Building CVD Price Profiles with Lower-Timeframe Volume

Summary

This indicator builds price-level profiles from lower-timeframe volume estimates. It assigns each lower-timeframe bar’s signed volume across the price levels spanned by its high and low, then accumulates those values into a profile. Users can choose cumulative volume delta, imbalance ratio, activity, or USD volume, and can calculate regular daily profiles or start from a selected time. The script also plots CVD delta or its acceleration and can mark value areas, point of control, and initial balance levels.

The profile’s tick spacing can be set manually or derived from the average true range; the value-area percentage and lower timeframe are configurable. The source provides implementation details, but no performance study or evidence that any profile setting predicts future prices. Volume direction is inferred from lower-timeframe price movement, with bid and ask comparisons used for one-tick data, so it is an estimate rather than a direct record of buyer- and seller-initiated trades. The script also limits stored profile levels and drawings, which may constrain use on broad ranges or dense charts.

Key ideas

• The indicator distributes signed lower-timeframe volume across the price levels covered by each bar.
• Users can switch between CVD, imbalance ratio, activity, and USD-volume profile views.
• Profiles can reset daily or begin at a selected fixed start time.
• ATR-based or user-defined tick spacing controls the profile’s price resolution.
• The document supplies code but no evidence that its outputs generate profitable signals.

Tags

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