Volume Profile and Whale Aggression Strategy at Value Levels

Summary

This strategy combines a price-state filter, a rolling volume profile, and an estimated large-volume imbalance to create long and short setups. The profile divides a recent price range into rows, allocates bar volume across touched rows, and derives the point of control and value-area boundaries. A whale detector estimates buying and selling pressure from each bar’s close location within its range, then flags unusually high values relative to recent averages and standard deviations.

Long and short setups vary by regime: trend-following entries require directional movement and proximity to a profile level, while range and mean-reversion setups focus on value-area edges. Signals also use a session window and cooldown; optional confirmation, ATR-based stops, reward-to-risk targets, and a maximum holding period are configurable. The excerpt omits parts of the strategy’s execution and exit code, and its displayed dashboard is not evidence of results. The volume allocation and whale measures are approximations based on chart bars, not direct trade-level volume data; no tested performance or robustness evidence is provided.

Key ideas

• The script builds a rolling profile to estimate POC, VAH, and VAL from bar volume and price ranges.
• Its whale detector classifies unusually large estimated buying or selling pressure using standard-deviation thresholds.
• Trend, range, and mean-reversion setups combine market state, proximity to profile levels, and directional pressure.
• Session hours, cooldown, confirmation, ATR stops, and trade duration can be configured.
• The excerpt omits some execution logic and gives no validated performance evidence.

Tags

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