OPEN-SOURCE SCRIPT
Mis à jour VWAP Z-Score & Exhaustion Matrix [AlgoPoint]
AlgoPoint VWAP Z-Score & Order Flow Matrix
Overview
The AlgoPoint VWAP Z-Score Matrix is a quantitative oscillator designed to identify statistical extremes in price action relative to a dynamic volume-weighted baseline. By combining a Rolling VWAP, Volume-Weighted Standard Deviation, Volume Exhaustion, and an Intrabar Order Flow Delta proxy, this indicator provides a comprehensive framework for modeling mean-reversion (fade) setups.
Mathematical Core & Components
This indicator relies on three primary quantitative mechanics:Rolling VWAP & Z-Score: Unlike a traditional anchored VWAP that resets daily, this script calculates a Rolling VWAP over a user-defined lookback window. The standard deviation is volume-weighted, ensuring that high-volume nodes have a proportional impact on the variance. The Z-Score normalizes the price deviation from the VWAP, creating a 0-centered oscillator.
- Volume Exhaustion: The script compares the current bar's volume against a Simple Moving Average (SMA) of volume. If the current volume is lower than the average, it flags a state of "exhaustion," indicating a potential deceleration in the current price push.
- Order Flow Delta Proxy: To evaluate microstructure without requiring lower timeframe data, the indicator estimates intrabar buying and selling pressure. It apportions the total bar volume into "Up Volume" and "Down Volume" based on where the close occurs relative to the high-low range. The net difference establishes the Volume Delta.
Visual Elements & Interpretation
Dual-Gradient Bar Coloring: The main chart candles and the oscillator line are dynamically colored using a dual-gradient system. The color smoothly transitions from a neutral gray at the mean (0) to green at negative extremes and red at positive extremes.
Reference Thresholds: Default extreme limits are set at +2.5 and -2.5 Z-Scores.Exhaustion Nodes: Circular nodes appear on the oscillator line when the price reaches an extreme Z-Score simultaneously with volume exhaustion.
Quant Dashboard: A real-time table displaying the current Z-Score, Volume Status (Active/Exhausted), Order Flow Delta (Net Buyers/Sellers), and the absolute Rolling VWAP price.
Signal Generation
"Fade Long" and "Fade Short" labels are generated only when all structural conditions are met and the bar is confirmed (barstate.isconfirmed)
Fade Short: Z-Score > Upper Threshold AND Volume is Exhausted AND Delta is Negative (Sellers taking control).
Fade Long: Z-Score < Lower Threshold AND Volume is Exhausted AND Delta is Positive (Buyers taking control).
Alerts
The indicator includes standard alert conditions and dynamic JSON webhook strings for automated trading systems, providing real-time data on the asset, price, Z-Score, and Delta values upon signal generation.
Overview
The AlgoPoint VWAP Z-Score Matrix is a quantitative oscillator designed to identify statistical extremes in price action relative to a dynamic volume-weighted baseline. By combining a Rolling VWAP, Volume-Weighted Standard Deviation, Volume Exhaustion, and an Intrabar Order Flow Delta proxy, this indicator provides a comprehensive framework for modeling mean-reversion (fade) setups.
Mathematical Core & Components
This indicator relies on three primary quantitative mechanics:Rolling VWAP & Z-Score: Unlike a traditional anchored VWAP that resets daily, this script calculates a Rolling VWAP over a user-defined lookback window. The standard deviation is volume-weighted, ensuring that high-volume nodes have a proportional impact on the variance. The Z-Score normalizes the price deviation from the VWAP, creating a 0-centered oscillator.
- Volume Exhaustion: The script compares the current bar's volume against a Simple Moving Average (SMA) of volume. If the current volume is lower than the average, it flags a state of "exhaustion," indicating a potential deceleration in the current price push.
- Order Flow Delta Proxy: To evaluate microstructure without requiring lower timeframe data, the indicator estimates intrabar buying and selling pressure. It apportions the total bar volume into "Up Volume" and "Down Volume" based on where the close occurs relative to the high-low range. The net difference establishes the Volume Delta.
Visual Elements & Interpretation
Dual-Gradient Bar Coloring: The main chart candles and the oscillator line are dynamically colored using a dual-gradient system. The color smoothly transitions from a neutral gray at the mean (0) to green at negative extremes and red at positive extremes.
Reference Thresholds: Default extreme limits are set at +2.5 and -2.5 Z-Scores.Exhaustion Nodes: Circular nodes appear on the oscillator line when the price reaches an extreme Z-Score simultaneously with volume exhaustion.
Quant Dashboard: A real-time table displaying the current Z-Score, Volume Status (Active/Exhausted), Order Flow Delta (Net Buyers/Sellers), and the absolute Rolling VWAP price.
Signal Generation
"Fade Long" and "Fade Short" labels are generated only when all structural conditions are met and the bar is confirmed (barstate.isconfirmed)
Fade Short: Z-Score > Upper Threshold AND Volume is Exhausted AND Delta is Negative (Sellers taking control).
Fade Long: Z-Score < Lower Threshold AND Volume is Exhausted AND Delta is Positive (Buyers taking control).
Alerts
The indicator includes standard alert conditions and dynamic JSON webhook strings for automated trading systems, providing real-time data on the asset, price, Z-Score, and Delta values upon signal generation.
Notes de version
Color chanceScript open-source
Dans l'esprit TradingView, le créateur de ce script l'a rendu open source afin que les traders puissent examiner et vérifier ses fonctionnalités. Bravo à l'auteur! Bien que vous puissiez l'utiliser gratuitement, n'oubliez pas que la republication du code est soumise à nos Règles.
Elevate Your Trading ▶ qalphatrade.com
Trade with mathematical certainty,
not emotional guesswork.
Trade with mathematical certainty,
not emotional guesswork.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.
Script open-source
Dans l'esprit TradingView, le créateur de ce script l'a rendu open source afin que les traders puissent examiner et vérifier ses fonctionnalités. Bravo à l'auteur! Bien que vous puissiez l'utiliser gratuitement, n'oubliez pas que la republication du code est soumise à nos Règles.
Elevate Your Trading ▶ qalphatrade.com
Trade with mathematical certainty,
not emotional guesswork.
Trade with mathematical certainty,
not emotional guesswork.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.