Volume Profile Fixed Range + Dynamic Anchored VWAP

The VP Fixed Range + Dynamic VWAP indicator integrates a Fixed Range Volume Profile and a dynamic Swing-anchored VWAP to provide a comprehensive analysis of market structure and order flow. This tool is designed to identify high-interest liquidity zones and trend direction by combining volume distribution with volatility-adjusted price tracking.

Usage

The Usage section describes how the script can be used to identify key market levels and trend biases.

Volume Profile Analysis

The Fixed Range Volume Profile allows users to analyze the distribution of volume over a specific lookback period. Traders can use the Point of Control (POC) as a significant price magnet or level of support and resistance. The Value Area (VA) highlights the price range where the majority of trading volume occurred, typically used to identify consolidation or breakout zones.

Dynamic VWAP and Trend Tracking

The Dynamic VWAP component automatically resets based on market pivots (Swing Highs/Lows). This provides a non-fixed anchor that follows the current market structure rather than static session starts.

• Bullish Bias: Price trading above the dynamic VWAP.
• Bearish Bias: Price trading below the dynamic VWAP.
• Market Structure: The indicator automatically labels pivots (HH, HL, LH, LL) to assist in trend identification.

Signal Confluence

High-probability trade setups often occur when multiple components align. For example, when the POC, Value Area boundaries, and the Dynamic VWAP converge at the same price level, it indicates a strong zone of institutional interest.

Details

The script utilizes a two-part construction:

1. Volume Profile Engine: It calculates volume distribution by analyzing price movement within each bar (body vs. wicks) to estimate buy and sell pressure. It uses a user-defined "Depth Calculation" to look back at historical data and a "Resolution" setting to determine the granularity of the horizontal volume bars.
2. Adaptive VWAP Algorithm: The VWAP uses an Adaptive Price Tracking (APT) mechanism. Users can enable ATR-based adaptation, which adjusts the VWAP's sensitivity based on current market volatility. During high volatility, the algorithm can become more responsive or stable depending on the "Volatility Bias" setting, ensuring the line does not lag excessively during rapid price moves.

Settings

Volume Profile Settings

• Depth Calculation (Candles): The number of historical bars included in the profile calculation.
• Offset: Horizontal displacement of the profile from the price action.
• Anchoring Side: Choose whether the profile is pinned to the left or right side of the specified range.
• Resolution (Rows): Determines the number of horizontal bars (bins) in the profile.
• Value Area Volume %: The percentage of total volume used to calculate the Value Area (default is 70%).
• Show POC Label: Toggles the display of the Point of Control price label.
• Show % INSIDE Bars: Displays the estimated Buy vs. Sell volume percentage for every row in the profile.

VWAP & Swing Settings

• Swing Period: The lookback period used to identify market pivots for VWAP anchoring.
• Adaptive Price Tracking (APT): Controls the smoothing factor of the VWAP.
• Adapt APT by ATR ratio: When enabled, adjusts the VWAP sensitivity based on the ATR (Average True Range).
• Volatility Bias: Determines how aggressively the ATR ratio affects the VWAP calculation.

FAQ

How do I interpret the Buy/Sell percentages on the volume bars? The Buy/Sell percentages estimate the volume distribution within that specific price level. A high "B" percentage suggests accumulation or aggressive buying, while a high "S" percentage suggests distribution or aggressive selling.

Can I move the Volume Profile to a different part of the chart? Yes, you can adjust the "Offset" and "Anchoring Side" settings to position the profile according to your visual preference or to avoid overlapping with recent price candles.

How do I get access to the VP Fixed Range + Dynamic VWAP? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.