Volume drift// This work is licensed under Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International
// creativecommons.org
// © BigBeluga
//@version=6
indicator('Volatility Drift ', 'Volatility Drift ', overlay = true, max_lines_count = 500, max_labels_count = 500)
// ＩＮＰＵＴＳ ――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――{
// Input parameters for length, momentum, and source data
int vd_length = input.int(10, 'VD Length') // Length of the VD calculation
int vd_momentum = input.int(20, 'VD Momentum') // Momentum length for VD
float band_distance = input.float(2, 'Distance factor for upper/lower bands', step = 0.1) // Distance factor for upper/lower bands
// Define pivot parameters
int pivot_left_bars = 3 // Left side pivot bars
int pivot_right_bars = pivot_left_bars // Right side pivot bars
float source = input.source(close, 'Source') // Source for vd calculation
// Define colors for up and down trends
color up_trend_color = input(#17dfad, '+', group = 'Color', inline = 'c') // Color for uptrend
color down_trend_color = input(#dd326b, '-', group = 'Color', inline = 'c') // Color for downtrend
bool shadow = input.bool(true, 'Shadow', group = 'Color', inline = 'c')
// Initialize variables for line, volume, and trend state
var line pivot_line = na // Variable for storing line references
var float volume_value = na // Variable for storing volume data
float smoothed_value = na // Smoothing variable for vd trend levels
var bool is_trend_up = false // Boolean variable for tracking trend direction
// Initialize arrays for storing line and volume information
var array liquidity_lines_low = array.new(500) // Array for storing lines for lows
var array liquidity_lines_high = array.new(500) // Array for storing lines for highs
var float up_trend_volume = na // Volume accumulated during uptrend
var float down_trend_volume = na // Volume accumulated during downtrend
// }
// ＦＵＮＣＴＩＯＮＳ―――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――{
// Define vd (Variable Index Dynamic Average) function
vd_calc(src, vd_length, vd_momentum) =>
float momentum = ta.change(src)
float sum_pos_momentum = math.sum(momentum >= 0 ? momentum : 0.0, vd_momentum)
float sum_neg_momentum = math.sum(momentum >= 0 ? 0.0 : -momentum, vd_momentum)
float abs_cmo = math.abs(100 * (sum_pos_momentum - sum_neg_momentum) / (sum_pos_momentum + sum_neg_momentum))
float alpha = 2 / (vd_length + 1)
var float vd_value = 0.0
vd_value := alpha * abs_cmo / 100 * src + (1 - alpha * abs_cmo / 100) * nz(vd_value )
ta.sma(vd_value, 15)
// Method to extend lines and add labels for liquidity levels
method extend_liquidity_lines(array line_array, float price_level, bool is_cross, volume_val) =>
if line_array.size() > 0 and last_bar_index - bar_index < 5000
for i = 0 to line_array.size() - 1 by 1
if i < line_array.size()
line liquidity_line = line_array.get(i)
float current_line_level = line.get_y2(liquidity_line)
bool price_cross = is_cross ? price_level < current_line_level and price_level >= current_line_level : price_level > current_line_level and price_level <= current_line_level
bool is_short_line = bar_index - line.get_x1(liquidity_line) < 50
if price_cross and is_short_line
line.set_x2(liquidity_line, bar_index)
line_array.remove(i)
// Add volume label to the liquidity zone
label.new(bar_index - 1, price_level , str.tostring(volume_val, format.volume), color = color.rgb(0, 0, 0, 99), style = is_cross ? label.style_label_lower_left : label.style_label_upper_left, textcolor = chart.fg_color, size = size.small)
// Add a circle label to represent liquidity zone
label.new(bar_index - 1, price_level , text = '◉', color = #00000003, textcolor = is_cross ? down_trend_color : up_trend_color, style = label.style_label_center, size = size.normal)
// }
// ＣＡＬＣＵＬＡＴＩＯＮＳ――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――{
// Calculate the Average True Range (ATR)
float atr_value = ta.atr(200) // ATR calculation with length of 200
// Calculate the vd (Variable Index Dynamic Average)
vd_value = vd_calc(source, vd_length, vd_momentum)
// Calculate upper and lower bands based on vd and ATR
float upper_band = vd_value + atr_value * band_distance
float lower_band = vd_value - atr_value * band_distance
// Detect trend direction using crossovers of source with bands
if ta.crossover(source, upper_band)
is_trend_up := true
is_trend_up
if ta.crossunder(source, lower_band)
is_trend_up := false
is_trend_up
// Set trend-based smoothing variable
if is_trend_up
smoothed_value := lower_band
smoothed_value
if not is_trend_up
smoothed_value := upper_band
smoothed_value
if ta.change(is_trend_up)
smoothed_value := na
smoothed_value
// Calculate pivot highs and lows for price action
bool pivot_high = not na(ta.pivothigh(pivot_left_bars, pivot_right_bars))
bool pivot_low = not na(ta.pivotlow(close, pivot_left_bars, pivot_right_bars))
// Create and store lines for pivot lows (support zones)
if low > smoothed_value and pivot_low
pivot_line := line.new(bar_index , low , bar_index + 5, low , color = color.new(up_trend_color, 50))
liquidity_lines_low.push(pivot_line)
volume_value := math.sum(volume, pivot_right_bars + pivot_left_bars) / (pivot_right_bars + pivot_left_bars)
volume_value
// Create and store lines for pivot highs (resistance zones)
if high < smoothed_value and pivot_high
pivot_line := line.new(bar_index , high , bar_index + 5, high , color = color.new(down_trend_color, 50))
liquidity_lines_high.push(pivot_line)
volume_value := math.sum(-volume, pivot_right_bars + pivot_left_bars) / (pivot_right_bars + pivot_left_bars)
volume_value
// Extend lines to track price movements
liquidity_lines_high.extend_liquidity_lines(smoothed_value, true, volume_value)
liquidity_lines_low.extend_liquidity_lines(smoothed_value, false, volume_value)
// Detect changes in the trend direction
bool trend_cross_up = not is_trend_up and is_trend_up
bool trend_cross_down = not is_trend_up and is_trend_up
// Reset volume counters when trend changes
if ta.change(trend_cross_up) or ta.change(trend_cross_down)
up_trend_volume := 0
down_trend_volume := 0
down_trend_volume
// Accumulate volume during trends
if not(ta.change(trend_cross_up) or ta.change(trend_cross_down))
up_trend_volume := up_trend_volume + (close > open ? volume : 0)
down_trend_volume := down_trend_volume + (close < open ? volume : 0)
down_trend_volume
// Calculate average volume
float avg_volume_Drift = (up_trend_volume + down_trend_volume) / 2
// Determine the color of the trend
color trend_color = is_trend_up ? up_trend_color : not is_trend_up ? down_trend_color : chart.fg_color
// Calculate Drift volume percentage
string Drift_volume = str.tostring((up_trend_volume - down_trend_volume) / avg_volume_Drift * 100, format.percent) == 'NaN%' ? '0%' : str.tostring((up_trend_volume - down_trend_volume) / avg_volume_Drift * 100, format.percent)
// }
// ＰＬＯＴ ――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――{
// Display labels for volume and trend statistics on the last bar
if barstate.islast
label.delete(label.new(bar_index, smoothed_value, 'Buy: ' + str.tostring(up_trend_volume, format.volume) + ' Sell: ' + str.tostring(down_trend_volume, format.volume) + ' Drift Volume: ' + Drift_volume, color = color.new(trend_color, 90), style = is_trend_up ? label.style_label_upper_left : label.style_label_lower_left, textcolor = chart.fg_color) )
label.delete(label.new(bar_index, smoothed_value, text = '✪', color = #00000003, textcolor = trend_color, style = label.style_label_center, size = size.large) )
// Plot the vd trend line
p1 = plot(smoothed_value, color = trend_color, linewidth = 2, style = plot.style_linebr)
p2 = plot(hl2, display = display.none)
// Fill between the plot and the vd line
fill(p1, p2, smoothed_value, hl2, color.new(trend_color, shadow ? 80 : 100), na)
// Plot trend change markers (up and down arrows)
plotshape(series = trend_cross_up ? smoothed_value : na, title = 'Trend Up', style = shape.labelup, location = location.absolute, color = color.new(up_trend_color, 50), text = '▲', textcolor = chart.fg_color)
plotshape(series = trend_cross_down ? smoothed_value : na, title = 'Trend Down', style = shape.labeldown, location = location.absolute, color = color.new(down_trend_color, 50), text = '▼', textcolor = chart.fg_color)
// }
