ZigZag Volume by Price Fibonacci Indicator (FIZIVOL)

Hi Coders,

This is an improved version of a Volume Price Level indicator I proposed lately, combined with the work of Nicolas on ZigZag.

https://www.prorealcode.com/prorealtime-indicators/multi-fractals-zigzag-highlow/

https://www.prorealcode.com/prorealtime-indicators/volume-by-price-levels-v2-extended/

It allows us to

• clearly identify the future supports and resistances of the next price sequence
• identify the next possible extensions or regression of the price on Fibonacci levels
• the weekness in the price structure that could provoke gaps or accelerations

• and above all it opens the path to automatize a strategy

▀ ▀  = MaxVol level

▼▼ or ▲▲= MinVol Levels above or under the MaxVol level

I am captive to read from you what would be the best way to optimize a strategy 

• entry/exit signal
• effective stoploss and trailing stop

Please feel free to give to this code some enhancements or correct it if you see errors.

Enjoy

Chris

//The main goal of this indicator is to identify strengh and weekness in the distribution of volume per price
//and to identify future support and resistance in the next ZIG ZAG sequence
//
//VolumebypricelevelsV2Extended by Kris75
//VolumeByPrice HighLowBreakdown (mods by Kris75)
//PRC_multi-fractals-zigzag-highlow | indicator
//PRC_Bull&Bear Volume on Price | indicator
//05.07.2018
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge



r=100
g=100
b=100

r1=200
g1=200
b1=200


//---major zigzag points

if lastpoint <= 0 then
if close[cp] >= highest[2*cp+1](close) then
NewPeak = 1
HighCp = high[cp]
Higher = close[cp]
HigherBarIndex = barindex[cp]
else
NewPeak = 0
endif
endif


if NewPeak then


NewHigherBarIndex = HigherBarIndex
LastLowerBarIndex = NewLowerBarIndex
NewHigher = higher
LastLower = NewLower
LagAfterSignal = abs(barindex-NewHigherBarIndex)
lastpoint=1

drawsegment (lastLowerBarindex,lastlower,HigherBarIndex,NewHigher) coloured (0,0,200)
drawsegment (NewHigherBarIndex,lastlower,NewHigherBarIndex,NewHigher) coloured (r1,g1,b1)
drawtext("▼", NewHigherBarIndex,HighCp) coloured(255,0,0)


//// calculation of MinInf  MinSup Max

StartBarindex = LastLowerBarIndex
EndBarindex = NewHigherBarIndex

StartBarindex = max(1,StartBarindex)
EndBarindex = max(1,EndBarindex)

LastLowerBarIndex = max(1,LastLowerBarIndex)
NewHigherBarIndex = max(1,NewHigherBarIndex)

StartBarSignalIndex = max(1,StartBarSignalIndex)

StartBarSignalIndex = LagAfterSignal + (EndBarindex-StartBarindex) // calculation of the real Barindex when we get the Newpeak / Newdown information : we will need it to calculate the global volume during a sequence.


hh=NewHigher
ll=LastLower
div = (hh-ll)/NbOfDiv      // thickness of the horizontal bar
i=0


//////// Fibo
fullrange = abs(hh-ll)
fibo100   = hh
fibo0     = ll
fibo236   = ll+(fullrange*0.236)
fibo382   = ll+(fullrange*0.382)
fibo500    = ll+fullrange/2
fibo618   = ll+(fullrange*0.618)
fibo764   = ll+(fullrange*0.764)
// extensions++
fibo1236  = hh +(fullrange*0.236)
fibo1382  = hh +(fullrange*0.382)
fibo1500  = hh +fullrange/2
fibo1618  = hh +(fullrange*0.618)
fibo1764  = hh +(fullrange*0.764)
fibo200   = hh + fullrange
// extensions--
fibo0236  = ll - (fullrange*0.236)
fibo0382  = ll - (fullrange*0.382)
fibo0500  = ll - fullrange/2
fibo0618  = ll - (fullrange*0.618)
fibo0764  = ll - (fullrange*0.764)
fibo00   = ll - fullrange



///support - resistance
lrangeminInf = 0
hrangeminInf = 0
lrangeminSup = 0
hrangeminSup = 0
lrangemax = 0
hrangemax = 0
MaxVol = 0
NumBarVol = 0
NumBarMaxVol = 0
NumBarMinVolSup = 0
NumBarMinVolInf = 0


volsum = summation [StartBarSignalIndex](volume)-summation [LagAfterSignal](volume)


while i<NbOfDiv do
lrange=ll+div*i
hrange=lrange+div
volbull=0
volbear=0
NumBarVol = i+1

for q = StartBarSignalIndex downto LagAfterSignal do
if close[q]>=lrange and close[q]<=hrange then
if close[q]>open[q] then
volbull=volbull+volume[q]
else
volbear=volbear+volume[q]
endif
endif
next
////bullbar = round((volbull*StartBar)/volsum)*scalefactor
////bearbar = round((volbear*StartBar)/volsum)*scalefactor
volbar = ((volbear+volbull)/volsum)*abs(StartBarSignalIndex-LagAfterSignal)*scalefactor


if i=0 then


lrangemax = lrange
hrangemax = hrange
MaxVol = volbar
NumBarMaxVol = NumBarVoL

lrangeminSup = lrange
hrangeminSup = hrange
MinVolSup = VolBar
NumBarMinVolSup = NumBarVol

lrangeminInf = lrange
hrangeminInf = hrange
MinVolInf = VolBar
NumBarMinVolInf = NumBarVol

endif


if volbar > MaxVol then
lrangemax = lrange
hrangemax = hrange
MaxVol = volbar
NumBarMaxVol = NumBarVol

if MinVolSup < MinVolInf then
lrangeminInf = lrangeminSup
hrangeminInf = hrangeminSup
MinVolInf = MinVolSup
NumBarMinVolInf = NumBarMinVolSup
endif

lrangeminSup = lrange
hrangeminSup = hrange
MinVolSup = VolBar
NumBarMinVolSup = NumBarVol

elsif volbar < MaxVol then
if volbar < MinVolSup then
lrangeminSup = lrange
hrangeminSup = hrange
MinVolSup = VolBar
NumBarMinVolSup = NumBarVol
endif

else
lrangeminInf = lrangeminInf
hrangeminInf = hrangeminInf
MinVolInf = MinVolInf
NumBarMinVolInf = NumBarMinVolInf

endif

drawrectangle(StartbarIndex,lrange,StartbarIndex+volbar,hrange) coloured(46,139,87,255)

i=i+1
wend


MaxVolumLevel = (lrangemax + hrangemax)/2
MinVolumSupLevel = (lrangeminSup + hrangeminSup)/2
MinVolumInfLevel = (lrangeminInf + hrangeminInf)/2

// option drawing the support and resistance line

if LineExtension then

DRAWHLINE((lrangemax + hrangemax)/2)coloured(0,255,0)

endif

// option checking the support and resistance line calculation

if NumbarVerif then

drawtext("#NumBarMaxVol#",StartbarIndex-1,MaxVolumLevel,Dialog,standard,10) coloured(255,0,0)
drawtext("#NumBarMinVolSup#",StartbarIndex-1,MinVolumSupLevel,Dialog,standard,10) coloured(255,0,0)
drawtext("#NumBarMinVolInf#",StartbarIndex-1,MinVolumInfLevel,Dialog,standard,10) coloured(255,0,0)

endif
//
drawtext("▼▼",StartbarIndex+2,MinVolumInfLevel,Dialog,standard,10) coloured(0,0,255)// MinInf
drawtext("▲▲",StartbarIndex+2,MinVolumSupLevel,Dialog,standard,10) coloured(0,0,255)// MinSup
drawtext("■■",StartbarIndex+2,MaxVolumLevel,Dialog,standard,10) coloured(255,0,0) // Max




// Fibo

drawsegment(StartbarIndex,fibo100,EndbarIndex,fibo100) coloured(r1,g1,b1)
drawtext("100 -",EndbarIndex-2,fibo100,Dialog,Standard,10) coloured(r,g,b)

drawsegment(EndbarIndex+1,fibo236,EndbarIndex,fibo236) coloured(r1,g1,b1)
drawtext("23.6",EndbarIndex-2,fibo236,Dialog,Standard,10) coloured(r,g,b)

drawsegment(EndbarIndex+1,fibo382,EndbarIndex,fibo382) coloured(r1,g1,b1)
drawtext("38.2",EndbarIndex-2,fibo382,Dialog,Standard,10) coloured(r,g,b)

drawsegment(EndbarIndex+1,fibo500,EndbarIndex,fibo500) coloured(r1,g1,b1)
drawtext("50",EndbarIndex-2,fibo500,Dialog,Standard,10) coloured(r,g,b)

drawsegment(EndbarIndex+1,fibo618,EndbarIndex,fibo618) coloured(r1,g1,b1)
drawtext("61.8",EndbarIndex-2,fibo618,Dialog,Standard,10) coloured(r,g,b)

drawsegment(EndbarIndex+1,fibo764,EndbarIndex,fibo764) coloured(r1,g1,b1)
drawtext("76.4",EndbarIndex-2,fibo764,Dialog,Standard,10) coloured(r,g,b)

drawsegment(StartbarIndex,fibo0,EndbarIndex,fibo0) coloured(r1,g1,b1)
drawtext("0",EndbarIndex-2,fibo0,Dialog,Standard,10) coloured(r,g,b)


// option extending Fibonacci lines to create potential takeprofits

if FiboExtension then

drawsegment (EndbarIndex,fibo200,EndbarIndex,fibo00) coloured (r1,g1,b1)

// Extensions++
drawsegment(EndbarIndex+1,fibo1236,EndbarIndex,fibo1236) coloured(0,255,0)
drawtext("+23.6",EndbarIndex-2,fibo1236,Dialog,Standard,10) coloured(0,255,0)

drawsegment(EndbarIndex+1,fibo1382,EndbarIndex,fibo1382) coloured(0,255,0)
drawtext("+38.2",EndbarIndex-2,fibo1382,Dialog,Standard,10) coloured(0,255,0)

drawsegment(EndbarIndex+1,fibo1500,EndbarIndex,fibo1500) coloured(0,255,0)
drawtext("+50",EndbarIndex-2,fibo1500,Dialog,Standard,10) coloured(0,255,0)

drawsegment(EndbarIndex+1,fibo1618,EndbarIndex,fibo1618) coloured(0,255,0)
drawtext("+61.8",EndbarIndex-2,fibo1618,Dialog,Standard,10) coloured(0,255,0)

drawsegment(EndbarIndex+1,fibo1764,EndbarIndex,fibo1764) coloured(0,255,0)
drawtext("+76.4",EndbarIndex-2,fibo1764,Dialog,Standard,10) coloured(0,255,0)

drawsegment(EndbarIndex+1,fibo200,EndbarIndex,fibo200) coloured(0,255,0)
drawtext("200",EndbarIndex-2,fibo200,Dialog,Standard,10) coloured(0,255,0)

// Extensions --
drawsegment(EndbarIndex+1,fibo0236,EndbarIndex,fibo0236) coloured(255,0,0)
drawtext("-23.6",EndbarIndex-2,fibo0236,Dialog,Standard,10) coloured(255,0,0)

drawsegment(EndbarIndex+1,fibo0382,EndbarIndex,fibo0382) coloured(255,0,0)
drawtext("-38.2",EndbarIndex-2,fibo0382,Dialog,Standard,10) coloured(255,0,0)

drawsegment(EndbarIndex+1,fibo0500,EndbarIndex,fibo0500) coloured(255,0,0)
drawtext("-50",EndbarIndex-2,fibo0500,Dialog,Standard,10) coloured(255,0,0)

drawsegment(EndbarIndex+1,fibo0618,EndbarIndex,fibo0618) coloured(255,0,0)
drawtext("-61.8",EndbarIndex-2,fibo0618,Dialog,Standard,10) coloured(255,0,0)

drawsegment(EndbarIndex+1,fibo0764,EndbarIndex,fibo0764) coloured(255,0,0)
drawtext("-76.4",EndbarIndex-2,fibo0764,Dialog,Standard,10) coloured(255,0,0)

drawsegment(EndbarIndex+1,fibo00,EndbarIndex,fibo00) coloured(255,0,0)
drawtext("-200",EndbarIndex-2,fibo00,Dialog,Standard,10) coloured(255,0,0)

endif

endif



////// ZigZag for ProOrder


if lastpoint>=0 then

if close[cp] <= lowest[2*cp+1](close)  then
NewDown = 1
Lower = close[cp]
LowCp = Low[cp]
LowerBarIndex = barindex[cp]

else
NewDown = 0
endif
endif



if NewDown then


NewLowerBarIndex=LowerBarIndex
LastHigherBarIndex = NewHigherBarIndex
Newlower = lower
LastHigher = NewHigher
LagAfterSignal = abs(barindex-NewLowerBarIndex)
lastpoint = -1

drawsegment (LastHigherBarIndex,lasthigher,NewLowerBarIndex,NewLower) coloured (0,0,255)
drawsegment (LastLowerBarIndex,Newlower,LastLowerBarIndex,Lasthigher) coloured (r1,g1,b1)
drawtext("▲", LowerBarIndex, LowCp) coloured (255,0,0)

//// calculation MinInf MinSup Max
EndBarindex = NewLowerBarIndex
StartBarindex = LastHigherBarIndex

StartBarindex = max(1,StartBarindex)
Endbarindex = max(1,Endbarindex)
StartBarSignalIndex = max(1,StartBarSignalIndex)


StartBarSignalIndex = LagAfterSignal + (EndBarindex-StartBarindex) // calculation of the real Barindex when we get the Newpeak / Newdown information : we will need it to calculate the global volume during a sequence.



hh=Lasthigher
ll=Newlower
div = (hh-ll)/NbOfDiv      // thickness of the horizontal bar
i=0


///Fibo

fullrange = abs(hh-ll)
fibo100   = ll
fibo0     = hh
fibo236   = hh-(fullrange*0.236)
fibo382   = hh-(fullrange*0.382)
fibo500    = hh-fullrange/2
fibo618   = hh-(fullrange*0.618)
fibo764   = hh-(fullrange*0.764)
// extensions--
fibo0236  = ll - (fullrange*0.236)
fibo0382  = ll - (fullrange*0.382)
fibo0500  = ll - fullrange/2
fibo0618  = ll - (fullrange*0.618)
fibo0764  = ll - (fullrange*0.764)
fibo00    = ll - fullrange
// extensions++
fibo1236  = hh +(fullrange*0.236)
fibo1382  = hh +(fullrange*0.382)
fibo1500  = hh +fullrange/2
fibo1618  = hh +(fullrange*0.618)
fibo1764  = hh +(fullrange*0.764)
fibo200   = hh + fullrange

//////////////

volsum = summation [StartBarSignalIndex](volume)-summation [LagAfterSignal](volume)


while i<NbOfDiv do
lrange=ll+div*i
hrange=lrange+div
volbull=0
volbear=0
NumBarVol = i+1

for q = StartBarSignalIndex downto LagAfterSignal do
if close[q]>=lrange and close[q]<=hrange then
if close[q]>open[q] then
volbull=volbull+volume[q]
else
volbear=volbear+volume[q]
endif
endif
next
//bullbar = round((volbull*StartBar)/volsum)*scalefactor
//bearbar = round((volbear*StartBar)/volsum)*scalefactor
volbar = (volbear+volbull)/volsum *abs(StartBarSignalIndex-LagAfterSignal)*scalefactor // /scalefactor


if i=0 then

lrangemax = lrange
hrangemax = hrange
MaxVol = volbar
NumBarMaxVol = NumBarVoL

lrangeminSup = lrange
hrangeminSup = hrange
MinVolSup = VolBar
NumBarMinVolSup = NumBarVol

lrangeminInf = lrange
hrangeminInf = hrange
MinVolInf = VolBar
NumBarMinVolInf = NumBarVol

endif


if volbar > MaxVol then
lrangemax = lrange
hrangemax = hrange
MaxVol = volbar


if MinVolSup < MinVolInf then
lrangeminInf = lrangeminSup
hrangeminInf = hrangeminSup
MinVolInf = MinVolSup
NumBarMinVolInf = NumBarMinVolSup
endif

lrangeminSup = lrange
hrangeminSup = hrange
MinVolSup = VolBar
NumBarMinVolSup = NumBarVol

elsif volbar < MaxVol then
if volbar < MinVolSup then
lrangeminSup = lrange
hrangeminSup = hrange
MinVolSup = VolBar
NumBarMinVolSup = NumBarVol
endif

else
lrangeminInf = lrangeminInf
hrangeminInf = hrangeminInf
MinVolInf = MinVolInf
NumBarMinVolInf = NumBarMinVolInf

endif


drawrectangle(StartbarIndex,lrange,StartbarIndex+volbar,hrange) coloured(46,139,87,255)

i=i+1
wend

MaxVolumLevel = (lrangemax + hrangemax)/2
MinVolumSupLevel = (lrangeminSup + hrangeminSup)/2
MinVolumInfLevel = (lrangeminInf + hrangeminInf)/2



if LineExtension then

DRAWHLINE((lrangemax + hrangemax)/2)coloured(255,0,0)

endif
//
if NumbarVerif then

drawtext("#NumBarMaxVol#",StartbarIndex-1,MaxVolumLevel,Dialog,standard,10) coloured(255,0,0)
drawtext("#NumBarMinVolSup#",StartbarIndex-1,MinVolumSupLevel,Dialog,standard,10) coloured(255,0,0)
drawtext("#NumBarMinVolInf#",StartbarIndex-1,MinVolumInfLevel,Dialog,standard,10) coloured(255,0,0)

endif
//
drawtext("▼▼",StartbarIndex+2,MinVolumInfLevel,Dialog,standard,10) coloured(0,0,255)// MinInf
drawtext("▲▲",StartbarIndex+2,MinVolumSupLevel,Dialog,standard,10) coloured(0,0,255)// MinSup
drawtext("■■",StartbarIndex+2,MaxVolumLevel,Dialog,standard,10) coloured(255,0,0) // Max



//Fibo

drawsegment(StartbarIndex,fibo100,EndbarIndex,fibo100) coloured(r1,g1,b1)
drawtext("100",EndbarIndex-2,fibo100,Dialog,Standard,10) coloured(r,g,b)

drawsegment(EndbarIndex+1,fibo236,EndbarIndex,fibo236) coloured(r1,g1,b1)
drawtext("23.6",EndbarIndex-2,fibo236,Dialog,Standard,10) coloured(r,g,b)

drawsegment(EndbarIndex+1,fibo382,EndbarIndex,fibo382) coloured(r1,g1,b1)
drawtext("38.2",EndbarIndex-2,fibo382,Dialog,Standard,10) coloured(r,g,b)

drawsegment(EndbarIndex+1,fibo500,EndbarIndex,fibo500) coloured(r1,g1,b1)
drawtext("50",EndbarIndex-2,fibo500,Dialog,Standard,10) coloured(r,g,b)

drawsegment(EndbarIndex+1,fibo618,EndbarIndex,fibo618) coloured(r1,g1,b1)
drawtext("61.8",EndbarIndex-2,fibo618,Dialog,Standard,10) coloured(r,g,b)

drawsegment(EndbarIndex+1,fibo764,EndbarIndex,fibo764) coloured(r1,g1,b1)
drawtext("76.4",EndbarIndex-2,fibo764,Dialog,Standard,10) coloured(r,g,b)

drawsegment(StartbarIndex,fibo0,EndbarIndex,fibo0) coloured(r1,g1,b1)
drawtext("0",EndbarIndex-2,fibo0,Dialog,Standard,10) coloured(r,g,b)

If FiboExtension then

// Extensions++

drawsegment (EndbarIndex,fibo200,EndbarIndex,fibo00) coloured (r1,g1,b1)

drawsegment(EndbarIndex+1,fibo1236,EndbarIndex,fibo1236) coloured(0,255,0)
drawtext("+23.6",EndbarIndex-2,fibo1236,Dialog,Standard,10) coloured(0,255,0)

drawsegment(EndbarIndex+1,fibo1382,EndbarIndex,fibo1382) coloured(0,255,0)
drawtext("+38.2",EndbarIndex-2,fibo1382,Dialog,Standard,10) coloured(0,255,0)

drawsegment(EndbarIndex+1,fibo1500,EndbarIndex,fibo1500) coloured(0,255,0)
drawtext("+50",EndbarIndex-2,fibo1500,Dialog,Standard,10) coloured(0,255,0)

drawsegment(EndbarIndex+1,fibo1618,EndbarIndex,fibo1618) coloured(0,255,0)
drawtext("+61.8",EndbarIndex-2,fibo1618,Dialog,Standard,10) coloured(0,255,0)

drawsegment(EndbarIndex+1,fibo1764,EndbarIndex,fibo1764) coloured(0,255,0)
drawtext("+76.4",EndbarIndex-2,fibo1764,Dialog,Standard,10) coloured(0,255,0)

drawsegment(EndbarIndex+1,fibo200,EndbarIndex,fibo200) coloured(0,255,0)
drawtext("200",EndbarIndex-2,fibo200,Dialog,Standard,10) coloured(0,255,0)

// Extensions --
drawsegment(EndbarIndex+1,fibo0236,EndbarIndex,fibo0236) coloured(255,0,0)
drawtext("-23.6",EndbarIndex-2,fibo0236,Dialog,Standard,10) coloured(255,0,0)

drawsegment(EndbarIndex+1,fibo0382,EndbarIndex,fibo0382) coloured(255,0,0)
drawtext("-38.2",EndbarIndex-2,fibo0382,Dialog,Standard,10) coloured(255,0,0)

drawsegment(EndbarIndex+1,fibo0500,EndbarIndex,fibo0500) coloured(255,0,0)
drawtext("-50",EndbarIndex-2,fibo0500,Dialog,Standard,10) coloured(255,0,0)

drawsegment(EndbarIndex+1,fibo0618,EndbarIndex,fibo0618) coloured(255,0,0)
drawtext("-61.8",EndbarIndex-2,fibo0618,Dialog,Standard,10) coloured(255,0,0)

drawsegment(EndbarIndex+1,fibo0764,EndbarIndex,fibo0764) coloured(255,0,0)
drawtext("-76.4",EndbarIndex-2,fibo0764,Dialog,Standard,10) coloured(255,0,0)

drawsegment(EndbarIndex+1,fibo00,EndbarIndex,fibo00) coloured(255,0,0)
drawtext("-200",EndbarIndex-2,fibo00,Dialog,Standard,10) coloured(255,0,0)

endif

endif



return 


//Rest of the code of Nicolas if you want to create intermadiate ZigZag

////---mino zigzag points
//if high[round(cp/2)] >= highest[cp+1](high) then
//LNewPeak = 1
//else
//LNewPeak = 0
//endif
//
//if low[round(cp/2)] <= lowest[cp+1](low)  then
//NewDownL = -1
//else
//NewDownL = 0
//endif
//
//if LNewPeak = 1 then
//LNewHigher = high[round(cp/2)]
//NewPeakigherBarIndex = barindex[round(cp/2)]
//endif
//
//if NewDownL = -1 then
//LBOTy = low[round(cp/2)]
//LBOTx = barindex[round(cp/2)]
//endif
//
//if LNewPeak>0 then
//DRAWTEXT("º",NewPeakigherBarIndex,LNewHigher+ATR/2,Dialog,Bold,20) coloured(200,0,0)
//endif
//if NewDownL<0 then
//DRAWTEXT("º",LBOTx,LBOTy-ATR/2,Dialog,Bold,20) coloured(0,200,0)
//endif