Fr3d0's Volume Profile Visible Range

The Fr3d0's Volume Profile Visible Range indicator visualizes volume distribution over a specific price range to identify high-activity zones, Value Areas, and the Point of Control. This tool is designed to provide institutional-grade volume analysis by "bucketizing" price action into discrete horizontal bars, allowing traders to see where the majority of buying and selling pressure occurred.

Usage

The Usage section describes how the script can be used to interpret market structure. Traders can use the Volume Profile to identify key support and resistance levels based on historical volume nodes.

• Point of Control (POC): The red line represents the price level with the highest traded volume within the specified range. It often acts as a significant magnet or pivot point for price action.
• Value Area (VAH/VAL): The dashed blue lines represent the Value Area High and Value Area Low, encompassing 70% of the total volume. Price trading outside this area is often considered "unfair" or imbalanced.
• Buy/Sell Volume Split: Each histogram bar is color-coded (green for buy, red for sell) based on the relative position of the close to the candle high and low, providing a granular view of intra-bar sentiment.
• Multiple Profiles: The tool can display multiple historical profiles simultaneously, allowing for a comparative analysis of volume structures over different lookback periods.

Details

The script utilizes a mathematical approach called "bucketization" to distribute volume across the price scale.

• Volume Allocation: For every candle in the lookback period, the script calculates how much of that candle's price range falls within specific price "buckets." If a portion of a candle overlaps with a bucket, a proportional amount of that candle's volume is assigned to it.
• Sentiment Calculation: To distinguish between buy and sell volume, the script uses the distance between the candle's close and its extremes. Buy volume is estimated as Volume * (Close - Low) / (High - Low), while sell volume is Volume * (High - Close) / (High - Low).
• Value Area Calculation: Starting from the POC, the script iteratively adds the volume of adjacent buckets (up or down) that contain the next highest volume until 70% of the total volume is reached.

Settings

• Point of Control Line Color: Sets the color for the POC line.
• Value Area Line Color: Sets the color for the VAH and VAL lines.
• Buy Bar Color: Adjusts the color of the buy-side volume within the histogram.
• Sell Bar Color: Adjusts the color of the sell-side volume within the histogram.
• Number of bars: Determines the lookback period (length) of each individual volume profile.
• Distance from last candle: Sets the offset from the current bar to the start of the first profile.
• Number of profiles: Specifies how many historical profiles to render on the chart.
• Number of hists: Controls the vertical resolution by defining how many buckets (rows) the price range is divided into.

FAQ

How does the indicator calculate the buy and sell volume split? It uses a proportional calculation based on where the candle closed relative to its high and low; the closer the price is to the high, the higher the assigned buy volume for that specific bar.

What is the significance of the 70% Value Area? The 70% Value Area represents one standard deviation of volume distribution in a normal distribution, marking the zone where the majority of trading activity took place and is considered "fair value."

How do I access Fr3d0's Volume Profile Visible Range? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.