VFAP Bands: Volume Flow Aggregate Price [NeoButane]

18 sept. 2018

What VFAP accomplishes is finishing what VWAP started, which is to find the best liquidity for market makers to profit off the bid/ask spread. What price is the best? Of course, nobody would tell you this. Otherwise it would be easy for bigger market participants to hunt or prevent being hunted.

This is where VFAP comes in: by being able to visualize optimal liquidity zones, you will be able to enter/exit positions at the safest entries, front run the market makers, and get stopped out at the coolest prices.

The bands are consistently wicked into and provide insight to minute timeframe movements. The levels are areas of high volume where traders may be trapped or defending their position.

See here for pricing and more information: medium.com/@NeoButane/trading-view-indicators-list-d89695cc7a06

Pictured below are the true basis bands. In a tightening/nonvolatile range, They are able to pre-define the range by having a modified formula and being sooner to update than the traditional VFAP bands.


Trial version here:

3 oct. 2018

Notes de version

- Changed some default settings
- Added alerts! Crossover/unders for MVWAP, crosses for level 2 bands, and price being above or below reversal bands. Let me know what you like best or if you'd like all the options!

Timeframe is almost always 15 minutes and under, with the exception being BTC/XBT. Volume and price action data need to be granular for VWAP to work to the best of its ability. So longer length, higher resolution, and higher timeframe all introduce lag, but at the same time settings that are too low will make entries/exits too tight or choppy.

10 or 15 length still works well, for smoother bands I suggest 32 or 48.

For MVWAP resolution, 360/720/D are still my go-tos (6 hour, 12 hour, one day).

This is all after viewing daily and higher timeframes to draw levels and get a picture of the market trend.

19 oct. 2018

Notes de version

- Version 2 is out! I've been hesitant on releasing this because nearly everything about how the script is calculated has changed. For the better! Understandably, there is a learning curve when using VFAP, so I tried my best to simplify and consolidate functionality. If you have feedback on it feel free to share!

What's changed:

• New MVWAP basis: for clarity, I've applied a modified McGinley so it's no longer just an EMA. In laymen's terms, the MA length needs to be lower now to prevent lag, but the new chances mean that VFAP can be used more reliably on higher timeframes like the 4 hour or 6 hour.
  
• New MVWAP calculation: I've flipped the method in which the MVWAP is calculated; this may better help identify the raw VWAP and how orders should be placed.
  
• New band calculations - Chop, Level 1, Level 2, and Reversal. The recent lack of volatility created an interest to identify the tightening chop.
  
• Chop - inherent lack of direction means these bands aren't mean to make directional trades off of. Suggested uses are: market making the spread, as a stop loss, as a partial take profit, or a breakout retest entry.
  
• Level 1 - Nice area for a low risk, high reward entry. If on the lower bands, two retests can strike as bullish, vice-versa on the upper side.
  
• Level 2 - Even better reversal zone, however a second swing can occur here, so it is wise to understand your risk with position sizing and adding to your position at a larger spread.
  
• Reversal - Puke it pop it. Great R/R for mean reversion trades. Be very careful when price pumps/dumps on news; continuation after hitting reversal bands can go far.The new formula should be able to catch these much better after price pukes/pumps.
  
• New volume concentration zone formula - Now with 3 instead of 2! This new method is much cleaner in its detection and should track volume spikes much better.
  
• New addition - bullish/bearish arrows: Due to the nature of the script itself being a mean reverting tool, there can sometimes be difficulty identifying trend and in turn knowing when you cut a loss or add to an underwater position. These arrows are multi-colored, with gray meaning weaker chance and full colors meaning strong chance of the arrow being right.
  
• Now you can change all the colors!
  
• Alert conditions have been adding for crossing Level 1, 2, and reversal bands. Let me know if there are any kinks to work out with them.
  

26 déc. 2018

Notes de version

Version 3 released! Very neat stuff.

- Volatility better adjusts to match the current state. This means it will be able to perform very well in both October 2018 level volatility and December 2018 level volatility.

- Two smoothing styles available: because of the constantly adjusting volatility levels, I've included a new smoothing version as default. If the underlying functions don't detect a noticeable change (within the specified timeframe), the bands won't move. The new smoothing enables you to have an easier time manually setting and waiting for an order to hit; the old smoothing allows you to track live changes for every band.

- Loads much faster. Something that needed to be done for low tf scalping, and something I keep in mind for future updates.

More upgrades incoming!

26 déc. 2018

Notes de version

- Changed lvl 1 bands to be a line
- Minor script changes

27 déc. 2018

Notes de version

Added band coloring based on current trend of the whole indicator for a trade bias.

Thank you to Pansyfaust for the suggestion!

27 déc. 2018

Notes de version

Labeling updated to be cleaner

2 janv. 2019

Notes de version

Reverted Level 2 Band changes, made volatility adjustments smoother as well as more independent for lower and upper bands

Pictured below: Left (new), right (old)

2 janv. 2019

Notes de version

New formula for volume zones

13 sept. 2020

Notes de version

[3.1]Fixed bug: When there are 2 or more bar closes with zero volume, VFAP resets its internal metrics because it cannot divide by zero (volume).

This occurs mainly on low timeframes and only when there are multiple bars with zero volume in succession. The fix was done by replacing the built-in volume variable with one that checks for zero volume and uses reduced volume from the previous bars in its place.

27 nov. 2020

Notes de version

Added custom resolution as an experiment, hence the _alpha version. It has not been robustly tested and volume concentration zones break when not a non-native resolution. If you don't want to use the custom resolution, there's nothing you need to do.

TODO: Rewrite the script because auto-converting the Pine v4 mangles my code. Rewrite entire code to make it usable on data series other than the main chart. Inspect usefulness of inner bands; perhaps something else could be used in place that would do a better job.

29 janv. 2021

Notes de version

Updated for current market volatility as well as added additional bands based on the Fibonacci sequence.