Estimating Fixed-Range Volume Profiles and Value Areas from Candle Data

Summary

This indicator builds a volume profile over a user-selected recent bar range. It divides the observed high-low price span into rows, estimates how each candle’s volume is distributed across its body and wicks, and accumulates those estimates by price row. The row with the greatest estimated volume is marked as the point of control. To form the value area, the indicator starts at that row and expands toward the adjacent row with greater volume until it reaches the selected share of total volume.

The chart displays separate estimated up and down volume, highlights rows inside the value area, and extends a point-of-control line. Users can adjust the number of bars, row count, value-area percentage, and display options. The author explicitly describes buy and sell volume as approximate: the method allocates candle volume based on candle shape rather than trade-level data. The displayed profile therefore depends on the chosen range and row resolution and should not be treated as a precise record of traded volume at each price.

Key ideas

• The indicator divides the selected range’s high-low span into price rows and estimates volume per row.
• Candle volume is apportioned across bodies and wicks according to their price ranges.
• The point of control is the row with the highest estimated total volume.
• The value area expands from the point of control toward the larger adjacent row until it reaches the chosen volume share.
• Buy and sell volume estimates are approximate and depend on candle data and profile settings.

Tags

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