Average Volume Profile with Value Areas and Price-Level Volume

Summary

This indicator builds a volume profile for a selected timeframe by distributing each bar’s volume across the price levels spanned by its high and low. At each level it tracks both accumulated volume and the number of bars, then uses their ratio as average volume. The level with the highest average is marked as the profile’s peak; a value area expands outward from that level toward the higher-volume neighboring level until it reaches the selected share of total average volume. The chart displays the profile, peak, value-area boundaries, and optional current or historical reference lines.

Inputs control timeframe, price granularity, value-area share, and display placement. Alerts can mark price crossings of the peak and value-area edges. The script requires volume data and enough chart history to form the selected timeframe. Its profile is an approximation based on bar ranges and volume allocation, rather than trade-by-trade volume at price; results depend on chart timeframe, data quality, and settings. The document provides implementation details but no trading-performance evidence or tested entry and exit rules.

Key ideas

• Bar volume is spread across the price levels covered by each bar to construct a profile.
• The profile tracks average volume per price level and marks the level with the highest average.
• The value area expands from the peak toward neighboring levels until it reaches the configured share of profile average volume.
• The indicator can display reference levels for the current and previous profile periods and alert on price crossings.
• Profile estimates depend on bar data, volume availability, timeframe, and granularity settings.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.