Session Volume Moving Average

The Session Volume Moving Average indicator is a comprehensive volume analysis tool that plots volume bars directly on a moving average, providing a unique perspective on volume activity in relation to price trends.

It features session-specific volume profiling, streak detection, and a dynamic volume delta system to visualize market participation and institutional activity.

USAGE

The script serves as a multi-dimensional volume dashboard, allowing users to see not just the amount of volume, but also where it occurs within a price trend and who (buyers or sellers) is currently in control.

Moving Average Volume Bars

Traditional volume bars at the bottom of the chart can be difficult to relate to price action. This indicator plots volume bars anchored to a customizable moving average. Each bar's height is normalized using the 95th percentile of volume over a lookback period, ensuring that extreme outliers do not squash the rest of the data, providing a clearer view of relative volume changes.

Session Delta Bar & Candle Coloring

At the top of the active session, a gradient bar displays the cumulative volume delta (Bullish vs. Bearish volume percentage).

• A pointer moves across the gradient to show the current balance.
• The colors transition from your Bearish color to a Neutral color (at 50%), then to your Bullish color.
• Users can enable the "Color Candles By Delta" setting to apply this same gradient to the chart candles, providing an immediate visual cue of session dominance.

Volume Profile & Streaks

The indicator automatically tracks trading sessions (New York, London, Tokyo, Sydney) and provides additional context:

• A Volume Profile is drawn at the end of each session to highlight high-activity price levels.
• Volume Streaks are highlighted with dashed boxes when volume increases or decreases for a consecutive number of bars, signaling building momentum or exhaustion.

DETAILS

Normalization Logic

To keep the volume bars visually consistent, the script scales their height relative to the Average True Range (ATR). By using the 95th percentile for normalization, the script ignores the top 5% of extreme spikes, which typically cause standard volume indicators to look flat and unreadable.

Delta Calculation

The delta is calculated by comparing bullish volume (volume on green candles) against total volume within the specific session. The gradient sensitivity is tuned to show significant color shifts between 35% and 65% delta, making it easier to spot shifts in control before they reach extremes.

SETTINGS

Moving Average Settings

• Length: The lookback period for the moving average calculation.
• Type: The type of MA to use (SMA, EMA, WMA, HMA, etc.).
• Source: The price source for the MA calculation.

Session Settings

• Past Sessions to Show: Controls how many historical session boxes and profiles remain on the chart.
• Session 1-4: Toggles for specific global trading sessions with customizable times and time zones.

Volume Bar Settings

• Height Multiplier: Adjusts the vertical scale of the volume bars on the MA.
• Normalization Lookback: The period used to determine the 95th percentile volume.
• Consecutive Trend Bars: The number of bars required to trigger a volume streak highlight.
• Significant Vol Multiplier: Filters streaks so only high-volume sequences are highlighted.

Style & Volume Profile

• Color Candles By Delta: Enables/disables the gradient candle coloring based on session volume.
• Show Volume Profile: Toggles the session-end volume distribution histogram.
• VP Bins: Controls the granularity of the Volume Profile.
• Show Session Delta Bar: Toggles the gradient meter at the top of the session.