Building Volume Profiles with Alternative Price-Allocation Models
Summary
This indicator builds a volume profile over a configurable historical window by dividing the observed price range into rows and assigning each bar’s volume to those rows. The user can choose among allocation approaches, including uniform distribution across the bar’s range, body or wick regions, selected price points, directional bars, recency weighting, and many statistical shapes. It separately tracks bullish and bearish volume and can also measure row hits, recency, volatility, dwell time, reversals, compression, and liquidity voids for visual fading.
The profile can be placed on either side of the chart or shown as a top or bottom map. A central value area is defined around the point of control, and color gradients can reflect the selected row metric. These choices make the output highly dependent on assumptions about how a bar’s volume maps to prices; ordinary OHLCV bars do not reveal the actual within-bar trade distribution. The document describes the indicator’s construction and controls but supplies no trading rules or performance evidence.
Key ideas
- The profile aggregates historical volume into discrete price rows over a selected lookback window.
- Users can choose how each bar’s volume is distributed across prices, including range-based, point-based, and statistical methods.
- Bullish and bearish volume are tracked separately for profile visualization.
- Optional row metrics include price hits, freshness, volatility impact, dwell time, reversals, compression, and liquidity voids.
- The estimated profile depends on the chosen allocation model because OHLCV bars do not show exact traded volume at every price.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.