Volume Quintiles - 10 Trading Days, Time-of-Day Aware

12 Okt

this logging in the last 20 trading days in the same time.

13 Okt

Nota Keluaran

Short Summary:
Color-codes candles by relative volume intensity so you can instantly see when volume is unusually high or low for that specific time of day – giving a truer, noise-reduced view of market participation.

Full Description:
Volume is one of the clearest signals of conviction in any market — but comparing every bar to the same rolling average can be misleading. Morning sessions often explode with activity, while midday trades quiet down. Treating them equally makes the chart noisy and skews what “high volume” really means.

The Volume Quintiles – Time-of-Day Aware indicator solves that by comparing each bar only to other bars from the same time slot across the past 10 trading days. It normalizes for daily rhythm so you see what’s truly unusual for that specific moment, not just what’s big relative to the open. The result is a cleaner, more agnostic read on volume strength that cuts through the morning-session noise.

How it works

On intraday charts, each candle’s volume is benchmarked against the previous 10 days’ bars that occurred at the same hour and minute.

On daily and higher timeframes, the indicator switches automatically to a 100-bar rolling percentile comparison.

Candles are color-coded by quintile:

🩵 Baby Blue: Very low volume (bottom 20 %)

🤍 White: Below average (20–40 %)

💛 Yellow: Typical (40–60 %)

🟧 Orange: High (60–80 %)

🔴 Red: Extremely high (top 20 %)

Benefits

Removes the distortion of heavy opening or closing-bell volume.

Highlights genuine spikes or drops in participation, independent of time-of-day bias.

Makes intraday volume heatmaps more reliable and visually intuitive.

Works seamlessly across stocks, futures, and crypto markets.

Use Cases

Spot hidden accumulation or distribution that’s masked by session-based volume cycles.

Confirm breakouts or reversals when relative volume is abnormally high for that exact slot.

Study liquidity rhythms and algorithmic trading footprints.

Use as a clean visual layer alongside VWAP, momentum, or range tools.

Key Features

Auto-adjusts between intraday and daily logic.

Configurable trading-day lookback and match count.

Lightweight design using barcolor() – no overlays or clutter.

Five intuitive colors for fast pattern recognition.

Author’s Note
This script was designed to make volume analysis more context-aware. By stripping out the predictable surge of the open, you get a balanced, time-adjusted perspective on when markets are truly waking up.