Volatility-Adaptive Market Structure with BOS, Volume Profile, and Delta

Summary

This article explains a multi scale market structure indicator built from short, medium, and long term pivot detectors. Their lookback lengths expand or contract with relative volatility, and confirmed pivots define active support and resistance levels. A close through a level records a break of structure (BOS), while the selected scale also supplies a directional bias. The indicator adds a volume profile across the active range and a cumulative signed volume measure intended to describe buying or selling pressure since the pivot formed.

Suggested uses include filtering trades by the longer term bias, using shorter term breaks as possible entries, comparing bias across chart timeframes, and referring to the profile point of control when planning stops. The article stresses that BOS records a break rather than predicting a successful breakout or preventing a retest. Its optional kNN label is described as a real volume percentile filter replacing a placeholder classifier, but the supplied default leaves that filter off. The article offers implementation detail and heuristics, not independent validation or performance evidence.

Key ideas

• Pivot lookback lengths adjust to relative volatility, while three nested scales represent different market structure horizons.
• A close beyond an active pivot level records a break of structure and does not guarantee continuation.
• The selected structure scale determines a directional bias and anchors a range based volume profile.
• The Delta Tank tracks signed volume since the active pivot as a contextual measure of buying or selling pressure.
• The optional kNN filter uses pivot bar volume percentile scoring and is disabled by default.

Tags

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