CVD Volume Profile, Pivot Anchored

The Ultimate Guide to CVD Volume Profile: Pivot Anchored:

Bridging Market Structure and Order Flow Analysis-
In the evolving landscape of technical analysis, the separation between "Price Action" traders and "Order Flow" traders is becoming increasingly blurred. The CVD Volume Profile, Pivot Anchored indicator represents the pinnacle of this convergence. It is not merely a volume indicator; it is a sophisticated algorithmic tool designed to decode the internal auction mechanics of the market.

By fusing Market Structure (Pivots), Auction Market Theory (Volume Profile), and Order Flow (Cumulative Volume Delta), this script offers a granular view of market sentiment that standard indicators cannot provide. This document serves as a comprehensive manual, theoretical framework, and strategic guide to understanding the algorithms, specialties, and superior utility of this tool.

1. The Data Mining Engine: Intrabar Granularity-

At the heart of this script lies a mechanism designed to solve the "guesswork" problem of standard volume indicators. Standard indicators see a 1-hour bar as a single block of data. This script uses a Micro-Timeframe Tunnelling technique.

The Request: The script sends a request to the server to fetch data from a lower timeframe (defaulting to 1 minute) for every single bar on your current chart.
The Reconstruction: It looks inside your current candle (e.g., a 1-hour bar) and pulls out the 60 individual 1-minute candles that created it.
The Intensity Logic: It analyzes these micro-candles individually. It determines "Buying Pressure" vs. "Selling Pressure" based on where the micro-candle closed relative to its high and low (the "Intrabar Intensity" method).
If the micro-candle closed near its high: It attributes the volume to Buying.
If it closed near its low: It attributes the volume to Selling.
The Aggregation: It sums up these dozens of micro-calculations to create a highly accurate profile of Buy vs. Sell volume for the main bar, rather than just guessing based on the final color of the main candle.
2. The Structural Skeleton: Dynamic Pivot Anchoring-
Most volume profiles are static (fixed to a time or a manual drawing). This algorithm is dynamic and reactive to Market Structure. Pivot Scanning: The script continuously scans price action looking for local "peaks" and "valleys." It uses a "Lookback/Lookforward" algorithm (checking N bars to the left and right) to confirm if a High is truly a structural High (Pivot).
The Anchor Event: Once a Pivot is mathematically confirmed, the script identifies this as a "Change of Behavior."
The Segmentation: It draws a virtual boundary line. It calculates a Volume Profile starting strictly from that Pivot point and ending at the next Pivot. This isolates the volume analysis to specific market "swings" or "legs," ensuring you are only analyzing the volume relevant to the current structural move.

3. The Binning Process: Profile Construction-
How does the script turn raw volume numbers into the horizontal histogram bars on your screen? It uses a Binning Algorithm.
Range Definition: For every specific swing (from Pivot A to Pivot B), the script finds the absolute Highest Price and Lowest Price.
Slicing: It divides this vertical price range into a specific number of equal horizontal "slices" or rows (user-defined, e.g., 30 rows).
Distribution Loop: The script runs a loop through every bar in that swing. It asks: "Which price slice did this bar trade in?"
Allocation: It takes the Buy/Sell volume calculated in Step 1 and deposits it into the corresponding "buckets" (arrays) for those price slices. If a bar spans multiple slices, the algorithm intelligently distributes the volume across them to avoid data clustering.

4. The Smart Filter: Volume Quality Control-
This is the noise-cancellation component of the algorithm.
The Baseline: The script calculates a Simple Moving Average (SMA) of volume to establish a "baseline" of normal activity.
The Threshold: It applies a multiplier (e.g., 1.5x) to that average to create a "Significance Threshold."
The Gatekeeper: As the script processes the data, it checks every bar against this threshold.
If a bar’s volume is below the threshold, the algorithm marks it as "Noise/Retail Chop" and excludes it from the Cumulative Volume Delta (CVD) calculation.
If a bar’s volume is above the threshold, it is marked as "Institutional/Smart Money" and added to the profile.
The Result: The final profile represents a map of high-conviction transactions only, stripping away the irrelevance of low-volume drift.

5. Statistical Geography: POC and Value Area-
Once the "buckets" are full of volume data, the script performs statistical analysis to draw the key lines.
Point of Control (POC) Search: The script scans the arrays to find the single index (row) containing the highest integer value. It marks this as the POC—the price most accepted by the market.
Value Area Expansion: It calculates the total volume of the entire profile. It then calculates 68% of that total (representing one Standard Deviation). Starting from the POC, the algorithm expands row-by-row, moving up and down, accumulating volume until it hits that 68% number. The top row of this accumulation becomes the Value Area High (VAH), and the bottom becomes the Value Area Low (VAL).

6. The Dual-State Processor-
Finally, the algorithm distinguishes between the Past and the Present.

Historical State: For completed swings (Pivot High to Pivot Low), it finalizes the calculation, draws the box, and locks it in place. It will not change.
Developing State: For the current market action (from the last Pivot to right now), the algorithm enters a "Live" state. It recalculates the bins, the POC, and the Value Area on every single price tick, allowing the trader to watch the levels migrate in real-time as new orders hit the book.

2. The Trinity of POCs
Standard tools give you one Point of Control (POC)—the price with the most volume. This script calculates three:

Total POC (Orange): The price level with the highest aggregate activity.
Buy POC (Green): The price level where buyers were most aggressive.
Sell POC (Red): The price level where sellers were most aggressive.
Strategic Insight:

Bullish Divergence: Price is at the Total POC, but the Buy POC is significantly higher. This indicates buyers are stepping up and accepting higher prices.
Bearish Divergence: Price is rising, but the Sell POC remains lower, suggesting the move up lacks support and sellers are waiting below.
3. Delta Imbalance Bars
Look for the bright purple bars protruding from specific rows.

Function: These bars visualize the Net Delta (Buy Volume minus Sell Volume).
Usage: They highlight "Imbalance Levels." If you see a massive Positive Delta bar at a swing high, but the candle closed bearishly, it indicates "Trapped Buyers."
4. Developing Profile vs. Historical Profile
Historical Profiles: Located at previous pivot points. These are static and show the history of that specific swing.
Developing Profile: Attached to the current price action (right side of the screen). This updates in real-time, allowing you to see the POC migrate tick-by-tick.
Text Overlay: The developing profile features a text dashboard showing exact "Buy | Sell | Delta" numbers for the current row, providing a microscopic view of the current battle.
5. Volume Weighted Colored Bars (VWCB)
The script colors the main candlesticks based on volume and delta.

Dark Green/Red: High Volume + High Delta Directional move (Conviction).
Bright Orange/Cyan: Low Volume (Indecision/Drift).
Bright Green/Red: Normal Volume.
Part 3: Superiority Over Existing Volume Profiles
Why should a trader switch from the native TradingView "Fixed Range Volume Profile" (FRVP) to the CVD Pivot Anchored Profile?

1. Context vs. Convenience
Existing Tools: FRVP requires manual drawing. Every time the market makes a new leg, you must delete your old tool and draw a new one.
CVD Pivot Profile: It is autonomous. It flows with the market rhythm. It recognizes that the relevance of volume data resets when market structure breaks. It automates the workflow of a professional trader.
2. The "Who" Factor
Existing Tools: Show you that 1M shares traded at $100.
CVD Pivot Profile: Shows you that of those 1M shares, 800k were aggressive sells and 200k were buys.
The Edge: Knowing the composition of the volume prevents getting trapped. A high-volume breakout level is usually seen as support. However, if this tool reveals that the volume at the breakout was 90% selling (into passive limit orders), you know that level is actually resistance, not support.
3. Data Resolution
Existing Tools: Most user-created Pine Scripts rely on close > open logic to determine buy/sell volume, which is statistically roughly 60% accurate.
CVD Pivot Profile: By leveraging request.security_lower_tf("1"), the accuracy jumps significantly, approaching the fidelity of professional order flow platforms like Sierra Chart or NinjaTrader, directly within the browser.
4. Noise Reduction
Existing Tools: Count every single trade, cluttering the view with insignificant data from pre-market or lunch hours.
CVD Pivot Profile: The Volume Filter feature allows you to see the market through the eyes of an institution. You can literally toggle off the "retail noise" and trade only against the levels created by whales.
Part 4: Strategic Application Guide
How to trade profitably using this script.

Strategy A: The Value Area Rejection (Mean Reversion)
Theory: 70% of volume occurs within the Value Area (VA). When price moves outside the VA (VA High or VA Low) without volume support, it is likely to revert to the POC.

Identify: Price moves above the Value Area High (VAH).
Confirm: Look at the Delta Bar at the high. Is it small or negative? This indicates a lack of buyers driving the breakout.
Trigger: Price closes back inside the VAH.
Target: The Total POC or the opposite side of the Value Area (VAL).
Strategy B: The POC Migration Trend (Continuation)
Theory: In a healthy trend, the Point of Control (POC) should migrate in the direction of the trend.

Identify: An uptrend where new pivots are forming.
Observe: Look at the Buy POC of the current developing profile vs. the Buy POC of the previous historical profile.
Condition: If the Buy POC is stepping higher and the Buy Profile (Teal side) is thicker than the Sell Profile (Red side), the trend is healthy.
Entry: Wait for a retracement to the developing Buy POC.
Stop Loss: Below the Value Area Low.
Strategy C: The Absorption Reversal
Theory: High effort (Volume) with low result (Price movement) equals a reversal.

Identify: Price crashes into a support level.
Observe: The Sell Profile (Red) expands massively, becoming very wide. The Volume Weighted Colored Bar is dark red (High Volume).
The Clue: Despite the massive sell volume, the Delta Imbalance is shrinking, or price forms a wick.
Logic: Sellers are dumping, but passive buyers are absorbing 100% of the orders. The sellers are running out of ammunition.
Entry: When price ticks above the Sell POC of that specific cluster.
Strategy D: The Volume Filter Breakout
Theory: Breakouts require institutional participation to sustain.

Setup: Enable Filter Volume in settings. Set Multiplier to 1.5 or 2.0.
Scenario: Price breaks a key resistance level.
Verification: Does the breakout candle have a corresponding Diamond Marker (Volume Filter Pass)?
Action:
Yes: Valid breakout. Institutional money is present. Enter on retest.
No: False breakout. The move lacks conviction. Fade the move (short).
Part 5: Configuration and Inputs Guide
To get the most out of this script, understanding the settings is crucial.

Group: Main Settings
Pivot Points Left/Right Length (Default: 20): This determines the sensitivity of the anchors.
Lower (e.g., 10): More frequent resets, good for scalping.
Higher (e.g., 60): Shows major structural swings, good for swing trading.
Number of Rows (Default: 30): The resolution of the profile. Higher numbers give more detail but can look cluttered. 30-50 is the sweet spot.
Value Area Volume % (Default: 68): Standard deviation logic. Keep at 68-70% for standard auction theory, or 100% to see the full range.
Lower Timeframe for CVD (Default: 1): The timeframe used for intrabar calculation. Keep at "1" for 1-minute precision. Increasing this reduces accuracy but loads faster.
Group: Volume Filter
Filter Volume: Toggles the noise reduction engine.
Filter Period: The length of the SMA used to determine average volume.
Filter Multiplier: The threshold. 1.0 = Average. 2.0 = Double the average.
Recommendation: Start with 1.5 to filter out standard activity and highlight spikes.
Group: Buy/Sell/Total Profiles
Show Buy/Sell Profile: Toggles the split visualization.
Extend POC: This is a powerful feature.
Until Bar Cross: Extends the POC line forward until price interacts with it. This leaves "Unnaked POCs" on the chart, which act as high-probability magnets for future price action.
Group: Delta Imbalance
Significant Imbalance Ratio (Default: 1.5): Defines when to highlight a level. If Buy Volume is 1.5x greater than Sell Volume, it triggers an imbalance highlight.
Conclusion
The CVD Volume Profile, Pivot Anchored script is a paradigm shift in technical analysis on TradingView. It moves the trader away from lagging indicators (RSI, MACD) and reactive tools (Standard Volume) toward a proactive, data-rich understanding of the market.

It answers the fundamental questions of trading:

Where is the value? (Value Area & POCs)
Who is in control? (Buy vs. Sell Profiles)
Are they committed? (Volume Filter & Delta)
Is the move sustainable? (Intrabar Intensity)
By anchoring this data to the natural pivots of market structure, it ensures that your analysis is always contextually synchronized with the current market rhythm. For the day trader, scalper, or swing trader looking to gain an institutional edge, this script provides the X-Ray vision necessary to see through the candles and into the order flow.