Building Swing-Based Volume Profiles with Tick Volume and ATR Bins
Summary
The article explains how to create a MetaTrader 5 indicator that builds a separate volume profile for each completed high-to-low or low-to-high swing. It confirms swing points from rolling price extremes and a subsequent bar, connects them with a ZigZag, then divides each leg’s price range into bins sized using half of ATR(200). Each bar’s tick volume is assigned to the bin containing its closing price. The highest-volume bin becomes the Point of Control, and profile rectangles are drawn with widths proportional to bin volume.
The article lays out the implementation steps and describes the resulting chart display, but it provides no performance tests or evidence that the profiles improve trading decisions. Its key limitation is that it uses platform tick volume rather than exchange-level traded volume or order-flow data. The indicator is therefore a tool for inspecting volume concentration in swing structure, not a direct measure of transactions at each price.
Key ideas
- Confirmed swing highs and lows define the completed price legs used to build profiles.
- Half of ATR(200) sets an initial bin size that adapts to volatility.
- Each bar’s tick volume is assigned to a price bin using its closing price.
- The highest-volume bin is marked as the Point of Control and the other bins are scaled by relative volume.
- Platform tick volume does not represent exchange-level order flow.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.