Volumetric Toolkit [LuxAlgo]

28 Sep 2023

The Volumetric Toolkit is a complete and comprehensive set of tools that display price action-related analysis methods from volume data.

A total of 4 features are included within the toolkit. Symbols that do not include volume data will not be supported by the script.

🔶 USAGE



The volumetric toolkit puts a heavy focus on price action, returning support/resistance levels, ranges, volume divergences...etc.

The main premise between each feature is that volume has a direct relationship with market participants level of interest over a specific symbol, and that this interest is not constant over time.

Each individual feature is detailed below.

🔹Ranges Of Interest



The Ranges Of Interest construct a range from a surge of high liquidity in the market. This range is constructed from the price high and price low of the candle with the associated significant liquidity.



The returned extremities can be used as support and resistance, with breakouts often being accompanied by significant liquidity as well, suggesting potential trend continuations.

The length setting associated with this feature determines how sensitive the range detection algorithm is to volume, with higher values requiring more significant volume in order to display a new range.

🔹Impulses



Impulses highlight times when volume makes a new higher high while the price makes a new higher high or lower low, suggesting increased market participation.

When this occurs when the price makes a new higher high the impulse is considered bullish (green), if the price makes a new lower low the impulse is bearish (red).



Impulses occurring within an established trend opposite to it (e.g a bearish impulse on an uptrend) might be indicative of reversals.

The length setting works similarly to the previously described ranges of interest, with higher values requiring longer-term volume higher high and price higher high/lower low, highlighting more significant impulse and potentially longer-term reversals.

🔹Levels Of Interest



Levels of interest display price levels of significant trading activity, contrary to the range of interest only the closing price is taken into account, also volume peaks are used to detect significant trading activity.

Note that this feature is subject to backpainting, that is lines are set retrospectively.



Users can determine the amount of most recent levels to display on the chart. These can be used as classical support/resistances.

🔹Volume Divergence



We define volume divergence as a decreased market participation while a trend is still developing.

More precisely volume divergences are highlighted if volume makes a lower high while price is making a new higher high/lower low.



This can be indicative of a lack of further participation in the current trend, indicating a potential reversal.

Using higher length values will return longer-term divergences.

Note that this feature is subject to backpainting, that is lines are set retrospectively.

🔶 SETTINGS

🔹Ranges Of Interest

• Show Ranges Of Interest: Display Ranges Of Interest.
  
• Length: Ranges Of Interest sensitivity to volume.
  

🔹Impulses

• Show Impulses: Display Ranges Of Interest.
  
• Length: Impulses sensitivity to volume.
  

🔹Levels Of Interest

• Show: Determine if Levels Of Interest are displayed, and how many from the most recent.
  
• Length: Level detection sensitivity to volume.
  

🔹Volume Divergences

• Show Divergences: Determine if Volume Divergences are displayed.
  
• Length: Period for the detection of price tops/bottoms and volume peaks.