Volume Impact Efficiency Lens [Pineify]
Volume Impact Efficiency Lens [Pineify]
Overview
A signed impact track and volume-width halo compare price migration with participation, separating directional advance, path friction, a high-volume absorption proxy and fading advance.
Problem Definition
Similar volume can accompany sustained migration, price cancellation or almost no net displacement. A relative-volume spike measures activity without its result; a return threshold misses the path between endpoints. Including a burst in its own volume or volatility baseline also reduces its apparent size. The goal is to compare participation and realized migration without inferring who traded.
Design Rationale
Both baselines precede the impact window so observations cannot change their own denominators. Median volume reduces baseline sensitivity to isolated prints; clipping limits their evaluated contribution. Path efficiency discounts cancellation hidden by net displacement. Low participation reduces credibility, while above-normal participation divides impact by its cost. Finite occupancy replaces an unlimited smoother, trading bounded memory for delay and correlated overlapping observations.
Key Features
The pane includes a signed score, participation halo, optional occupancy columns, markers, background and table. Data Window values expose capped volume, efficiency, net pace, gross travel and occupancy.
How It Works
Defaults evaluate N=12 close-to-close steps. The preceding 60 volume bars supply a median, ending at the window's starting close; ATR(14) at that same endpoint supplies scale A. Each evaluated volume is divided by the median and capped at 4; their average is R. Net change D divided by total absolute close changes P gives absolute efficiency E=abs(D)/P, or zero for a flat path. Signed pace d=D/(N*A) and gross travel P/(N*A) use the same scale.
The raw impact is x=d*E*min(1,R)/max(1,R); the plotted score is 100*x/(1+abs(x)). It is bounded, not a probability. Each valid window casts one exclusive vote: absorption if R>=1.6 and abs(d)<=0.12; otherwise advance if abs(score)>=12 and E>=0.45; otherwise friction if E<=0.25 and gross travel>=0.25; otherwise neutral.
Eight consecutive valid windows form memory. Entry needs occupancy>=0.65 and matching current evidence; holding that state uses 0.40. A changed candidate needs two consecutive closes. Unsupported advance becomes Decaying while abs(score)>4.2, otherwise Neutral, unless another qualifying state takes priority. Missing or nonpositive volume, missing/inconsistent evaluated OHLC or a nonpositive starting ATR invalidates data and clears memory; no volume substitute is used.
How Multiple Indicators Work Together
The prior baselines define units; displacement and path describe what price achieved; capped participation changes its assigned cost. Exclusive votes test persistence. Without path efficiency, cancellation is rewarded; without volume, participation disappears; without current evidence, old votes can maintain an unsupported state.
Trading Ideas and Insights
A wide purple halo near zero indicates high participation with limited net migration, not hidden buyers or sellers. Blue or coral advance requires migration and path efficiency. Friction means cancellation with material travel; decay means lost support for advance. These are historical context for a separate trading plan, with no entry, stop or expected return.
Unique Aspects
Beyond a relative-volume histogram, the contribution is a shared pre-window baseline, direction-symmetric participation weighting and finite exclusive-vote model. High volume can widen the halo while reducing impact per participation. Absorption has priority over friction, avoiding double-counted votes. The method describes outcomes, not causal market impact.
How to Use
Use standard candles with reliable positive volume on stocks, ETFs, futures or crypto, typically 5m–1D. Wait for baseline and ATR history, then complete memory; raw values appear during memory warm-up. Read score sign, state, then halo width. Set alerts once per bar close for advances, absorption, friction, decay, advance fading to neutral or coverage changes.
Customization
Impact, prior-volume and ATR lengths set the horizon. Memory, entry/hold shares and candidate closes set persistence. Score and path thresholds define advance; high volume and maximum net pace define absorption; efficiency and minimum gross travel define friction. The cap limits spikes. Defaults are starting choices. Halo, columns, background, markers and table switches affect presentation only.
Assumptions and Limitations
All visible snapshots, votes, states and alerts update at chart-bar close; the open bar holds the last snapshot. Inputs or feed revisions can recalculate history. No external symbols, lower-timeframe requests, pivots or future data are used. Median volume is not adjusted for intraday seasonality, and the starting ATR can become stale after a regime change. Gaps enter the close path. Clipping conceals extreme volume size; overlapping windows are dependent. Confirmation lags, strict data rejection and parameter sensitivity can suppress states. Synthetic candles and unreliable volume undermine interpretation; absorption is a descriptive proxy, not order-flow evidence or a forecast.
Conclusion
The lens measures directed migration relative to path and participation. Score, halo and occupancy distinguish realized outcomes; execution and risk decisions remain outside this measurement.
Overview
A signed impact track and volume-width halo compare price migration with participation, separating directional advance, path friction, a high-volume absorption proxy and fading advance.
Problem Definition
Similar volume can accompany sustained migration, price cancellation or almost no net displacement. A relative-volume spike measures activity without its result; a return threshold misses the path between endpoints. Including a burst in its own volume or volatility baseline also reduces its apparent size. The goal is to compare participation and realized migration without inferring who traded.
Design Rationale
Both baselines precede the impact window so observations cannot change their own denominators. Median volume reduces baseline sensitivity to isolated prints; clipping limits their evaluated contribution. Path efficiency discounts cancellation hidden by net displacement. Low participation reduces credibility, while above-normal participation divides impact by its cost. Finite occupancy replaces an unlimited smoother, trading bounded memory for delay and correlated overlapping observations.
Key Features
The pane includes a signed score, participation halo, optional occupancy columns, markers, background and table. Data Window values expose capped volume, efficiency, net pace, gross travel and occupancy.
How It Works
Defaults evaluate N=12 close-to-close steps. The preceding 60 volume bars supply a median, ending at the window's starting close; ATR(14) at that same endpoint supplies scale A. Each evaluated volume is divided by the median and capped at 4; their average is R. Net change D divided by total absolute close changes P gives absolute efficiency E=abs(D)/P, or zero for a flat path. Signed pace d=D/(N*A) and gross travel P/(N*A) use the same scale.
The raw impact is x=d*E*min(1,R)/max(1,R); the plotted score is 100*x/(1+abs(x)). It is bounded, not a probability. Each valid window casts one exclusive vote: absorption if R>=1.6 and abs(d)<=0.12; otherwise advance if abs(score)>=12 and E>=0.45; otherwise friction if E<=0.25 and gross travel>=0.25; otherwise neutral.
Eight consecutive valid windows form memory. Entry needs occupancy>=0.65 and matching current evidence; holding that state uses 0.40. A changed candidate needs two consecutive closes. Unsupported advance becomes Decaying while abs(score)>4.2, otherwise Neutral, unless another qualifying state takes priority. Missing or nonpositive volume, missing/inconsistent evaluated OHLC or a nonpositive starting ATR invalidates data and clears memory; no volume substitute is used.
How Multiple Indicators Work Together
The prior baselines define units; displacement and path describe what price achieved; capped participation changes its assigned cost. Exclusive votes test persistence. Without path efficiency, cancellation is rewarded; without volume, participation disappears; without current evidence, old votes can maintain an unsupported state.
Trading Ideas and Insights
A wide purple halo near zero indicates high participation with limited net migration, not hidden buyers or sellers. Blue or coral advance requires migration and path efficiency. Friction means cancellation with material travel; decay means lost support for advance. These are historical context for a separate trading plan, with no entry, stop or expected return.
Unique Aspects
Beyond a relative-volume histogram, the contribution is a shared pre-window baseline, direction-symmetric participation weighting and finite exclusive-vote model. High volume can widen the halo while reducing impact per participation. Absorption has priority over friction, avoiding double-counted votes. The method describes outcomes, not causal market impact.
How to Use
Use standard candles with reliable positive volume on stocks, ETFs, futures or crypto, typically 5m–1D. Wait for baseline and ATR history, then complete memory; raw values appear during memory warm-up. Read score sign, state, then halo width. Set alerts once per bar close for advances, absorption, friction, decay, advance fading to neutral or coverage changes.
Customization
Impact, prior-volume and ATR lengths set the horizon. Memory, entry/hold shares and candidate closes set persistence. Score and path thresholds define advance; high volume and maximum net pace define absorption; efficiency and minimum gross travel define friction. The cap limits spikes. Defaults are starting choices. Halo, columns, background, markers and table switches affect presentation only.
Assumptions and Limitations
All visible snapshots, votes, states and alerts update at chart-bar close; the open bar holds the last snapshot. Inputs or feed revisions can recalculate history. No external symbols, lower-timeframe requests, pivots or future data are used. Median volume is not adjusted for intraday seasonality, and the starting ATR can become stale after a regime change. Gaps enter the close path. Clipping conceals extreme volume size; overlapping windows are dependent. Confirmation lags, strict data rejection and parameter sensitivity can suppress states. Synthetic candles and unreliable volume undermine interpretation; absorption is a descriptive proxy, not order-flow evidence or a forecast.
Conclusion
The lens measures directed migration relative to path and participation. Score, halo and occupancy distinguish realized outcomes; execution and risk decisions remain outside this measurement.
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Essential Toolkit for Every Trader
- AI Pine Script Generator
- Finance AI Agent
- AI Stock Picker
- Pine Script Visual Editor
- Invited indicators
- Strategy Optimizer
- Trading Journal
- Backtest Report
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.
🚀🚀🚀 Pineify - pineify.app
Essential Toolkit for Every Trader
- AI Pine Script Generator
- Finance AI Agent
- AI Stock Picker
- Pine Script Visual Editor
- Invited indicators
- Strategy Optimizer
- Trading Journal
- Backtest Report
Essential Toolkit for Every Trader
- AI Pine Script Generator
- Finance AI Agent
- AI Stock Picker
- Pine Script Visual Editor
- Invited indicators
- Strategy Optimizer
- Trading Journal
- Backtest Report
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.