Mapping Fair Value Gaps into a Profile with a Rolling Point of Control

Summary

This indicator scans a chosen lookback window for bullish and bearish fair value gaps, defined by a separation between the high or low two bars earlier and the current bar. It divides the observed price range into bins, assigns detected gaps to price levels, and displays separate directional counts. The chart can also show each gap, relative bin activity, a heatmap, and the difference between bullish and bearish volume associated with gaps.

A rolling point of control is calculated on each bar as the midpoint of the bin with the most gap activity, then smoothed with a short simple moving average. The last-bar profile is a static summary of the selected window, while the POC updates through time. This is a descriptive visualization rather than a tested trading rule: the document gives no performance evidence, and bin resolution, lookback length, and volume interpretation affect what the display shows.

Key ideas

• The script identifies bullish and bearish gaps using a three-bar price relationship.
• It bins gap midpoints across the lookback period and tracks bullish and bearish counts separately.
• Bin widths visualize relative counts, while optional labels show activity percentages and volume delta.
• The rolling POC marks the midpoint of the most active gap bin and is smoothed over time.
• The profile describes gap concentration and does not establish a standalone entry or exit strategy.

Tags

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