Multi-Timeframe Volume Profiles with Lower-Timeframe Volume and Delta Allocation
Summary
This indicator constructs volume profiles for several selectable higher timeframes, including intraday, daily, and weekly periods, while using lower-timeframe bars to distribute activity across price levels. Users can choose a traditional profile or a delta profile, set the number of rows, and enable multiple higher-timeframe profiles at once. The indicator estimates directional volume from price changes in the lower-timeframe data, allocates each bar’s volume across the price levels it spans, and draws the resulting profile beside the relevant higher-timeframe candle.
The display can identify the point of control and value area boundaries, show total volume or delta labels, and optionally include a countdown to the higher-timeframe close. This is a visualization and market-structure aid rather than a complete trading strategy: it provides no entry or exit rules and the supplied document reports no predictive or backtest results. Its directional classification relies on price movement (or bid/ask equality for tick data), so the resulting buy and sell estimates should not be treated as verified aggressor-side volume.
Key ideas
- The indicator builds profiles for selected higher-timeframe candles using lower-timeframe price and volume data.
- Profile bins can display traditional directional volume or signed delta.
- Users can configure the number of price rows and enable up to five higher-timeframe profiles.
- The display can mark the point of control and value area high and low, with optional volume or delta labels.
- Directional volume is inferred from price movement, so it is an estimate rather than confirmed trade-side data.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.