ICT IPDA Look BackThis script automatically calculates and updates ICT's daily IPDA look back time intervals and their respective discount / equilibrium / premium, so you don't have to :)
IPDA stands for Interbank Price Delivery Algorithm. Said algorithm appears to be referencing the past 20, 40, and 60 days intervals as points of reference to define ranges and related PD arrays.
Intraday traders can find most value in the 20 Day Look Back box, by observing imbalances and points of interest.
Longer term traders can reference the 40 and 60 Day Look Back boxes for a clear indication of current market conditions.
스크립트에서 "imbalance"에 대해 찾기
Relative Volume at Time█ OVERVIEW
This indicator calculates relative volume, which is the ratio of present volume over an average of past volume.
It offers two calculation modes, both using a time reference as an anchor.
█ CONCEPTS
Calculation modes
The simplest way to calculate relative volume is by using the ratio of a bar's volume over a simple moving average of the last n volume values.
This indicator uses one of two, more subtle ways to calculate both values of the relative volume ratio: current volume:past volume .
The two calculations modes are:
1 — Cumulate from Beginning of TF to Current Bar where:
current volume = the cumulative volume since the beginning of the timeframe unit, and
past volume = the mean of volume during that same relative period of time in the past n timeframe units.
2 — Point-to-Point Bars at Same Offset from Beginning of TF where:
current volume = the volume on a single chart bar, and
past volume = the mean of volume values from that same relative bar in time from the past n timeframe units.
Timeframe units
Timeframe units can be defined in three different ways:
1 — Using Auto-steps, where the timeframe unit automatically adjusts to the timeframe used on the chart:
— A 1 min timeframe unit will be used on 1sec charts,
— 1H will be used for charts at 1min and less,
— 1D will be used for other intraday chart timeframes,
— 1W will be used for 1D charts,
— 1M will be used for charts at less than 1M,
— 1Y will be used for charts at greater or equal than 1M.
2 — As a fixed timeframe that you define.
3 — By time of day (for intraday chart timeframes only), which you also define. If you use non-intraday chart timeframes in this mode, the indicator will switch to Auto-steps.
Relative Relativity
A relative volume value of 1.0 indicates that current volume is equal to the mean of past volume , but how can we determine what constitutes a high relative volume value?
The traditional way is to settle for an arbitrary threshold, with 2.0 often used to indicate that relative volume is worthy of attention.
We wanted to provide traders with a contextual method of calculating threshold values, so in addition to the conventional fixed threshold value,
this indicator includes two methods of calculating a threshold channel on past relative volume values:
1 — Using the standard deviation of relative volume over a fixed lookback.
2 — Using the highs/lows of relative volume over a variable lookback.
Channels calculated on relative volume provide meta-relativity, if you will, as they are relative values of relative volume.
█ FEATURES
Controls in the "Display" section of inputs determine what is visible in the indicator's pane. The next "Settings" section is where you configure the parameters used in the calculations. The "Column Coloring Conditions" section controls the color of the columns, which you will see in three of the five display modes available. Whether columns are plotted or not, the coloring conditions also determine when markers appear, if you have chosen to show the markers in the "Display" section. The presence of markers is what triggers the alerts configured on this indicator. Finally, the "Colors" section of inputs allows you to control the color of the indicator's visual components.
Display
Five display modes are available:
• Current Volume Columns : shows columns of current volume , with past volume displayed as an outlined column.
• Relative Volume Columns : shows relative volume as a column.
• Relative Volume Columns With Average : shows relative volume as a column, with the average of relative volume.
• Directional Relative Volume Average : shows a line calculated using the average of +/- values of relative volume.
The positive value of relative volume is used on up bars; its negative value on down bars.
• Relative Volume Average : shows the average of relative volume.
A Hull moving average is used to calculate the average used in the three last display modes.
You can also control the display of:
• The value or relative volume, when in the first three display modes. Only the last 500 values will be shown.
• Timeframe transitions, shown in the background.
• A reminder of the active timeframe unit, which appears to the right of the indicator's last bar.
• The threshold used, which can be a fixed value or a channel, as determined in the next "Settings" section of inputs.
• Up/Down markers, which appear on transitions of the color of the volume columns (determined by coloring conditions), which in turn control when alerts are triggered.
• Conditions of high volatility.
Settings
Use this section of inputs to change:
• Calculation mode : this is where you select one of this indicator's two calculation modes for current volume and past volume , as explained in the "Concepts" section.
• Past Volume Lookback in TF units : the quantity of timeframe units used in the calculation of past volume .
• Define Timeframes Units Using : the mode used to determine what one timeframe unit is. Note that when using a fixed timeframe, it must be higher than the chart's timeframe.
Also, note that time of day timeframe units only work on intraday chart timeframes.
• Threshold Mode : Five different modes can be selected:
— Fixed Value : You can define the value using the "Fixed Threshold" field below. The default value is 2.0.
— Standard Deviation Channel From Fixed Lookback : This is a channel calculated using the simple moving average of relative volume
(so not the Hull moving average used elsewhere in the indicator), plus/minus the standard deviation multiplied by a user-defined factor.
The lookback used is the value of the "Channel Lookback" field. Its default is 100.
— High/Low Channel From Beginning of TF : in this mode, the High/Low values reset at the beginning of each timeframe unit.
— High/Low Channel From Beginning of Past Volume Lookback : in this mode, the High/Low values start from the farthest point back where we are calculating past volume ,
which is determined by the combination of timeframe units and the "Past Volume Lookback in TF units" value.
— High/Low Channel From Fixed Lookback : In this mode the lookback is fixed. You can define the value using the "Channel Lookback" field. The default value is 100.
• Period of RelVol Moving Average : the period of the Hull moving average used in the "Directional Relative Volume Average" and the "Relative Volume Average".
• High Volatility is defined using fast and slow ATR periods, so this represents the volatility of price.
Volatility is considered to be high when the fast ATR value is greater than its slow value. Volatility can be used as a filter in the column coloring conditions.
Column Coloring Conditions
• Eight different conditions can be turned on or off to determine the color of the volume columns. All "ON" conditions must be met to determine a high/low state of relative volume,
or, in the case of directional relative volume, a bull/bear state.
• A volatility state can also be used to filter the conditions.
• When the coloring conditions and the filter do not allow for a high/low state to be determined, the neutral color is used.
• Transitions of the color of the volume columns determined by coloring conditions are used to plot the up/down markers, which in turn control when alerts are triggered.
Colors
• You can define your own colors for all of the oscillator's plots.
• The default colors will perform well on light or dark chart backgrounds.
Alerts
• An alert can be defined for the script. The alert will trigger whenever an up/down marker appears in the indicator's display.
The particular combination of coloring conditions and the display settings for up/down markers when you create the alert will determine which conditions trigger the alert.
After alerts are created, subsequent changes to the conditions controlling the display of markers will not affect existing alerts.
• By configuring the script's inputs in different ways before you create your alerts, you can create multiple, functionally distinct alerts from this script.
When creating multiple alerts, it is useful to include in the alert's message a reminder of the particular conditions you used for each alert.
• As is usually the case, alerts triggering "Once Per Bar Close" will prevent repainting.
Error messages
Error messages will appear at the end of the chart upon the following conditions:
• When the combination of the timeframe units used and the "Past Volume Lookback in TF units" value create a lookback that is greater than 5000 bars.
The lookback will then be recalculated to a value such that a runtime error does not occur.
• If the chart's timeframe is higher than the timeframe units. This error cannot occur when using Auto-steps to calculate timeframe units.
• If relative volume cannot be calculated, for example, when no volume data is available for the chart's symbol.
• When the threshold of relative volume is configured to be visible but the indicator's scale does not allow it to be visible (in "Current Volume Columns" display mode).
█ NOTES
For traders
The chart shown here uses the following display modes: "Current Volume Columns", "Relative Volume Columns With Average", "Directional Relative Volume Average" and "Relative Volume Average". The last one also shows the threshold channel in standard deviation mode, and the TF Unit reminder to the right, in red.
Volume, like price, is a value with a market-dependent scale. The only valid reference for volume being its past values, any improvement in the way past volume is calculated thus represents a potential opportunity to traders. Relative volume calculated as it is here can help traders extract useful information from markets in many circumstances, markets with cyclical volume such as Forex being one, obvious case. The relative nature of the values calculated by this indicator also make it a natural fit for cross-market and cross-sector analysis, or to identify behavioral changes in the different futures contracts of the same market. Relative volume can also be put to more exotic uses, such as in evaluating changes in the popularity of exchanges.
Relative volume alone has no directional bias. While higher relative volume values always indicate higher trading activity, that activity does not necessarily translate into significant price movement. In a tightly fought battle between buyers and sellers, you could theoretically have very large volume for many bars, with no change whatsoever in bid/ask prices. This of course, is unlikely to happen in reality, and so traders are justified in considering high relative volume values as indicating periods where more attention is required, because imbalances in the strength of buying/selling power during high-volume trading periods can amplify price variations, providing traders with the generally useful gift of volatility.
Be sure to give the "Directional Relative Volume Average" a try. Contrary to the always-positive ratio widely used in this indicator, the "Directional Relative Volume Average" produces a value able to determine a bullish/bearish bias for relative volume.
Note that realtime bars must be complete for the relative volume value to be confirmed. Values calculated on historical or elapsed realtime bars will not recalculate unless historical volume data changes.
Finally, as with all indicators using volume information, keep in mind that some exchanges/brokers supply different feeds for intraday and daily data, and the volume data on both feeds can sometimes vary quite a bit.
For coders
Our script was written using the PineCoders Coding Conventions for Pine .
The description was formatted using the techniques explained in the How We Write and Format Script Descriptions PineCoders publication.
Bits and pieces of code were lifted from the MTF Selection Framework and the MTF Oscillator Framework , also by PineCoders.
█ THANKS
Thanks to dgtrd for suggesting to add the channel using standard deviation.
Thanks to adolgov for helpful suggestions on calculations and visuals.
Look first. Then leap.
VPCI MA cross [LM]Hello guys,
I would like to introduce you a script that combines two indicators: VPCI( volume price confirmation indicator) and donchian MAs
VPCI:
Fundamentally, the VPCI reveals the proportional imbalances between price trends and volume-adjusted price
trends. An uptrend with increasing volume is a market characterized by greed supported by the fuel needed to
grow. An uptrend without volume is complacent and reveals greed deprived of the fuel needed to sustain itself.
Investors without the influx of other investors ( volume ) will eventually lose interest and the uptrend should
eventually breakdown.
A falling price trend reveals a market driven by fear. A falling price trend without volume reveals apathy, fear
without increasing energy. Unlike greed, fear is self-sustaining, and may endure for long time periods without
increasing fuel or energy. Adding energy to fear can be likened to adding fuel to a fire and is generally bearish
until the VPCI reverses. In such cases, weak-minded investor's, overcome by fear, are becoming irrationally
fearful until the selling climax reaches a state of maximum homogeneity. At this point, ownership held by weak
investor’s has been purged, producing a type of heat death capitulation. These occurrences may be visualized by
the VPCI falling below the lower standard deviation of a Bollinger Band of the VPCI, and then rising above the
lower band, and forming a 'V' bottom.
I have used MA's on top of VPCI and looking for crosses. Percatage that is shown in label is calculation of difference between previous cross and current close price. So you know if you would be flipping what % you would gain or loose, all is rounded with precission of two
DONCHIAN
I took donchain calculation from ichimoku to calculate conversion line and base line(both are giving me information about whether it's trending or not and distance from the mean)
There are various sections in setting:
VPCI - setting of MA lengths(for smaller timeframes I recommend using bigger MA length)
DONCHAIN - setting length for conversion and base line
Any suggestions are welcome
Bar Balance [LucF]Bar Balance extracts the number of up, down and neutral intrabars contained in each chart bar, revealing information on the strength of price movement. It can display stacked columns representing raw up/down/neutral intrabar counts, or an up/down balance line which can be calculated and visualized in many different ways.
WARNING: This is an analysis tool that works on historical bars only. It does not show any realtime information, and thus cannot be used to issue alerts or for automated trading. When realtime bars elapse, the indicator will require a browser refresh, a change to its Inputs or to the chart's timeframe/symbol to recalculate and display information on those elapsed bars. Once a trader understands this, the indicator can be used advantageously to make discretionary trading decisions.
Traders used to work with my Delta Volume Columns Pro will feel right at home in this indicator's Inputs . It has lots of options, allowing it to be used in many different ways. If you value the bar balance information this indicator mines, I hope you will find the time required to master the use of Bar Balance well worth the investment.
█ OVERVIEW
The indicator has two modes: Columns and Line .
Columns
• In Columns mode you can display stacked Up/Down/Neutral columns.
• The "Up" section represents the count of intrabars where `close > open`, "Down" where `close < open` and "Neutral" where `close = open`.
• The Up section always appears above the centerline, the Down section below. The Neutral section overlaps the centerline, split halfway above and below it.
The Up and Down sections start where the Neutral section ends, when there is one.
• The Up and Down sections can be colored independently using 7 different methods.
• The signal line plotted in Line mode can also be displayed in Columns mode.
Line
• Displays a single balance line using a zero centerline.
• A variable number of independent methods can be used to calculate the line (6), determine its color (5), and color the fill (5).
You can thus evaluate the state of 3 different components with this single line.
• A "Divergence Levels" feature will use the line to automatically draw expanding levels on divergence events.
Features available in both modes
• The color of all components can be selected from 15 base colors, with 16 gradient levels used for each base color in the indicator's gradients.
• A zero line can show a 6-state aggregate value of the three main volume balance modes.
• The background can be colored using any of 5 different methods.
• Chart bars can be colored using 5 different methods.
• Divergence and large neutral count ratio events can be shown in either Columns or Line mode, calculated in one of 4 different methods.
• Markers on 6 different conditions can be displayed.
█ CONCEPTS
Intrabar inspection
Intrabar inspection means the indicator looks at lower timeframe bars ( intrabars ) making up a given chart bar to gather its information. If your chart is on a 1-hour timeframe and the intrabar resolution determined by the indicator is 5 minutes, then 12 intrabars will be analyzed for each chart bar and the count of up/down/neutral intrabars among those will be tallied.
Bar Balances and calculation methods
The indicator uses a variety of methods to evaluate bar balance and to derive other calculations from them:
1. Balance on Bar : Uses the relative importance of instant Up and Down counts on the bar.
2. Balance Averages : Uses the difference between the EMAs of Up and Down counts.
3. Balance Momentum : Starts by calculating, separately for both Up and Down counts, the difference between the same EMAs used in Balance Averages and an SMA of double the period used for the EMAs. These differences are then aggregated and finally, a bounded momentum of that aggregate is calculated using RSI.
4. Markers Bias : It sums the bull/bear occurrences of the four previous markers over a user-defined period (the default is 14).
5. Combined Balances : This is the aggregate of the instant bull/bear bias of the three main bar balances.
6. Dual Up/Down Averages : This is a display mode showing the EMA calculated for each of the Up and Down counts.
Interpretation of neutral intrabars
What do neutral intrabars mean? When price does not change during a bar, it can be because there is simply no interest in the market, or because of a perfect balance between buyers and sellers. The latter being more improbable, Bar Balance assumes that neutral bars reveal a lack of interest, which entails uncertainty. That is the reason why the option is provided to interpret ratios of neutral intrabars greater than 50% as divergences. It is also the rationale behind the option to dampen signal lines on the inverse ratio of neutral intrabars, so that zero intrabars do not affect the signal, and progressively larger proportions of neutral intrabars will reduce the signal's amplitude, as the balance calcs using the up/down counts lose significance. The impact of the dampening will vary with markets. Weaker markets such as cryptos will often contain greater numbers of neutral intrabars, so dampening the Line in that sector will have a greater impact than in more liquid markets.
█ FEATURES
1 — Columns
• While the size of the Up/Down columns always represents their respective importance on the bar, their coloring mode is independent. The default setup uses a standard coloring mode where the Up/Down columns over/under the zero line are always in the bull/bear color with a higher intensity for the winning side. Six other coloring modes allow you to pack more information in the columns. When choosing to color the top columns using a bull/bear gradient on Balance Averages, for example, you will end up with bull/bear colored tops. In order for the color of the bottom columns to continue to show the instant bar balance, you can then choose the "Up/Down Ratio on Bar — Dual Solid Colors" coloring mode to make those bars the color of the winning side for that bar.
• Line mode shows only the line, but Columns mode allows displaying the line along with it. If the scale of the line is different than that of the scale of the columns, the line will often appear flat. Traders may find even a flat line useful as its bull/bear colors will be easily distinguishable.
2 — Line
• The default setup for Line mode uses a calculation on "Balance Momentum", with a fill on the longer-term "Balance Averages" and a line color based on the "Markers Bias". With the background set on "Line vs Divergence Levels" and the zero line on the hard-coded "Combined Bar Balances", you have access to five distinct sources of information at a glance, to which you can add divergences, divergences levels and chart bar coloring. This provides powerful potential in displaying bar balance information.
• When no columns are displayed, Line mode can show the full scale of whichever line you choose to calculate because the columns' scale no longer interferes with the line's scale.
• Note that when "Balance on Bar" is selected, the Neutral count is also displayed as a ratio of the balance line. This is the only instance where the Neutral count is displayed in Line mode.
• The "Dual Up/Down Averages" is an exception as it displays two lines: one average for the Up counts and another for the Down counts. This mode will be most useful when Columns are also displayed, as it provides a reference for the top and bottom columns.
3 — Zero Line
The zero line can be colored using two methods, both based on the Combined Balances, i.e., the aggregate of the instant bull/bear bias of the three main bar balances.
• In "Six-state Dual Color Gradient" mode, a dot appears on every bar. Its color reflects the bull/bear state of the Combined Balances, and the dot's brightness reflects the tally of balance biases.
• In "Dual Solid Colors (All Bull/All Bear Only)" a dot only appears when all three balances are either bullish or bearish. The resulting pattern is identical to that of Marker 1.
4 — Divergences
• Divergences are displayed as a small circle at the top of the scale. Four different types of divergence events can be detected. Divergences occur whenever the bull/bear bias of the method used diverges with the bar's price direction.
• An option allows you to include in divergence events instances where the count of neutral intrabars exceeds 50% of the total intrabar count.
• The divergence levels are dynamic levels that automatically build from the line's values on divergence events. On consecutive divergences, the levels will expand, creating a channel. This implementation of the divergence levels corresponds to my view that divergences indicate anomalies, hesitations, points of uncertainty if you will. It excludes any association of a pre-determined bullish/bearish bias to divergences. Accordingly, the levels merely take note of divergence events and mark those points in time with levels. Traders then have a reference point from which they can evaluate further movement. The bull/bear/neutral colors used to plot the levels are also congruent with this view in that they are determined by price's position relative to the levels, which is how I think divergences can be put to the most effective use.
5 — Background
• The background can show a bull/bear gradient on four different calculations. You can adjust its brightness to make its visual importance proportional to how you use it in your analysis.
6 — Chart bars
• Chart bars can be colored using five different methods.
• You have the option of emptying the body of bars where volume does not increase, as does my TLD indicator, the idea behind this being that movement on bars where volume does not increase is less relevant.
7 — Intrabar Resolution
You can choose between three modes. Two of them are automatic and one is manual:
a) Fast, Longer history, Auto-Steps (~12 intrabars) : Optimized for speed and deeper history. Uses an average minimum of 12 intrabars.
b) More Precise, Shorter History Auto-Steps (~24 intrabars) : Uses finer intrabar resolution. It is slower and provides less history. Uses an average minimum of 24 intrabars.
c) Fixed : Uses the fixed resolution of your choice.
Auto-Steps calculations vary for 24/7 and conventional markets in order to achieve the proper target of minimum intrabars.
You can choose to view the intrabar resolution currently used to calculate delta volume. It is the default.
The proper selection of the intrabar resolution is important. It must achieve maximal granularity to produce precise results while not unduly slowing down calculations, or worse, causing runtime errors.
8 — Markers
Six markers are available:
1. Combined Balances Agreement : All three Bar Balances are either bullish or bearish.
2. Up or Down % Agrees With Bar : An up marker will appear when the percentage of up intrabars in an up chart bar is greater than the specified percentage. Conditions mirror to down bars.
3. Divergence confirmations By Price : One of the four types of balance calculations can be used to detect divergences with price. Confirmations occur when the bar following the divergence confirms the balance bias. Note that the divergence events used here do not include neutral intrabar events.
4. Balance Transitions : Bull/bear transitions of the selected balance.
5. Markers Bias Transitions : Bull/bear transitions of the Markers Bias.
6. Divergence Confirmations By Line : Marks points where the line first breaches a divergence level.
Markers appear when the condition is detected, without delay. Since nothing is plotted in realtime, markers do not appear on the realtime bar.
9 — Settings
• Two modes can be selected to dampen the line on the ratio of neutral intrabars.
• A distinct weight can be attributed to the count of the latter half of intrabars, on the assumption that later intrabars may be more important in determining the outcome of chart bars.
• Allows control over the periods of the different moving averages used in calculations.
• The default periods used for the various calculations define the following hierarchy from slow to fast:
Balance Averages: 50,
Balance Momentum: 20,
Dual Up/Down Averages: 20,
Marker Bias: 10.
█ LIMITATIONS
• This script uses a special characteristic of the `security()` function allowing the inspection of intrabars—which is not officially supported by TradingView.
• The method used does not work on the realtime bar—only on historical bars.
• The indicator only works on some chart resolutions: 3, 5, 10, 15 and 30 minutes, 1, 2, 4, 6, and 12 hours, 1 day, 1 week and 1 month. The script’s code can be modified to run on other resolutions, but chart resolutions must be divisible by the lower resolution used for intrabars and the stepping mechanism could require adaptation.
• When using the "Line vs Divergence Levels — Dual Color Gradient" color mode to fill the line, background or chart bars, keep in mind that a line calculation mode must be defined for it to work, as it determines gradients on the movement of the line relative to divergence levels. If the line is hidden, it will not work.
• When the difference between the chart’s resolution and the intrabar resolution is too great, runtime errors will occur. The Auto-Steps selection mechanisms should avoid this.
• Alerts do not work reliably when `security()` is used at intrabar resolutions. Accordingly, no alerts are configured in the indicator.
• The color model used in the indicator provides for fancy visuals that come at a price; when you change values in Inputs , it can take 20 seconds for the changes to materialize. Luckily, once your color setup is complete, the color model does not have a large performance impact, as in normal operation the `security()` calls will become the most important factor in determining response time. Also, once in a while a runtime error will occur when you change inputs. Just making another change will usually bring the indicator back up.
█ RAMBLINGS
Is this thing useful?
I'll let you decide. Bar Balance acts somewhat like an X-Ray on bars. The intrabars it analyzes are no secret; one can simply change the chart's resolution to see the same intrabars the indicator uses. What the indicator brings to traders is the precise count of up/down/neutral intrabars and, more importantly, the calculations it derives from them to present the information in a way that can make it easier to use in trading decisions.
How reliable is Bar Balance information?
By the same token that an up bar does not guarantee that more up bars will follow, future price movements cannot be inferred from the mere count of up/down/neutral intrabars. Price movement during any chart bar for which, let's say, 12 intrabars are analyzed, could be due to only one of those intrabars. One can thus easily see how only relying on bar balance information could be very misleading. The rationale behind Bar Balance is that when the information mined for multiple chart bars is aggregated, it can provide insight into the history behind chart bars, and thus some bias as to the strength of movements. An up chart bar where 11/12 intrabars are also up is assumed to be stronger than the same up bar where only 2/12 intrabars are up. This logic is not bulletproof, and sometimes Bar Balance will stray. Also, keep in mind that balance lines do not represent price momentum as RSI would. Bar Balance calculations have no idea where price is. Their perspective, like that of any historian, is very limited, constrained that it is to the narrow universe of up/down/neutral intrabar counts. You will thus see instances where price is moving up while Balance Momentum, for example, is moving down. When Bar Balance performs as intended, this indicates that the rally is weakening, which does necessarily imply that price will reverse. Occasionally, price will merrily continue to advance on weakening strength.
Divergences
Most of the divergence detection methods used here rely on a difference between the bias of a calculation involving a multi-bar average and a given bar's price direction. When using "Bar Balance on Bar" however, only the bar's balance and price movement are used. This is the default mode.
As usual, divergences are points of interest because they reveal imbalances, which may or may not become turning points. I do not share the overwhelming enthusiasm traders have for the purported ability of bullish/bearish divergences to indicate imminent reversals.
Superfluity
In "The Bed of Procrustes", Nassim Nicholas Taleb writes: To bankrupt a fool, give him information . Bar Balance can display lots of information. While learning to use a new indicator inevitably requires an adaptation period where we put it through its paces and try out all its options, once you have become used to Bar Balance and decide to adopt it, rigorously eliminate the components you don't use and configure the remaining ones so their visual prominence reflects their relative importance in your analysis. I tried to provide flexible options for traders to control this indicator's visuals for that exact reason—not for window dressing.
█ NOTES
For traders
• To avoid misleading traders who don't read script descriptions, the indicator shows nothing in the realtime bar.
• The Data Window shows key values for the indicator.
• All gradients used in this indicator determine their brightness intensities using advances/declines in the signal—not their relative position in a fixed scale.
• Note that because of the way gradients are optimized internally, changing their brightness will sometimes require bringing down the value a few steps before you see an impact.
• Because this indicator does not use volume, it will work on all markets.
For coders
• For those interested in gradients, this script uses an advanced version of the Advance/Decline gradient function from the PineCoders Color Gradient (16 colors) Framework . It allows more precise control over the range, steps and min/max values of the gradients.
• I use the PineCoders Coding Conventions for Pine to write my scripts.
• I used functions modified from the PineCoders MTF Selection Framework for the selection of timeframes.
█ THANKS TO:
— alexgrover who helped me think through the dampening method used to attenuate signal lines on high ratios of neutral intrabars.
— A guy called Kuan who commented on a Backtest Rookies presentation of their Volume Profile indicator . The technique I use to inspect intrabars is derived from Kuan's code.
— theheirophant , my partner in the exploration of the sometimes weird abysses of `security()`’s behavior at intrabar resolutions.
— midtownsk8rguy , my brilliant companion in mining the depths of Pine graphics. He is also the co-author of the PineCoders Color Gradient Frameworks .
Delta Volume Columns [LucF]Displays delta volume columns using intrabar volume information. Each volume column is divided into three sections: buying, selling and neutral volume. Volume for each section is determined from the volume and price movement of each intrabar at a user-selected lower resolution.
Features include:
- Choice of color themes for either dark or light chart backgrounds
- Delta volume columns
- Volume Balance displayed as the difference between the MAs of buying and selling volume
- Display of divergences between a bar’s volume balance and the bar’s price movement (example: buying volume > selling volume but close < open). Divergences can be shown in 2 different color schemes (including green/red showing a tentative direction), on volume columns and/or on chart bars
- Display of bar by bar volume balance with highlighting of above average volume
- Display of the usual total volume MA
- Choice of the lower resolution used to retrieve intrabar information
- Alerts configurable on any combination of the markers, with control over long/short direction
- Choice of 3 different markers:
1. Double bumps: two consecutive bars where buying or selling volume is in the same direction and where volume > volume MA
2. Divergence confirmations: direction of the price bar following a price/volume balance divergence
3. Volume balance shifts: zero level crossings of the volume balance MA delta
The chart shows the two main modes of display:
- Top pane : shows the stacked volume columns with divergences in orange and the flattened volume balance MAs delta at the bottom of the volume columns. This volume balance is the same shown in the bottom pane. The top pane also shows the instant volume balance strip above the volume columns. The strip’s colors show which of the buying or selling volume was greater, and colors are brighter if the total volume was above the total volume MA.
- Bottom pane : shows the volume balance MAs delta with markers 1 and 2. Given that this graphic has no price momentum component, I find quite eerie how it often looks like a momentum-based signal.
The default 5 minute intrabar resolution is used in combination with the weekly chart, which is excessive.
This script uses a special characteristic of the security() function’s behavior when it is sent to a resolution lower than the chart’s resolution. Details are given in the script’s comments. This method has the advantage of working under more circumstances than some of the other loop-based methods, but it also has its limits.
IMPORTANT
This is what you need to know:
- The method used does not work on the realtime bar—only on historical bars. Consequently, the volume column shown on the realtime bar is a normal volume column plotted in green or red, following price movement. The column will only show delta volume information after it closes and becomes a historical bar.
- The indicator only works on some chart resolutions: 5, 10, 15 and 30 minutes, 1, 2, 4, 6, and 12 hours, 1 day, 1 week and 1 month. The script’s code can be modified to run on other resolutions, but chart resolutions must be divisible by the lower resolution used for intrabars.
- Intrabar resolutions can be selected from 1, 5, 15, 30, 45 minutes, 1, 2, 3, 4 hours, 1 day, 1 week and 1 month. The intrabar resolution must of course be smaller than the chart’s resolution.
- Contrary to my other indicators where alerts must be configured to trigger “Once Per Bar Close” in order to avoid false triggers (or repainting), all this indicator’s alerts are designed to trigger using previous bar information since the indicator’s calculations in the realtime bar are not exact. Markers are not plotted with a negative offset; they appear at the beginning of the realtime bar following confirmation of the marker’s condition on the previous bar. Alerts for this indicator should thus be configured to trigger “Once Per Bar” so they trigger at the beginning of the realtime bar. Note that the penalty is not that great, as it is simply the instant between the close of the previous realtime bar and the opening of the next. The advantage of using this technique is that the indicator does not repaint; a marker that appears at the beginning of the realtime bar will never disappear.
- The script only plots information that is reliable in the realtime bar, i.e., total volume and markers. All other plots are set to n/a to prevent misleading traders.
- When the difference between the chart’s resolution and the lower resolution is too important, volume columns will not calculate for all bars in the dataset.
On Delta Volume
Buying or selling volume are misnomers, as every unit of volume transacted is both bought and sold by 2 different traders. There is no such thing as “buy only” or “sell only” volume, but trader lingo is riddled with original fabulations.
Without access to order book information, traders work with the assumption that when price moves up during a bar, there was more buying pressure than selling pressure. The built-in volume indicator available on TradingView uses this logic to color the volume columns green or red. While this script’s numbers are more precise because it analyses a number of intrabars to calculate its information, it uses the exact same imperfect logic to calculate its buying/selling/neutral sections.
Until Pine scripts can have access to how much volume was transacted at the bid/ask prices, our so-called buying/selling volume information will always be a mere proxy.
Divergences
You may wonder how there can be divergences between buying/selling volume information and price movement. This will sometimes be due to the methodology’s shortcomings we have just discussed, but divergences may also occur in instances where because of order book structure, it takes less volume to increase the price of an asset than it takes to decrease it.
As usual, divergences are points of interest because they reveal imbalances, which may or may not become turning points. I do not share the overwhelming enthusiasm traders have for divergences. To your pattern-hungry brain, the orange bars this indicator shows on chart will—as divergences on other indicators do–appear to often indicate turnarounds. My opinion is that reality is generally quite sobering, as many who have tried building automated rules based on divergences will tell you. I do not have hard numbers on the lack of performance of divergences—only many failed attempts to make them perform, which a few experienced strategy modelers I know share with me. Please don’t try to read too much into them. While they look great on past data, I find they are often difficult to use in realtime to make bets with good odds.
Thanks to:
- A guy called Kuan who commented on a Backtest Rookies presentation of an intrabar delta volume indicator using a for loop. The heart of “my” indicator is code borrowed from Kuan; I just built a hopefully useful wrapper around it.
- @theheirophant, my partner in the exploration of the sometimes weird abysses of security() ’s behavior at lower resolutions.
Indicator: Volume Price Confirmation Indicator (VPCI)Developed by Buff Dormeier, VPCI won 2007 Charles H Dow award by the MTA. VPCI plots the relationship between price trend and the volume, as either being in a state of confirmation or contradiction.
Excerpt from article below:
"Fundamentally, the VPCI reveals the proportional imbalances between price trends and volume-adjusted price
trends. An uptrend with increasing volume is a market characterized by greed supported by the fuel needed to
grow. An uptrend without volume is complacent and reveals greed deprived of the fuel needed to sustain itself.
Investors without the influx of other investors (volume) will eventually lose interest and the uptrend should
eventually breakdown.
A falling price trend reveals a market driven by fear. A falling price trend without volume reveals apathy, fear
without increasing energy. Unlike greed, fear is self-sustaining, and may endure for long time periods without
increasing fuel or energy. Adding energy to fear can be likened to adding fuel to a fire and is generally bearish
until the VPCI reverses. In such cases, weak-minded investor's, overcome by fear, are becoming irrationally
fearful until the selling climax reaches a state of maximum homogeneity. At this point, ownership held by weak
investor’s has been purged, producing a type of heat death capitulation. These occurrences may be visualized by
the VPCI falling below the lower standard deviation of a Bollinger Band of the VPCI, and then rising above the
lower band, and forming a 'V' bottom. "
Full article: www.mta.org
Nearly all parameters are configurable and exposed via "Options" page (enable/disable BB, enable/disable breach-markings, enable/disable MA, ...).Also check the source for enabling "histogram" (difference between VPCI and MA of VPCI).
Do note that the shortTerm/longTerm lengths need tuning for your instrument. The default 5/20 is not optimal, in my quick check.
Advanced Trading System - Volume Profile + BB + RSI + FVG + FibAdvanced Multi-Indicator Trading System with Volume Profile, Bollinger Bands, RSI, FVG & Fibonacci
Overview
This comprehensive trading indicator combines five powerful technical analysis tools into one unified system, designed to identify high-probability trading opportunities with precision entry and exit signals. The indicator integrates Volume Profile analysis, Bollinger Bands, RSI momentum, Fair Value Gaps (FVG), and Fibonacci retracement levels to provide traders with a complete market analysis framework.
Key Features
1. Volume Profile & Point of Control (POC)
Automatically calculates the Point of Control - the price level with the highest trading volume
Identifies Value Area High (VAH) and Value Area Low (VAL)
Updates dynamically based on customizable lookback periods
Helps identify key support and resistance zones where institutional traders are active
2. Bollinger Bands Integration
Standard 20-period Bollinger Bands with customizable multiplier
Identifies overbought and oversold conditions
Measures market volatility through band width
Signals generated when price approaches extreme levels
3. RSI Momentum Analysis
14-period Relative Strength Index with visual background coloring
Overbought (70) and oversold (30) threshold alerts
Integrated into buy/sell signal logic for confirmation
Real-time momentum tracking in info dashboard
4. Fair Value Gap (FVG) Detection
Automatically identifies bullish and bearish fair value gaps
Visual representation with colored boxes
Highlights imbalance zones where price may return
Used for high-probability entry confirmation
5. Fibonacci Retracement Levels
Auto-calculated based on recent swing high/low
Key levels: 23.6%, 38.2%, 50%, 61.8%, 78.6%
Perfect for identifying profit-taking zones
Dynamic lines that update with market movement
6. Smart Signal Generation
The indicator generates BUY and SELL signals based on multi-condition confluence:
BUY Signal Requirements:
Price near lower Bollinger Band
RSI in oversold territory (< 30)
High volume confirmation (optional)
Bullish FVG or POC alignment
SELL Signal Requirements:
Price near upper Bollinger Band
RSI in overbought territory (> 70)
High volume confirmation (optional)
Bearish FVG or POC alignment
7. Automated Take Profit Levels
Three dynamic profit targets: 1%, 2%, and 3%
Automatically calculated from entry price
Visual markers on chart
Individual alerts for each level
8. Comprehensive Alert System
The indicator includes 10+ alert types:
Buy signal alerts
Sell signal alerts
Take profit level alerts (TP1, TP2, TP3)
Fibonacci level cross alerts
RSI overbought/oversold alerts
Bullish/Bearish FVG detection alerts
9. Real-Time Info Dashboard
Live display of all key metrics
Color-coded for quick visual analysis
Shows RSI, BB Width, Volume ratio, POC, Fib levels
Current signal status (BUY/SELL/WAIT)
How to Use
Setup
Add the indicator to your chart
Adjust parameters based on your trading style and timeframe
Set up alerts by clicking "Create Alert" and selecting desired conditions
Recommended Timeframes
Scalping: 5m - 15m
Day Trading: 15m - 1H
Swing Trading: 4H - Daily
Parameter Customization
Volume Profile Settings:
Length: 100 (adjust for more/less historical data)
Rows: 24 (granularity of volume distribution)
Bollinger Bands:
Length: 20 (standard period)
Multiplier: 2.0 (adjust for tighter/wider bands)
RSI Settings:
Length: 14 (standard momentum period)
Overbought: 70
Oversold: 30
Fibonacci:
Lookback: 50 (swing high/low detection period)
Signal Settings:
Volume Filter: Enable/disable volume confirmation
Volume MA Length: 20 (for volume comparison)
Trading Strategy Examples
Strategy 1: Trend Reversal
Wait for BUY signal at lower Bollinger Band
Confirm with bullish FVG or POC support
Enter position
Take partial profits at Fib 38.2% and 50%
Exit remaining position at TP3 or SELL signal
Strategy 2: Breakout Confirmation
Monitor price approaching POC level
Wait for volume spike
Enter on signal confirmation with FVG alignment
Use Fibonacci levels for scaling out
Strategy 3: Range Trading
Identify POC as range midpoint
Buy at lower BB with oversold RSI
Sell at upper BB with overbought RSI
Use FVG zones for additional confirmation
Best Practices
✅ Do:
Use multiple timeframe analysis
Combine with price action analysis
Set stop losses below/above recent swing points
Scale out at Fibonacci levels
Wait for volume confirmation on signals
❌ Don't:
Trade every signal blindly
Ignore overall market context
Use on extremely low timeframes without testing
Neglect risk management
Trade during low liquidity periods
Risk Management
Always use stop losses
Risk no more than 1-2% per trade
Consider market conditions and volatility
Scale position sizes based on signal strength
Use the volume filter for additional confirmation
Technical Specifications
Pine Script Version: 6
Overlay: Yes (displays on main chart)
Max Boxes: 500 (for FVG visualization)
Max Lines: 500 (for Fibonacci levels)
Alerts: 10+ customizable conditions
Performance Notes
This indicator works best in:
Trending markets with clear momentum
High-volume trading sessions
Assets with good liquidity
When multiple signals align
Less effective in:
Extremely choppy/sideways markets
Low-volume periods
During major news events (high volatility)
Updates & Support
This indicator is actively maintained and updated. Future enhancements may include:
Additional volume profile features
More sophisticated FVG tracking
Enhanced alert customization
Backtesting integration
Disclaimer
This indicator is for educational and informational purposes only. It does not constitute financial advice. Past performance does not guarantee future results. Always conduct your own research and consider consulting with a financial advisor before making trading decisions. Trading involves substantial risk of loss.
FPT - Key Levels with VWAP🔶 FPT – Key Levels with VWAP
This indicator combines multi-session VWAP, higher-timeframe key levels, market structure (HH/HL/LH/LL), and liquidity zones into one clean intraday tool.
Designed for scalping, day-trading, and session-based strategies such as Asia → London → New York flows.
🔵 Features
1. Multi-Session VWAP
Asia VWAP
London VWAP
New York VWAP
Daily reset
Optional deviations & clean mode
2. Key Levels (HTF SR Zones)
Automatically detects:
Previous Day High / Low
4H / 1H Key Levels
Session High / Low
Midpoints
Equal Highs & Equal Lows (liquidity lines)
3. Market Structure Engine
Swing points (HH, HL, LH, LL)
Break of Structure (BOS)
Market Structure Shift (MSS)
Optional minimal mode showing only breaks
4. Liquidity Tools
Buyside & sellside liquidity zones
Range high / low liquidity
Optional void / imbalance zones
5. Clean Visualization Mode
Removes unnecessary text
Shows only the essential levels
Perfect for chart posting or backtesting
🟩 Use Cases
Intraday key level mapping
VWAP deviation → mean reversion setups
Liquidity sweep → BOS/MSS setups
Session volatility filtering
Scalping and fast execution planning
⚠️ Disclaimer
This script does not provide financial advice.
It is for educational and analytical purposes only.
All trading decisions are solely your responsibility.
Josh FXJoshFX Multi-Timeframe Levels & Fair Value Gap Indicator
This powerful TradingView indicator provides a comprehensive view of key market levels and trends across multiple timeframes. Designed for traders who want precise entries and market context, it includes:
Previous Daily Levels: Automatically marks the previous day’s High, Low, and 50% midpoint.
Multi-Timeframe Trend: Displays the trend direction for 5-minute, 15-minute, 1-hour, and 4-hour charts directly on your current chart.
Daily Candle Display: Shows the current daily candle for quick visual reference.
Pivot Points: Accurately marks technical highs and lows (pivot points) to the exact unit on the chart.
Fair Value Gaps (FVGs): Highlights areas of imbalance for potential high-probability trade setups.
JoshFX Telegram Watermark: Includes branding for the JoshFX community.
This all-in-one tool is perfect for traders combining price action, liquidity concepts, and multi-timeframe analysis to find high-quality setups efficiently.
Delta Force Index - DFI [TCMaster]This indicator provides a proxy measurement of hidden buying and selling pressure inside each candle by combining tick volume with candle direction. It calculates a simulated delta volume (buy vs. sell imbalance), applies customizable scaling factors, and displays three components:
Delta Columns (green/red): Show estimated hidden buy or sell pressure per candle.
Delta Moving Average (orange line): Smooths delta values to highlight underlying momentum.
Cumulative Delta (blue line): Tracks the long-term accumulation of hidden order flow.
How to use:
Rising green columns with a positive Delta MA and upward Cumulative Delta suggest strong hidden buying pressure.
Falling red columns with a negative Delta MA and downward Cumulative Delta suggest strong hidden selling pressure.
Scaling parameters allow you to adjust the visual balance between columns and lines for different timeframes.
Note: This tool uses tick volume and candle direction as a proxy for order flow. It does not display actual bid/ask data or Level II market depth. For professional order flow analysis, footprint charts or DOM data are required.
Delta Signals NO REPINTA (FINAL)📢 New Indicator: Delta Signals NO REPAINT 🔥
Introducing my new indicator based on Order Flow Delta, designed to provide buy and sell signals with absolutely NO repainting — perfect for scalping, day trading, or swing trading.
This tool combines two powerful components:
✅ Order Flow Delta — Measures the real strength between buyers and sellers
✅ Smart Trend Filter — Only shows signals in the direction of the dominant trend
Together, they deliver cleaner, more accurate and more reliable signals, with clear entry markers on the chart and a delta histogram revealing real market pressure.
🚀 What’s Included?
🔹 Buy/Sell signals with NO repaint
🔹 Intelligent delta calculation
🔹 Trend filter using moving average
🔹 Clear labels on entry points
🔹 Visual delta histogram
🔹 Works great on Crypto, Forex, Indices & Stocks
🔹 Very lightweight and fast on TradingView
🎯 Why is it powerful?
Because it doesn't rely on lagging indicators — it reads the actual imbalance between buyers and sellers, often detecting strong moves before traditional indicators do.
This type of analysis is used by professional order flow traders, but now you have it on your TradingView chart in a simple, visual format.
🔥 Perfect for:
Scalpers who need precision
Day traders working breakouts and pullbacks
Swing traders seeking strong confirmations
Traders who want clean, NO-repaint signals
If you want a version with automatic TP/SL, alerts, or full backtesting, I can publish that as well.
Just let me know. 🚀📈
SCOB Pattern with ERC & AlertsSingle Candle Block (SC0B) consists of a single candle appearing at a significant price level, indicating a confirmed reversal in price direction from that particular area of interest.
SCOB is primarily used to confirm and execute trades.
Using a single candle block to enter a trade minimizes risk and maximizes reward.
Single bullish candle block?
1st candle closes at bullish point of interest with a short or long wick.
2nd candle sweeps the low of previous(1st) candle and closes above the low of previous candle.
3rd candle closes above the high of 2nd candle.
How to trade with Scob bullish.
To Trade using Bullish SCOB you have to wait for price to come down and test the single candle order block.
When price tests the SCOB you can directly execute a buy trade or for a precise entry you can wait for a market structure shift in lower time frame.
Scob discount is the opposite of price increase.
This strategy should only be used when price "sweeps through key lever, liquidity, imbalance, poi htf areas.
This indicator will add a filter to help you reduce signal noise.
Use the "Use engulfing candle to test" function to filter the 3rd candle.
Only search for Scob if the 3rd candle is an Engulfing candle.
The logic for finding Engulfing candles can be changed based on the "% maximum wick length" option. The default is that the candle wick is 25% of the total candle wick length.
You can also use the alert function when Scob appears
With Smart money concept, no strategy is perfect in trading, so you should not risk too much of your capital on this strategy.
To be safer, always remember to use stop loss for every trade.
🔥 SMC Reversal Engine v3.5 – Clean FVG + DashboardSMC Reversal Engine v3.5 – Clean FVG + Dashboard
The SMC Reversal Engine is a precision-built Smart Money Concepts tool designed to help traders understand market structure the single most important foundation in reading price action. It reveals how institutions move liquidity, where structure shifts occur, and how Fair Value Gaps (FVGs) align with these changes to signal potential reversals or continuations.
Understanding How It Works
At its core, the script detects CHoCH (Change of Character) and BOS (Break of Structure)—the two key turning points in institutional order flow. A CHoCH shows that the market has reversed intent (for example, from bearish to bullish), while a BOS confirms a continuation of the current trend. Together, they form the backbone of structure-based trading.
To refine this logic, the engine uses fractal pivots clusters of candles that confirm swing highs and lows. Fractals filter out noise, identifying points where price truly changes direction. The script lets you set this sensitivity manually or automatically adapts it depending on the timeframe. Lower fractal sensitivity captures smaller intraday swings for scalpers, while higher sensitivity locks onto major swing structures for swing and position traders.
The dashboard gives you a real-time reading of the trend, the last high and low, and what the market is likely to do next—for example, “Expect HL” or “Wait for LH.” It even tracks the accuracy of these structure predictions over time, giving an educational feedback loop to help you learn price behavior.
Fair Value Gaps and Tap Entries
Fair Value Gaps (FVGs) mark moments when price moves too quickly, leaving inefficiencies that institutions often revisit. When price taps into an FVG, it often acts as a high-probability entry zone for reversals or continuations. The script automatically detects, extends, and deletes old FVGs, keeping only relevant zones visible for a clean chart.
Traders can enable markTapEntry to visually confirm when an FVG gets filled. This is a simple but powerful trigger that often aligns with CHoCH or BOS moments.
Recommended Settings for Different Traders
For Scalpers, use a lower HTF structure such as 1 minute or 5 minutes. Keep Auto Fractals on for faster reaction, and limit FVG zones to 2–3. This gives you a clean, real-time reflection of order flow.
For Intraday Traders, 15-minute to 1-hour structure gives the perfect balance between reactivity and stability. Fractal sensitivity around 3–5 captures the most actionable levels without excessive noise.
For Swing Traders, use 4-hour, 1-day, or even 3-day structure. The chart becomes smoother, showing higher-order CHoCH and BOS that define true institutional transitions. Combine this with EMA confirmation for higher conviction.
For Position or Macro Traders, select Weekly or Monthly structure. The dynamic label system expands automatically to keep more historical BOS/CHoCH points visible, allowing you to see long-term shifts clearly.
Educational Value
This indicator is built to teach traders how to see structure the way professionals and smart money do. You’ll learn to recognize how markets transition from one phase to another from accumulation to manipulation to expansion. Each CHoCH or BOS helps you decode where liquidity is being taken and where new intent begins.
The included SMC Quick Guide explains each structural cue right on your chart. Within days of using it, you’ll start noticing patterns that reveal how price really moves, instead of guessing based on indicators.
Settings and How to Use Them
Everything in the SMC Reversal Engine is designed to adapt to your trading style and help you read structure like a professional.
When you open the Inputs Panel, you’ll see sections like Fractal Settings, FVG Settings, Buy/Sell Confirmation, and Educational Tools.
Under Fractal Settings, you can choose the higher timeframe (HTF) that defines structure—from minutes to weeks. The Auto Fractal Sensitivity option automatically adjusts how tight or wide swing points are detected. Lower sensitivity captures short-term fluctuations (great for scalpers), while higher values filter noise and isolate major swing highs and lows (perfect for swing traders).
The Fair Value Gap (FVG) options manage imbalance zones—the footprints of institutional orders. You can show or hide these zones, extend them into the future, and control how long they remain before auto-deletion. The Mark Entry When FVG is Tapped option places a small label when price revisits the gap—a potential entry signal that aligns with smart money logic.
EMA Confirmation adds a layer of confluence. The script can automatically scale EMA lengths based on timeframe, or you can input your preferred values (for example, 9/21 for intraday, 50/200 for swing). Require EMA Crossover Confirmation helps filter false moves, keeping you trading only with aligned momentum.
The Educational section gives traders visual reinforcement. When enabled, you’ll see tags like HH (Higher High), HL (Higher Low), LH (Lower High), and LL (Lower Low). These show structure shifts in real time, helping you learn visually what market structure really means. The Cheat Sheet panel summarizes each term, always visible in the corner for quick reference.
Early Top Warnings use wick size and RSI divergence to signal when price may be overextended—a useful heads-up before potential CHoCH formations.
Finally, the Narrative and Accuracy System translates structure into simple English—messages like Trend Bullish → Wait for HL or BOS Bearish → Expect LL. Over time, you can monitor how accurate these expectations have been, training your pattern recognition and confidence.
Pro Tips for Getting the Most Out of the SMC Reversal Engine
1. Start on Higher Timeframes First: Begin on the 4H or Daily chart where structure is cleaner and signals have more weight. Then scale down for entries once you grasp directional intent.
2. Use FVGs for Context, Not Just Entries: Observe how price behaves around unfilled FVGs—they often act as magnets or barriers, offering insight into where liquidity lies.
3. Combine With HTF Bias: Always trade in the direction of your higher timeframe trend. A bullish weekly BOS means lower timeframes should ideally align bullishly for optimal setups.
4. Clean Charts = Clear Mind: Use Minimal Mode when focusing on price action, then toggle the educational tools back on to review structure for learning.
5. Don’t Chase Every CHoCH or BOS: Focus on significant breaks that align with broader context and liquidity sweeps, not minor fluctuations.
6. Accuracy Rate Is a Feedback Tool: Use the accuracy stat as a reflection of consistency—not a trade trigger.
7. Build Narrative Awareness: Read the on-chart narrative messages to reinforce structured thinking and stay disciplined.
8. Practice Replay Mode: Step through past structures to visually connect CHoCH, BOS, and FVG behavior. It’s one of the best ways to train pattern recognition.
Summary
* Detects CHoCH and BOS automatically with fractal precision
* Identifies and manages Fair Value Gaps (FVGs) in real time
* Displays a smart dashboard with accuracy tracking
* Adapts label visibility dynamically by timeframe
* Perfect for both learning and trading with institutional clarity
This tool isn’t about predicting the market—it’s about understanding it. Once you can read structure, everything else in trading becomes secondary.
Astro's MG Detector (Ultra Sensitive V2)This indicator helps you find micro gaps on the cash session meaning when there is an imbalance of price found on the 5-minute chart between candles this should detect them. IYKYK
Astros MG DetectorIFKYK this indicator auto detects micro gaps where price has not yet been after an imbalance on said candles has been created.
XAUUSD Scalper — VolEx + Imbalance (Cleaned)this scalping technique is only applicable for Gold Scalp Trading.
Swing Point PnL PressureThis indicator visualizes the cumulative profit potential of bulls and bears based on recent swing highs and lows — offering a unique lens into trend maturity, sentiment imbalance, and exhaustion risk.
🟢 Bull PnL rises as price moves above prior swing lows — reflecting unrealized gains for long positions
🔴 Bear PnL rises as price drops below prior swing highs — capturing short-side profitability
Over time, these curves diverge during strong trends, revealing which side is in control. But when they converge, it often signals that the dominant side is losing steam — a potential turning point where profit-taking, traps, or reversals may emerge.
This tool doesn’t predict tops or bottoms — it tracks the emotional and financial pressure building on each side of the market. Use it to:
Spot trend exhaustion before price confirms it
Identify profit parity zones where sentiment may flip
Time accumulation or distribution phases with greater confidence
Whether you’re swing trading or analyzing macro structure, this indicator helps you see what price alone can’t: who’s winning, who’s trapped, and who’s about to give up.
X HL Rangedynamically maps high-low range boxes for custom time-bucket intervals without relying on security() calls. Each defined timeframe (e.g., 15-minute, 60-minute, or any user-selected value) produces a visual “range block” that captures the extremes (H/L) of price activity for that session bucket.
This tool is engineered to be lightweight, precise, and session-aware, avoiding repaint characteristics that can occur when referencing higher-timeframe candles directly. It builds the range locally in real-time, ensuring that traders always see authentic structure as it developed on the chart — not delayed or back-filled values.
The indicator can display one or both timeframes independently, with configurable display depth, color logic, and visual emphasis through fill and border toggles.
🎯 Key Features
Feature Description
Multi-timeframe bucket logic Builds range blocks locally using time calculations, not security()
Directional coloring Automatically adjusts based on up/down close of the completed range
Independent display controls Turn TF buckets on/off without affecting the other
Visual style management Independent fill + border toggles and opacity-aware color output
Historical depth control Automatically prunes oldest blocks to maintain visual clarity
Non-repainting Values are locked at bucket close and never adjusted backward
💡 Primary Use Cases
1️⃣ Intraday Structure Mapping
Traders who value intrablock liquidity zones, swing sweeps, or stop hunt regions can instantly see where price respected — or violated — previous time-based range extremes.
2️⃣ Volatility & Regime Shift Detection
Rapid compression or expansion across sequential blocks can be used to identify:
Transition from balance → imbalance
Trend exhaustion and reversal
The start of new initiative moves
3️⃣ Confluence Layering with:
VWAP (session, anchored, rolling)
Market profile / volume nodes
Opening range breakout systems
Session order flow frameworks
Mean-reversion and ATR-based models
Stacking multiple intervals (e.g., 15-min micro-range + 60-min macro-range) can highlight nested liquidity pockets, similar to structural mapping seen in professional execution models.
Volume-Confirmed FTR Zones [AlgoPoint]FTR Zone Indicator — Fail To Return Zones (With Volume Confirmation)
Advanced Smart Money Zone Detection for Institutional Orderflow
The FTR Zone Indicator is a professional-grade tool designed for traders who follow Smart Money Concepts (SMC), ICT methodologies, or institutional orderflow. It automatically detects Fail To Return Zones (FTR) — high-probability supply and demand areas formed after strong displacement moves.
By combining impulse detection, base identification, and volume confirmation, this indicator highlights zones where price is most likely to react, reverse, or mitigate shortly after structure breaks.
⸻
⭐ What Are FTR Zones?
FTR zones (Fail To Return zones) are price areas where:
1. A strong displacement / impulse candle is formed
2. That impulse originates from a small consolidation (base)
3. Price moves away aggressively
4. AND fails to return immediately to the origin area
These zones often indicate:
• Institutional orders
• Imbalance
• Hidden liquidity
• Origin of a trend leg
• High-probability mitigation points
This indicator fully automates the detection and visualization of such areas.
🔍 How the Indicator Works
1. Impulse Detection
The indicator identifies a valid impulse candle using:
• ATR-based bar range filter
• Trend-aligned candle body direction
• Optional volume confirmation
Only large, meaningful institutional candles qualify — filtering out noise.
2. Base Zone Identification
Before every impulse, the tool finds the micro-consolidation base using:
• Highest high of the last X bars
• Lowest low of the last X bars
This base becomes the potential FTR zone.
3. FTR Zone Creation
When a valid impulse is detected:
• Bullish impulse → Demand FTR zone
• Bearish impulse → Supply FTR zone
The zone is immediately drawn on the chart using box.new().
4. Zone Extension
Every zone continuously extends to the right as price evolves, allowing you to track:
• Mitigation
• Retests
• Reaction points
• Liquidity sweeps
5. Invalidation Logic
Zones automatically delete when violated:
• Demand zone invalid if close < zone low
• Supply zone invalid if close > zone high
This keeps the chart clean and helps focus only on active, high-value areas.
🎛️ Key Features
✔ Automatic FTR Zone Detection
Instantly identifies institutional origin zones based on real impulse and displacement.
✔ Volume-Based Filtering
Ensures only high-volume impulses (true institutional orders) create zones.
✔ Supply & Demand Coloring
• Bullish FTR → Demand Zone (Teal tone)
• Bearish FTR → Supply Zone (Red tone)
✔ Safe Zone Storage
Fault-tolerant logic ensures no array errors, invalid zones, or broken visuals.
✔ Auto-Extending Boxes
Real-time zone updates with precise historical mapping.
✔ Smart Invalidation
Zone is removed only when fully broken, preventing false signals.
✔ Clean, Non-Repainting Logic
Impulse detection and zone placement are confirmed only on bar close.
📈 How to Use It (Example Schenarios)
For Reversals or Continuations
• Look for price reacting or mitigating inside a zone
• Use as entry confirmation in trend continuations
• Combine with FVG, BOS/CHOCH, liquidity sweeps, or premium/discount zones
For Scalping or Intraday Trading
• High-probability countertrend entries
• Reaction-based setups at institutional footprints
For Swing Traders
• Identify weekly/daily origin zones
• Plan entries around large displacement points
Intraday Master Levels + ORB Suite (ARJO)Intraday Master Levels + ORB Suite (ARJO)
This toolkit is designed for intraday traders.
It focuses on key reference levels used by professional traders— Previous Day High/Low, CPR, Opening Range Breakout (ORB) , dynamic ORB box visualization, and a dedicated Morning Session VWAP.
This indicator provides objective reference zones to help traders understand market context, volatility, and intraday bias .
Key Features
1. Previous Day Levels (PDH / PDL)
Automatically plots Previous Day High, Previous Day Low , and optional labels.
These levels often act as natural support/resistance and help identify breakout traps or reversals.
2. Full CPR (Central Pivot Range)
The indicator draws:
Top Central (TC)
Pivot (PP)
Bottom Central (BC)
These levels help traders interpret range, trend, expansion, contraction, and potential intraday direction.
3. Opening Range (OR) Levels
You can select 5 / 10 / 15 / 30 / 60 minutes OR duration.
The script automatically calculates:
Opening Range High (ORH)
Opening Range Low (ORL)
Works in all markets and follows your chosen timezone.
4. ORB Highlight Box
A dynamic Opening Range Box is plotted during the OR window, showing:
Real-time OR expansion
Volatility
Initial auction imbalance
This helps visually track early market participation and breakout attempts.
5. Used Smoother Function (Ehlers SuperSmoother)
A refined trend ribbon based on:
EMA-based secondary smoothing
Adaptive up/down color gradients
Useful for understanding short-term trend strength around OR, CPR, and PDH/PDL zones.
6. Morning Session VWAP (Custom Session VWAP)
A unique feature in this script.
The indicator computes a dedicated VWAP only for the Morning Session (09:15–09:30)(customizable) to help evaluate:
Early-session pressure
Liquidity transition
Opening volatility absorption
This helps track where the market is accepting or rejecting price during the opening phase.
Inputs & Customization
Custom timezone selection
Toggle for PDH/PDL, CPR, OR, ORB Box, Labels
Color customization for each level
Trend color settings
Adjustable opening range duration
VWAP session toggle
All features can be enabled/disabled to make it user-friendly.
Disclaimer:
This indicator does not provide buy or sell signals .
It is a visual analysis tool meant to assist traders in studying intraday behavior.
Past performance does not guarantee future results.
Always combine these levels with risk management and your own market analysis.
Happy Trading (ARJO)
Smart Money Flow PRO + MFI📊 Smart Money Flow PRO + MFI Indicator Components
🔍 CORE CALCULATIONS
Volume Delta Analysis - Bullish/Bearish volume tracking
Cumulative Delta - Running total of volume imbalance
Money Flow Index (MFI) - Volume-weighted RSI (14-period default)
Smart Money Power - Proprietary formula combining:
50% Normalized Delta
20% Simulated Open Interest
30% Normalized MFI
📈 VISUAL DISPLAYS
Oscillator Window:
MFI Line (blue)
Cumulative Delta Line (orange)
Smart Money Power Histogram (colored by trend)
Overbought/Oversold zones (80/20 levels)
Price Chart:
Divergence/Convergence labels
Entry signals with arrows
🎯 SIGNAL DETECTION
Bullish/Bearish Divergences (Triangle markers)
Bullish/Bearish Convergences (Arrow markers)
Overbought/Oversold conditions
High Volume alerts
📊 DATA TABLE (Top-Right Corner)
Market State (STRONG BULLISH/BEARISH, MIXED)
Delta Trend (Rising/Falling)
MFI Status (Overbought/Oversold/Neutral)
Power Trend (Rising/Falling)
Divergence/Convergence status
Entry Signals
⚡ ALERT CONDITIONS
Bullish/Bearish Divergence alerts
Bullish/Bearish Convergence alerts
MFI Overbought/Oversold zone alerts
STRONG BUY/SELL signals (combined conditions)
⚙️ CUSTOMIZATION OPTIONS
Toggle displays (table, chart signals, oscillator signals)
Adjust MFI parameters (length, OB/OS levels)
Volume settings (alert multiplier, lookback)
Divergence settings (lookback, smoothing)
Color schemes for all elements
🎨 VISUAL FEATURES
Professional color-coded displays
Real-time status updates
Multi-timeframe compatible
Clean, organized layout
This indicator provides comprehensive smart money tracking with multiple confirmation layers for high-probability trade setups.
Algorithm Predator - ML-liteAlgorithm Predator - ML-lite
This indicator combines four specialized trading agents with an adaptive multi-armed bandit selection system to identify high-probability trade setups. It is designed for swing and intraday traders who want systematic signal generation based on institutional order flow patterns , momentum exhaustion , liquidity dynamics , and statistical mean reversion .
Core Architecture
Why These Components Are Combined:
The script addresses a fundamental challenge in algorithmic trading: no single detection method works consistently across all market conditions. By deploying four independent agents and using reinforcement learning algorithms to select or blend their outputs, the system adapts to changing market regimes without manual intervention.
The Four Trading Agents
1. Spoofing Detector Agent 🎭
Detects iceberg orders through persistent volume at similar price levels over 5 bars
Identifies spoofing patterns via asymmetric wick analysis (wicks exceeding 60% of bar range with volume >1.8× average)
Monitors order clustering using simplified Hawkes process intensity tracking (exponential decay model)
Signal Logic: Contrarian—fades false breakouts caused by institutional manipulation
Best Markets: Consolidations, institutional trading windows, low-liquidity hours
2. Exhaustion Detector Agent ⚡
Calculates RSI divergence between price movement and momentum indicator over 5-bar window
Detects VWAP exhaustion (price at 2σ bands with declining volume)
Uses VPIN reversals (volume-based toxic flow dissipation) to identify momentum failure
Signal Logic: Counter-trend—enters when momentum extreme shows weakness
Best Markets: Trending markets reaching climax points, over-extended moves
3. Liquidity Void Detector Agent 💧
Measures Bollinger Band squeeze (width <60% of 50-period average)
Identifies stop hunts via 20-bar high/low penetration with immediate reversal and volume spike
Detects hidden liquidity absorption (volume >2× average with range <0.3× ATR)
Signal Logic: Breakout anticipation—enters after liquidity grab but before main move
Best Markets: Range-bound pre-breakout, volatility compression zones
4. Mean Reversion Agent 📊
Calculates price z-scores relative to 50-period SMA and standard deviation (triggers at ±2σ)
Implements Ornstein-Uhlenbeck process scoring (mean-reverting stochastic model)
Uses entropy analysis to detect algorithmic trading patterns (low entropy <0.25 = high predictability)
Signal Logic: Statistical reversion—enters when price deviates significantly from statistical equilibrium
Best Markets: Range-bound, low-volatility, algorithmically-dominated instruments
Adaptive Selection: Multi-Armed Bandit System
The script implements four reinforcement learning algorithms to dynamically select or blend agents based on performance:
Thompson Sampling (Default - Recommended):
Uses Bayesian inference with beta distributions (tracks alpha/beta parameters per agent)
Balances exploration (trying underused agents) vs. exploitation (using proven winners)
Each agent's win/loss history informs its selection probability
Lite Approximation: Uses pseudo-random sampling from price/volume noise instead of true random number generation
UCB1 (Upper Confidence Bound):
Calculates confidence intervals using: average_reward + sqrt(2 × ln(total_pulls) / agent_pulls)
Deterministic algorithm favoring agents with high uncertainty (potential upside)
More conservative than Thompson Sampling
Epsilon-Greedy:
Exploits best-performing agent (1-ε)% of the time
Explores randomly ε% of the time (default 10%, configurable 1-50%)
Simple, transparent, easily tuned via epsilon parameter
Gradient Bandit:
Uses softmax probability distribution over agent preference weights
Updates weights via gradient ascent based on rewards
Best for Blend mode where all agents contribute
Selection Modes:
Switch Mode: Uses only the selected agent's signal (clean, decisive)
Blend Mode: Combines all agents using exponentially weighted confidence scores controlled by temperature parameter (smooth, diversified)
Lock Agent Feature:
Optional manual override to force one specific agent
Useful after identifying which agent dominates your specific instrument
Only applies in Switch mode
Four choices: Spoofing Detector, Exhaustion Detector, Liquidity Void, Mean Reversion
Memory System
Dual-Layer Architecture:
Short-Term Memory: Stores last 20 trade outcomes per agent (configurable 10-50)
Long-Term Memory: Stores episode averages when short-term reaches transfer threshold (configurable 5-20 bars)
Memory Boost Mechanism: Recent performance modulates agent scores by up to ±20%
Episode Transfer: When an agent accumulates sufficient results, averages are condensed into long-term storage
Persistence: Manual restoration of learned parameters via input fields (alpha, beta, weights, microstructure thresholds)
How Memory Works:
Agent generates signal → outcome tracked after 8 bars (performance horizon)
Result stored in short-term memory (win = 1.0, loss = 0.0)
Short-term average influences agent's future scores (positive feedback loop)
After threshold met (default 10 results), episode averaged into long-term storage
Long-term patterns (weighted 30%) + short-term patterns (weighted 70%) = total memory boost
Market Microstructure Analysis
These advanced metrics quantify institutional order flow dynamics:
Order Flow Toxicity (Simplified VPIN):
Measures buy/sell volume imbalance over 20 bars: |buy_vol - sell_vol| / (buy_vol + sell_vol)
Detects informed trading activity (institutional players with non-public information)
Values >0.4 indicate "toxic flow" (informed traders active)
Lite Approximation: Uses simple open/close heuristic instead of tick-by-tick trade classification
Price Impact Analysis (Simplified Kyle's Lambda):
Measures market impact efficiency: |price_change_10| / sqrt(volume_sum_10)
Low values = large orders with minimal price impact ( stealth accumulation )
High values = retail-dominated moves with high slippage
Lite Approximation: Uses simplified denominator instead of regression-based signed order flow
Market Randomness (Entropy Analysis):
Counts unique price changes over 20 bars / 20
Measures market predictability
High entropy (>0.6) = human-driven, chaotic price action
Low entropy (<0.25) = algorithmic trading dominance (predictable patterns)
Lite Approximation: Simple ratio instead of true Shannon entropy H(X) = -Σ p(x)·log₂(p(x))
Order Clustering (Simplified Hawkes Process):
Tracks self-exciting event intensity (coordinated order activity)
Decays at 0.9× per bar, spikes +1.0 when volume >1.5× average
High intensity (>0.7) indicates clustering (potential spoofing/accumulation)
Lite Approximation: Simple exponential decay instead of full λ(t) = μ + Σ α·exp(-β(t-tᵢ)) with MLE
Signal Generation Process
Multi-Stage Validation:
Stage 1: Agent Scoring
Each agent calculates internal score based on its detection criteria
Scores must exceed agent-specific threshold (adjusted by sensitivity multiplier)
Agent outputs: Signal direction (+1/-1/0) and Confidence level (0.0-1.0)
Stage 2: Memory Boost
Agent scores multiplied by memory boost factor (0.8-1.2 based on recent performance)
Successful agents get amplified, failing agents get dampened
Stage 3: Bandit Selection/Blending
If Adaptive Mode ON:
Switch: Bandit selects single best agent, uses only its signal
Blend: All agents combined using softmax-weighted confidence scores
If Adaptive Mode OFF:
Traditional consensus voting with confidence-squared weighting
Signal fires when consensus exceeds threshold (default 70%)
Stage 4: Confirmation Filter
Raw signal must repeat for consecutive bars (default 3, configurable 2-4)
Minimum confidence threshold: 0.25 (25%) enforced regardless of mode
Trend alignment check: Long signals require trend_score ≥ -2, Short signals require trend_score ≤ 2
Stage 5: Cooldown Enforcement
Minimum bars between signals (default 10, configurable 5-15)
Prevents over-trading during choppy conditions
Stage 6: Performance Tracking
After 8 bars (performance horizon), signal outcome evaluated
Win = price moved in signal direction, Loss = price moved against
Results fed back into memory and bandit statistics
Trading Modes (Presets)
Pre-configured parameter sets:
Conservative: 85% consensus, 4 confirmations, 15-bar cooldown
Expected: 60-70% win rate, 3-8 signals/week
Best for: Swing trading, capital preservation, beginners
Balanced: 70% consensus, 3 confirmations, 10-bar cooldown
Expected: 55-65% win rate, 8-15 signals/week
Best for: Day trading, most traders, general use
Aggressive: 60% consensus, 2 confirmations, 5-bar cooldown
Expected: 50-58% win rate, 15-30 signals/week
Best for: Scalping, high-frequency trading, active management
Elite: 75% consensus, 3 confirmations, 12-bar cooldown
Expected: 58-68% win rate, 5-12 signals/week
Best for: Selective trading, high-conviction setups
Adaptive: 65% consensus, 2 confirmations, 8-bar cooldown
Expected: Varies based on learning
Best for: Experienced users leveraging bandit system
How to Use
1. Initial Setup (5 Minutes):
Select Trading Mode matching your style (start with Balanced)
Enable Adaptive Learning (recommended for automatic agent selection)
Choose Thompson Sampling algorithm (best all-around performance)
Keep Microstructure Metrics enabled for liquid instruments (>100k daily volume)
2. Agent Tuning (Optional):
Adjust Agent Sensitivity multipliers (0.5-2.0):
<0.8 = Highly selective (fewer signals, higher quality)
0.9-1.2 = Balanced (recommended starting point)
1.3 = Aggressive (more signals, lower individual quality)
Monitor dashboard for 20-30 signals to identify dominant agent
If one agent consistently outperforms, consider using Lock Agent feature
3. Bandit Configuration (Advanced):
Blend Temperature (0.1-2.0):
0.3 = Sharp decisions (best agent dominates)
0.5 = Balanced (default)
1.0+ = Smooth (equal weighting, democratic)
Memory Decay (0.8-0.99):
0.90 = Fast adaptation (volatile markets)
0.95 = Balanced (most instruments)
0.97+ = Long memory (stable trends)
4. Signal Interpretation:
Green triangle (▲): Long signal confirmed
Red triangle (▼): Short signal confirmed
Dashboard shows:
Active agent (highlighted row with ► marker)
Win rate per agent (green >60%, yellow 40-60%, red <40%)
Confidence bars (█████ = maximum confidence)
Memory size (short-term buffer count)
Colored zones display:
Entry level (current close)
Stop-loss (1.5× ATR)
Take-profit 1 (2.0× ATR)
Take-profit 2 (3.5× ATR)
5. Risk Management:
Never risk >1-2% per signal (use ATR-based stops)
Signals are entry triggers, not complete strategies
Combine with your own market context analysis
Consider fundamental catalysts and news events
Use "Confirming" status to prepare entries (not to enter early)
6. Memory Persistence (Optional):
After 50-100 trades, check Memory Export Panel
Record displayed alpha/beta/weight values for each agent
Record VPIN and Kyle threshold values
Enable "Restore From Memory" and input saved values to continue learning
Useful when switching timeframes or restarting indicator
Visual Components
On-Chart Elements:
Spectral Layers: EMA8 ± 0.5 ATR bands (dynamic support/resistance, colored by trend)
Energy Radiance: Multi-layer glow boxes at signal points (intensity scales with confidence, configurable 1-5 layers)
Probability Cones: Projected price paths with uncertainty wedges (15-bar projection, width = confidence × ATR)
Connection Lines: Links sequential signals (solid = same direction continuation, dotted = reversal)
Kill Zones: Risk/reward boxes showing entry, stop-loss, and dual take-profit targets
Signal Markers: Triangle up/down at validated entry points
Dashboard (Configurable Position & Size):
Regime Indicator: 4-level trend classification (Strong Bull/Bear, Weak Bull/Bear)
Mode Status: Shows active system (Adaptive Blend, Locked Agent, or Consensus)
Agent Performance Table: Real-time win%, confidence, and memory stats
Order Flow Metrics: Toxicity and impact indicators (when microstructure enabled)
Signal Status: Current state (Long/Short/Confirming/Waiting) with confirmation progress
Memory Panel (Configurable Position & Size):
Live Parameter Export: Alpha, beta, and weight values per agent
Adaptive Thresholds: Current VPIN sensitivity and Kyle threshold
Save Reminder: Visual indicator if parameters should be recorded
What Makes This Original
This script's originality lies in three key innovations:
1. Genuine Meta-Learning Framework:
Unlike traditional indicator mashups that simply display multiple signals, this implements authentic reinforcement learning (multi-armed bandits) to learn which detection method works best in current conditions. The Thompson Sampling implementation with beta distribution tracking (alpha for successes, beta for failures) is statistically rigorous and adapts continuously. This is not post-hoc optimization—it's real-time learning.
2. Episodic Memory Architecture with Transfer Learning:
The dual-layer memory system mimics human learning patterns:
Short-term memory captures recent performance (recency bias)
Long-term memory preserves historical patterns (experience)
Automatic transfer mechanism consolidates knowledge
Memory boost creates positive feedback loops (successful strategies become stronger)
This architecture allows the system to adapt without retraining , unlike static ML models that require batch updates.
3. Institutional Microstructure Integration:
Combines retail-focused technical analysis (RSI, Bollinger Bands, VWAP) with institutional-grade microstructure metrics (VPIN, Kyle's Lambda, Hawkes processes) typically found in academic finance literature and professional trading systems, not standard retail platforms. While simplified for Pine Script constraints, these metrics provide insight into informed vs. uninformed trading , a dimension entirely absent from traditional technical analysis.
Mashup Justification:
The four agents are combined specifically for risk diversification across failure modes:
Spoofing Detector: Prevents false breakout losses from manipulation
Exhaustion Detector: Prevents chasing extended trends into reversals
Liquidity Void: Exploits volatility compression (different regime than trending)
Mean Reversion: Provides mathematical anchoring when patterns fail
The bandit system ensures the optimal tool is automatically selected for each market situation, rather than requiring manual interpretation of conflicting signals.
Why "ML-lite"? Simplifications and Approximations
This is the "lite" version due to necessary simplifications for Pine Script execution:
1. Simplified VPIN Calculation:
Academic Implementation: True VPIN uses volume bucketing (fixed-volume bars) and tick-by-tick buy/sell classification via Lee-Ready algorithm or exchange-provided trade direction flags
This Implementation: 20-bar rolling window with simple open/close heuristic (close > open = buy volume)
Impact: May misclassify volume during ranging/choppy markets; works best in directional moves
2. Pseudo-Random Sampling:
Academic Implementation: Thompson Sampling requires true random number generation from beta distributions using inverse transform sampling or acceptance-rejection methods
This Implementation: Deterministic pseudo-randomness derived from price and volume decimal digits: (close × 100 - floor(close × 100)) + (volume % 100) / 100
Impact: Not cryptographically random; may have subtle biases in specific price ranges; provides sufficient variation for agent selection
3. Hawkes Process Approximation:
Academic Implementation: Full Hawkes process uses maximum likelihood estimation with exponential kernels: λ(t) = μ + Σ α·exp(-β(t-tᵢ)) fitted via iterative optimization
This Implementation: Simple exponential decay (0.9 multiplier) with binary event triggers (volume spike = event)
Impact: Captures self-exciting property but lacks parameter optimization; fixed decay rate may not suit all instruments
4. Kyle's Lambda Simplification:
Academic Implementation: Estimated via regression of price impact on signed order flow over multiple time intervals: Δp = λ × Δv + ε
This Implementation: Simplified ratio: price_change / sqrt(volume_sum) without proper signed order flow or regression
Impact: Provides directional indicator of impact but not true market depth measurement; no statistical confidence intervals
5. Entropy Calculation:
Academic Implementation: True Shannon entropy requires probability distribution: H(X) = -Σ p(x)·log₂(p(x)) where p(x) is probability of each price change magnitude
This Implementation: Simple ratio of unique price changes to total observations (variety measure)
Impact: Measures diversity but not true information entropy with probability weighting; less sensitive to distribution shape
6. Memory System Constraints:
Full ML Implementation: Neural networks with backpropagation, experience replay buffers (storing state-action-reward tuples), gradient descent optimization, and eligibility traces
This Implementation: Fixed-size array queues with simple averaging; no gradient-based learning, no state representation beyond raw scores
Impact: Cannot learn complex non-linear patterns; limited to linear performance tracking
7. Limited Feature Engineering:
Advanced Implementation: Dozens of engineered features, polynomial interactions (x², x³), dimensionality reduction (PCA, autoencoders), feature selection algorithms
This Implementation: Raw agent scores and basic market metrics (RSI, ATR, volume ratio); minimal transformation
Impact: May miss subtle cross-feature interactions; relies on agent-level intelligence rather than feature combinations
8. Single-Instrument Data:
Full Implementation: Multi-asset correlation analysis (sector ETFs, currency pairs, volatility indices like VIX), lead-lag relationships, risk-on/risk-off regimes
This Implementation: Only OHLCV data from displayed instrument
Impact: Cannot incorporate broader market context; vulnerable to correlated moves across assets
9. Fixed Performance Horizon:
Full Implementation: Adaptive horizon based on trade duration, volatility regime, or profit target achievement
This Implementation: Fixed 8-bar evaluation window
Impact: May evaluate too early in slow markets or too late in fast markets; one-size-fits-all approach
Performance Impact Summary:
These simplifications make the script:
✅ Faster: Executes in milliseconds vs. seconds (or minutes) for full academic implementations
✅ More Accessible: Runs on any TradingView plan without external data feeds, APIs, or compute servers
✅ More Transparent: All calculations visible in Pine Script (no black-box compiled models)
✅ Lower Resource Usage: <500 bars lookback, minimal memory footprint
⚠️ Less Precise: Approximations may reduce statistical edge by 5-15% vs. academic implementations
⚠️ Limited Scope: Cannot capture tick-level dynamics, multi-order-book interactions, or cross-asset flows
⚠️ Fixed Parameters: Some thresholds hardcoded rather than dynamically optimized
When to Upgrade to Full Implementation:
Consider professional Python/C++ versions with institutional data feeds if:
Trading with >$100K capital where precision differences materially impact returns
Operating in microsecond-competitive environments (HFT, market making)
Requiring regulatory-grade audit trails and reproducibility
Backtesting with tick-level precision for strategy validation
Need true real-time adaptation with neural network-based learning
For retail swing/day trading and position management, these approximations provide sufficient signal quality while maintaining usability, transparency, and accessibility. The core logic—multi-agent detection with adaptive selection—remains intact.
Technical Notes
All calculations use standard Pine Script built-in functions ( ta.ema, ta.atr, ta.rsi, ta.bb, ta.sma, ta.stdev, ta.vwap )
VPIN and Kyle's Lambda use simplified formulas optimized for OHLCV data (see "Lite" section above)
Thompson Sampling uses pseudo-random noise from price/volume decimal digits for beta distribution sampling
No repainting: All calculations use confirmed bar data (no forward-looking)
Maximum lookback: 500 bars (set via max_bars_back parameter)
Performance evaluation: 8-bar forward-looking window for reward calculation (clearly disclosed)
Confidence threshold: Minimum 0.25 (25%) enforced on all signals
Memory arrays: Dynamic sizing with FIFO queue management
Limitations and Disclaimers
Not Predictive: This indicator identifies patterns in historical data. It cannot predict future price movements with certainty.
Requires Human Judgment: Signals are entry triggers, not complete trading strategies. Must be confirmed with your own analysis, risk management rules, and market context.
Learning Period Required: The adaptive system requires 50-100 bars minimum to build statistically meaningful performance data for bandit algorithms.
Overfitting Risk: Restoring memory parameters from one market regime to a drastically different regime (e.g., low volatility to high volatility) may cause poor initial performance until system re-adapts.
Approximation Limitations: Simplified calculations (see "Lite" section) may underperform academic implementations by 5-15% in highly efficient markets.
No Guarantee of Profit: Past performance, whether backtested or live-traded, does not guarantee future performance. All trading involves risk of loss.
Forward-Looking Bias: Performance evaluation uses 8-bar forward window—this creates slight look-ahead for learning (though not for signals). Real-time performance may differ from indicator's internal statistics.
Single-Instrument Limitation: Does not account for correlations with related assets or broader market regime changes.
Recommended Settings
Timeframe: 15-minute to 4-hour charts (sufficient volatility for ATR-based stops; adequate bar volume for learning)
Assets: Liquid instruments with >100k daily volume (forex majors, large-cap stocks, BTC/ETH, major indices)
Not Recommended: Illiquid small-caps, penny stocks, low-volume altcoins (microstructure metrics unreliable)
Complementary Tools: Volume profile, order book depth, market breadth indicators, fundamental catalysts
Position Sizing: Risk no more than 1-2% of capital per signal using ATR-based stop-loss
Signal Filtering: Consider external confluence (support/resistance, trendlines, round numbers, session opens)
Start With: Balanced mode, Thompson Sampling, Blend mode, default agent sensitivities (1.0)
After 30+ Signals: Review agent win rates, consider increasing sensitivity of top performers or locking to dominant agent
Alert Configuration
The script includes built-in alert conditions:
Long Signal: Fires when validated long entry confirmed
Short Signal: Fires when validated short entry confirmed
Alerts fire once per bar (after confirmation requirements met)
Set alert to "Once Per Bar Close" for reliability
Taking you to school. — Dskyz, Trade with insight. Trade with anticipation.
