Volume Profile Levels Indicator Analysis

Related: Compression Breakout Channels with Buy and Sell Volume Analysis - another powerful indicator for MetaTrader 5 traders.

Volume Profile Levels

Also recommended: Simple Anchored VWAP - Institutional Volume Benchmark - similar indicator with strong performance on MetaTrader 5.

The idea behind it

A standard chart displays price movement; a volume profile illustrates where the market has been most active. This indicator divides a recent lookback period into equal price segments, calculates the volume traded within each segment, and presents this as a horizontal histogram alongside the price action. Longer histogram segments indicate higher trading volume at those price levels.

From this histogram, the indicator derives key volume analysis levels: the Point of Control (POC), which is the price level with the highest volume, and the Value Area (VA). The Value Area is a price range containing a specified percentage of the total volume, calculated by expanding outwards from the POC.

Each histogram segment is further divided by the volume contributed by up-closing and down-closing bars. This allows for coloring segments based on whether buying or selling activity was dominant at that price, providing a visual cue for market acceptance.

How to interpret it

Histogram segments
- The length of each segment is proportional to the volume traded at that price level relative to the busiest level. The color indicates whether up-closing or down-closing bars contributed more volume.

POC line
(default white, solid) - Represents the price level with the highest volume over the lookback period. It often acts as a market magnet or pivot point.

VAH / VAL lines
(default silver, dotted) - These mark the top (Value Area High) and bottom (Value Area Low) of the Value Area. They enclose the price range where a specified percentage of all volume was traded. Prices outside this band are considered to be in areas of comparatively lower volume and less market agreement.

Sidebar position
- The histogram is anchored to the most recent bar and extends to the right. The POC and Value Area lines span from the beginning of the lookback period through the sidebar, allowing for immediate assessment of current price position relative to these levels.

Refresh timing
- With the InpUpdateOnNewBarOnly setting enabled (default), the volume profile is recalculated once for each new bar on the chart. When disabled, it recalculates on every tick.

External variables (inputs)

Input

Default

Purpose

InpLookbackBars

200

Specifies the number of recent bars to include in the volume profile calculation.

InpNumRows

24

Determines the number of equal-height price segments (histogram buckets) within the lookback range.

InpVolumeType

Tick Volume

Selects the volume source for the histogram: Tick Volume or Real Volume (if provided by the broker).

InpValueAreaPercent

70.0

Sets the percentage of total volume to be contained within the Value Area (from VAH to VAL), calculated by expanding from the POC.

InpUpdateOnNewBarOnly

true

If true, the profile rebuilds once per new chart bar; if false, it rebuilds on every tick.

InpShowProfile

true

Controls the visibility of the histogram segments (the sidebar).

InpShowPOC

true

Controls the visibility of the Point of Control line.

InpShowValueArea

true

Controls the visibility of the Value Area High/Low lines.

InpProfileMaxWidthBars

30

Defines the width of the sidebar, measured in bar equivalents, for the busiest row. Other rows scale proportionally.

InpBuyDominantColor / InpSellDominantColor

Lime / Red

Sets the color for histogram segments based on whether up-closing or down-closing bars contributed more volume.

InpPOCColor

White

Sets the color for the Point of Control line.

InpValueAreaColor

Silver

Sets the color for the Value Area High/Low lines.

Recommended use

This indicator is suitable for any symbol and timeframe. For symbols with reported real volume, setting InpVolumeType to Real Volume provides a standard volume profile. For symbols where brokers predominantly report tick volume, the default Tick Volume offers a reasonable approximation of trading activity, though it does not represent actual traded volume.

A notable simplification is that each bar's volume is assigned to a single price segment based on its typical price ((H+L+C)/3). This approach manages computational cost, keeping it proportional to InpLookbackBars rather than the entire chart history. This provides a balance between performance and the granularity of a full range-weighted profile, making it effective as a chart overlay refreshed frequently.

The indicator exclusively uses price and volume data. It does not place, modify, or close orders, ensuring its safety across all account types. All chart objects are managed under a unique internal name prefix and are completely removed using ObjectsDeleteAll() in OnDeinit() when the indicator is detached, leaving no residual objects on the chart.

Fig. 1. The volume profile sidebar with POC and Value Area on XAUUSD M15. Rendered in black and white per the Code Base image guidelines (750x500 px).

You may also like: Spread Profile by Hour - excellent alternative for indicator users on MetaTrader 5.

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#property link "https://robotfx.org"
#property version   "1.00"
#property description "This code is educational. Feel free to use, modify and upgrade as you wish. Visit ROBOTFX.ORG for professional trading tools"
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enum ENUM_VP_VOLUME
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.......

• This tool is provided for educational and testing purposes only.
• Past performance does not guarantee future results.
• Trading involves substantial risk of loss. Use on a demo account first.
• Results may vary depending on market conditions, broker, and settings.
• We recommend thorough backtesting and forward testing before using with real funds.