Volume and Price Z-Score [Multi-Asset] - By LeviathanThis script offers in-depth Z-Score analytics on price and volume for 200 symbols. Utilizing visualizations such as scatter plots, histograms, and heatmaps, it enables traders to uncover potential trade opportunities, discern market dynamics, pinpoint outliers, delve into the relationship between price and volume, and much more.
A Z-Score is a statistical measurement indicating the number of standard deviations a data point deviates from the dataset's mean. Essentially, it provides insight into a value's relative position within a group of values (mean).
- A Z-Score of zero means the data point is exactly at the mean.
- A positive Z-Score indicates the data point is above the mean.
- A negative Z-Score indicates the data point is below the mean.
For instance, a Z-Score of 1 indicates that the data point is 1 standard deviation above the mean, while a Z-Score of -1 indicates that the data point is 1 standard deviation below the mean. In simple terms, the more extreme the Z-Score of a data point, the more “unusual” it is within a larger context.
If data is normally distributed, the following properties can be observed:
- About 68% of the data will lie within ±1 standard deviation (z-score between -1 and 1).
- About 95% will lie within ±2 standard deviations (z-score between -2 and 2).
- About 99.7% will lie within ±3 standard deviations (z-score between -3 and 3).
Datasets like price and volume (in this context) are most often not normally distributed. While the interpretation in terms of percentage of data lying within certain ranges of z-scores (like the ones mentioned above) won't hold, the z-score can still be a useful measure of how "unusual" a data point is relative to the mean.
The aim of this indicator is to offer a unique way of screening the market for trading opportunities by conveniently visualizing where current volume and price activity stands in relation to the average. It also offers features to observe the convergent/divergent relationships between asset’s price movement and volume, observe a single symbol’s activity compared to the wider market activity and much more.
Here is an overview of a few important settings.
Z-SCORE TYPE
◽️ Z-Score Type: Current Z-Score
Calculates the z-score by comparing current bar’s price and volume data to the mean (moving average with any custom length, default is 20 bars). This indicates how much the current bar’s price and volume data deviates from the average over the specified period. A positive z-score suggests that the current bar's price or volume is above the mean of the last 20 bars (or the custom length set by the user), while a negative z-score means it's below that mean.
Example: Consider an asset whose current price and volume both show deviations from their 20-bar averages. If the price's Z-Score is +1.5 and the volume's Z-Score is +2.0, it means the asset's price is 1.5 standard deviations above its average, and its trading volume is 2 standard deviations above its average. This might suggest a significant upward move with strong trading activity.
◽️ Z-Score Type: Average Z-Score
Calculates the custom-length average of symbol's z-score. Think of it as a smoothed version of the Current Z-Score. Instead of just looking at the z-score calculated on the latest bar, it considers the average behavior over the last few bars. By doing this, it helps reduce sudden jumps and gives a clearer, steadier view of the market.
Example: Instead of a single bar, imagine the average price and volume of an asset over the last 5 bars. If the price's 5-bar average Z-Score is +1.0 and the volume's is +1.5, it tells us that, over these recent bars, both the price and volume have been consistently above their longer-term averages, indicating sustained increase.
◽️ Z-Score Type: Relative Z-Score
Calculates a relative z-score by comparing symbol’s current bar z-score to the mean (average z-score of all symbols in the group). This is essentially a z-score of a z-score, and it helps in understanding how a particular symbol's activity stands out not just in its own historical context, but also in relation to the broader set of symbols being analyzed. In other words, while the primary z-score tells you how unusual a bar's activity is for that specific symbol, the relative z-score informs you how that "unusualness" ranks when compared to the entire group's deviations. This can be particularly useful in identifying symbols that are outliers even among outliers, indicating exceptionally unique behaviors or opportunities.
Example: If one asset's price Z-Score is +2.5 and volume Z-Score is +3.0, but the group's average Z-Scores are +0.5 for price and +1.0 for volume, this asset’s Relative Z-Score would be high and therefore stand out. This means that asset's price and volume activities are notably high, not just by its own standards, but also when compared to other symbols in the group.
DISPLAY TYPE
◽️ Display Type: Scatter Plot
The Scatter Plot is a visual tool designed to represent values for two variables, in this case the Z-Scores of price and volume for multiple symbols. Each symbol has it's own dot with x and y coordinates:
X-Axis: Represents the Z-Score of price. A symbol further to the right indicates a higher positive deviation in its price from its average, while a symbol to the left indicates a negative deviation.
Y-Axis: Represents the Z-Score of volume. A symbol positioned higher up on the plot suggests a higher positive deviation in its trading volume from its average, while one lower down indicates a negative deviation.
Here are some guideline insights of plot positioning:
- Top-Right Quadrant (High Volume-High Price): Symbols in this quadrant indicate a scenario where both the trading volume and price are higher than their respective mean.
- Top-Left Quadrant (High Volume-Low Price): Symbols here reflect high trading volumes but prices lower than the mean.
- Bottom-Left Quadrant (Low Volume-Low Price): Assets in this quadrant have both low trading volume and price compared to their mean.
- Bottom-Right Quadrant (Low Volume-High Price): Symbols positioned here have prices that are higher than their mean, but the trading volume is low compared to the mean.
The plot also integrates a set of concentric squares which serve as visual guides:
- 1st Square (1SD): Encapsulates symbols that have Z-Scores within ±1 standard deviation for both price and volume. Symbols within this square are typically considered to be displaying normal behavior or within expected range.
- 2nd Square (2SD): Encapsulates those with Z-Scores within ±2 standard deviations. Symbols within this boundary, but outside the 1 SD square, indicate a moderate deviation from the norm.
- 3rd Square (3SD): Represents symbols with Z-Scores within ±3 standard deviations. Any symbol outside this square is deemed to be a significant outlier, exhibiting extreme behavior in terms of either its price, its volume, or both.
By assessing the position of symbols relative to these squares, traders can swiftly identify which assets are behaving typically and which are showing unusual activity. This visualization simplifies the process of spotting potential outliers or unique trading opportunities within the market. The farther a symbol is from the center, the more it deviates from its typical behavior.
◽️ Display Type: Columns
In this visualization, z-scores are represented using columns, where each symbol is presented horizontally. Each symbol has two distinct nodes:
- Left Node: Represents the z-score of volume.
- Right Node: Represents the z-score of price.
The height of these nodes can vary along the y-axis between -4 and 4, based on the z-score value:
- Large Positive Columns: Signify a high or positive z-score, indicating that the price or volume is significantly above its average.
- Large Negative Columns: Represent a low or negative z-score, suggesting that the price or volume is considerably below its average.
- Short Columns Near 0: Indicate that the price or volume is close to its mean, showcasing minimal deviation.
This columnar representation provides a clear, intuitive view of how each symbol's price and volume deviate from their respective averages.
◽️ Display Type: Circles
In this visualization style, z-scores are depicted using circles. Each symbol is horizontally aligned and represented by:
- Solid Circle: Represents the z-score of price.
- Transparent Circle: Represents the z-score of volume.
The vertical position of these circles on the y-axis ranges between -4 and 4, reflecting the z-score value:
- Circles Near the Top: Indicate a high or positive z-score, suggesting the price or volume is well above its average.
- Circles Near the Bottom: Represent a low or negative z-score, pointing to the price or volume being notably below its average.
- Circles Around the Midline (0): Highlight that the price or volume is close to its mean, with minimal deviation.
◽️ Display Type: Delta Columns
There's also an option to utilize Z-Score Delta Columns. For each symbol, a single column is presented, depicting the difference between the z-score of price and the z-score of volume.
The z-score delta essentially captures the disparity between how much the price and volume deviate from their respective mean:
- Positive Delta: Indicates that the z-score of price is greater than the z-score of volume. This suggests that the price has deviated more from its average than the volume has from its own average. Such a scenario could point to price movements being more significant or pronounced compared to the changes in volume.
- Negative Delta: Represents that the z-score of volume is higher than the z-score of price. This might mean that there are substantial volume changes, yet the price hasn't moved as dramatically. This can be indicative of potential build-up in trading interest without an equivalent impact on price.
- Delta Close to 0: Means that the z-scores for price and volume are almost equal, indicating their deviations from the average are in sync.
◽️ Display Type: Z-Volume/Z-Price Heatmap
This visualization offers a heatmap either for volume z-scores or price z-scores across all symbols. Here's how it's presented:
Each symbol is allocated its own horizontal row. Within this row, bar-by-bar data is displayed using a color gradient to represent the z-score values. The heatmap employs a user-defined gradient scale, where a chosen "cold" color represents low z-scores and a chosen "hot" color signifies high z-scores. As the z-score increases or decreases, the colors transition smoothly along this gradient, providing an intuitive visual indication of the z-score's magnitude.
- Cold Colors: Indicate values significantly below the mean (negative z-score)
- Mild Colors: Represent values close to the mean, suggesting minimal deviation.
- Hot Colors: Indicate values significantly above the mean (positive z-score)
This heatmap format provides a rapid, visually impactful means to discern how each symbol's price or volume is behaving relative to its average. The color-coded rows allow you to quickly spot outliers.
VOLUME TYPE
The "Volume Type" input allows you to choose the nature of volume data that will be factored into the volume z-score calculation. The interpretation of indicator’s data changes based on this input. You can opt between:
- Volume (Regular Volume): This is the classic measure of trading volume, which represents the volume traded in a given time period - bar.
- OBV (On-Balance Volume): OBV is a momentum indicator that accumulates volume on up bars and subtracts it on down bars, making it a cumulative indicator that sort of measures buying and selling pressure.
Interpretation Implications:
- For Volume Type: Regular Volume:
Positive Z-Score: Indicates that the trading volume is above its average, meaning there's unusually high trading activity .
Negative Z-Score: Suggests that the trading volume is below its average, signifying unusually low trading activity.
- For Volume Type: OBV:
Positive Z-Score: Signifies that “buying pressure” is above its average.
Negative Z-Score: Signifies that “selling pressure” is above its average.
When comparing Z-Score of OBV to Z-Score of price, we can observe several scenarios. If Z-Price and Z-Volume are convergent (have similar z-scores), we can say that the directional price movement is supported by volume. If Z-Price and Z-Volume are divergent (have very different z-scores or one of them being zero), it suggests a potential misalignment between price movement and volume support, which might hint at possible reversals or weakness.
Volume
Liquidation Levels [LuxAlgo]The Liquidation Levels indicator aims at detecting and estimating potential price levels where large liquidation events may occur.
By analyzing liquidation Levels, traders can identify potential support & resistance levels, identify stop-loss levels, and gauge market sentiment and potential areas of price volatility.
🔶 USAGE
Liquidation refers to the process of forcibly closing a trader's leveraged positions in the market. It occurs when a trader's margin account can no longer support their open positions due to significant losses or a lack of sufficient margin to meet the maintenance margin requirements.
Liquidation events happen at all times and the script focuses on detecting the most significant ones. Bubbles will appear on the relevant price bar when larger trading activity has been detected. Larger bubbles represent more significant potential liquidation levels. The lines attached to the bubbles represent the liquidation zones at that price.
These liquidation levels are based on clusters of price points where highly leveraged traders open long or short positions. High leverage is identified as 100x, 50x, and 25x leverages used for both long and short positions. The script allows users to either remove or customize leverage levels.
Price generally heads towards zones or clusters of liquidity.
🔶 SETTINGS
🔹Liquidation Levels
Reference Price: defines the base price in calculating liquidation levels.
Volume Threshold: The volume threshold is the primary factor in detecting the significant trading activities that could potentially lead to liquidating leveraged positions.
Volatility Threshold: The volatility threshold option is the secondary factor that aims at detecting significant movement in the underlying asset’s price with relatively lower trading activities that could potentially also lead to liquidating high-leveraged positions.
Leverage Options: The leverage options are where the trader will set the desired leverage value and customize the potential liquidation level colors.
Hide Liquidation Bubbles: Toggles the visibility of the bubbles.
Hide Liquidation Levels: Toggles the visibility of the lines.
🔶 RELATED SCRIPTS
Liquidity-Sentiment-Profile
Buyside-Sellside-Liquidity
OI Volume Oscillator Cross DynamicsThe OI Volume Oscillator Cross Dynamics is a custom indicator designed to analyze the relationship between Open Interest (OI) and Volume Oscillator in the cryptocurrency markets. This tool aims to assist traders in identifying potential market sentiment shifts, enabling them to make informed trading decisions based on the dynamic interplay of these key market components.
Key Components:
Open Interest (OI): This component represents the total number of outstanding derivative contracts, such as futures and options, that have not been settled. Open Interest provides insights into market participation and trader commitment, offering a broader perspective on the flow of money into the market.
Volume Oscillator: The Volume Oscillator is a momentum indicator that showcases the difference between two volume moving averages. It is instrumental in identifying bullish or bearish market trends by providing insights into buying and selling pressure in the market.
Functional Dynamics:
Crossover Analysis: The indicator identifies points where the Volume Oscillator crosses above or below the Open Interest, marking potential shifts in market sentiment. These crossover points are visually represented, making them easily identifiable for analysis.
Visual Cues: The indicator uses visual shapes and colors to enhance interpretability. Bullish crossovers are marked with green upward triangles, while bearish crossovers are represented by red downward triangles.
Customization: The indicator allows for customization of the Volume Oscillator’s sensitivity through a multiplier, enabling traders to adjust the indicator according to their trading strategy and market outlook.
Usage Guidelines:
Bullish Scenario: A crossover of the Volume Oscillator above the Open Interest is interpreted as a bullish signal, indicating potential upward price movement due to increased buying pressure or trading activity.
Bearish Scenario: A crossover of the Volume Oscillator below the Open Interest is seen as a bearish signal, suggesting potential downward price movement due to increased selling pressure or reduced trading activity.
Conclusion:
The OI Volume Oscillator Cross Dynamics indicator is designed to provide traders with a nuanced perspective of market activity through the combined analysis of Open Interest and Volume Oscillator. Its design aims to offer valuable insights, allowing for a strategic approach to trading based on the observed market dynamics.
The code is open source and utilizes Binance info but you can alter the code to meet your needs to go beyond just Bitcoin if needed.
VWAP Balance ZonesVWAP Balance Zones (VBZ) Is based on 3 concepts.
Many Traders use VWAP to help determine Price Trends.
Trends are typically identified by new Highs or new Lows.
Balanced is found when Supply and Demand are mostly Equal.
VBZ tracks the daily, weekly, and monthly highs and lows; Then plots the average (50%) between the VWAP and the respective extremes.
50% VWAP Zones can be considered significant since they attempt to identify the equilibrium between market participants within the current trend, serving as key reference points to consider for decision making. >While in an uptrend, Buyers may see price falling to the Hi 50% as an attractive value entry for the continuation upwards.
>While ALSO in an uptrend, Sellers may see price falling to the Hi 50% as a change in sentiment with more downwards movement on the way.
Because of these conflicting mindsets, these zones are thought to display areas of balance between buyers and sellers, which can serve as potential decision points throughout the day.
VBZ Draws Zones from the Daily (High/Low/Close) VWAPs and the Day's (High/Low/Close) extremes as seen below.
Technically speaking, an average between vwap and extreme is a single point, to make these into zones I am using multiple sources for vwap and tracking different points of the bar throughout the day (ex. Close VWAP & Daily Highest Close)
Weekly and Monthly are only displaying the Average Price between the VWAP and the (Weekly or Monthly) High/Low.
These hold up as important levels for speculation; however, since most action will be discovered at the daily zones, I am not displaying the zones for the Weekly and Monthly to keep noise to a minimum.
Unique Behaviors:
- Weekly values are hidden on the first day of the week since they are similar to the daily values on the first day of the week.
- Monthly values are hidden in the first week of the month for the same reason.
NormInvTargetSeekerNormInvTargetSeeker
The NormInvTargetSeeker is a trading tool designed to aid traders in identifying and capitalizing on Distribution and Accumulation zones, highlighting specific price levels that could serve as targets for future price movements. Although the indicator itself is not multi-timeframe, an effective trading strategy might involve signal validation across multiple timeframes.
🔶 USAGE
The indicator identifies Distribution and Accumulation zones, providing potential targets for future price moves.
Traders are encouraged to use these zones as profit targets or potential reversal points.
Confluence Zones
These zones are identified as regions where various factors or levels converge, signaling an increased probability of price reaction.
They can be used to reinforce signals or identify levels where price might encounter significant resistance or support.
🔹 Trading Strategy
First, identify a signal on your primary trading timeframe.
Manually check higher timeframes to ensure the signal aligns with them.
Use the identified zones, whether Distribution or Accumulation, as target zones for your trades.
🔶 Order Blocks
The NormInvTargetSeeker identifies "Order Blocks" by examining a specified number of consecutive candles with a specific condition: the current candle must completely engulf the previous candle. This means that both the high and low of the current candle are higher and lower, respectively, than the high and low of the previous candle, signifying a dominant move in the direction of the current candle.
🔹 Trading Strategy
Target Confirmation: Order Blocks can serve to confirm target points, providing additional validation for identified levels.
Market Insight: They offer crucial insights into whether "big hands" or institutional players are positioned as buyers or sellers in the market.
Traders can use Order Blocks as a means to validate targets or key price levels, observing if the price reacts significantly upon reaching these blocks.
They can also provide insights into the general market direction or underlying market strength by identifying where the major market players are placing their orders.
🔶 SETTINGS
The indicator allows users to adjust various parameters to customize the display and logic of the tool to fit their needs.
🔹 Display Settings
Users can customize the colors and displays of various zones and labels to match their preferences.
🔶 LICENSE AND CREDITS
This work is licensed under Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0). More information here: creativecommons.org
This indicator utilizes a TypeScript implementation of the Normal Inverse function as a reference, which can be found here : github.com
Special thanks to the authors of the referenced code for providing a foundation upon which this indicator was built.
🔶 UPDATES
Current Version: 1.0.0
For future updates, please check the comment section.
🔶 CONTACT
For any questions or suggestions, please feel free to contact @RickSimpson on TradingView.
Moving Average of Volume for Up and Down ClosesThis indicator is intended to provide market bias information at a glance. Depending on the number of periods selected it can help identify changes in buying and selling sentiment or overall market bias. The two lines indicate increases and decreases in volumes for the selected number of periods. I recommend using this indicator with a minimum of clear support and resistance lines and a standard volume indicator. It does provided useful information as a stand-alone indicator. I don't use any indicators except volume, so this was meant to be my own personal volume analysis tool, however I feel that it can be very useful for other traders who may not have a deep understanding of volume analysis.
YD_Divergence_RSI+CMFThe ‘YD_Divergence_RSI+CMF’ indicator can find divergence using RSI (Relative Strength Index) and CMF (Chaikin Money Flow) indicators.
📌 Key functions
1. Search pivot high and pivot low points in a certain length of price.
2. Connect pivot high to pivot high , pivot low to pivot low , forming two standards for divergence in result.
The marker then plots only the higher high, lower low lines.
(higher low and lower high in prices are referred to hidden divergence, which are not considered in this indicator)
3. Compare the two standards with RSI and CMF indicators, send an alert if there is a divergence. As a result, the indicator will find four combination of divergence.
A. Higher high price / Lower RSI (Bearish RSI Divergence)
B. Lower low price / Higher RSI (Bullish RSI Divergence)
C. Higher high price / Lower CMF (Bearish CMF Divergence)
D. Lower low price / Higher CMF (Bullish CMF Divergence)
📌 Details
Developing the indicators, we put a lot of effort in making a customizable and user-friendly interface.
#1. Pivot Setting
Users can set the length to find the pivot high / pivot low in ‘Pivot Settings – Pivot Length.’
Increased pivot Length takes more candles to interpret the chart but reduce false signals since the it uses only the most certain pivot high / pivot low values. Obviously, decreased pivot length will act the opposite.
Users can choose whether to use ‘High/Low’ or ‘Close’ in ‘Pivot Reference’ to set the swing point of prices.
Users can also choose whether to display the pivot high / pivot low marker on the chart.
#2 RSI & CMF Settings
Users can adjust the length of RSI & CMF separately. (The default values are set to 14 and 20 each.)
#3 Label Setting
Users can adjust the text displayed on the chart label. (The default values is set to ‘Bullish / Bearish’, ‘RSI/CMF’, ‘Divergence’.)
Users can reduce the length of text label or simply turn the label off. Just click the ‘Bull/Bear’ or ‘None’ button. ‘Divergence’ works the same.
Users can decide whether to display the ‘Divergence Line and Label’, set custom settings for the label and line. (color, thickness, style, etc)
📌 Alert
Alert are provided as a combination of the chart's symbol and the set label text. For example,
‘BINANCE:BTCUSDT.P, Bullish RSI Divergence’
====================================================
"YD_Divergence_RSI+CMF" 지표 는 RSI와 CMF 지표를 이용해서 Divergence 를 찾아낼 수 있습니다.
📌 주요 기능
1. 정해진 가격 움직임 안에서 pivot high와 pivot low 포인트 를 찾아냅니다.
2. Pivot high로만 이어진 라인과, Pivot low로만 이어진 두 라인을 작도한 뒤 divergence의 기준으로 삼습니다.
이 지표에서는 normal divergence만 사용하기 때문에 차트에 higher high와 lower low만 표기 합니다.
(higher low와 lower high는 hidden divergence로 정의되며, 이 지표에서는 다루지 않습니다.
3. 두 기준선과 RSI, CMF 지표를 각각 비교하고, 결과적으로 4개의 조합을 구할 수 있습니다.
A. Higher high price / Lower RSI (Bearish RSI Divergence)
B. Lower low price / Higher RSI (Bullish RSI Divergence)
C. Higher high price / Lower CMF (Bearish CMF Divergence)
D. Lower low price / Higher CMF (Bullish CMF Divergence)
📌 세부 사항
지표를 개발하며 사용자들이 원하는 방향으로 지표를 설정할 수 있게 작업에 많은 공을 들였습니다. 굉장히 다양한 옵션을 선택할 수 있으며, 원하는 방식으로 지표를 사용할 수 있습니다.
#1 Pivot Setting
Pivot setting에서는 Pivot Length를 변경할 수 있습니다.
Pivot Length를 늘릴 경우, 보다 확실한 Swing High와 Swing Low만을 사용하게 되므로, False signal이 줄어들 수 있습니다. 하지만 Swing High/ Low를 판정하는 데에 더 긴 시간이 걸리게 되므로, Signal이 다소 늦게 발생하는 단점이 생기게 됩니다.
Pivot Length를 줄일 경우, 반대로 Swing High/Low의 판정이 더 빨리 일어나기 때문에, Signal을 거래에 이용하기는 좋을 수 있습니다. 다만, Swing High와 Low가 훨씬 더 잦은 빈도로 발생하기 때문에 False Signal을 줄 가능성이 높아집니다.
Pivot Reference에서는 가격의 Swing Point를 설정함에 있어, High/Low(고가/저가)를 이용할 지 Close (종가)를 이용할 지 선택할 수 있습니다.
Pivot High/Low Marker를 선택할 경우 Pivot High/ Low에 Marker가 찍히게 됩니다.
#2 RSI와 CMF Setting
RSI와 CMF Setting에서는 RSI와 CMF의 길이를 각각 설정할 수 있습니다. 기본값은 14와 20으로 설정되어 있습니다.
#3 Label Setting
Label Setting에서는 Label에 표시되는 글자를 선택할 수 있습니다.
기본값은 "Bullish / Bearish", "RSI/CMF", "Divergence"로 선택되어 있으며, 너무 길다고 느껴질 경우 "Bull/Bear" 혹은 "None"을 클릭하여 길이를 줄일 수 있습니다. 마찬가지로 Divergence의 경우도 생략이 가능합니다.
하단에서는 Divergence Line과 Label을 켜고 끌 수 있으며, 선의 색깔, 굵기, 종류, 그리고 Label의 색깔, 크기, 종류를 선택할 수 있습니다. Label의 Text 색 역시 변경이 가능합니다.
📌 얼러트
얼러트는 자신이 설정한 차트의 심볼과 Label의 문구의 조합으로 제공되며 예를 들면 다음과 같습니다.
"BINANCE:BTCUSDT.P, Bullish RSI Divergence"
PhantomFlow DynamicLevelsThe PhantomFlow Dynamic Levels indicator analyzes the dynamic volume over the period specified in the Period field. Channel boundaries can be used as dynamic support and resistance levels when trading within a range. The POC level also serves as a level at which the price may react during trend movements. The Period Multiplier parameter affects how many dynamic levels will be displayed. The Accuracy parameter influences the precision of volume calculations.
These levels are crucial for intraday traders as they serve as support or resistance. The Value Area zone includes 70% of the traded volume over the selected period. In other words, it represents the price region where the majority of traders believe the fair value for the asset lies.
The indicator's name, Dynamic Levels, aptly captures its essence. It analyzes trading volume at various price levels, tracking the sentiment dynamics of traders. When the asset's price decreases or increases as a result of trading, the Dynamic Levels indicator displays a new level on the chart. This results in a plotted line on the chart, allowing us to observe the movement dynamics of both the value area and the maximum volume level.
Standard indicators do not provide real-time visibility into level shifts, making the use of the Dynamic Levels indicator a competitive advantage in market trading across any time frame.
We borrowed the volume profile calculation code from @LonesomeTheBlue. Thank you for the work done!
Noa: Z-distance from VWAP with Kalman Smoother
Title: Noa: Z-distance from VWAP with Kalman Smoother
Description:
The "Z-distance from VWAP with Kalman Smoother" is a tool constructed on the premise that price evolves in distinct stages: normal or extreme trends (upward or downward) and transitional periods, termed as 'flips'. The Volume Weighted Average Price (VWAP) serves as a benchmark, representing the market's expectation of a fair value over a given time frame. However, since each stock trades on its unique price scale, direct comparisons are not feasible. This script introduces a standardized method, using the Z-score from the VWAP, to understand and compare these relationships across diverse scales.
Core Principles:
Stages of Price Movement:
- Prices don't move purely randomly; while they contain a random element, they oscillate in discernible patterns or stages—either maintaining a trend (normal or extreme) or undergoing transition (flip).
- VWAP as Fair Value: VWAP offers a dynamic representation of what the market perceives as fair value for a stock over a specific period.
- Standardizing Price Relations: Given the varied scales at which different stocks trade, a model was imperative to standardize these relations. The Z-score from the VWAP fulfills this role, offering a normalized measure of how far the price deviates from its perceived fair value.
Features:
Z-score Levels:
The indicator demarcates various stages of price movements, offering clarity on potential overbought or oversold conditions.
- Extreme Up Trend: Indicated when the Z-score surpasses the upper limit.
- Normal Up Trend: Represented when the Z-score lies between the flip upper and the upper limit.
- Transition (Flip): Recognized when the Z-score oscillates within the flip range.
- Normal Down Trend: Denoted when the Z-score is between the flip lower and the lower limit.
- Extreme Down Trend: Marked when the Z-score falls below the lower limit.
Visual Aids:
- Color-coded regions between specific Z-score levels and the Z-score plot itself elucidate the current market state.
- Kalman Filter: By incorporating a Kalman filter, the indicator offers a less noisy and smoother representation of the Z-score, enhancing its interpretability.
Usage:
Trend Analysis:
- The Z-score states and the color-coded plot facilitate a nuanced understanding of the prevailing market trend.
- Potential Reversal Points: Extremely positive or negative Z-scores might hint at impending reversals.
- Buy/Sell Signals: Z-score's interactions with the flip level can be interpreted as potential trading signals.
Example (for illustration purposes only):
AAPL since April 2022: The stock exited from a normal uptrend and transitioned potentially towards a downtrend. By the end of April, AAPL flipped twice before transitioning to a normal downtrend. By early May, the stock moved into an aggressive downtrend. Market buyers were able to counter this downtrend by June, but selling pressure persisted, pushing the stock back into an aggressive downtrend. By the end of June, buyers halted the aggressive selling and transitioned the stock from an aggressive to normal downtrend, then to a flip, and finally to a normal uptrend by the end of August. AAPL briefly peaked into an aggressive uptrend before being pressured back to a normal downtrend. The rest of 2022 saw AAPL attempting several short-lived uptrend flips. However, 2023 brought a change, with AAPL flipping into a normal uptrend by the end of January, maintaining it until August of that year.
Credits:
This script, inspired by Z distance from VWAP by LazyBear and Kalman Smoother by alexgrover, was revamped and enriched by nord-ouestadvisors to embed these core principles and heighten its usability. A special acknowledgment to ChatGPT by OpenAI for the guidance.
Volume peak based zonesThis is a simple but effective indicator based on simple volume.
What does this indicator for you:
Zones are drawn on the basis of volume peaks. It is used for this purpose the closing price to the high or to the low depending on the direction of the candle.
How can this be used:
With volume peaks one assumes that a movement has reached your end for the time being or a new movement is initiated.
This cannot be verified by simple volume alone.
If a zone is displayed is now to pay attention to the following:
Narrow zone: indicate when creating mostly a continuation of the trend. Can later, however, be used as support or resistance.
Medium zones: The price is in an accumulation phase. Here is crucial, whether a candle with increased volume (preferably above the volume SMA) arises and the high or the low of the zone by closing price leaves. Accordingly, a short or long position can be taken. As SL, the high or low of the zone or the candle itself can be used.
Large zones: The high and low of the zone indicate a range in which the price will stay in the near future. The low or the high can be used as a once if the price does not leave the zone despite high volume at the close.
Otherwise, this can be interpreted as a breakout.
Principles of Volume:
Rising Volume at Rising Price = Intact Trend
Rising Volume at Falling Price = Intact Trend
Falling volume at rising price = correction movement
Falling volume at falling price = correction movement
Have Funn!!
Volume Spike Analysis [Trendoscope]The Volume Spike Analysis is designed to detect volume spikes in a trading instrument's data. Rather than relying on the traditional method of comparing volume to its moving average, this indicator employs a distinctive approach to ensure accuracy.
Methodology
Historical Volume Comparison: The indicator first assesses the current bar's volume, say 100k, and looks back historically to determine the last instance when the volume was equal to or exceeded this level.
High Volume Bar Gap Calculation: The intervals or gaps between high volume bars are recorded. These gaps help in determining how common or rare a particular volume spike is.
Spike Magnitude Determination: Here, the extent of the volume spike is gauged in relation to either the median, lowest, or average volume of the intervening bars. The reference metric (median, lowest, or average) can be chosen by the user through the "Volume Spike Reference" input parameter.
Spike Percentile Analysis: The calculated spike magnitude (as a percentage of the reference volume) is cataloged. This collection aids in understanding the relative intensity of the current volume spike when compared to previous spikes.
Threshold Comparisons: The indicator then compares the calculated "High Volume Distance Percentile" to the "Last High Volume Distance Percentile" and the "Volume Spike Percentile" to the "Volume Spike Threshold". If these values surpass the preset thresholds, the current bar is flagged as a high volume or volume spike bar.
Visual Components
Bar Highlighting : High volume or volume spike bars are accentuated with bright colors for easy identification. All other bars have increased transparency to reduce visual clutter.
Distance from the High Volume Bar: Indication of the number of bars since the last high volume occurrence and its respective percentile.
Comparative Factors: A factor representing the magnitude by which the current volume surpasses the lowest, median, and average volumes.
Lowest, Median and Average Volumes: The lowest and median volumes are indicated by tooltips on lines marking the respective bars. The average volume is depicted as a dotted horizontal line, with a triangle marker tooltip revealing its value.
This indicator offers a nuanced analysis of volume spikes, aiding traders in making more informed decisions.
MADALGO`s Enhanced OBV DivergencesDescription:
MADALGO's Enhanced OBV Divergences indicator is a unique tool designed for traders to visualize the divergences between price action and On Balance Volume (OBV), a fundamental aspect often indicative of underlying strength or weakness in the market. By keenly identifying these divergences, traders are better positioned to anticipate potential trend reversals or trend continuations, making this script an invaluable addition to their technical analysis toolkit.
This script meticulously scans for both regular and hidden bullish/bearish divergences, providing a comprehensive view of market sentiment. The core of this indicator is built around the OBV, which cumulatively adds or subtracts volume based on the price movement per period, thus providing a running total of volume and portraying the force behind the price movements.
The regular divergences are classic indicators of a potential reversal in the current trend, while hidden divergences are often indicative of trend continuation. These divergences are pinpointed based on the relative positions of the OBV and price highs/lows, over customizable lookback periods and within specified lookback ranges.
Features:
Regular and Hidden Divergences: Clearly marked bullish and bearish divergences provide insights into potential market turning points.
On Balance Volume (OBV) Line: Visualize the continuous flow of buying and selling pressure, enabling the identification of accumulation or distribution phases essential for understanding the market's strength or weakness.
Moving Average of OBV: An optional feature to smooth the OBV line, aiding in the identification of the overarching trend.
Dynamic Statistics Label: A floating label provides real-time updates on essential statistics like the Rate of Percentage Change (RPC) of OBV, the last divergences, and bars since the last divergences.
Inputs:
Pivot Lookback Right and Pivot Lookback Left: Define the lookback periods for identifying pivot points in the OBV line.
Max of Lookback Range and Min of Lookback Range: Define the range for considering divergences.
RPC Period: Defines the period for calculating the Rate of Percentage Change of the OBV.
MA Period: Defines the period for the optional moving average of the OBV.
Plot Bullish, Plot Hidden Bullish, Plot Bearish, Plot Hidden Bearish: Toggle visibility of respective divergences.
Plot Moving Average: Toggle visibility of the OBV moving average.
Usage:
Add the script to your TradingView chart.
Tailor the input parameters in the settings panel to align with your analysis requirements.
The divergences, OBV line, and optional moving average will be plotted on your chart, with a dynamic label displaying real-time statistics.
Set up alerts to be notified of identified divergences, enabling timely decision-making.
Alerts:
Regular bullish/bearish divergence in OBV found: Triggered when a regular bullish or bearish divergence is identified.
Hidden bullish/bearish divergence in OBV found: Triggered when a hidden bullish or bearish divergence is identified.
Underlying Concepts:
The OBV Divergences indicator is rooted in the principle that volume precedes price movement. When prices are rising with increased volume, it suggests that buying pressure is prevailing and may lead to continued upward momentum. Conversely, rising prices with decreasing volume might indicate a lack of buying conviction and could signal a potential price reversal. The identification of divergences between price and OBV can therefore serve as a powerful signal for traders. These examples can be seen below in the image
The Moving Average of the OBV further aids in understanding the prevailing trend by smoothing out the OBV line, providing a clearer picture of the market's longer-term momentum. The Rate of Percentage Change (RPC) provides insight into the momentum of volume, offering an additional layer of analysis. Together, these additional features enhance the core OBV analysis, enabling a more nuanced understanding of volume dynamics fundamental for making more informed trading decisions.
License:
This Source Code Form is subject to the terms of the Mozilla Public License, v. 2.0. If a copy of the MPL was not distributed with this file, you can obtain one at Mozilla Public License 2.0.
Volume-Weighted RSI [wbburgin]The Volume-Weighted RSI takes a new approach to the traditional calculation of the RSI in using a price::volume calculation. As some traders consider volume to be a leading indicator for price, the volume-weighted RSI can come in handy if you want to visualize volume easier.
Usage
This indicator builds the RSI from the square of the volume change and the price. If the volume decreases rapidly with the price, the volume-weighted RSI will fall; if the volume increases rapidly with the price, the volume-weighted RSI will rise.
You may notice crosses and circles appearing above and below the indicator. These indicate abnormal volume or price:
A green cross indicates abnormal upward price
A red cross indicates abnormal downward price
A green circle indicates abnormal positive volume
A red circle indicates abnormal negative volume
A green bar indicates both abnormal price and volume (positive), while a red bar indicates both abnormal price and volume (negative).
The thresholds of what are considered "normal" and "abnormal" are controlled by the "SD Multiple" in your settings (standard deviation). A higher multiple will make less of these signals occur, and you can turn them and the bars off at any time.
I have a built-in Light Style and Dark Style so that your preference of background won't affect seeing the indicator. You can also change the colors and the overbought/oversold lines in your settings.
RMI Trend SniperThe "RMI Trend Sniper" is a powerful trend-following indicator designed to help traders identify potential buy and sell signals in the market.
It combines elements of the Relative Strength Index (RSI) and the Money Flow Index (MFI) to provide a comprehensive view of market momentum and strength.
🔷 Key Features:
🔹 Customizable Settings : Tailor the indicator to your trading preferences with customizable input parameters, including RSI and MFI lengths, threshold levels, and visual settings.
🔹 Momentum Signals : The indicator generates clear bullish and bearish momentum signals, allowing you to spot potential trend reversals or continuations.
🔹 The positive condition considers the previous RMI value, current RMI value, and positive change in the 5-period exponential moving average (EMA) of the closing price.
🔹 The negative condition looks at the current RMI value and negative change in the 5-period EMA.
🔹 Visual Bands : Visualize market volatility with dynamically plotted bands around the Range Weighted Moving Average (RWMA), providing insights into potential price fluctuations.
🔹 Candlestick Coloring : Easily identify bullish and bearish conditions with color-coded candlesticks, helping you make informed trading decisions.
The "RMI Trend Sniper" is a versatile tool suitable for traders of all experience levels. Whether you are a novice or an experienced trader, this indicator can help you enhance your technical analysis and improve your trading strategies.
Machine Learning: MFI Heat Map [YinYangAlgorithms]Overview:
MFI Heat Maps are a visually appealing way to display the values of 29 different MFIs at the same time while being able to make sense of it. Each plot within the Indicator represents a different MFI value. The higher you get up, the longer the length that was used for this MFI. This Indicator also features the use of Machine Learning to help balance the MFI levels. It doesn’t solely rely upon Machine Learning but instead incorporates a growing length MFI averaged with the Machine Learning MFI at any given index.
For instance, say we are calculating the 10th plot from the bottom, the MFI would be an average of:
MFI(source, 11)
Machine Learning MFI at Index of 10
We do it this way as they both help smooth each other out without relying solely on just one calculation method.
Due to plot limitations, you are capped at 28 Plot Amounts within this indicator, but that is still quite a bit of information you can glean from a Heat Map.
The Machine Learning used in this indicator is of the K-Nearest Neighbor (KNN). It uses a Fast and Slow MFI calculation then sorts through them over Machine Learning Length and calculates the differences between them. It then slices off KNN length to create our Max/Min Distances allotted. It adds the average between Fast and Slow MFIs to a Viable Distances array if their distances are within the KNN Min/Max distance. It then averages all distances in the Viable Distances array and returns the result.
The result of the KNN Function is saved to another ML Data array whose length is that of Plot Amount (Heat Map Size). This way each Index of the ML Data array can be indexed according to the Heat Map Size.
The Average of the ML Data array is the MFI line (white) that you’ll see plotted on the Indicator. There is also the SMA of the MFI Average (orange) which is likewise plotted. These plots allow you to visualize where the ML MFI is sitting and can potentially be useful for seeing when the MFI Average and SMA cross over and under each other.
We’ve heard many people talk highly of RSI, but sadly not too many even refer to MFI. MFI oftentimes may be overlooked, especially with new traders who may not even know what it is. Essentially MFI is an RSI but it also incorporates Volume into its calculations, which in our opinion leads to a more accurate reading; afterall, what is price movement without Volume.
Tutorial:
You may be thinking, this Indicator looks appealing to the eye, but how do I benefit from it trading wise?
Before we get into our visual examples, let's talk briefly about what makes Heat Maps in general a useful tool for trading. Heat Maps give us the ability to visualize and understand lots of data while removing the clutter. We can understand the data of 29 different MFIs without having to look at and decipher 29 different MFI plots. When you overlay too many MFI lines on top of each other, they can be very difficult to read and oftentimes end up actually hindering your Technical Analysis. For this reason, we have a simple solution to this problem; Heat Maps. This MFI Heat Map allows you to easily know (in a relative %) what the MFI level is for varying lengths. For Instance, the First (bottom) plot indexes an MFI of (K(0) (loop of Plot Amount) + Smoothing Length (default 1)) = 1. Since this is indexing (usually) a very low length, it will change much quicker. Whereas the Last (top) plot indexes an MFI of (K(27) (loop of Plot Amount) + Smoothing Length (default 1)) = 28. This is indexing a much higher length of MFI which results in the MFI the higher you go up in the Heat Map to move much slower.
Heat Maps give us the ability to see changes happening over multiple MFIs at the same time, which can be very useful for seeing shifts in MFI / Momentum. Remember, MFI incorporates Volume, so even if the price goes up a lot, if there was low volume, the MFI won’t move as much as an RSI would. However, likewise, if there is high volume but low price movement, the MFI will move slightly more than the RSI.
Heat Maps change color based on their MFI level. If the MFI is >= 90 it is HOT (red), if the MFI <= 9 it is COLD (teal, think of ICE). Green represents an MFI of 50-59 and Dark Blue represents an MFI of 40-49. Green and Dark blue are the most common colors as all the others are more ‘Extreme’ MFI levels.
Okay, time to get to the Examples :
Since there is so much going on in Heat Maps, we’ve decided to focus this tutorial to this specific area and talk about individual locations before talking about it as a whole.
If you refer to the example above where there are 2 white circles; these white circles are highlighting a key location you’ll be wanting to identify within your Heat Maps, many things are happening here:
The MFI crossed over the SMA (bullish).
The Heat Map started changing from mid/dark Blue (30-50 MFI) to Green (50-59 MFI) around the midline (the 50% dashed like).
The Lower levels of the Heat Map are turning Yellow/Orange/Red (60-100 MFI).
The Upper Levels of the Heat Map are still Light Blue - Green (10-50 MFI).
The 4 Key points above, all point towards potential Bullish Momentum changes. You’re likely wondering, but why? Let's discuss about each one in more specific detail:
1. The MFI crossed over the SMA (bullish): What this tells us is that the current MFI Average is now greater than its average over the last (default) 16 bars. This means there's been a large amount of Money Flow (Price and Volume) recently (subjectively based on the last (default) 16 average). This is one of the leading Bullish / Bearish signals you will see within this Indicator. You can enable Signals within the Settings and/or even add Alerts for when these crossings occur.
2. The Heat Map started changing from mid/dark Blue (30-50 MFI) to Green (50-59 MFI) around the midline (the 50% dashed like): This shows us that the index’s in the mid (if using all 28 heat map plots it would be at 14) has already received some of this momentum change. If you look at the second white circle (right), you’ll also notice the higher MFI plot indexes are also green. This is because since their length is long they still have some momentum and strength from the first white circle (left). Just because the first white circle failed in its bullish push, doesn’t mean it didn’t achieve momentum that would later on help to push the price up.
3. The Lower levels of the Heat Map are turning Yellow/Orange/Red (60-100 MFI): It occurred somewhat in the left white circle, but mainly in the right white circle. This shows us the MFI is very high on the lower lengths, this may lead to the current, middle and higher length MFIs following suit soon. Remember it has to work its way up, the higher levels can’t go red unless the lower levels go red first and the higher levels can also lag quite a bit behind and take awhile to catch up, this is normal, expected and meant to happen. Vice versa is also true with getting higher levels to go cold (light teal (think of ICE)).
4. The Upper Levels of the Heat Map are still Light Blue - Green (10-50 MFI): You might think at first that this is a bad thing, but it's not! Remember you want to be Fearful when others are Greedy and Greedy when others are Fearful! You don’t want to buy when the higher levels have a high MFI, you want to buy when you see the momentum pushing up in the lower MFI levels (getting yellow/orange/red in the low levels) while it is still Cold in the higher levels (BLUE OR GREEN, nothing higher than green as it is already slightly too high). There will be many times that it is Yellow or possibly Orange in the high levels and the bullish push still happens, but this is much more risky! The key to trading is to minimize risks while maximizing potential.
Hopefully now you’re getting an idea of how to spot potential bullish momentum changes, but what about bearish momentum changes? Technically they are the exact opposite, so we don’t need to go into as much detail, but lets still take a look at a few examples:
In the example above we marked the 3 times where it was displaying overly bullish characteristics. We marked the bullish momentum occurring with arrows. If you look closely at the start of the arrow to where it finishes, you’ll notice how the heat (HOT)(RED) works its way up from the lower levels to the higher levels. We then see the MFI to SMA cross under. In all 3 of these examples the heat made it all the way to the top of the chart. These are all very bearish signals that represent a bearish momentum movement that may occur soon.
Also, please note, the level the MFI is at DOES matter! That line isn’t there simply for you to see when there are crosses over and under. The MFI is considered to be Overbought when it is greater than 70 (the upper white dashed line, it is just formatted to be on a different scale cause there are 28 plots, but it represents 70). The MFI is considered to be Oversold when it is less than 30 (the lower white dashed line).
If we look to the left a little here where a big drop in price occurred shortly after our MFI and SMA crossed, would we have been able to identify it using the Heat Maps? Likely, No. There was some color change in the lower levels a few bars prior that went yellow/orange/red but before this cross happened they all went back to Dark Blue. In the middle section when the cross happened it was only Green and Yellow and in the upper section we are Blue. This would be a very risky trade to go on as the only real Bearish Indication was the MFI to SMA cross under. Remember, you want to reduce risk, you don’t want to simply trade on everytime the MFI and SMA cross each other or you’ll be getting yourself into many risky trades based on false signals.
Based on what you’ve learned above, can you see the signs that are indicating where this white circle may have potential for a bullish momentum change?
Now that we are more zoomed in, you may also be noticing there are colors to the price bars. This can be disabled in the settings, but just so you know what they mean, let’s zoom in a little more and talk about it.
We’ve condensed the Indicator a bit so you can see the bars better here. The colors that are displayed on these bars are the Heat Map value for your MFI (the white line in the Indicator). This way you can better see when the Price is Hot and Cold. As you may see while looking, the colors generally go from cold to hot when bullish momentum is happening and hot to cold when bearish momentum is happening. We don’t recommend solely looking at the bars as indicators to MFI momentum change, as seeing the Heat Map will give you much more data; however it can be nice to see the Heat Map projected on the bars rather than trying to eyeball it yourself or hover over each bar specifically to see their levels.
We will conclude our Tutorial here. Hopefully this has given you some insight to how useful Heat Maps can be and why it works well with a Machine Learning (KNN) Model applied to the MFI.
PLEASE NOTE: You can adjust the line width for the Heat Map within the settings. If you condense the Indicator a lot or have a small screen, likely use a length of 1-2. If you have it stretched out or a large screen, a length of 2-3 will work nice. You just don’t want to have the lines overlapping or it defeats the purpose of a Heat Map. Also, the bigger the linewidth, generally you’ll want to increase the Transparency within the Settings also as it can get quite bright and hurt your eyes over time.
Settings:
MFI:
Show MFI and SMA Crossing Signals: MFI and SMA Crossing is one of the leading Bullish and Bearish Signals in this Indicator. You can also add alerts for these signals.
Plot Amount: How many plots are used in this Heat Map. (2 - 28).
Source: The Source to use in all MFI calculations.
Smooth Initial MFI Length: How much to smooth the Fast and Slow MFI calculation by. 1 = No smoothing.
MFI SMA Length: What length we smooth the MFI Average over to get our MFI SMA.
Machine Learning:
Average MFI data by adding a lookback to the Source: While populating our Heat Map with the MFI's, should use use the Source each MFI Length increase or should we also lookback a Source each MFI Length Increase.
KNN Distance Requirement: To be a valid KNN, it needs to abide by a Distance calculation. Generally only Max is used, but you can change it if it suits your trading style better.
Machine Learning Length: How much ML data should we store? The longer the length generally the smoother the result; which may not be as accurate for something like a Heat Map, so keeping this relatively low may lead to more accurate results.
KNN Length: How many KNN are used in the slice to calculate max/min distance allowed.
Fast Length: Fast MFI length used in KNN to calculate distances by comparing its distance with the Slow MFI Length.
Slow Length: Slow MFI length used in KNN to calculate distances by comparing its distance with the Fast MFI Length.
Smoothing Length: When populating our Heat Map, at what length do we start our MFI calculations with (A Higher value with result in a slower and more smoothed MFI / Heat Map).
Colors:
Change Bar Color: Change bar colors to MFI Avg Color.
Heat Map Transparency: If there isn't any transparency it can be a little hard on the eyes. The Greater the Line Width, generally the more transparency you'll want for your eyes.
Line Width: Set how wide the Heat Map lines are
MFI 90-100 Color: Color when the MFI is between these levels.
MFI 80-89 Color: Color when the MFI is between these levels.
MFI 70-79 Color: Color when the MFI is between these levels.
MFI 60-69 Color: Color when the MFI is between these levels.
MFI 50-59 Color: Color when the MFI is between these levels.
MFI 40-49 Color: Color when the MFI is between these levels.
MFI 30-39 Color: Color when the MFI is between these levels.
MFI 20-29 Color: Color when the MFI is between these levels.
MFI 10-19 Color: Color when the MFI is between these levels.
MFI 0-100 Color: Color when the MFI is between these levels.
If you have any questions, comments, ideas or concerns please don't hesitate to contact us.
HAPPY TRADING!
ZWAP (ZigZag Anchored VWAP) [Kioseff Trading]Hello!
Quick script showcasing the new polyline function for Pine Script!
Features
Up to 100 high/low pivot points auto anchored VWAP
Visible range auto anchored VWAP
Curved ZigZag (Adjustable!)
With the new polyline function, auto-anchored VWAP at specific price points is more viable.
When using line.new() only 500 lines can exist on the chart concurrently and, since VWAP is calculated on every update, a "proper" VWAP drawn using line.new() can extend 500 bars at most, to which no additional VWAP lines can be drawn after.
Of course, when using the plot() function a VWAP line will draw on every bar; however, this method isn't highly compatible with auto-anchoring VWAP lines.
However!
A polyline, from beginning to end irrespective of the number of coordinates used, constitutes 1 polyline; 100 can exist simultaneously with 10,000 xy coordinates per line.
The image above shows an attempt to draw the same auto-anchored VWAP lines using the line.new() function. Not an ideal outcome!
The image above shows the same attempt using the polyline.new() function!
Very nice (:
The image above shows the indicator auto anchoring to zig zag turning points.
Subsequent to a new anchoring, VWAP is calculated for the following bars - up to the current bar.
Thank you for checking this out; if you have any ideas to spice it up feel free to comment!
Volumetric Toolkit [LuxAlgo]The Volumetric Toolkit is a complete and comprehensive set of tools that display price action-related analysis methods from volume data.
A total of 4 features are included within the toolkit. Symbols that do not include volume data will not be supported by the script.
🔶 USAGE
The volumetric toolkit puts a heavy focus on price action, returning support/resistance levels, ranges, volume divergences...etc.
The main premise between each feature is that volume has a direct relationship with market participants level of interest over a specific symbol, and that this interest is not constant over time.
Each individual feature is detailed below.
🔹 Ranges Of Interest
The Ranges Of Interest construct a range from a surge of high liquidity in the market. This range is constructed from the price high and price low of the candle with the associated significant liquidity.
The returned extremities can be used as support and resistance, with breakouts often being accompanied by significant liquidity as well, suggesting potential trend continuations.
The length setting associated with this feature determines how sensitive the range detection algorithm is to volume, with higher values requiring more significant volume in order to display a new range.
🔹 Impulses
Impulses highlight times when volume makes a new higher high while the price makes a new higher high or lower low, suggesting increased market participation.
When this occurs when the price makes a new higher high the impulse is considered bullish (green), if the price makes a new lower low the impulse is bearish (red).
Impulses occurring within an established trend opposite to it (e.g a bearish impulse on an uptrend) might be indicative of reversals.
The length setting works similarly to the previously described ranges of interest, with higher values requiring longer-term volume higher high and price higher high/lower low, highlighting more significant impulse and potentially longer-term reversals.
🔹 Levels Of Interest
Levels of interest display price levels of significant trading activity, contrary to the range of interest only the closing price is taken into account, also volume peaks are used to detect significant trading activity.
Note that this feature is subject to backpainting, that is lines are set retrospectively.
Users can determine the amount of most recent levels to display on the chart. These can be used as classical support/resistances.
🔹 Volume Divergence
We define volume divergence as a decreased market participation while a trend is still developing.
More precisely volume divergences are highlighted if volume makes a lower high while price is making a new higher high/lower low.
This can be indicative of a lack of further participation in the current trend, indicating a potential reversal.
Using higher length values will return longer-term divergences.
Note that this feature is subject to backpainting, that is lines are set retrospectively.
🔶 SETTINGS
🔹 Ranges Of Interest
Show Ranges Of Interest: Display Ranges Of Interest.
Length: Ranges Of Interest sensitivity to volume.
🔹 Impulses
Show Impulses: Display Ranges Of Interest.
Length: Impulses sensitivity to volume.
🔹 Levels Of Interest
Show: Determine if Levels Of Interest are displayed, and how many from the most recent.
Length: Level detection sensitivity to volume.
🔹 Volume Divergences
Show Divergences: Determine if Volume Divergences are displayed.
Length: Period for the detection of price tops/bottoms and volume peaks.
Intraday Intensity Index [SyntaxGeek]Intraday Intensity Index
This is a volume-based technical indicator that integrates volume with a security’s price. Use this to follow how intraday highs and lows are moving with volume.
The Intraday Intensity Index was developed by Dave Bostian.
It is one of several indicators that can be used to follow how volume is influencing a security’s price. It provides a continuous volume-focused indicator by using a security’s most recent close, high and low in its calculation while also factoring in volume.
I've searched high and low for the correct implementation of this measure and I can only find it buried within old books or in PineScript's own ta.iii, but no one has provided it as a histogram indicator correctly.
The main difference I can find is that most are not restricting volumes influence to the denominator solely, which is how Dave designed it.
For illustration the correct implementation is:
(2 * close - high - low) / ((high - low) * volume)
Such a simple change but compare to many other indicators that claim to implement the measure and it's easy to see the difference.
I also provided a high/low mode that aims to ease comparison to Bollinger Bands which is something that John Bollinger references when utilizing III.
Setting III to 20 trend and high/low mode can present similar areas of extreme breaks to the high or low and may be great entries for trades but you must complete your own analysis.
Crypto Spot/Futures Dominance Indicator with AlertsFutures/Spot Dominance Indicator:
Overview:
The futures/spot dominance indicator is a versatile tool used by traders and analysts to assess the relative strength or dominance of the futures market in relation to the spot (or cash) market for a specific asset. It offers insights into market sentiment, potential arbitrage opportunities, and risk management while incorporating the VWAP indicator for added context.
How It Works:
This indicator automatically detects and adapts to the futures symbol applied to the chart, simplifying the setup for traders. However, it still necessitates manual input of the corresponding spot pair to ensure accuracy.
Automatic Futures Symbol Detection: The indicator starts by automatically detecting the futures symbol on the trading chart, eliminating the need for manual configuration. This ensures that the indicator is applied to the correct futures contract.
Manual Spot Pair Entry: To provide a reliable reference point for the comparison, traders must manually input the corresponding spot symbol via the indicator's inputs. For instance, if the indicator detects the BTCUSDT.P futures symbol, traders would manually enter the BTCUSDT spot symbol.
Gathering Data: The indicator collects historical price data for both the detected futures contract and the manually specified spot symbol. This data includes open, high, low, and close prices, as well as trading volume.
VWAP Calculation: To gain a deeper understanding of price trends and market dynamics, the indicator calculates the VWAP (Volume Weighted Average Price) for both the futures and spot markets. The VWAP places more weight on prices with higher trading volume, offering a weighted average that reflects market consensus.
Premium/Discount Calculation: By subtracting the VWAP of the spot market from the VWAP of the futures market, the indicator quantifies the premium or discount of the futures price concerning the spot price. A positive value indicates a premium, while a negative value suggests a discount.
Plotting: The premium/discount value is displayed as a line on the chart, often alongside moving averages or other smoothing techniques for improved trend analysis.
Alerts: In addition to its analysis capabilities, this indicator now includes alerts to enhance your trading experience. It alerts you in the following scenarios:
Premium Above Average: Notifies you when the premium crosses above the average line.
Premium Below Average: Alerts you when the premium crosses below the average line.
Premium Above Zero: Provides an alert when the premium crosses above the zero line.
Premium Below Zero: Generates an alert when the premium crosses below the zero line.
Benefits of the Futures/Spot Dominance Indicator:
Sentiment Analysis: Traders use the indicator to assess market sentiment. A futures premium might signify bullish sentiment, while a discount could indicate bearish sentiment.
Arbitrage Opportunities: Identifying price discrepancies between futures and spot markets can help traders spot arbitrage opportunities, where they can profit from price differentials.
Risk Management: The indicator assists in evaluating risks associated with futures positions, helping traders manage their exposure effectively.
Trend Confirmation: When used in conjunction with other technical indicators, futures/spot dominance, along with VWAP, can provide additional confirmation of price trends.
Hedging: Investors and corporations use this tool to gauge the effectiveness of hedging strategies based on futures contracts.
Speculative Trading: Traders and investors use the indicator to inform speculative positions, aligning their trades with perceived market strength or weakness.
Insightful Analysis: Futures/spot dominance analysis, enriched by VWAP data, offers insights into market behavior during specific events or changes in economic conditions.
In summary, the futures/spot dominance indicator, with its integration of VWAP and automatic futures symbol detection, provides traders and investors with a comprehensive tool to assess market dynamics. It aids in sentiment analysis, risk management, and trend confirmation while offering potential arbitrage opportunities. The newly added alerts enhance the indicator's functionality, providing timely notifications of key market events. However, it relies on manual input of the corresponding spot pair to ensure precise comparisons between futures and spot markets. It should be used alongside other analysis techniques for a well-rounded view of the market.
Price Volume DivergencePrice Volume Divergence (PVD) is designed to add extra confluence to volume analysis and mark potential reversals in the prevailing trend.
The script uses a simple correlation of price and volume over the predefined time horizon in "PVD Length".
If the correlation is positive (>0) the plotted line gets coloured blue.
If the correlation is negative (<0) the plotted line get coloured in red.
PVD should not be used on its own but in conjunction with other indicators!
YD_Volume_Alert"YD_Volume_Alert" is a simple alert based on the increasing volume.
Although it is a simple indicator, strategies to determine accumulation and distribution can be developed using this indicator, which will also be published as well.
📌 Usage, Details and Alert
Using this indicator is simple.
You can enter two scales, "Increased Percentage 1 (%)" and "Increased Percentage 2 (%)", with default values set to 200% and 500%.
Signals are displayed in green and red triangles at the bottom of the bar, also printed with the text "Increased Volume" and "Hugely increased Volume".
Alerts are provided as a combination of the chart's symbol and the set percentage. For example,
"BINANCE:BTCUSDT.P 's Volume : 200% increased."
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"YD_Volume_Alert" 는 거래량 증가에 따른 얼러트를 제공하는 간단한 지표입니다.
간단한 지표이지만 위 지표를 이용하여 매집과 매도의 타이밍으로 이용하는 전략 또한 개발할 수 있으며, 이 역시도 퍼블리시 할 예정입니다.
📌 사용 예시와 알림 설정
지표를 사용하는 방법은 간단합니다.
"Increased Percentage 1 (%)" 과 "Increased Percentage 2 (%)" 두 가지의 배율을 입력할 수 있으며, 기본값은 200%와 500%로 설정되어 있습니다.
시그널은 바 하단에 초록색, 빨간색 삼각형으로 각각 표시되며, "Increased Volume"과 "Hugely increased Volume"이라는 텍스트가 함께 출력됩니다.
얼러트는 자신이 설정한 차트의 심볼과 설정한 퍼센티지의 조합으로 제공되며 예를 들면 다음과 같습니다.
"BINANCE:BTCUSDT.P 's Volume : 200% increased."
Price Volume Trend Crosses This script is a modified version of the Price Volume Trend ( PVT ) that uses a moving average of the PVT as a signal ( sig ) line.
The length of the signal line can be adjusted as needed by changing the "PVTC Signal Length" value inside the indicator settings menu.
"PVTC Signal Type" allows you to pick between EMA and SMA as the signal line.
Logic behind this script:
If PVT > sig it indicates an bullish environment and gets coloured with the UP color.
If PVT < sig it indicates a bearish environment and get coloured with the DOWN color.
Colors can be modified in the indicator settings menu.
Crosses can be highlighted by ticking the "Highlight Crosses" box in the indicator settings menu.
"Fill Gaps" fills the gap between PVT and sig with the prevailing trends color.
PVTC should not be used on its own but in conjunction with other indicators!
Anchored Moving Average By Market Mindset - Zero To EndlessAnchored Moving Average?
An anchored moving average (AMA) is created when you select a point on the chart and start calculating the moving average from there. Thus the moving average’s denominator is not fixed but cumulative and dynamic.
In this indicator, I've provided three different types of Anchored Moving Averages, viz., WMA, SMA and VWAP.
WMA is relevant if big moves are there.
SMA is relevant if volume data is not to be considered or if it is not available.
VWAP is the standard anchored MA, which is most commontly used. Is consider the volume data along with the price move.
In this indicator, Auto anchor is time based anchor. A trader can opt for Pivot Type Anchor or Volume Type Anchor or some higher resolution based anchor too. The length of the pivot lookback can also be changed by the user.
It can be used for intraday, swing trading and even for technical based investment purpose.
