Volume Profile Histogram [SS]

2023年12月24日

I usually (and by usually, I mean the past year xD) release a significant indicator as my Christmas gift to the community on Christmas Eve. Last year, it was the Z-Score buy and sell signal; this year, it's something a little more conventional. So here is this year’s gift—hope you like it! 🎁

Seems like everyone has their take on Volume Profiles (aka SVP or VSP). I decided to create one, and in true Steversteves fashion, you can expect to find all the goodies that come with most of my stuff, including a volume profile presented in a bell-curve/histogram style (chart above) and statistical frequency tables showing the cases by ranges:



And it wouldn't be a true Steversteves indicator without some kind of ATR thing:



So, what does it do?

At the end of the day, it is a form of an SVP indicator. However, it is meant to operate on a larger scale, sorting volume in a traditional bell-curve style. In addition to displaying volume, it breaks down buying vs. selling volume. Selling volume is classified as such when the open is greater than close, while buying is when close is greater than open. This breakdown allows you to see the distribution, by price range, of where selling and buying occur.

This permits the indicator to provide 2 Points of Control (POCs). A POC is defined as an area of high volume activity. Because buying and selling volumes are broken down into two, we can identify areas with high selling and areas with high buying. Sometimes they coincide, sometimes they differ.

If we look at SQQQ, for example:



We can see that the bearish point of control is one point below the bullish POC. This is interesting because it essentially shows where people may be "panic selling" or setting their stop-outs. If SQQQ drops below 18.8, then it's likely to trigger panic selling, as indicated by the histogram.

Conversely, we can observe that traders tend to position long between $18 and $24. The POC is noted in the stats table and also displayed on the chart. Bullish POC is shown in purple, bearish in yellow. These, of course, can be toggled off.

The Frequency Table:



The frequency table shows how many observations were obtained in each price range. The histogram illustrates the cumulative volume traded, while the frequency simply counts how many cases occurred over the lookback period.

ATR Range Analytics by Volume:

The indicator also has the ability to display range analytics by volume. When you toggle on the range analytics by volume option, a range chart will appear:

tradingview.com/x/h03Ldn2M/]

The range chart goes from the minimum recorded volume to the maximum recorded volume in the period, showing the average range and direction associated with this volume. This is crucial to pay attention to because not all stocks behave the same way.

For example, in the chart above (AMD), we can see that low volume produces a general bearish bias, and high volume produces a general bullish bias. However, if we look at the range analytics for SPY:



Low volume has the inverse effect. Low volume is associated with a more bullish bias, and high volume indicates a more bearish bias. In the ATR chart, the threshold volume to transition from bullish bias to bearish bias is approximately > 78,607,268 traded shares.

The Stats Table:

The stats table can be toggled on or off. It simply displays the POCs and the time range for the VSP. The default time range is 1 trading year (252 days), assuming you are on the daily timeframe. However, you can use this on any timeframe.

The percentages displayed in the histogram is the cumulative percent of buying and selling volume independently. So when you see the percentage on the selling histogram, its the percent of cumulative selling only. Same for the buying.

And that's the indicator! I hope you enjoy it. Let me know your thoughts. I hope you all have safe holidays, a Merry Christmas for you North Americans, and a Happy Christmas for you UKers, and whatever else you celebrate/care about and do! Safe trades, everyone, and enjoy your holidays! 🎁🎄🎄🎄⭐⭐⭐ 🕎 🕎 🕎