# 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] )