearish volume.
Point of Control (POC) Overlay: Highlights the price level with the highest trading volume, a critical reference point for traders.
Adjustable Transparency: Fine-tune the visibility of the heatmap to balance it with other chart elements.
Lookback Period: Customize the number of bars used for volume profile calculation.
How to Use the Visible Range Volume Profile Heatmap:
The Visible Range Volume Profile Heatmap is a powerful tool that can significantly enhance your market analysis when used effectively. To get the most out of this indicator, start by observing the overall pattern of the heatmap. Areas with darker colors represent higher volume concentration, indicating price levels where significant trading activity has occurred. These areas often serve as important support or resistance levels, as they represent prices where many traders have established positions.
Pay close attention to the Point of Control (POC), represented by a line running through the heatmap. This line marks the price level with the highest trading volume and often acts as a magnet for price action. Price tends to gravitate towards the POC, making it a crucial reference point for potential reversals or continuations.
When analyzing potential trades, consider how the current price relates to the volume distribution shown in the heatmap. If the price is approaching a high-volume area from below, it might face resistance; conversely, if it's approaching from above, that area might provide support. Breakouts beyond significant volume nodes can be particularly noteworthy, as they may signal a shift in market sentiment.
Use the heatmap in conjunction with your existing trading strategies. For example, if you're a trend follower, you might look for breakouts beyond major volume areas as confirmation of trend continuation. If you're a mean reversion trader, you might consider entries when price moves away from high-volume nodes, anticipating a return to these heavily traded levels.
The indicator can also help in identifying potential profit targets. As price moves away from one volume node, it often continues until it reaches the next significant volume area. These areas can serve as logical places to consider taking profits or adjusting your position.
For longer-term analysis, observe how the volume profile changes over time. Shifts in the distribution of volume can indicate evolving market dynamics. A broadening of the high-volume area might suggest increasing uncertainty, while a narrowing could indicate building consensus about price.
Settings Explained:
Auto Grid Configuration:
The "Auto Scale" option automatically adjusts the grid size based on the visible chart area. This ensures optimal visualization regardless of your chart's dimensions or zoom level.
Auto Scale Grid Size: Determines the total number of cells in the heatmap. A higher number provides more granular detail but may increase calculation time.
Auto Scale Grid Ratio: Adjusts the aspect ratio of the grid cells. A higher ratio creates wider, more rectangular cells, while a lower ratio results in more square-shaped cells. Experiment to find the best visual representation for your analysis.
Lookback Period:
The lookback setting determines how many columns (bars) of historical data the indicator uses to calculate the volume profile. A larger lookback will provide a more comprehensive view of historical volume distribution but may be slower to react to recent changes. A smaller lookback will be more responsive to recent volume patterns but may miss longer-term trends.
Manual Grid Configuration:
If you prefer more control over the grid layout, you can switch to manual configuration:
Column Width: Sets the number of price bars each column of the heatmap represents. A wider column aggregates more data, smoothing out the profile.
Number of Rows: Determines the vertical resolution of the heatmap. More rows provide finer price level detail but may make the overall pattern less distinct.
Tips for Optimization:
For short-term trading, use a smaller lookback and finer grid settings to capture recent market dynamics.
For longer-term analysis, increase the lookback and use wider columns to identify persistent volume patterns.
If the heatmap appears too blocky, increase the number of rows or decrease the column width.
If the heatmap is too granular, making patterns hard to discern, do the opposite.
Remember, the ideal settings often depend on your specific trading timeframe, the asset you're analyzing, and your personal analytical preferences. Don't hesitate to experiment with different configurations to find what works best for your trading style.
Conclusion
The Visible Range Volume Profile Heatmap is more than just an indicator—it's a versatile tool that enhances your ability to analyze and interpret market data. By transforming volume profiles into an intuitive, color-coded heatmap, this indicator allows you to quickly identify critical price levels where significant trading activity has occurred. Whether you're a day trader focused on short-term moves or a swing trader analyzing longer-term trends, the customizable settings of this tool provide the flexibility needed to adapt to various market conditions.
The ability to configure the grid layout, adjust the lookback period, and fine-tune the color and transparency settings ensures that the heatmap can be tailored to your specific trading strategy. By highlighting key areas of support and resistance, identifying potential breakouts, and pinpointing the Point of Control (POC), the heatmap gives you actionable insights that can enhance your decision-making process.
Incorporate the Visible Range Volume Profile Heatmap into your trading routine to gain a deeper understanding of market dynamics and to spot opportunities that might otherwise go unnoticed. Remember to experiment with the settings to find the configuration that best suits your analysis style, and use this powerful indicator in conjunction with your existing strategies for optimal results. With the right approach, this tool can become an indispensable part of your trading toolkit, helping you navigate the markets with greater confidence and precision.
Bar Magnified Volume Profile/Fixed Range [ChartPrime]This indicator draws a volume profile by utilizing data from the lower timeframe to get a more accurate representation of where volume occurred on a bar to bar basis. The indicator creates a price range, and then splits that price range into 100 grids by default. The indicator then drops down to the lower timeframe, approximately 16 times lower than the current timeframe being viewed on the chart, and then parses through all of the lower timeframe bars, and attributes the lower timeframe bar volume to all grids that it is touching. The volume is dispersed proportionally to the grids which it is touching by whatever percent of the candle is inside each grid. For example, if one of the lower timeframe bars is interacting with "2" of the grids in the profile, and 60% of the candle is inside of the top grid, 60% of the volume from said candle will be attributed to the grid.
To make all of this magic happen, this script utilizes a quadratic time complexity algorithm while parsing and attributing the volume to all of the grids. Due to this type of algorithm being used in the script, many of the user inputs have been limited to allow for simplicity, but also to prevent possible errors when executing loops. For the most part, all of the settings have been thoroughly tested and configured with the right amount of limitations to prevent these errors, but also still give the user a broad range of flexibility to adjust the script to their liking.
📗 SETTINGS
Lookback Period: The lookback period determines how many bars back the script will search for the "highest high" and the "lowest low" which will then be used to generate the grids in-between
Number Of Levels: This setting determines how many grids there will be within the volume profile/fixed range. This is personal preference, however it is capped at 100 to prevent time complexity issues
Profile Length: This setting allows you to stretch or thin the volume profile. A higher number will stretch it more, vise versa a smaller number will thin it further. This does not change the volume profiles results or values, only its visual appearance.
Profile Offset: This setting allows you to offset the profile to the left or right, in the event the user does not appreciate the positioning of the default location of the profile. A higher number will shift it to the right, vise versa a lower number will shift it to the left. This is personal preference and does not affect the results or values of the profile.
🧰 UTILITY
The volume profile/fixed range can be used in many ways. One of the most popular methods is to identify high volume areas on the chart to be used as trade entries or exits in the event of the price revisiting the high volume areas. Take this picture as an example. The image clearly demonstrates how the 2 highest areas of volume within this magnified volume profile also line up to great areas of support and resistance in the market.
Here are some other useful methods of using the volume profile/fixed range
Identify Key Support and Resistance Levels for Setups
Determine Logical Take Profits and Stop Losses
Calculate Initial R Multiplier
Identify Balanced vs Imbalanced Markets
Determine Strength of Trends
Auto Anchored Volume ProfileAuto Anchored Volume profile indicator to identify potential support and resistance zones, along with weak and strong Point of Control (POC) levels.
Understanding the Concepts:
Volume Profile: This chart depicts trading activity at various price levels over a chosen timeframe. Higher volume areas represent price levels where most buying and selling happened.
Point of Control (POC): The price level with the highest volume traded within the timeframe. It represents the price where most agreement existed between buyers and sellers.
High Volume Nodes (HVN): Areas on the volume profile with significantly higher volume compared to surrounding areas. These can indicate potential support or resistance.
Delta (Sentimental): This volume profile type shows the difference between buying and selling volume at each price level. Positive delta indicates buying dominance, while negative delta suggests selling pressure.
Strategy Breakdown:
Identify Volume Shelves:
Look for areas with concentrated volume on the profile. These areas, called shelves, can act as support (high volume at lower prices) or resistance (high volume at higher prices).
Analyze POC Strength (POC Volume Percentage):
Calculate the Volume Percentage: (Volume at Price Level / Maximum HVN Volume over the Period) * 100
This ratio indicates the significance of the POC relative to the strongest volume area.
A high percentage suggests a strong POC, potentially indicating a more reliable support or resistance level.
A low percentage suggests a weak POC, with a higher chance of price breaking through that level.
Leverage Previous Session Data:
The strategy incorporates data from the previous session's POC and Highest Delta Node. These are displayed on the right side of the chart, extending the volume profile for reference.
Identify if the current price is trading above or below the previous session's POC. This can provide context for potential price direction.
The Highest Delta Node from the previous session indicates areas of strong buying or selling sentiment that might carry over to the current session.
Additional Anchor Point Types:
Pivot Points and Fixed Range Volume Profile can be added for further confirmation of support and resistance zones.
Pivot points are calculated automatically based on the price changes direction
Fixed Range Volume Profile focuses on a specific price range, allowing detailed analysis within that zone.
Timeframe Considerations(AUTO):
The resolution for calculating pivot points is determined automatically:
- For intraday resolutions up to and including 15 minutes, the daily (1D) timeframe is used.
- For intraday resolutions more than 15 minutes, the weekly (1W) timeframe is used.
- For daily resolutions, the monthly (1M) timeframe is used.
- For weekly and monthly resolutions, the 12-month (12M) timeframe is used.
Trading with the Strategy:
Look for price approaching a volume shelf identified on the profile.
Analyze the POC Volume Percentage to gauge the strength of the POC as potential support or resistance.
Consider the previous session's POC and Highest Delta Node for additional context.
Combine volume profile insights with other technical indicators and price action confirmation for entry and exit signals.
Remember, strong POCs with high volume shelves suggest more reliable support/resistance, while weak POCs indicate a higher chance of price movement beyond that level.
Important Notes:
Volume profile is a tool to identify potential trading zones, not a guaranteed predictor of future price movements.
Always practice proper risk management techniques, including stop-loss orders.
Backtest this strategy on historical data to understand its effectiveness before risking real capital.
By understanding volume distribution and POC strength, this strategy can help you make informed trading decisions based on where most buying and selling activity has occurred. Remember, a comprehensive trading approach that considers multiple factors is crucial for success.
Filtered Volume Profile [ChartPrime]The "Filtered Volume Profile" is a powerful tool that offers insights into market activity. It's a technical analysis tool used to understand the behavior of financial markets. It uses a fixed range volume profile to provide a histogram representing how much volume occurred at distinct price levels.
Profile in action with various significant levels displayed
How to Use
The script is designed to analyze cumulative trading volumes in different price bins over a certain period, also known as `'lookback'`. This lookback period can be defined by the user and it represents the number of bars to look back for calculating levels of support and resistance.
The `'Smoothing'` input determines the degree to which the output is smoothed. Higher values lead to smoother results but may impede the responsiveness of the indicator to rapid changes in volatility.
The `'Peak Sensitivity'` input is used to adjust the sensitivity of the script's peak detection algorithm. Setting this to a lower value makes the algorithm more sensitive to local changes in trading volume and may result in "noisier" outputs.
The `'Peak Threshold'` input specifies the number of bins that the peak detection mechanism should account for. Larger numbers imply that more volume bins are taken into account, and the resultant peaks are based on wider intervals.
The `'Mean Score Length'` input is used for scaling the mean score range. This is particularly important in defining the length of lookback bars that will be used to calculate the average close price.
Sinc Filter
The application of the sinc-filter to the Filtered Volume Profile reduces the risk of viewing artefacts that may misrepresent the underlying market behavior. Sinc filtering is a high-quality and sharp filter that doesn't manifest any ringing effects, making it an optimal choice for such volume profiling.
Histogram
On the histogram, the volume profile is colored based on the balance of bullish to bearish volume. If a particular bar is more intense in color, it represents a larger than usual volume during a single price bar. This is a clear signal of a strong buying or selling pressure at a particular price level.
Threshold for Peaks
The `peak_thresh` input determines the number of bins the algorithm takes in account for the peak detection feature. The 'peak' represents the level where a significant amount of volume trading has occurred, and usually is of interest as an indicative of support or resistance level.
By increasing the `peak_thresh`, you're raising the bar for what the algorithm perceives as a peak. This could result in fewer, but more significant peaks being identified.
History of Volume Profiles and Evolution into Sinc Filtering
Volume profiling has a rich history in market analysis, dating back to the 1950s when Richard D. Wyckoff, a legendary trader, introduced the concept of volume studies. He understood the critical significance of volume and its relationship with market price movement. The core of Wyckoff's technical analysis suite was the relationship between prices and volume, often termed as "Effort vs Results".
Moving forward, in the early 1800s, the esteemed mathematician J. R. Carson made key improvements to the sinc function, which formed the basis for sinc filtering application in time series data. Following these contributions, trading studies continued to create and integrate more advanced statistical measures into market analysis.
This culminated in the 1980s with J. Peter Steidlmayer’s introduction of Market Profile. He suggested that markets were a function of continuous two-way auction processes thus introducing the concept of viewing markets in price/time continuum and price distribution forms. Steidlmayer's Market Profile was the first wide-scale operation of organized volume and price data.
However, despite the introduction of such features, challenges in the analysis persisted, especially due to noise that could misinform trading decisions. This gap has given rise to the need for smoothing functions to help eliminate the noise and better interpret the data. Among such techniques, the sinc filter has become widely recognized within the trading community.
The sinc filter, because of its properties of constructing a smooth passing through all data points precisely and its ability to eliminate high-frequency noise, has been considered a natural transition in the evolution of volume profile strategies. The superior ability of the sinc filter to reduce noise and shield against over-fitting makes it an ideal choice for smoothing purposes in trading scripts, particularly where volume profiling forms the crux of the market analysis strategy, such as in Filtered Volume Profile.
Moving ahead, the use of volume-based studies seems likely to remain a core part of technical analysis. As long as markets operate based on supply and demand principles, understanding volume will remain key to discerning the intent behind price movements. And with the incorporation of advanced methods like sinc filtering, the accuracy and insight provided by these methodologies will only improve.
Mean Score
The mean score in the Filtered Volume Profile script plays an important role in probabilistic inferences regarding future price direction. This score essentially characterizes the statistical likelihood of price trends based on historical data.
The mean score is calculated over a configurable `'Mean Score Length'`. This variable sets the window or the timeframe for calculation of the mean score of the closing prices.
Statistically, this score takes advantage of the concept of z-scores and probabilities associated with the t-distribution (a type of probability distribution that is symmetric and bell-shaped, just like the standard normal distribution, but has heavier tails).
The z-score represents how many standard deviations an element is from the mean. In this case, the "element" is the price level (Point of Control).
The mean score section of the script calculates standard errors for the root mean squared error (RMSE) and addresses the uncertainty in the prediction of the future value of a random variable.
The RMSE of a model prediction concerning observed values is used to measure the differences between values predicted by a model and the values observed.
The lower the RMSE, the better the model is able to predict. A zero RMSE means a perfect fit to the data. In essence, it's a measure of how concentrated the data is around the line of best fit.
Through the mean score, the script effectively predicts the likelihood of the future close price being above or below our identified price level.
Summary
Filtered Volume Profile is a comprehensive trading view indicator which utilizes volume profiling, peak detection, mean score computations, and sinc-filter smoothing, altogether providing the finer details of market behavior.
It offers a customizable look back period, smoothing options, and peak sensitivity setting along with a uniquely set peak threshold. The application of the Sinc Filter ensures a high level of accuracy and noise reduction in volume profiling, making this script a reliable tool for gaining market insights.
Furthermore, the use of mean score calculations provides probabilistic insights into price movements, thus providing traders with a statistically sound foundation for their trading decisions. As trading markets advance, the use of such methodologies plays a pivotal role in formulating effective trading strategies and the Filtered Volume Profile is a successful embodiment of such advancements in the field of market analysis.
Multi Session Volume Profile LevelsThis script allows a user to plot current and historical volume profile levels (POC, VAH, VAL) of RTH (NY trading hours), ETH (Globex and/or Equities ETH), and Weekly Profiles.
Each profile has multiple settings to tailor how the user desires. The list includes:
Plotting the current volume profile
Plotting historical session/week volume profile levels
Many configuration options for colors, line styles, and labels
One feature not mentioned above is the ability to plot any untested (i.e. naked) level that will disappear once it is traded through. The way this feature works is if a level is traded through during RTH (NY session), the level will stop plotting and/or disappear at the end of that trading session if it is a session VP level (ETH or RTH) or at the end of the trading week for the weekly profile levels.
Limitations
There are some minor limitations due to pine script that need to be mentioned. The volume profile calculations utilize the 1 minute timeframe to allow for more granular plotting of the volume profile. This allows the script to mimic the native volume profile script as closely as possible. The timeframe used for the calculation can be changed to use 1m, 2m, 3m, or 5m. Please be aware that using a higher timeframe allows for more historical levels to be plotted but results less resolution of the volume profile itself.
An attempt was made to get this as close to the native volume profile levels as possible. While most of the time the levels in this script are within a handful of ticks of the native levels, there are situations where they can be far off. Double distribution days are where this script can sometimes deviate significantly from the native volume profile or in instances where there are two high volume nodes that are very similar in volume. Pine script does not provide the same resolution to volume that is used in the native volume profile script which is why the values may be different when comparing them.
Another item that might be encountered is calculation timeouts. Due to the amount of calculations needing to be done to plot these levels you may encounter calculation timeouts when first applying them to the chart and periodically during the use of the indicator. If this is encountered, simply change one of the inputs in the inputs tab to force it to recalculate and it will eventually provide the levels on the chart. I am working on trying to optimize this to reduce these calculation timeouts but this is as good as I could get it for now.
Future updates will include higher timeframe volume profile values but will require a bit more work to get it implemented. As always I am open to suggestions on how to make this script better as it provides a more automated way to utilize these levels than what is currently provided.
[Pt] Periodic Volume ProfileThis script is an attempt to recreate the Periodic Volume Profile that is built-in by TradingView, with slightly different features. Related blog: www.tradingview.com
This script is based on another script "Volume Profile, Pivot Anchored" by @dgtrd
*Note that only limited number Volume Profile can be displayed on the chart due to limitations on displaying boxes and lines.
Description
This Periodic Volume Profile (PVP) indicator allows trades to view volume profiles for periods longer than the current timeframe. The indicator builds one general volume profile for each new period, set by the user through the “Periodic Timeframe” input parameter.
This script also has the option to extend Point of Control (POC) lines with optional end conditions: Until Bar Touch, Until Last Bar, Until Bar Cross, or None, which extends to the right.
Signals are generated for Naked POC touches and crosses by a triangle symbol and a cross symbol, by default.
Alerts are available for POC touches and crosses.
What is Volume Profile?
Volume profile is a technical analysis tool that shows the volume of trades at different prices for a given security or market over a specific period of time.
Volume profile can be used to identify key levels of support and resistance, as well as to assess the overall supply and demand for a security. For example, if there is a high volume of trades at a particular price level, this may indicate that there is a significant level of support or resistance at that price. On the other hand, if there is relatively low volume at a particular price, this may indicate that there is not much interest in trading at that level.
Traders can use volume profile to identify trends, make trading decisions, and set stop-loss and take-profit orders. It can also be useful for identifying patterns such as "pockets of liquidity," which are areas where there is a high volume of trades but relatively little price movement.
It is important to note that volume profile should be used in conjunction with other technical analysis tools and should not be relied upon in isolation. It is also important to consider the overall context and market conditions when interpreting volume profile data.
Key Difference with TradingView's PVP indicator - TradingView's PVP intraday period does not align with standard intraday timeframes as it is determined by # of bars. This script provides volume profiles that aligns with higher timeframe periods.
Enjoy~!
Weighted Volume Profile Pivot Points | Flux Charts💎 GENERAL OVERVIEW
Introducing our new Weighted Volume Profile Pivot Points (WVPPP) Indicator! This indicator renders a volume profile using the latest pivot points, automatically adjusting itself when new pivots occur. The pivoting mode can be switched between default pivot points and order blocks mode. It can be adjusted to give more weight to recent or past candlesticks, or can be used as a normal volume profile. For more information, please read the full write-up.
Features of the new Weighted Volume Profile Pivot Points (WVPPP) Indicator :
Renders Volume Profile Of The Range Between Latest Pivots
Two Pivoting Modes Including Order Blocks Mode
Adjustable Weighthing Towards Past or Recent
Customizable Row Count & Maximum Distance
Left or Right Alignment
More Styling Options
🚩UNIQUENESS
This indicator stands out with two key features. One is it's ability to weight volumes based on their distance to the current time. Giving weight to volumes may offer new trading opportunities to traders as they can now see the most recent Point Of Control (POC) or a more powerful but past POC based on their choice. Another key feature the indicator has is that it automatically finds latest valid pivot points, and uses that range for the volume profile. The range changes dynamically as new pivots points emerge. You can select between normal pivot points and order blocks mode. The indicator also has a variety of useful styling settings such as aligning the volume profile to the right or the left of the chart, POC Line styling and color settings for bullish & bearish volumes.
📌 HOW DOES IT WORK ?
A volume profile provides an in-depth look at trading activity over a period of time by plotting a histogram on the price axis. This indicator can also give weight to volumes based on their distance to the current time, essentially determining their importance for the profile. The range which the volume profile will cover is determined by the latest pivot points. Here is how it works step-by-step :
1. Determine how much candlesticks the volume profile will cover (Analyze Bars setting)
2. Find the latest pivot points. If the mode is set to "Pivots", the pivot points are the candlesticks which has the highest / lowest wick in X amount of bars (Swing Length setting). If the mode is set to "Order Blocks", the volume profile range is the area between the latest buyside order block and the sellside order block. Order blocks occur when there is a high amount of market orders exist on a price range. It is possible to find order blocks using specific candlestick formations on the chart. For more information about the order block detection, I suggest you checking the write-up of our "Volumized Order Blocks" script. Increasing the "Swing Length" setting is recommended when the mode is set to "Pivots", as this will help in finding stronger pivot points.
3. Make a range using the latest pivot points, then divide it into rows (Row Count setting)
4. Then for each candlestick, add it's volume to the corresponding row in the range. Note that the volume can be added into several rows if it overlaps with them all.
5. If the candlestick is a bullish candlestick, we add it's volume into the bullish volume of the row, if it's a bearish candlestick, we add it to the bearish volume of the row.
With the weighted volume mode, which is activated if "Volume Weighthing" setting is set to "Recent" or "Past", all volumes get a penalty based on their distance to the latest candletstick. For example, if the setting is set to "Recent", the latest candlestick contributes it's volume by 100% to the corresponding row, but the candlestick which is 50 candlesticks far from the current candlestick only contributes it's volume by ~17% to the row. The same applies to the "Past" setting, but in the reversed order, where past candlesticks have more priority than the current ones.
Volume contribution percent for "Recent" setting : ((100 * 0.85) / (i + 1)) + (100 * (1.0 - 0.85))
Volume contribution percent for "Past" setting : ((100 * 0.85) * ((i + 1) / N)) + (100 * (1.0 - 0.85))
Where i = candlestick index from right to left, N = total number of candlesticks analyzed by the volume profile.
The Point Of Control (POC) line is drawn from the row with the most total volume, and is generally considered as a strong level because a lot of trading volume happened on that particular row. Traders may use this line as a support & resistance level.
We believe that automatically ranging the volume profile to important pivot points will help traders see crucial volume information easier without unnecessary hassle. Traders can use this indicator to have an insight of areas which price moves quickly without much volume, or see areas that holds the price still for much longer and plan their trades accordingly.
⚙️SETTINGS
1. General Configuration
Mode -> The pivoting mode that is switchable between "Pivots" and "Order Blocks" as described in the write-up. Please read the upper section to understand how this setting works.
Analyze Bars -> Total amount of bars that will be analyzed by the indicator from right to left.
Row Count -> The amount of rows that will the vertical range between pivot points will be divided into.
Volume Weighting -> The volume weighting mode as explained in the write-up.
2. Style
Highlight Sessions -> The volume profile sessions will be highlighted with a blue tint. To prevent confusion, highlighting will not work if the alignment is set to "Right".
Align To -> The alignment of the volume profile.
Weighted Volume Profile | Flux Charts💎 GENERAL OVERVIEW
Introducing our new Weighted Volume Profile Indicator! This indicator renders a volume profile based on the volume of latest candlesticks. It can be adjusted to give more weight to recent or past candlesticks, or can be used as a normal volume profile. For more information, please read the full write-up.
Features of the new Weighted Volume Profile indicator :
Renders Volume Profile Of Current Ticker
Adjustable Weighthing Towards Past or Recent
Customizable Row Count & Maximum Distance
Left or Right Alignment
More Styling Options
🚩UNIQUENESS
This indicator differs from a normal volume profile indicator by it's ability to weight volumes based on their distance to the current time. Giving weight to volumes may offer new trading opportunities to traders as they can now see the most recent Point Of Control (POC) or a more powerful but past POC based on their choice. The indicator also has a variety of useful styling settings such as aligning the volume profile to the right or the left of the chart, POC Line styling and color settings for bullish & bearish volumes.
📌 HOW DOES IT WORK ?
A volume profile provides an in-depth look at trading activity over a period of time by plotting a histogram on the price axis. This indicator can also give weight to volumes based on their distance to the current time, essentially determining their importance for the profile. Here is how it works step-by-step :
1. Determine how much candlesticks the volume profile will cover (Analyze Bars setting)
2. Make a range from the highest point of chart to the lowest point of chart, then divide it into rows (Row Count setting)
3. For each candlestick, add it's volume to the corresponding row in the range. Note that the volume can be added into several rows if it overlaps with them.
4. If the candlestick is a bullish candlestick, we add it's volume into the bullish volume of the row, if it's a bearish candlestick, we add it to the bearish volume of the row.
With the weighted volume mode, which is activated if "Volume Weighthing" setting is set to "Recent" or "Past", all volumes get a penalty based on their distance to the latest candletstick. For example, if the setting is set to "Recent", the latest candlestick contributes it's volume by 100% to the corresponding row, but the candlestick which is 50 candlesticks far from the current candlestick only contributes it's volume by ~17% to the row. The same applies to the "Past" setting, but in the reversed order, where past candlesticks have more priority than the current ones.
Volume contribution percent for "Recent" setting : ((100 * 0.85) / (i + 1)) + (100 * (1.0 - 0.85))
Volume contribution percent for "Past" setting : ((100 * 0.85) * ((i + 1) / N)) + (100 * (1.0 - 0.85))
Where i = candlestick index from right to left, N = total number of candlesticks analyzed by the volume profile.
The Point Of Control (POC) line is drawn from the row with the most total volume, and is generally considered as a strong level because a lot of trading volume happened on that particular row. Traders may use this line as a support & resistance level.
Traders can use this indicator to have an insight of areas which price moves quickly without much volume, or see areas that holds the price still for much longer and plan their trades accordingly.
⚙️SETTINGS
1. General Configuration
Analyze Bars -> Total amount of bars that will be analyzed by the indicator from right to left.
Row Count -> The amount of rows that will the vertical range of chart will be divided into.
Volume Weighting -> The volume weighting mode as explained in the write-up.
2. Style
Align To -> The alignment of the volume profile.
Market sessions and Volume profile - By LeviathanThis script allows you to keep track of Forex market sessions (Tokyo, London and New York), as well as Daily, Weekly and Monthly sessions. All of them are accompanied by Volume Profile options where you can view VP Histogram, Point of Control, Value Area High and Value Area Low.
Colors, lines and other design preferences are fully customizable.
* Volume Profile of shorter sessions (eg. Tokyo, London, New York) works better when using lower timeframes such as 15min, 5min, etc.
** Use timeframe higher than 15min when viewing Monthly sessions
Indicator settings overview:
SESSION TYPE
- Tokyo session (1:00 - 9:00 UTC/ GMT )
- London session (7:00 - 16:00 UTC/ GMT )
- New York session (13:00 - 22:00 UTC/ GMT )
- Daily session
- Weekly session
- Monthly session
DISPLAY
- Show Volume Profile (Show or hide Volume Profile histogram)
- Show POC (Show or hide Point Of Control line)
- Show VAL (Show or hide Value Area Low line)
- Show VAH (Show or hide Value Area High line)
- Show Live Zone (Show or hide the ongoing session)
VOLUME PROFILE SETTINGS
- Resolution (The higher the value, the more refined of a profile, but less profiles are shown on the chart)
- Smooth Volume Data (Useful for assets that have very large spikes in volume over large bars, helps create better profiles)
APPEARANCE
- Up Volume color (Pick a custom color for up/ bullish volume profile nodes)
- Down Volume color (Pick a custom color for down/ bearish volume profile nodes)
- POC color and thickness (Pick a custom color and thickness for Point Of Control line)
- VAH color and thickness (Pick a custom color and thickness for Value Area High line)
- VAL color and thickness (Pick a custom color and thickness for Value Area Low line)
- Session box thickness (Pick a custom thickness for the session box. Color is provided automatically with optimal contrast)
** Some VP elements are inspired by @LonesomeTheBlue's volume profile script
Sonarlab - Volume ProfileThis Volume Profile is a charting tool that traders use to show the traded volume amount over a given time period. The reason we build this volume profile indicator is to confirm S&D zones and show where the most volume is resting in a specific given time.
Settings
- Auto Placement: Option to have the Volume Profile automatically placed
- Manual Placement: Able to place and move the Volume Profile anywhere of your choosing
- Bull vs. Bear Candle Style
- Up/Down Candle Style
- Highlight Point of Control (PoC)
Usage:
Focused on combining with SMC:
When trading SMC, normal volume profiles can be confusing and hard to trade - since it will catch the volume on the overall chart you're on. When trading SMC, we are interested in catching specific parts in a range which defines supply or demand.
What makes this volume profile different?
The Sonarlab Volume Profile is focused on combining with SMC, integrated with Smart Money Concepts (SMC) levels, such as the Swing High and Low levels. The Indicator will automatically find the most applicable position using our custom Swing Levels to provide users with maximum utility with zero effort. Where other volume profiles are more focused on overall volume, this volume profile is focused on volume in a specific range on automation using swing points in the market.
As in this example, the high volume areas are matching with traditional supply and demand zones. The price level with the most volume is highlighted by the "point of control" (POC), displayed by the yellow line. We can consider price will react from those "high volume" areas and trade more easily through "low volume" areas.
Price Range Volume Profile++ [Pt]█ Introduction
The Price Range Volume Profile++ (PRVP++) is an advanced, feature-rich indicator specifically designed for volume profile users for in-depth volume analysis. Unlike most other volume profile tools that are limited to a 5000-bar lookback, PRVP++ can utilize all available candles on the chart, offering an unparalleled scope of historical data analysis.
█ Main Features
Full Chart Historical Lookback : PRVP++ sets a new standard with its ability to analyze the entire history of candles available on a chart, far exceeding the typical 5000-bar limit of other tools. This feature allows traders to conduct a comprehensive and detailed study of volume data over extensive time periods.
Volume Profile Analysis : The tool provides an in-depth volume profile analysis, showcasing the distribution of trading activity across different price levels. This is crucial for identifying key areas of interest in the market.
Bull/Bear Strength Profile : A standout feature that displays the relative strength of buyers (bulls) and sellers (bears) at different price levels. This visual representation helps traders gauge market sentiment and power dynamics.
Automatic HVN and LVN Identification : PRVP++ automatically highlights High Volume Nodes (HVNs) and Low Volume Nodes (LVNs), making it easier for traders to identify significant zones of trading activity and potential breakout areas.
Customization and Visual Enhancements : Offers customization for the profile's width, horizontal offset, and a sophisticated gradient color scheme for HVNs and LVNs, enhancing the tool's visual appeal and analytical utility.
█ Input Parameters
Price Range : Sets the percentage distance for the volume profile relative to the current closing price, determining the extent of volume data analysis.
Profile Step Size (Tick Size) : Users can choose automatic sizing or set a specific tick step size, offering flexibility in the granularity of the volume profile.
Volume Profile Options : Includes settings for gradient power and color selections for high and low volume areas, along with a fun mode for random color variations.
Profile Placement and Appearance : Adjustments for profile width, horizontal offset, and the option for background fill to enhance visibility.
Background Fill : Allows users to fill the background of the volume profile range, enhancing the visual impact and readability.
Time Weighted Profile : An option that weights the volume profile to give more emphasis to recent trading activities, highlighting the impact of recent market movements.
Smooth Filter : A feature that smoothens the volume profile to reduce noise and fluctuations, offering a clearer view of dominant volume levels.
High and Low Volume Node Settings : Customizable detection settings for HVNs and LVNs, line styles, label text sizes, and the option to extend lines for clearer market analysis.
Extra Settings : Includes displaying the current price on the profile, a customizable settings table with adjustable location and font size, and table opacity.
Random Color Generation : A feature for dynamically changing the colors used in the volume profile.
█ Possible Use Cases
Long-Term Market Analysis : Due to its ability to analyze all available candles on the chart, PRVP++ is exceptionally suited for long-term market analysis. Traders can study the historical volume profile over extended periods, identifying significant volume trends and shifts that could impact long-term investment strategies.
Identifying Key Support and Resistance Levels : The automatic HVN and LVN identification feature of PRVP++ makes it easier for traders to spot potential support and resistance levels. HVNs often correspond to strong support or resistance zones where significant trading activity has occurred, while LVNs may indicate levels where the price could break through more easily.
Gauging Market Sentiment with Bull/Bear Strength Profile : The Bull/Bear Strength Profile helps traders understand the prevailing market sentiment at different price levels. By analyzing the dominance of buying or selling pressure, traders can align their trades with the market's direction or prepare for potential reversals.
Intraday Trading and Scalping : For intraday traders and scalpers, the time-weighted feature and the ability to adjust profile step size offer valuable insights. By emphasizing recent trading activity and adjusting the granularity of the profile, traders can make more informed decisions based on short-term price movements and volume changes.
Breakout Trading : By utilizing the LVN identification, traders can pinpoint areas with low trading activity that might serve as potential breakout points. This information can be instrumental in formulating strategies to capitalize on sudden price movements.
Volume Gap Analysis : PRVP++ can be used to identify volume gaps, which are areas with significantly low volume. These gaps can act as important indicators for price movements, as prices may move quickly through these levels due to the lack of historical trading activity.
Risk Management and Position Sizing : Understanding the volume profile can aid in better risk management and position sizing. By recognizing areas of high and low volume, traders can set stop-loss orders more effectively and adjust their position sizes according to the perceived strength of support or resistance levels.
Swing Trading : For swing traders, the comprehensive historical lookback and HVN/LVN analysis provide critical information about where to enter and exit trades. Swing traders can utilize these features to identify trend reversals and momentum shifts.
█ Best Practices and Tips
Start with a Clear Understanding : Before utilizing PRVP++, ensure you have a solid grasp of volume profile concepts. Understanding High Volume Nodes (HVNs), Low Volume Nodes (LVNs), and their implications on market behavior is crucial.
Combine with Other Analysis Tools : While PRVP++ is powerful, it's most effective when used in conjunction with other technical analysis tools and indicators. Combining volume profile data with price action analysis, trend lines, and technical indicators can provide a more comprehensive market view.
Customize According to Your Trading Style : Tailor the tool's settings to fit your trading strategy. Day traders might prefer a more detailed profile, while long-term investors may benefit from broader data analysis.
Pay Attention to HVNs and LVNs : HVNs can indicate potential support or resistance areas, while LVNs might suggest breakout points. Monitor these areas closely for trading opportunities.
Utilize the Full Historical Lookback Feature : For a broader perspective, use the full historical lookback feature to understand long-term volume patterns and their impact on current price movements.
Keep an Eye on Bull/Bear Strength : Use the Bull/Bear Strength Profile to gauge market sentiment at different price levels. This can help in predicting potential price movements.
Regularly Update Your Strategy : As market conditions change, regularly review and adjust your use of PRVP++ to ensure it aligns with current market dynamics.
Stay Informed About Market News : Be aware of how economic news and global events might affect the volume and price, as these factors can significantly impact the effectiveness of volume-based strategies.
█ Disclaimers and Risk Advice
No Guarantee of Profits : Trading involves risk, and the use of the PRVP++ tool does not guarantee profits. Always be aware of the potential for loss.
Educational Purposes Only : The information provided by PRVP++ is for educational purposes only and should not be considered financial advice.
Not a Standalone Tool : PRVP++ should not be used as a standalone decision-making tool. Combine it with comprehensive market analysis and personal judgment.
Past Performance Not Indicative of Future Results [/b: Historical data and trends analyzed by PRVP++ do not guarantee future market behavior.
Use Risk Management : Always employ sound risk management strategies, including setting stop-loss orders and managing position sizes to protect your capital.
Personal Responsibility : Trading decisions remain the responsibility of the individual trader. Use PRVP++ as one of several tools in your decision-making process.
Price Range Volume Profile [Pt]█ Introduction
The Price Range Volume Profile (PRVP) is a revolutionary indicator. This tool stands out from its peers due to its unique ability to capture the entire price chart history, thus providing a comprehensive volume profile of the entire asset's trading history, as available on TradingView chart. It's worth noting that I believe this tool is the first of its kind to accomplish such a feat. A much recommended tool if you are a volume profile trader.
█ Main Features
► Historical Lookback: This feature dives deep into the past, grasping all the historical data of an asset. It's equipped to handle up to 20,000 bars, although users without a premium TradingView account are advised to keep it at a maximum of 10,000 bars, or just use the "Full Historical Lookback" feature.
► Volume Profile / POC: Displays the distribution of volume across price levels for the selected price range. The Point of Control (POC), which is the price level with the highest traded volume, is also highlighted.
► Customization: Users have the flexibility to adjust the profile's appearance, including profile width, horizontal offset, and the option to fill the background of the profile range.
► Time Weighting: This feature allows users to give more weight to recent trading activity, which can be especially useful for intraday traders or during times of high volatility. Note that this feature will impact the volume profile and POC level.
► Settings Table: A settings table is displayed on the chart for users to quickly reference their input parameters.
█ Input Parameters
► Lookback Timeframe: Determines the period for which the volume profile is generated.
► Price Range: The percentage distance to consider for the profile, adjusted above and below the current closing price.
► Profile Step size: The granularity of the volume profile. Users can opt for automatic step size based on a predefined calculation or set their preferred tick step size.
► Historical Bars Lookback: Determines the number of bars to include in the volume profile calculation.
► Profile Visuals: Adjust the appearance and layout of the volume profile on the chart.
► Extra: Additional settings including the display of a settings table and its location.
█ Basic Understanding of Volume Profile - How to use PRVP?
Volume Profile is a valuable tool for traders who want insights into where the majority of trading activity has occurred. Here are some tips to make the most of it:
► Understand the Basics: Before using the Volume Profile, ensure you understand the difference between it and the standard volume histogram. While both represent volume, the former displays it against price while the latter shows it against time.
► Identify High Volume Nodes (HVN) and Low Volume Nodes (LVN):
◊ HVN: Areas where there's a lot of trading activity and where the price has spent a lot of time. These areas can act as strong support or resistance.
◊ LVN: Areas where there's a lack of trading activity. Prices might move quickly through these areas, and they can act as potential breakpoints or accelerators for price movement.
► Locate the Point of Control (POC): This is the price level with the highest traded volume for a specified period. It often acts as a magnet for price, and it can serve as a pivot or reference point.
► Trend Confirmation: A shift in the volume profile from one price level to another can confirm a trend. For instance, if higher volume starts to build at higher price levels, it may indicate a strong uptrend.
► Watch for Volume Gaps: If there's a significant gap in the volume profile, prices may move quickly through these levels as there's little historical trading activity to act as support or resistance.
█ Other Usage Tips
◊ For optimal performance, ensure that the chosen timeframe aligns closely with the chart timeframe. Differences in timeframes may lead to minor discrepancies in the volume profile.
◊ To address any errors arising from too many levels displayed on the volume profile, consider increasing the Profile Step size or reducing the Price Range.
Interactive Volume Profile - Based on LTF volumeHere is my first attempt on defining volume profile. In this script, I am using new feature of pine security_lower_tf
Upon loading the script, it will ask users to select Time range to show the volume profile. Once you select the time range, confirmation input will popup. Upon confirming the inputs, you will be able to view the volume profile
Settings are pretty simple. Some of them appear as part of confirmation.
Limitation due to availability of LTF bars
security_lower_tf can only fetch upto 100k bars, Hence, if we move the starting point beyond that, we will only see volume profile from the bar where LTF volume data is available. Increasing lower timeframe resolution will also increase the available range of volume profile. Option also available to use max range instead of time based range. If max bar range is selected, then volume profile is drawn based on all the bars for which LTF volume is available.
An example of all combinations are show below.
Selecting the granularity of volume profile
Number of levels can be set from settings which impacts the granularity of volume profile. Below is the example of how different values for number of levels behave.
Footprint Chart + Volume ProfileFootprint charts provide volume information to candlestick charts. This indicator specifically provides the quantity of Market Orders executed on each side of the Order Book, thereby showing you the number of contracts that had hit the bid or the offer - and it does so on each bar.
In addition, it visualises a Volume Profile for each bar, providing you an even better visualisation, contrasted to that which renders the numbers alone.
This Footprint Chart calculates executed orders by getting the change in volume for every price move and pooling them on their corresponding "tick bucket". Their specific "tick bucket" is calculated on the nearest "tick", the size of which you will provide by setting the "Tick Size/ Increment" to whichever tick size you need .
For instance, volume changes on a price of 10.4 on a 1 tick Footprint Chart will be recorded as part of the nearest whole number(10), while on a 3 tick Footprint Chart, it will be recorded as part of 9 as it is the nearest multiple of 3.
Calculating the "tick bucket" this way is most conservative, however, if you would like it calculated differently — Having the volume changes recorded on the succeeding tick, e.g. Recording 10.4 as 12 on a 3 tick Footprint Chart. Simply set the "Tick Basket Assignment" to "Next Tick", While setting the same to "Previous Tick" records volume changes on the preceding tick. Default is "Nearest Tick".
How to read the Footprint Chart?
This Footprint Chart depicts a portion of the Depth of Market, arranged in such a way that the left side represents the bid, while the right side represents the ask. It is therefore natural that orders hitting the bid (Market Sells) are to be placed on the Left Side of the chart while orders hitting the ask (Market Buys) are to be placed on the Right Side. This way, you can visualise how the current price came to be, as well as observe with the several order flow analysis concepts and ideas you can apply. In summary, numbers on the Left represents Sell Orders and numbers on the Right represents Buy Orders.
If, however, you wish to see only the total volume that transacted within the bar, you may do so by toggling the "Split Buy and Sell" option.
Footprint Chart showing only the total volume:
Furthermore, this chart has its own candles, the width of which can be adjusted accordingly.
Volume Profile
This Footprint Chart offers a Stacked Volume Profile and an Unstacked Volume Profile, the former renders a Volume Profile which compares the buys from the sells, the better to visualise levels of activity, the latter renders a standard Volume Profile which shows the total volume that transacted on a price tick.
The type of Volume Profile that this Footprint Chart renders is similar to that of a Periodic Volume Profile, which renders Volume Profiles for every bar on the chart. Furthermore, the width of each Volume Profile bar of this Footprint Chart is relative to the largest volume transacted on the current session, the session beginning from the point you have opened the Footprint Chart until the 500th bar, capped for optimisational purposes, and shall adjust the session start accordingly once this limit had been reached. The Volume Profile bars' width will therefore change agreeably to each significant volume update, and sized relatively with that of the others.
Optimisation
This Footprint Chart utilises several drawings and calculations for attaining its visuals, the arrangement of which makes it more pleasing and easier to understand. Several optimisations have been implemented within the code, e.g. utilising queues, however, if you wish for it to be even more optimised, you can use an "Unstacked" Volume Profile, using larger tick sizes, as well as using 0 decimal placements for the Footprint Chart.
Furthermore, deselecting "Use Stacked Bars" will allow more boxes to be drawn, and will double the amount of boxes the volume profile can use.
Limitations
No historical tick data have yet been made available for use and so this Footprint Chart only has realtime data at its disposal. Historical footprints are therefore not rendered, the boundary of which is delineated by a vertical broken line.
Tips
This Footprint Chart is best viewed on a chart of its own, and it is therefore ideal to clear the chart of other candles by hiding them or utilising a line chart alternatively . In addition, stretch the time scale to its utmost capacity, the better to see properly the Volume Profile, as well as stretch the price scale to a proper height, the better to read the footprint volumes inscribed on the indicator.
Warnings
Changing settings may cause the Footprint Chart to reset. If, in case you have been accumulating Footprint Charts and wish to change some settings for the benefit of your charting, it is best to take a snapshot of your chart prior, for recent changes may cause resets to occur.
Frequency and Volume ProfileFREQUENCY & VOLUME PROFILE
⚪ OVERVIEW
The Frequency and Volume Profile indicator plots a frequency or volume profile based on the visible bars on the chart, providing insights into price levels with significant trading activity.
⚪ USAGE
● Market Structure Analysis:
Identify key price levels where significant trading activity occurred, which can act as support and resistance zones.
● Volume Analysis:
Use the volume mode to understand where the highest trading volumes have occurred, helping to confirm strong price levels.
● Trend Confirmation:
Analyze the distribution of trading activity to confirm or refute trends, mark important levels as support and resistance, aiding in making more informed trading decisions.
● Frequency Distribution:
In statistics, a frequency distribution is a list of the values that a variable takes in a sample. It is usually a list. Displayed as a histogram.
⚪ SETTINGS
Source: Select the price data to use for the profile calculation (default: hl2).
Move Profile: Set the number of bars to offset the profile from the current bar (default: 100).
Mode: Choose between "Frequency" and "Volume" for the profile calculation.
Profile Color: Customize the color of the profile lines.
Lookback Period: Uses 5000 bars for daily and higher timeframes, otherwise 10000 bars.
The Frequency Profile indicator is a powerful tool for visualizing price levels with significant trading activity, whether in terms of frequency or volume. Its dynamic calculation and customizable settings make it a versatile addition to any trading strategy.
Average Volume ProfileAverage Volume Profile is an abstract based on a user suggestion.
The information displayed could be summed up as a volume profile divided by a market profile.
This indicator is a profile which displays the average volume of an area (of price).
It also calculates and displays the highest average volume point (HAV) and the relating value zones (calculated in the similar fashion to a volume profile).
Most of the code is directly from my "Volume/Market Profile" Indicator
I am not entirely sure of how to make use of the information displayed in this indicator or how useful it is.
However, I have added some things I figured would be useful to comprehend this information, such as:
- Read-out for highest average volume
- Read-out for current price average volume
- Read-out for current candle distributed volume (labeled as: "Vol")
- Floating line to visualize the current distributed volume in relation to the rest of the profile.
- Color changing labels for when the current distributed volume is higher than the current price avg volume.
Enjoy!
Bitcoin Aggregated Volume Profile «NoaTrader»If you use volume profile for analyzing Bitcoin, you may know that sometimes the decisions of big CEXs like Binance can change the volume of each symbol and so the analysis perceived from the data (which may not be valid anymore); Like when Binance decided to transfer the free transaction fee promotion from BTCUSDT to BTCTUSD pair or the new introduced BTCFDUSD pair with volume market share as much as BTCTUSD after only 1 month (according to the coinmarketcap's data).
This indicator tries to solve that problem for using volume profile. So, it collects all the volumes of different pairs from different exchanges and then uses all of them to calculate the volume profile.
Also, there is an option to compare the current symbols volume to the whole volume profile which is a Boolean option in the settings (the picture above)
The aggregated volume data includes:
BINANCE:BTCUSDT
BINANCE:BTCTUSD
BINANCE:BTCBUSD
BINANCE:BTCFDUSD
BINANCE:BTCDAI
BINANCE:BTCEUR
BITSTAMP:BTCUSDT
BITSTAMP:BTCUSD
COINBASE:BTCUSDT
COINBASE:BTCUSD
COINBASE:BTCEUR
HUOBI:BTCUSDT
KUCOIN:BTCUSDT
KRAKEN:XBTUSD
KRAKEN:XBTEUR
BITFINEX:BTCUSD
BYBIT:BTCUSDT
KRAKEN:BTCUSD
OKX:BTCUSDT
Resistances and supports based on simplified Volume ProfileThis study tries to highlight support and resistances
as they are defined by
TradingLatino TradingView user
His definition is based on volume peaks
on the official TradingView Volume Profile
indicator that seem rather big on size.
As a bonus it also serves as a rather simple volume profile indicator.
As you can see it only show last blocks volume profile.
It's aimed at BTCUSDT pair and 4h timeframe.
HOW IT WORKS
HOW IT WORKS - Recent Profile Block
It gathers volume from the last 100 Bars
in order to draw the recent profile block
Volume that intersects with current level range
being studied is added to its value.
Additionally the current level price is modified
so that it matches the level price where most
of the volume has concentrated
So you get a pretty accurate way of the volume
while at the same time the level are not stuck
to arbitrary level prices.
HOW IT WORKS - Resistances and Supports
It calculates the level which its price it's
nearer (from below) to the current price level
Resistance is found steping up (from current prive level)
level by level
till you find a level which its value
is higher than the previous level value.
Support is found steping down (from current prive level)
level by level
till you find a level which its value
is higher than the previous level value.
That way you ignore rather small
resistances and support values.
Finally the resistances and supports are drawn next to the recent profile block
so that you can look at them with ease.
If you hover over the label you can double check if you are looking at
current price, resistance or support levels.
SETTINGS
Bars in recent profile block : How many previous period volumes are used to calculate the recent profile block
Row width multiplier : Adjust how big the recent profile block seems to be
Resistances prices number of decimal digits : How many digits is shown at the resistance and support level prices.
WARNING
Please be aware that depending on your security and timeframe you might need to modify the
'Bars in recent profile block' setting so that the study does not timeout.
USAGE
If your strategy calculates take profit
limits on higher resistances based
on volume you could use this indicator
resistance detector
FEEDBACK 1
This is my first volume indicator.
I suppose that each trader
has his own approach on defining
resistances and supports.
I'm interested on knowing if the default way
this resistances and supports are calculated
matches what other traders would have
highlighted manually on the chart.
FEEDBACK 2
I have only used this identifier in BTCUSDT 4h timeframe.
I'm interested to know what needs to be tweaked
in other securities and timeframes.
PINE STUDY TRICK
This study let's you choose the number of decimals the label will use.
CREDITS
I have reused and adapted some code from
'Poor man's volume profile' study
which it's from TradingView IldarAkhmetgaleev user.
I also wanted to thank him for helping me understanding his study.
Price & Volume Profile (Expo)█ Overview
The Price & Volume Profile provides a holistic perspective on market dynamics by simultaneously tracking price action and trading volume across a range of price levels. So it is not only a volume-based indicator but also a price-based one. In addition to illustrating volume distribution, it quantifies how frequently the price has fallen within a particular range, thus offering a holistic perspective on market dynamics.
This unique and comprehensive approach to market analysis by considering both price action and trading volume, two crucial dimensions of market activity. Its distinctive methodology offers several advantages:
Holistic Market View: By simultaneously tracking the frequency of specific price ranges (Price Profile) and the volume traded at those ranges (Volume Profile), this indicator provides a more complete picture of market behavior. It shows not only where the market is trading but also how much it's trading, reflecting both price acceptance levels and market participation intensity.
Point of Control (POC): The POC, as highlighted by this indicator, serves as a significant reference point for traders. It identifies the price level with the highest trading activity, thus indicating a strong consensus among market participants about the asset's fair value. Observing how price interacts with the POC can offer valuable insights into market sentiment and potential trend reversals.
Support and Resistance Levels: Price levels with high trading activity often act as support or resistance in future price movements. The indicator visually represents these levels, enabling traders to anticipate potential price reactions.
Price Profile
Price and Volume Profile
█ Calculations
The algorithm analyzes both trade frequency and volume across different price levels. It identifies these levels within the visible chart range, then examines each bar to determine if the selected price falls within these levels. If so, it increases a counter and adds the trading volume. This process repeats across the visible range and is visualized as a horizontal histogram, each bar representing a price level and the bar length reflecting trade frequency and volume. Additionally, it calculates the Point of Control (POC), signifying the price level with the highest activity.
In summary: The histogram presents a dual perspective - not only the traded volume at each price level but also the frequency of the price hitting each range. The longer the bar, the more times the price has frequented that specific range, revealing key insights into price behavior and acceptance levels. These frequently visited areas often emerge as strong support or resistance zones, helping traders navigate market movements.
Please note that the indicator adjusts to the visible price range, making it adaptable to changing market conditions. This dynamic analysis can provide more relevant and timely information than static indicators.
█ How to use
This indicator is beneficial for traders as it offers insights into the distribution of trading activity across different price levels. It helps identify key areas of support and resistance and gives a visual representation of market sentiment and liquidity.
The point of control (POC) , which is the price level with the highest traded volume or frequency count, becomes even more crucial in this context. It marks the price at which the most trading activity occurred, signaling a strong consensus among market participants about the asset's fair value. If the market price deviates significantly from the POC, it could suggest an overbought or oversold condition, potentially leading to a price reversion.
Fair Price Areas/gaps are specific price levels or zones where an asset has spent limited time in the past. These areas are considered interesting or significant because they may have an impact on future price action.
Similar to the concept of fair value gaps, which refers to discrepancies between an asset's market price and its estimated intrinsic value, Fair Price Areas/gaps focus on price levels that have been relatively underutilized in terms of trading activity. When an asset's price reaches a Fair Price Area/gap, traders and investors pay attention because they expect the price to react in some way. The rationale behind this concept is that price tends to gravitate towards areas where it has spent less time in the past, as the market perceives them as significant levels.
█ Settings
The indicator is customizable, allowing users to define the number of price levels (rows), the offset, the data source, and whether to display volume or frequency count. It also adjusts dynamically to the visible price range on the chart, ensuring that the analysis remains relevant and timely with changing market conditions.
Source: The price to use for the calculation. Typically, this is the closing price. By considering the user-selected Source (typically the closing price), the indicator determines the frequency with which the price lands within each designated price level (row) over the selected period. In essence, the indicator provides a count of bars where the Source price falls within each range, essentially creating a "Price Profile."
Row Size: The number of price levels (rows) to divide the visible price range into.
Display: Choose whether to display the number of bars ("Counter") or the total volume ("Volume") for each price level.
Offset: The distance of the histogram from the price chart.
Point of Control (POC): If enabled, the indicator will highlight the price level with the most activity.
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Disclaimer
The information contained in my Scripts/Indicators/Ideas/Algos/Systems does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
My Scripts/Indicators/Ideas/Algos/Systems are only for educational purposes!
