Herrick Payoff Index DailyModified to include new daily open interest from CME futures contracts versus old script that only captured weekly data from commitment of traders data. Script can now be used on monthly and continuous contract traded on CME.
成交量
VWAP Market Session AnchoredVWAP Market Session Anchored differs from the traditional VWAP or VWAP Auto Anchored indicator in that the Volume Weighted Average Price calculation is automatically anchored to four major market session starts: Sydney, London, Tokyo, New York.
Settings
Source: the source for the VWAP calculation.
Offset: changing this number will move the VWAP either Forwards or Backwards, relative to the current market. Zero is the default.
Band: enabling this will show Standard Deviation bands.
Band Multiplier: the value the Standard Deviation bands will be multiplied by before being plotted on the chart.
Sessions : enabling the sessions will plot the respective anchored VWAP on chart.
Custom: enabling this will show a custom user-defined session.
Custom UTC : the custom session is defined by a starting UTC hour followed by the ending UTC hour.
Usage
Similar to the traditional VWAP, VWAP Market Session Anchored is a technical analysis tool used to measure the average price weighted by volume. VWAP Market Session Anchored can be used to identify the trend during a specific market session.
Limitations
When setting a custom session, be mindful that calculations are based off of the Coordinated Universal Time (UTC) time, you must convert your local time zone to UTC in order to have an accurate representation of your custom session.
It is not recommended to use this indicator on timeframes above 1 hour as market sessions only last a few hours.
Money Flow Index/MFIma/smooth vol-mfisoory for spaling not an english native speaker
this script is an extended version of MFI
i add it
mfi ema vol
and a verion that calc the MFI with smooth ma ema-vol
also the src for calc can be change now
thc code is open to explore for any use
enjoy.
Volume RSIThis is an indicator that shows the inflow and outflow of volume into a financial instrument. Volume is likely one of the most underrated source of data in trading unfortunately so there seems to be a lack of studies on it. The size of the candle is related to the strength of the move. The calculations for this are: cumulative sum of +volume if open < close OR -volume if open > close. This has been now transformed into an rsi style indicator to give a distinct advantage (or atleast thats the idea). The idea is that we take rsi of candles so we might as well take the rsi of volume candles. As far as I can tell it is faster/its own thing compared to regular rsi. I ave also added a smoothing option. Dont forget you can change the settings and you wont die. Thank you for your interest in this release I hope you find great piles of money with it.
link to the script I used to make this
Volume Candles Standardized (VCS)This is an indicator that shows the inflow and outflow of volume into a financial instrument. Volume is likely one of the most underrated source of data in trading unfortunately so there seems to be a lack of studies on it. The size of the candle is related to the strength of the move. The calculations for this are: cumulative sum of +volume if open < close OR -volume if open > close. I have added percentile bands so you know where the neutral zones and strong zones are. Interestingly you can also see what the volume is doing by watching where the neutral zone is. If the volume is in the red or green it is a strong move. This is standardized to make it more useful. Now you can see where the exhaustion points are on the short term. Dont forget you can change the settings and you wont die. Thank you for your interest in this release I hope you find great piles of money with it.
Up/Down Vol RatioThe Up/Down Volume Ratio is a tool utilized by investors.com. They describe it as "A 50-day ratio that is derived by dividing total volume on up days by the total volume on down days. A ratio greater than 1.0 implies positive demand for a stock."
It is best used to confirm buying or selling pressure in your stock in conjunction with price analysis.
Acknowledgment
The formula is obtained from the investors.com education section: education.investors.com
Thank you to @JohnMuchow for upgrading my code for best practices when publishing.
Volume Profile Volume Delta OI Delta [Kioseff Trading]Hello!
This script serves to distinguish volume delta for any asset and open interest delta for Binance perpetual futures.
The image above provides further explanation of functionality and color correspondence.
The image above shows the indicator calculating volume at each tick level and displaying the metric.
The label color outline (neon effect) is configurable; the image above is absent the feature.
The image above shows Open Interest (OI) Delta calculated - similar to how the script calculates volume delta - for a Binance Perpetual Future pair.
This feature only works for Binance Futures pairs; the script will not load when trying to calculate OI Delta on other assets.
Additionally, a heatmap is displayable should you configure the indicator to calculate it.
The image above shows a heatmap using volume delta calculations.
The image above shows a heatmap using OI delta calculations.
Of course, these calculations - when absent requisite data - require some assumptions to better replicate calculations with access to requisite data.
The indicator assumes a 60/40 split when a tick level is traded at and only one metric - "buy volume" or "sell volume" is recorded. This means there shouldn't be any levels recorded where "buy volume" is greater than 0 and "sell volume" equals 0 and vice versa. While this assumption was performed arbitrarily, it may help better replicate volume delta and OI delta calculations seen on other charting platforms.
This option is configurable; you can select to have the script not assume a 60/40 split and instead record volume "as is" at the corresponding tick level.
The script also divides volume and open interest if a one-minute bar violates multiple tick levels. The volume or open interest generated on the one-minute bar will be divided by the number of tick levels it exceeds. The results are, subsequently, appended to the violated tick levels.
Further, the script can be set to recalculate after a user-defined time threshold is exceeded. You can also define the percentage or tick distance between levels.
Also, it'd be great if this indicator can nicely replicate volume delta indicators on other charting platforms. If you've any ideas on how price action can be used to better assume volume at the corresponding price area please let me know!
Thank you (:
Movement Polarization (MoP)This shows the negative or positive charge of price movement and volume .
The "Polarization" shows how much negativity or positivity the movement of the price and volume have.
IMPORTANT:
Use with crypto currencies only is highly recommended.
If the volume in a currency is not visible, adjust the "Factor" number higher in the "Inputs" tab.
Adjust it until there is a balance between the vertical spread of the volume and polarization.
There will be a noticeable jump in the scale of the indicator if it is set too high.
The "Factor" is scaled at a baseline for SHIB prices. Any lower price scales than SHIB's will not show the volume .
Version:
This is a forked codebase to conserve the functionality of "RSI TV". The "RSI TV" focuses only on the RSI trend, this focuses on price and volume movement.
As such, there is no need for the MA of the RSI. Also, the TV Line from the "RSI TV" is used to show polarization of movement in this context.
The Trend Veracity line from the "RSI TV" has a broad scope in verifying different, particular trends, not just the RSI trend.
The RSI, volume, and polarization are all conveniently placed within the same scale to facilitate longer-term trading with price action. See also: "RSI TV" .
How this indicator is original; what it does, and how it does it:
This indicator has an original, unique ability to give the volume a further-projecting forecast.
The MoP does this by placing the volume on a vertical scale. It then compares it to a polarization level.
This gives 3 reference points: 1) Past data of volume, 2) volume vertical thresholds, and 3) polarization levels.
The volume by itself has no reference but its own past data. This gives a short-sighted forecast.
How to use it:
Useful with a trend finding indicator and price-action trading. See notes in picture above (scroll chart left to see first note).
Extra indicator shown in chart is an adjusted "ARL Bands" .
1) A condensing of volume and polarization usually means that an uptrend will soon turn.
2) A widening of volume and polarization usually means that a downtrend will soon turn.
3) A weak uptrend is indicated when volume falls while low, positive polarization also falls.
4) A growing uptrend is indicated when volume and positive polarization grow together.
5) Overlapping volume and positive polarization usually signifies oncoming peaks.
Real Cummulative Delta (New TV Function)Thanks to the new TradingView indicator Up/Down Volume, it is now possible to get accurate information on Agression (market buying vs market selling)
However, as they only provide the value of delta, I've made this indicator to show the cummulative value, in the form of candles.
It is great to detect divergences in the macro and in the micro scale (As in divergences in each candle and divergences in higher or lower tops or bottoms)
Hope you can make good use of it!
Volume percentrank[TV1]Volume percentrank
Volume normalized by percentile.
The indicator calculates the percentile of the trading volume . The volume in the base asset or quote asset can be selected as data. To calculate the volume of a quoted asset, the closing price or another standard method for calculating the price of a bar can be used.
A feature of percentile calculation with a small data sample length is low accuracy. Despite the fact that the script allows you to calculate a percentile with a length of 1, using a percentile length less than 100 is not recommended.
The percentile calculation method does not allow correctly calculating the percentile at the beginning of the chart due to the lack of all data in the selection, therefore, when the date of the first bar changes (this happens on small timeframes if the TradingView subscription does not allow you to see all historical data), the indicator will be repainted up to the bar number equal to the percentile sample length.
Huge values of the percentile length may cause a script error. If the indicator doesn't work, just make the percentile length smaller.
Объем, нормализованный по процентилью.
Индикатор вычисляет процентиль объема торгов. В качестве данных может быть выбран объем в базовом(base) активе или котировочном(quote) активе. Для расчета объема в котировочном активе может использоваться цена закрытия либо другой стандартный метод расчета цены бара.
Особенностью расчета процентиля при малой длине выборки данных является малая точность. Не смотря на то, что скрипт позволяет вычиcлить процентиль с длинной 1, использовать длину процентиля меньше 100 не рекомендуется.
Метод расчета процентиля не позволяет корректно рассчитать процентиль в начале графика из-за отсутствия всех данных в выборке, поэтому при изменении даты первого бара (это происходит на малых таймфреймах, если подписка TradingView не позволяет видеть все исторические данные) индикатор подвержен перерисовке вплоть до номера бара равного длине выборки процентиля.
Большие значения длины процентиля могут приводить к ошибке скрипта. Если индикатор не работает, просто сделайте длину процентиля меньше.
VWAP & Previous VWAP - MTF█ Volume Weighted Average Price & Previous Volume Weighted Average Price - Multi Timeframe
This script can display the daily, weekly, monthly, quarterly, yearly and rolling VWAP but also the previous ones.
█ Volume Weighted Average Price (VWAP)
The VWAP is a technical analysis tool used to measure the average price weighted by volume.
VWAP is typically used with intraday charts as a way to determine the general direction of intraday prices.
VWAP is similar to a moving average in that when price is above VWAP, prices are rising and when price is below VWAP, prices are falling.
VWAP is primarily used by technical analysts to identify market trends.
█ Rolling VWAP
The typical VWAP is designed to be used on intraday charts, as it resets at the beginning of the day.
Such VWAPs cannot be used on daily, weekly or monthly charts. Instead, this rolling VWAP uses a time period that automatically adjusts to the chart's timeframe.
You can thus use the rolling VWAP on any chart that includes volume information in its data feed.
Because the rolling VWAP uses a moving window, it does not exhibit the jumpiness of VWAP plots that reset.
For the version with standard deviation bands.
MTF VWAP & StDev Bands
Adaptive VWAP Stdev BandsIntroduction
Heyo, here are some adaptive VWAP Standard Deviation Bands with nice colors.
I used Ehlers dominant cycle theories and ZLSMA smoothing to create this indicator.
You can choose between different algorithms to determine the dominant cycle and this will be used as reset period.
Everytime bar_index can be divided through the dominant cycle length and the result is zero VWAP resets if have chosen an adaptive mode in the settings.
The other reset event you can use is just a simple time-based event, e.g. reset every day.
Usage
I think people buy/sell when it reaches extreme zones.
Enjoy!
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Credits to:
@SandroTurriate - VWAP Stdev Bands
@blackcat1402 - Dominant Cycle Analysis
@DasanC - Dominant Cycle Analysis
@veryfid - ZLSMA
(Sry, too lazy for linking)
I took parts of their code. Ty guys for your work! Just awesome.
Stock Market Emotion Index (SMEI)Implementation of Charlie Q. Yang's research paper “The stock market emotion index”, subtitle “A New Sentiment Measure Using Enhanced OBV and Money Flow Indicators”, (2007) where he combined “five simple emotion statistics” - Close Emotion Statistic (CES), Money Flow Statistic (MFS), Supply Demand Statistic (SDS), Relative Strength Statistic (RSS), and Psychological Level Statistic (PLS) - into one indicator.
Quotations:
“The index calculation is solely based on observed short term market volatility as reflected by each day’s trading volume, open, high, low, and close prices”
“The basic premise of Dow theory is that the market discounts everything, including the emotions of all traders. The fundamentals of a company do not change suddenly when its daily stock price is fluctuating as driven by human emotions that are often irrational. However, over a longer time period, a company's fundamentals do change. Again, different types of human emotions, triggered by the flow of material events, are moving the stock price trend up or down. This paper summarizes the author’s attempt in understanding primary trend extent and duration by proposing a new sentiment measure using statistical analysis of stock market human emotion.”
Even though “indicator is intended for identifying primary trend cycles that typically last one year or longer“ where Mr. Yang used a fixed averaging length of 260 days and only days as time frame, my implementation has been changed slightly to accommodate for all time frames and to adapt faster using shorter averaging (timeframe dependent).
How to use it:
Positive values indicating a bullish trend and negative values indicating a bearish trend. Background color is set to green or red accordingly.
Positive and negative bar to bar changes are indicated with green and red to show bar to bar (ultra short term) trends.
(No financial advise, use for testing purposed only)
Volume Spike BackfillsThis script identifies candle that have a volume spike and tracks how much price action has retraced to back fill those candles.
Setting can control the degree of volume spike and the median level of the candle body.
Volume DeltaThis script is meant to only show you the most significant volume moves. The way it works is it takes the cumulative sum of the delta of the volume. You can go from current all the way to ten bars back in your delta window.
Review on what volume is: The Volume indicator measures how much of a given financial asset has traded in a specific period of time. Volume is measured by shares traded for stocks, whereas for futures, it is based on the number of contracts.
Volume FlagThis indicator shows the increased volume compared to the previous volume.
A flag is displayed when the trading volume increased by *n of the previous candle.
Receive a signal as an alert.
Thank you.
(Please comment and click on the rocket.)
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이 지표는 이전 캔들의 거래량 대비 증가된 거래량을 확인할 수 있습니다.
깃발을 사용하여 증가 감소를 확인할 수 있으며 n배 만큼의 증가 되었을때 표시됩니다.
그리고 깃발이 표시될 경우 알람을 받으실 수 있습니다.
감사합니다.
댓글과 로케트 클릭 부탁드립니다.
REVE MarkersREVE stands for ‘Range Extensions Volume Expansions’. It seeks to report the same as the REVE which I published before. However the code uses a different algorithm to find the ‘usual range’ or ‘usual volume’ to which the current range and volume is compared. In the old REVE a function is coded which mimics a median() function..
In this code the median() function provided in pinescript is used, which makes the code of the actual algorithm nice and short in lines 21 through 27
For example line 23: “morevol=ta.median(curvol , usual)*eventnorm” in which
‘morevol ‘ is the calculated level above which the volume is deemed considerable,
‘curvol’ is the current volume (see line 21); curvol the volume of the previous period.
‘usual’ is the lookback period (see line 8)
‘ta.median(curvol , usual)’ is therfore the median volume in the lookback period
‘eventnorm’ is the percent which sets when “normal” becomes “considerable” (see line 6)
In line 26 the same is done for range.
The code in lines 30 to 92, concern logic manipulations to arrive at choosing the appropriate marker, which are plotted in lines 95 through 136.
Using the shapes as provided by Pinescript offers the possibility to give a much better and more meaningful visualization of volume and range events than different colored columns and histograms in the ‘old’ REVE in the below panel (see example chart).
Using the Pinescript function to find the median opens the possibility of letting the user play in the inputs with the lookback period and the norms for considerable and excessive to find a setting he or she likes most.
Using median in stead of average is necessary in volume and range analysis because these are so volatile. E.g. range or volume can be 10 times larger in the next period! If you have a few excessive volumes or ranges in the lookback period the ‘average volume or range’ is much higher than the ‘usual volume or range’ In statistics this is referred to as the outlier problem.
The markers are located on the bottom of the instrument pane. Those indicating volume events (with ‘event’ I mean a considerable or excessive expansion or extension) are colored triangles or squares, triangles indicate direction, squares that the price stays the same. those indicating range events with ‘normal’ volume are crosses, plus-cross means considerable range event and x-cross is excessive event.
The red, fuchsia and maroon triangles and squares indicate a combination of volume and range events. I call this ‘effective volume’ because more trade leads to shifting prices. The green and blue triangles and squares indicate a volume event with ‘normal’ ranges. I call this ‘ineffective volume’ because more volume does not lead to price shits. Effective volume can be attributed to occasional traders, because these do not care much for the price effect of their orders. The ineffective volume is attributable to institutional traders, because these go to great length to hide the size of their selling or buying objective by trading many small amounts in a day. Therefore one can theorize that ‘smart money’ is active when green and blue markers show up.
There is an option in the inputs to show markers around the candles (or bars). Those above indicate volume events, plus-cross for considerable and x-cross for excessive volume.
Those below the candles (or bars) indicate range events, triangles for direction or a plus-cross when the price stays the same. The small ones indicate considerable range events and the big ones excessive range events. This option can be used for better understanding of the colors of the bottom markers or to check which marker applies to which candle or bar.
If the instrument is without volume, the indicator will show only range markers.
Have fun and take care.
Time & volume point of control / quantifytoolsWhat are TPOC & VPOC?
TPOC (time point of control) and VPOC (volume point of control) are points in price where highest amount of time/volume was traded. This is considered key information in a market profile, as it shows where market participant interest was highest. Unlike full fledged market profile that shows total time/volume distribution, this script shows the points of control for each candle, plotted with a line (time) and a dot (volume). The script hides your candles/bars by default and forms a line in the middle representing candle range. In case of candles, borders will still be visible. This feature can be turned off in the settings.
Volume and time data are fetched from a lower timeframe that is automatically adjusted to fit the timeframe you're using. By default, the following settings are applied:
Charts <= 30 min: 1 minute timeframe
Charts > 30 min & <= 3 hours : 5 minute timeframe
Charts > 3 hours & <= 8 hours : 15 minute timeframe
Charts > 8 hours & <= 1D: 1 hour timeframe
Charts > 1D & <= 3D : 2 hour timeframe
Charts > 3D: 4 hour timeframe
Timeframe settings can be changed via input menu. The lower the timeframe, the more precision you get but with the cost of less historical data and slower loading time. Users can also choose which source to use for determining price for points of control, e.g. using close as source, the point of control is set to match the value of lower timeframe candle close. This could be replaced with OHLC4 for example, resulting in a point of control based on OHLC average.
To identify more profound points of market participant interest, TPOC & VPOC as percentage of total time/volume thresholds can be set via input menu. When a point of control is equal to or greater than the set percentage threshold, visual elements will be highlighted in a different color, e.g. 50% VPOC threshold will activate a highlight whenever volume traded at VPOC is equal to or greater than 50% of total volume. All colors are customizable.
VPOC is defined by fetching lower timeframe candle with the most amount of volume traded and using its close (by default) as a mark for point of control. For TPOC, each candle is divided into 10 lots which are used for calculating amount of closes taking place within the bracket values. The lot with highest amount of closes will be considered a point of control. This mark is displayed in the middle point of a lot:
How to utilize TPOC & VPOC
Example #1: Trapped market participants
One or both points of control at one end of candle range (wick tail) and candle close at the other end serves as an indication of market participants trapped in an awkward position. When price runs away further from these trapped participants, they are eventually forced to cover and drive price even further to the opposite direction:
Example #2: Trend initiation
A large move that leaves TPOC behind while VPOC is supportive serves as an indication of a trend initiation. Essentially, this is one way to identify an event where price traded sideways most of the time and suddenly moved away with volume:
Example #3: POC supported trend
A trend is healthy when it's supported by a point of control. Ideally you want to see either time or volume supporting a trend:
Change of VolatilityOVERVIEW
The Change of Volatility indicator is a technical indicator that gauges the amount of volatility currently present in the market. The purpose of this indicator is to filter out with-trend signals during ranging/non-trending/consolidating conditions.
CONCEPTS
This indicator assists traders in capitalizing on the assumption that trends are more likely to start during periods of high volatility compared to periods of low volatility . This is because high volatility indicates that there are bigger players currently in the market, which is necessary to begin a sustained trending move.
So, to determine whether the current volatility in the market is low, the indicator will grey out all the areas on the chart whose short term standard deviation of volatility is lower than the long term standard deviation of volatility.
If the short term standard deviation of volatility is above the long term standard deviation of volatility, the current volatility in the market is considered high. This would the ideal time to enter a trending trade due to the assumption that trends are more likely to start during these high-volatility periods.
HOW DO I READ THIS INDICATOR
When the histogram is grey, don't take any trend trades since the current volatility is less than the usual volatility experienced in the market.
When the histogram is green, take all valid with-trend trades since the current volatility is greater than the usual volatility experienced in the market.
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
LazyScalp Volume in Currency AVGThis indicator displays the volume in the currency of the asset.
It also draws the average for a certain period and the average multiplied by the coefficient. If the volume is higher than the average multiplied by the coefficient, then the histogram bars and candlesticks on the chart are highlighted in color.
Also, the indicator sends alerts at such moments.
The indicator allows you to quickly see when the volume rises sharply. Often these are very interesting points for trading.
The indicator has many settings and display styles.
SOS/SOW ScoresThis indicator detects Signs of Strength (SOS) and Signs of Weakness (SOW) on individual candles. SOS/SOW are detected by measuring volume as a comparison to a moving average, price making a swing high or swing low, and candlesticks meeting certain criteria. All these different factors are weighted (importance) and added together to create a total score. Scores are then classified as either weak, moderate, or strong.
Traders Reality PVSRA Volume SuitePVSRA volume bars color coded to PVSRA vector candles and with override option and configurable moving average.
Indicator displays volume bars color coded to PVRSA price action and allows the user to override the chart symbol.
Developed for TradersReality by infernixx with library conversion by peshocore.
