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Dynamic Volume Profile Oscillator (DVPO) – Indie Implementation

Overview

The Dynamic Volume Profile Oscillator transforms traditional volume analysis into an advanced oscillator that measures price deviation from a volume-weighted equilibrium. It adapts to changing market conditions by dynamically constructing a volume profile and identifying overbought/oversold conditions based on price-volume divergence. This indicator is designed for both discretionary traders and algorithmic strategists. It also serves as an educational tool for those transitioning from Pine Script™ to the Indie language.

Core Concepts

Volume-Weighted Equilibrium

The oscillator uses a simplified volume profile calculation:

VWAP = Σ (price × volume) / Σ (volume)

Deviation from this VWAP is then normalized:

Deviation = Σ (|price - VWAP| × volume_share)

Oscillator Modes

The oscillator supports two modes:

Mean Reversion Mode (default): Measures how far current price is from VWAP, normalized by volume-weighted deviation. Formula:
```
 OscRaw = 50 + ((Price - VWAP) / (Deviation × Sensitivity)) × 25
    
```
Standard Mode: Measures smoothed volume intensity relative to its historical range:
```
 OscRaw = 100 × (SmoothedVolume - Min) / (Max - Min)
    
```

Components and Visualization

Adaptive Midline and Gradient Zones

The midline is computed as a moving average of the oscillator. Zones are defined as standard deviations around the midline:

Zone[i] = Midline ± StdDev × (1 - 0.1 × i)

These zones are plotted with 10 levels of gradient intensity, aiding visual detection of extremes.

Signal Lines

The oscillator is double-smoothed with two EMAs:

Fast Signal (5-period)
Slow Signal (15-period)

Their crossovers provide early trend confirmation.

Candlestick Integration

Bar colors change contextually when strong divergences occur:

if osc > upper_zone7 and osc > fast_signal and osc > slow_signal:
    bar_color = color.FUCHSIA
elif osc < lower_zone7 and osc < fast_signal and osc < slow_signal:
    bar_color = color.AQUA
else:
    bar_color = bullish ? GREEN : RED

This optional setting (color_bars) enhances visual clarity during extreme phases.

Parameters

Name	Type	Description
`price_src`	source	Price input (e.g., close, hl2)
`lookback`	integer	Number of candles to build the volume profile
`smoothing`	integer	EMA smoothing of oscillator
`sensitivity`	float	Adjusts oscillator scale in mean-reversion mode
`mean_reversion`	bool	Toggle between mean reversion and standard volume mode
`use_adaptive_midline`	bool	Enables midline and zone dynamics based on historical values
`midline_period`	integer	Lookback for adaptive midline and standard deviation
`zone_width`	float	Multiplier for zone distances
`color_bars`	bool	Enables contextual bar coloring

Strategy Applications

Trend Following

Go long when osc crosses above midline and fast > slow signal.
Go short when osc crosses below midline and fast < slow signal.

Mean Reversion

Look for entries near zone 9–10 or −9 to −10.
Confirm with divergences and fading volume.

Volume Analysis

Use standard mode to track abnormal volume spikes.
Use adaptive midline to detect sustained imbalances.

Educational Value

This script demonstrates key Indie features:

@indicator, @param, and @plot decorators for clarity
Manual volume-weighted calculations
Use of MutSeriesF, conditionals, and smoothing algorithms
Avoidance of list comprehensions (not supported in Indie)

It is a practical reference for Pine Script users exploring Indie’s flexible, Pythonic syntax.

Snippet: Oscillator Core Calculation (Simplified)

# Mean Reversion Mode
osc_raw = 50 + ((price - vwap) / (deviation * sensitivity)) * 25

# Standard Mode
osc_raw = 100 * (SmoothedVolume - MinVolume) / (MaxVolume - MinVolume)

Final Notes

Designed for intraday and swing trading
Best combined with support/resistance and volume profile overlays
Gradient zones provide intuitive context for positioning and risk

Indie Language code ##

# indie:lang_version = 5
# © Pavel Medvedev
# Licensed under the MIT License. You may use, copy, modify, merge, publish, 
# distribute, sublicense, and/or sell copies of the Software, subject to the 
# conditions of the MIT license. Full license text: https://opensource.org/licenses/MIT
from math import nan, isclose
from indie import indicator, param, plot, color, MutSeriesF, source, MainContext
from indie.algorithms import Sma, Ema, StdDev, Lowest, Highest

# === Indicator Declaration & Inputs ===
@indicator("Dynamic Volume Profile Oscillator", overlay_main_pane=False)
@param.source("price_src", default=source.CLOSE, title="Price Source")
@param.int("lookback", default=50, min=10, title="Lookback Period")  # Lookback for volume profile calculation
@param.int("profile_periods", default=10, min=5, max=100, title="Profile Calculation Periods")  # Not used in this version
@param.int("smoothing", default=5, min=1, max=50, title="Smoothing Length")
@param.float("sensitivity", default=1.0, min=0.1, max=5.0, step=0.1, title="Sensitivity")
@param.bool("mean_reversion", default=True, title="Mean Reversion Mode")
@param.bool("use_adaptive_midline", default=True, title="Use Adaptive Midline")
@param.int("midline_period", default=50, min=10, max=200, title="Adaptive Midline Period")
@param.float("zone_width", default=1.5, min=0.5, max=3.0, step=0.1, title="Zone Width Multiplier")
@param.bool("color_bars", default=True, title="Color Bars")

# === Plot Definitions ===
@plot.line('osc', color=color.AQUA, title="Oscillator")
@plot.line('fast_signal', color=color.FUCHSIA, title="Fast Signal")
@plot.line('slow_signal', color=color.SILVER, title="Slow Signal")
@plot.line('midline', color=color.WHITE(0.4), title="Adaptive Midline")
# Upper and Lower Zone Gradient Plots
@plot.line('upper_zone1', color=color.FUCHSIA(0.1), title="Upper Zone 1")
@plot.line('upper_zone2', color=color.FUCHSIA(0.2), title="Upper Zone 2")
@plot.line('upper_zone3', color=color.FUCHSIA(0.3), title="Upper Zone 3")
@plot.line('upper_zone4', color=color.FUCHSIA(0.4), title="Upper Zone 4")
@plot.line('upper_zone5', color=color.FUCHSIA(0.5), title="Upper Zone 5")
@plot.line('upper_zone6', color=color.FUCHSIA(0.6), title="Upper Zone 6")
@plot.line('upper_zone7', color=color.FUCHSIA(0.7), title="Upper Zone 7")
@plot.line('upper_zone8', color=color.FUCHSIA(0.8), title="Upper Zone 8")
@plot.line('upper_zone9', color=color.FUCHSIA(0.9), title="Upper Zone 9")
@plot.line('upper_zone10', color=color.FUCHSIA(1.0), title="Upper Zone 10")
@plot.line('lower_zone1', color=color.AQUA(0.1), title="Lower Zone 1")
@plot.line('lower_zone2', color=color.AQUA(0.2), title="Lower Zone 2")
@plot.line('lower_zone3', color=color.AQUA(0.3), title="Lower Zone 3")
@plot.line('lower_zone4', color=color.AQUA(0.4), title="Lower Zone 4")
@plot.line('lower_zone5', color=color.AQUA(0.5), title="Lower Zone 5")
@plot.line('lower_zone6', color=color.AQUA(0.6), title="Lower Zone 6")
@plot.line('lower_zone7', color=color.AQUA(0.7), title="Lower Zone 7")
@plot.line('lower_zone8', color=color.AQUA(0.8), title="Lower Zone 8")
@plot.line('lower_zone9', color=color.AQUA(0.9), title="Lower Zone 9")
@plot.line('lower_zone10', color=color.AQUA(1.0), title="Lower Zone 10")

class Main(MainContext):
    def calc(self, price_src, lookback, profile_periods, smoothing, sensitivity, mean_reversion,
             use_adaptive_midline, midline_period, zone_width, color_bars):

        # === 1. Calculate volume-weighted average price (VWAP) ===
        vwap_sum = 0.0
        volume_sum = 0.0
        for i in range(lookback):
            vwap_sum += price_src[i] * self.volume[i]
            volume_sum += self.volume[i]
        vwap_level = vwap_sum / volume_sum if not isclose(volume_sum, 0) else price_src[0]

        # === 2. Calculate deviation from VWAP (volume-weighted deviation) ===
        price_dev = 0.0
        for i in range(lookback):
            price_dev += abs(price_src[i] - vwap_level) * (self.volume[i] / volume_sum) if not isclose(volume_sum, 0) else 0

        # === 3. Calculate raw oscillator value based on selected mode ===
        osc_raw = 50.0
        if mean_reversion:
            if not isclose(price_dev * sensitivity, 0):
                osc_raw = 50 + ((price_src[0] - vwap_level) / (price_dev * sensitivity)) * 25
        else:
            # Use normalized smoothed volume in Standard mode
            sma_vol = Sma.new(self.volume, smoothing)
            min_vol = Lowest.new(sma_vol, lookback)[0]
            max_vol = Highest.new(sma_vol, lookback)[0]
            vol_range = max_vol - min_vol
            if not isclose(vol_range, 0):
                vol_position = (sma_vol[0] - min_vol) / vol_range
                osc_raw = min(100, max(0, vol_position * 100))

        # === 4. Smooth oscillator value ===
        osc_series = MutSeriesF.new(osc_raw)
        osc = Ema.new(osc_series, smoothing)[0]

        # === 5. Calculate signal lines ===
        fast_signal = Ema.new(osc_series, 5)[0]
        slow_signal = Ema.new(osc_series, 15)[0]

        # === 6. Calculate adaptive midline and standard deviation zones ===
        midline_series = MutSeriesF.new(osc)
        midline = Sma.new(midline_series, midline_period)[0] if use_adaptive_midline else 50.0
        stdev = StdDev.new(midline_series, midline_period)[0] * zone_width

        # === 7. Construct 10-level upper/lower zones using gradient spacing ===
        upper_zones: list[float] = [0.0] * 10
        lower_zones: list[float] = [0.0] * 10
        for i in range(10):
            upper_zones[i] = midline + stdev * (1 - i * 0.1)
            lower_zones[i] = midline - stdev * (1 - i * 0.1)

        # === 8. Return all values for plotting ===
        return (
            osc,
            fast_signal,
            slow_signal,
            midline,
            upper_zones[0], upper_zones[1], upper_zones[2], upper_zones[3], upper_zones[4],
            upper_zones[5], upper_zones[6], upper_zones[7], upper_zones[8], upper_zones[9],
            lower_zones[0], lower_zones[1], lower_zones[2], lower_zones[3], lower_zones[4],
            lower_zones[5], lower_zones[6], lower_zones[7], lower_zones[8], lower_zones[9]
        )

To contribute improvements or variations, feel free to fork or issue pull requests.

Dynamic Volume Profile Oscillator (DVPO) – Indie Implementation

Table of Contents

Dynamic Volume Profile Oscillator (DVPO) – Indie Implementation

Overview

Core Concepts

Volume-Weighted Equilibrium

Oscillator Modes

Components and Visualization

Adaptive Midline and Gradient Zones

Signal Lines

Candlestick Integration

Parameters

Strategy Applications

Trend Following

Mean Reversion

Volume Analysis

Educational Value

Snippet: Oscillator Core Calculation (Simplified)

Final Notes