Volume Percentile Supertrend

The Volume Percentile Supertrend indicator is a volatility and participation-aware trend-following tool that automatically adjusts its sensitivity based on volume distribution. By widening bands during high-activity periods and tightening them during quiet sessions, it aims to reduce whipsaws and improve reaction time to trend shifts.

Usage

The Usage section describes how the script can be used to navigate different market regimes. Users can utilize the indicator for trend following, pullback entries, or as a mean reversion filter.

• Trend Following: Initiate long positions when the "𝕃" marker appears and the candles turn green. Conversely, look for short opportunities when the "𝕊" marker appears and candles turn red. The dynamic bands provide more breathing room during high-volume surges to help traders stay with the trend.
• Pullback Entries: In an established trend, price retracements toward the active Supertrend line following a volume expansion can serve as potential re-entry points.
• Mean Reversion: In low-volume environments, the multiplier contracts, causing the bands to tighten. Traders can monitor these tighter boundaries for early signs of regime changes or potential exhaustion.

Details

The indicator enhances the standard Supertrend framework by incorporating volume percentile analysis. It measures the current volume against a rolling window to determine its relative strength. When volume exceeds a user-defined percentile, the ATR multiplier is scaled up, expanding the bands to account for increased volatility. When volume is low, the bands contract.

The script uses a Volume Weighted Moving Average (VWMA) as its price source, ensuring that heavy trading activity carries more weight in the trend calculation. A trailing logic is applied to the final bands to ensure they only move in the direction of the trend, preventing premature flips caused by minor price fluctuations.

Settings

Volume Analysis

• Volume Lookback: The lookback window used to calculate volume percentiles and averages.
• Volume Percentile Level: The threshold used to define high volume (e.g., 70 means the top 30% of bars are considered high activity).
• Volume Sensitivity: Determines the intensity of band expansion during volume spikes.
• VWMA Source Length: The length of the volume-weighted moving average used as the price source.

Supertrend

• ATR Length: The lookback period for the Average True Range calculation.
• Base Multiplier: The core multiplier used to set the neutral width of the bands.
• Multiplier Smoothing: An EMA applied to the dynamic multiplier to prevent jitter and erratic band movement.

UI Settings

• Show Supertrend on chart?: Toggles the visibility of the active Supertrend trailing line.
• Show Upper/Lower Bands?: Displays both the active and inactive bands for additional context.
• Paint candles according to Trend?: Changes candle colors based on the current trend direction.
• Show Long and Short Signals: Toggles the "𝕃" and "𝕊" markers on the chart.

FAQ

How do I access the Volume Percentile Supertrend?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.

Why do the bands change width?

The bands expand when volume is high relative to the lookback period to avoid false signals during high volatility. They contract during low-volume periods to catch potential breakouts earlier.

Can I adjust how reactive the signals are?

Yes, you can adjust the "Base Multiplier" for general sensitivity, or modify the "Volume Sensitivity" specifically to change how the indicator reacts to volume spikes.