Discussing the article: "Analytical Volume Profile Trading (AVPT): Liquidity Architecture, Market Memory, and Algorithmic Execution"
Hello Hlomohang John Borotho, Thank you for your article — it was very interesting. In return, I’d like to share with you and the community an indicator version of your AVPT EA, which I developed with a bit of assistance. Here is the source code attached.
How to use the indicator ?
How to use the indicator ?
## Key Indicator Elements
### 1. Volume Histogram (Left side of the chart)
- **Green bars**: Represent price levels within the **Value Zone** (70% of total volume by default)
- **Gray bars**: Represent price levels outside the Value Zone
- **Bar width**: The wider the bar, the greater the volume traded at that price level
### 2. Horizontal Key Levels
- **POC (Point of Control)**: The **solid red line** - this is the price level where the highest trading volume was recorded
- This is a very important support/resistance level
- The price tends to retrace to this level
- **VAH (Value Area High)**: The **upper dotted green line** - upper boundary of the Value Zone
- **VAL (Value Area Low)**: The **lower dotted green line** - lower boundary of the Value Zone
- The space between VAH and VAL represents the area where 70% of the volume was traded.
- This is considered the "fair value" of the market for the analyzed period.
- **HVN (High Volume Nodes)**: The **dashed blue lines** - price levels with very high volume (1.5x the median volume)
- Areas of strong institutional interest
- Very good support/resistance levels
- **LVN (Low Volume Nodes)**: The **dashed yellow lines** - price levels with very low volume (0.3x the median volume)
- Areas of low institutional interest
- The price generally breaks through these levels quickly.
## How to use this indicator for trading
1. **Identifying key areas**:
- The POC is your most important level to monitor.
- The Value Zone (between VAH and VAL) is the "fair value" area.
2. **Trading strategies**:
- **Buying**: Near the Value Zone (VAL) or the Point of Change (POC) if the market is in an uptrend
- **Sells**: Near the Average Value Zone (AVT) or the Point of Change (POC) if the market is in a downtrend
- **Target**: If the price crosses an Average Value Level (LVN), it tends to continue to the next High Value Level (HVN)
- **Stop-loss**: Placed beyond a significant HVN
3. **Confirmation**:
- When the price returns to the Value Zone after having left it, it is often a good signal of a return to the "fair value"
- A price above the AVT indicates buying pressure, below the VAL indicates selling pressure
## Customizable parameters (within the indicator)
- You can adjust the percentage of the Value Zone (70% by default)
- You can modify the thresholds for the HVN and LVN according to your preferences
- You can enable/disable the histogram display as needed
This indicator is particularly useful It helps identify where institutions traded most actively (HVN), where there was little activity (LVN), and where the "fair" price lies (Value Zone). It is highly valued by traders who follow Smart Money concepts.
Thank you again. Together as a community, we are smarter!
Thank you again. Together as a community, we are smarter!
Files:
AVPT_indicator.mq5
15 kb
What an epic Article and Discussion... and all within only 3 days of time.
@Hlomohang John Borotho, Thank you.
@Cédric Olivier, Thank you.
Bryan John Aldridge #:
Interesting approach but would appreciate if you had identified the security that the backtest was performed against in order to validate the results presented.
Interesting approach but would appreciate if you had identified the security that the backtest was performed against in order to validate the results presented.
I wouldn't really worry about the symbol tested. FYI, it likely wasn't a security in the technical sense of the word because iRealVolume() is excluded from the code. The code uses iVolume() which returns the same values as iTickVolume()--these are generally used for OTC markets, e.g., FX, CFD's, etc.
Cédric Olivier #:
Hello Hlomohang John Borotho, Thank you for your article — it was very interesting. In return, I’d like to share with you and the community an indicator version of your AVPT EA, which I developed with a bit of assistance. Here is the source code attached.
How to use the indicator ?
Hello Hlomohang John Borotho, Thank you for your article — it was very interesting. In return, I’d like to share with you and the community an indicator version of your AVPT EA, which I developed with a bit of assistance. Here is the source code attached.
How to use the indicator ?
## Key Indicator Elements
### 1. Volume Histogram (Left side of the chart)
- **Green bars**: Represent price levels within the **Value Zone** (70% of total volume by default)
- **Gray bars**: Represent price levels outside the Value Zone
- **Bar width**: The wider the bar, the greater the volume traded at that price level
### 2. Horizontal Key Levels
- **POC (Point of Control)**: The **solid red line** - this is the price level where the highest trading volume was recorded
- This is a very important support/resistance level
- The price tends to retrace to this level
- **VAH (Value Area High)**: The **upper dotted green line** - upper boundary of the Value Zone
- **VAL (Value Area Low)**: The **lower dotted green line** - lower boundary of the Value Zone
- The space between VAH and VAL represents the area where 70% of the volume was traded.
- This is considered the "fair value" of the market for the analyzed period.
- **HVN (High Volume Nodes)**: The **dashed blue lines** - price levels with very high volume (1.5x the median volume)
- Areas of strong institutional interest
- Very good support/resistance levels
- **LVN (Low Volume Nodes)**: The **dashed yellow lines** - price levels with very low volume (0.3x the median volume)
- Areas of low institutional interest
- The price generally breaks through these levels quickly.
## How to use this indicator for trading
1. **Identifying key areas**:
- The POC is your most important level to monitor.
- The Value Zone (between VAH and VAL) is the "fair value" area.
2. **Trading strategies**:
- **Buying**: Near the Value Zone (VAL) or the Point of Change (POC) if the market is in an uptrend
- **Sells**: Near the Average Value Zone (AVT) or the Point of Change (POC) if the market is in a downtrend
- **Target**: If the price crosses an Average Value Level (LVN), it tends to continue to the next High Value Level (HVN)
- **Stop-loss**: Placed beyond a significant HVN
3. **Confirmation**:
- When the price returns to the Value Zone after having left it, it is often a good signal of a return to the "fair value"
- A price above the AVT indicates buying pressure, below the VAL indicates selling pressure
## Customizable parameters (within the indicator)
- You can adjust the percentage of the Value Zone (70% by default)
- You can modify the thresholds for the HVN and LVN according to your preferences
- You can enable/disable the histogram display as needed
This indicator is particularly useful It helps identify where institutions traded most actively (HVN), where there was little activity (LVN), and where the "fair" price lies (Value Zone). It is highly valued by traders who follow Smart Money concepts.
Thank you again. Together as a community, we are smarter!
Thank you again. Together as a community, we are smarter!
Thanks for the indicator Cédric Olivier.
Ryan L Johnson #:
Thanks Ryan, and you all for the feedback, y'all are welcome.
What an epic Article and Discussion... and all within only 3 days of time.
@Hlomohang John Borotho, Thank you.
@Cédric Olivier, Thank you.
I wouldn't really worry about the symbol tested. FYI, it likely wasn't a security in the technical sense of the word because iRealVolume() is excluded from the code. The code uses iVolume() which returns the same values as iTickVolume()--these are generally used for OTC markets, e.g., FX, CFD's, etc.
Bryan John Aldridge #:
Interesting approach but would appreciate if you had identified the security that the backtest was performed against in order to validate the results presented.
Interesting approach but would appreciate if you had identified the security that the backtest was performed against in order to validate the results presented.
Hey, the symbol tested is XAUUSD, and please refer to the testing period and settings used to achieve the same results.
Is there an EA for this I can download and use?I'm not a coder
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Check out the new article: Analytical Volume Profile Trading (AVPT): Liquidity Architecture, Market Memory, and Algorithmic Execution.
Analytical Volume Profile Trading (AVPT) explores how liquidity architecture and market memory shape price behavior, enabling more profound insight into institutional positioning and volume-driven structure. By mapping POC, HVNs, LVNs, and Value Areas, traders can identify acceptance, rejection, and imbalance zones with precision.
The strategic framework of AVPT revolves around understanding how price interacts with these volume-based structures. When price approaches High-Volume Nodes, it typically encounters strong support or resistance, as these zones represent areas of significant institutional interest and liquidity. Conversely, Low-Volume Nodes function as acceleration zones where price can move rapidly due to the absence of meaningful trading interest. The Value Area encompassing approximately 70% of the period's volume, defines the "fair value" range where most trading occurred. Visualizing these components creates a comprehensive trading roadmap: traders can identify potential reversal zones near value boundaries, breakout opportunities through low-volume areas, and profit targets at the POC. This three-dimensional view of the market—combining price, volume, and time—provides a significant edge over traditional two-dimensional price analysis.
The practical implementation of AVPT involves monitoring how current price action relates to these established volume structures. In ranging markets, traders might employ mean-reversion strategies, buying near the Value Area Low with stops below nearby LVNs and taking profits at the POC. During trending conditions, breakout strategies become viable when price moves through LVN zones with momentum, targeting extensions beyond the Value Area. The visualization makes risk management particularly intuitive—stop losses naturally belong beyond LVNs where breakouts would invalidate the trade premise, while position sizing can adapt based on the width of the Value Area and distance to key volume nodes. This integrated approach to analysis, entry timing, and risk management creates a systematic methodology that aligns with how institutional money flows actually shape market movements.
Author: Hlomohang John Borotho