Dynamic Supply and Demand Zones [AlgoAlpha]

Category: volume, market_structure

Identifies supply and demand zones by calculating a volume profile over a dynamic lookback period defined by the most recent major pivot point. It identifies 'key' zones where volume intensity is significantly lower than neighboring bins, representing potential liquidity gaps or exhaustion levels.

Formula

1. Find $PivotIndex = bar\_index - plen$ where $PivotHigh$ or $PivotLow$ occurs.  \n2. Calculate Volume Profile for range $[PivotIndex, Present]$. \n3. Divide price range $[min(Low), max(High)]$ into $N$ resolution bins. \n4. For each bin $i$, sum Volume where candle overlaps price bin. \n5. A 'Key Zone' exists if $Volume(i) < Volume(i \pm 1) \times Tolerance$.

Inputs

• dynamic (default: true)
• len (default: 100)
• plen (default: 200)
• res (default: 40)
• scale (default: 33)
• tolerance (default: 0.93)

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