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06/16 09:01
Dynamic Volume Profile Oscillator (DVPO)
DVPO is a volume-weighted deviation oscillator. It answers a single question on every bar: how far has price stretched away from the level where most volume has actually traded, measured against how widely volume has been distributed around that level? The result is plotted as a single line oscillating around a 50 midline, with adaptive zones that widen and narrow with the instrument's own behavior instead of relying on fixed thresholds.
WHAT MAKES IT DIFFERENT
Most oscillators ignore volume, and the few that use it tend to use it loosely. RSI and CCI are built purely on price. MFI uses volume, but only to label each bar as buying or selling pressure before summing it like a volume-weighted RSI. %B and CCI both measure deviation from a mean, but the mean is unweighted and the deviation bands are either fixed (Bollinger) or based on a simple mean absolute deviation (CCI).
DVPO differs on two specific points:
The reference is a volume-weighted mean, a rolling VWAP over the lookback window, so the "fair value" it measures against is anchored to where trading actually happened, not to a simple price average.
The normalization is a volume-weighted mean absolute deviation: each bar's distance from the mean is weighted by that bar's share of total volume before being averaged. Price excursions that happened on thin volume contribute little; excursions on heavy volume define the scale. The oscillator then expresses current price as a number of these volume-weighted deviations away from the mean.
On top of that, the overbought/oversold zones are not fixed lines. They are recomputed continuously as a moving average of the oscillator plus or minus a multiple of its own standard deviation, so a quiet instrument gets tight zones and a volatile one gets wide zones automatically.
HOW IT WORKS
Volume-weighted mean (rolling VWAP): mean = sum(price * volume ) / sum(volume ) over the lookback window.
Volume-weighted mean absolute deviation: dev = sum( |price - mean| * (volume / sum(volume)) ) over the same window.
Oscillator (Mean Reversion mode): value = 50 + (price - mean) / (dev * sensitivity) * 25 A reading of 50 means price sits at the volume-weighted mean. Readings pull above or below 50 as price stretches away from it, scaled so that roughly one volume-weighted deviation maps to 25 oscillator points. The value is then EMA-smoothed.
Adaptive zones: midline = moving average of the oscillator (or a fixed 50 if disabled) upper / lower zone = midline +/- standard deviation of the oscillator * zone width
Signal lines: A fast and a slow EMA of the oscillator generate crossover events for timing.
TWO MODES
Mean Reversion (default): the deviation oscillator described above. Best for spotting stretched conditions and exhaustion relative to volume-defined fair value.
Volume Intensity: rescales smoothed volume inside its own recent high-low range, 0 to 100. A simpler read of whether participation is currently expanding or drying up. Useful as a context filter alongside any price tool.
HOW TO USE IT
Works on any market and timeframe. A few common readings:
Price crossing above the upper zone signals an unusually strong push relative to volume-weighted fair value, which can mean breakout strength or, in a range, exhaustion. The fast/slow signal cross helps tell continuation from fade.
A return toward the midline after a zone excursion is the mean-reversion leg.
In Volume Intensity mode, fading participation under a price advance is the classic non-confirmation warning. The four built-in alerts (cross above upper zone, cross below lower zone, bullish and bearish signal cross) let you watch several symbols without staring at charts.
SETTINGS
Defaults are neutral, round starting values rather than curve-fitted numbers: lookback 50, smoothing 5, sensitivity 1.0, adaptive midline period 50, zone width 1.5. Every input carries a tooltip. Bar coloring is off by default so the script does not override your chart; turn it on if you want the oscillator state mirrored on price.
ORIGINALITY
This script is an original construction by SfericaTrading. It does not reuse or adapt third-party Pine code. The underlying statistical building blocks (volume-weighted mean, mean absolute deviation, standard-deviation bands) are standard, but their combination into a volume-weighted deviation oscillator with self-normalizing adaptive zones is the original contribution.
DISCLAIMER
This is an educational tool for market analysis. It is not financial advice and no performance is implied or promised. Always do your own research and manage risk.
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