Volume-Range Anomaly Breakout [AlgoPoint]The Volume-Range Anomaly (VRA) Breakout system is a specialized trading tool designed to detect "Absorption" and "Hidden Institutional Activity" in the market. Unlike traditional trend indicators that lag behind price, this script focuses on the relationship between Effort (Volume) and Result (Price Range) to identify explosive moves before they happen.
1. The Underlying Logic (VRA Theory)
In a normal market environment, high volume should result in a large price range (a big candle). However, anomalies occur when:
- Volume is Extremely High (High Effort)
- Price Range is Extremely Low (Low Result)
What does this mean? This specific anomaly indicates that "Smart Money" or large institutions are absorbing liquidity using passive Limit Orders. They are aggressively buying or selling, but they are preventing the price from moving to accumulate a position without slippage. This is often called " Squat " behavior or " Absorption. "
When this compression phase ends, the price typically explodes (Breakout) in the direction of the dominant institutional pressure.
2. How It Works
The indicator operates in three distinct phases:
1. Detection Phase (The Anomaly):
- The script calculates Relative Volume (RVOL) and Relative Range (R-Range) over a user-defined lookback period.
- If Volume > Threshold AND Range < Threshold , the bar is identified as a " Whale Candle " and colored PURPLE. This signifies hidden activity.
2. Setup Phase (The Trap):
- Once a Purple Candle is detected, the script automatically draws dynamic Support (Green Dotted) and Resistance (Red Dotted) lines based on that candle's High and Low.
- These lines represent the "Battle Zone" where the absorption took place.
3. Execution Phase (The Breakout):
- The script waits for a confirmed candle CLOSE outside of this zone.
- BUY Signal : Price closes above the Whale Candle's High.
- SELL Signal : Price closes below the Whale Candle's Low.
3. How to Use
This is a complete breakout system.
Step 1: Wait for the Setup (Purple Bar)
When a purple bar appears, do not enter immediately. This is a warning that volatility is compressing.
Step 2: Wait for the Breakout (Signal)
Green Label: Enter a Long position when the price confirms a breakout above the resistance line.
Red Label: Enter a Short position when the price confirms a breakout below the support line.
Step 3: Risk Management (Stop Loss)
For Longs: The invalidation level (Stop Loss) is the Bottom of the Purple Candle (Green dotted line).
For Shorts: The invalidation level (Stop Loss) is the Top of the Purple Candle (Red dotted line).
4. Settings
- Lookback Period: The window used to calculate average volume and range (Default: 20).
- Volume Threshold: How many times higher than the average must the volume be? (Default: 1.5x).
- Range Compression: How compressed must the candle be relative to the average? (Default: 0.8x - meaning 80% of average size or smaller).
- Breakout Window: How many bars after the anomaly should the script wait for a breakout before canceling the setup? (Default: 5).
5. Alerts
The script includes 2 custom alert conditions for automation:
- Whale BUY Breakout: Triggers on a confirmed upside breakout.
- Whale SELL Breakout: Triggers on a confirmed downside breakout.
مؤشر Pine Script®
