Volume-Price Reversal Filter

//@version=5
indicator("Volume-Price Reversal Filter [FTM]", shorttitle="VP Rev Filter", overlay=false)

// ==========================================
// THEORY: Volume-Price Divergence & Conviction Filter
// ==========================================
// Problem: Neckline/SR breaks often result in fake breakouts
// Solution: Use volume behavior to distinguish REAL vs FAKE breaks
//
// Key Concepts:
// 1. VOLUME CONVICTION: Real reversals show increasing volume BEFORE the break
// 2. PRICE MOMENTUM SHIFT: Velocity changes before direction changes  
// 3. VOLUME-PRICE DIVERGENCE: Price pushes but volume declines = exhaustion
// 4. ABSORPTION: Price can't move despite high volume = strong opposite pressure

// ==========================================
// INPUTS
// ==========================================
grp_vol = "Volume Analysis"
vol_len = input.int(20, "Volume MA Length", group=grp_vol)
vol_surge = input.float(1.5, "Volume Surge Threshold", group=grp_vol, tooltip="How many times above MA to consider 'high volume'")

grp_momentum = "Momentum Settings"
roc_len = input.int(3, "ROC Length (Velocity)", group=grp_momentum)
roc_smooth = input.int(3, "ROC Smoothing", group=grp_momentum)

grp_filter = "Signal Filters"
min_signal_gap = input.int(5, "Min Bars Between Signals", group=grp_filter, tooltip="Prevent signal spam")
use_bb_filter = input.bool(true, "Only Signal at BB Extremes", group=grp_filter)

// ==========================================
// 1. VOLUME ANALYSIS
// ==========================================

// Basic Volume Metrics
vol_ma = ta.sma(volume, vol_len)
vol_ratio = volume / vol_ma

// Volume Trend (Is volume increasing or decreasing over time?)
vol_trend = ta.sma(vol_ratio, 5)  // Smoothed volume strength
vol_rising = vol_trend > vol_trend[1] and vol_trend[1] > vol_trend[2]
vol_falling = vol_trend < vol_trend[1] and vol_trend[1] < vol_trend[2]

// Delta Volume (Buying vs Selling Pressure)
// Green bars = buying, Red bars = selling
delta_vol = close > open ? volume : -volume
delta_ma = ta.sma(delta_vol, 10)

// Net Buying/Selling Pressure over last N bars
net_pressure = ta.cum(delta_vol) - ta.cum(delta_vol[20])

// ==========================================
// 2. PRICE MOMENTUM (Velocity Analysis)
// ==========================================

// Rate of Change (ROC) - How fast is price moving?
roc = ta.roc(close, roc_len)
roc_ma = ta.sma(roc, roc_smooth)

// Momentum Direction
mom_bullish = roc_ma > 0 and roc_ma > roc_ma[1]
mom_bearish = roc_ma < 0 and roc_ma < roc_ma[1]

// Deceleration Detection (Critical for reversals)
// Price still going up but velocity is slowing = top forming
bull_decel = roc > 0 and roc < roc[1] and roc[1] < roc[2]  // Slowing upward momentum
bear_decel = roc < 0 and roc > roc[1] and roc[1] > roc[2]  // Slowing downward momentum

// ==========================================
// 3. VOLUME-PRICE DIVERGENCE
// ==========================================

// Find recent swing points
ph = ta.pivothigh(high, 3, 3)
pl = ta.pivotlow(low, 3, 3)

var float last_ph = na
var float last_pl = na
var float last_ph_vol = na
var float last_pl_vol = na

if not na(ph)
    last_ph := ph
    last_ph_vol := vol_ratio[3]
if not na(pl)
    last_pl := pl
    last_pl_vol := vol_ratio[3]

// Bearish Volume-Price Divergence:
// Price makes higher high, but volume is lower = weak rally
bear_vp_div = not na(last_ph) and high > last_ph and vol_ratio < last_ph_vol * 0.8

// Bullish Volume-Price Divergence:
// Price makes lower low, but volume is lower = weak selloff
bull_vp_div = not na(last_pl) and low < last_pl and vol_ratio < last_pl_vol * 0.8

// ==========================================
// 4. ABSORPTION DETECTION
// ==========================================
// High volume but small price movement = one side absorbing the other

body = math.abs(close - open)
range_bar = high - low

// Small body despite high volume
is_absorption = vol_ratio > vol_surge and body < range_bar * 0.3

// Direction of absorption
bull_absorption = is_absorption and close > open  // Bulls absorbing sells at bottom
bear_absorption = is_absorption and close < open  // Bears absorbing buys at top

// ==========================================
// 5. BOLLINGER BAND EXTREME FILTER (Optional)
// ==========================================
bb_len = 20
bb_mult = 2.0
basis = ta.sma(close, bb_len)
dev = ta.stdev(close, bb_len)
upper_bb = basis + dev * bb_mult
lower_bb = basis - dev * bb_mult

at_top = close >= upper_bb
at_bottom = close <= lower_bb

// ==========================================
// 6. REVERSAL SIGNAL LOGIC
// ==========================================

// BULLISH REVERSAL CONDITIONS (Buy Signal)
// Scenario A: Volume-Price Divergence + Deceleration
bull_scenario_a = bull_vp_div and bear_decel and vol_ratio > 1.0

// Scenario B: Absorption at Support + Volume Rising
bull_scenario_b = bull_absorption and vol_rising and delta_ma > 0

// Scenario C: Momentum Shift + Volume Surge
bull_scenario_c = roc_ma < 0 and roc > roc[1] and roc[1] > roc[2] and vol_ratio > vol_surge

// Combined Bullish Signal
bull_signal_raw = bull_scenario_a or bull_scenario_b or bull_scenario_c

// Apply BB Filter if enabled
bull_signal = use_bb_filter ? (bull_signal_raw and at_bottom) : bull_signal_raw

// BEARISH REVERSAL CONDITIONS (Sell Signal)
// Scenario A: Volume-Price Divergence + Deceleration
bear_scenario_a = bear_vp_div and bull_decel and vol_ratio > 1.0

// Scenario B: Absorption at Resistance + Volume Rising
bear_scenario_b = bear_absorption and vol_rising and delta_ma < 0

// Scenario C: Momentum Shift + Volume Surge
bear_scenario_c = roc_ma > 0 and roc < roc[1] and roc[1] < roc[2] and vol_ratio > vol_surge

// Combined Bearish Signal
bear_signal_raw = bear_scenario_a or bear_scenario_b or bear_scenario_c

// Apply BB Filter if enabled
bear_signal = use_bb_filter ? (bear_signal_raw and at_top) : bear_signal_raw

// ==========================================
// 7. SIGNAL FILTERING (Reduce Spam)
// ==========================================
var int last_bull_bar = -999
var int last_bear_bar = -999

// Only show signal if enough bars have passed since last signal
bull_final = bull_signal and (bar_index - last_bull_bar) > min_signal_gap
bear_final = bear_signal and (bar_index - last_bear_bar) > min_signal_gap

if bull_final
    last_bull_bar := bar_index
if bear_final
    last_bear_bar := bar_index

// ==========================================
// 8. CONVICTION METER (0-100)
// ==========================================
// Real-time strength of current reversal setup

conviction_score = 0

// Volume Component (0-40)
if vol_ratio > vol_surge
    conviction_score += 20
else if vol_ratio > 1.2
    conviction_score += 10
    
if vol_rising
    conviction_score += 10
else if vol_falling
    conviction_score -= 10

// Momentum Component (0-30)
if bull_decel or bear_decel
    conviction_score += 15
if math.abs(roc_ma) < 1.0  // Momentum near zero (consolidation)
    conviction_score += 15

// Divergence Component (0-30)
if bull_vp_div or bear_vp_div
    conviction_score += 30

// Normalize to 0-100
conviction_score := math.min(conviction_score, 100)

// Directional Conviction
bull_conviction = at_bottom and delta_ma > 0 and conviction_score > 50
bear_conviction = at_top and delta_ma < 0 and conviction_score > 50

// ==========================================
// 9. VISUALIZATION
// ==========================================

// A. Volume Ratio Histogram
vol_color = vol_ratio > vol_surge ? color.new(color.orange, 0) : 
            vol_ratio > 1.2 ? color.new(color.yellow, 50) : 
            color.new(color.gray, 70)
plot(vol_ratio, "Volume Ratio", color=vol_color, style=plot.style_columns, linewidth=2)

// B. Delta Pressure Line
plot(delta_ma / vol_ma * 10, "Net Pressure", color=delta_ma > 0 ? color.green : color.red, linewidth=2)

// C. Momentum ROC
plot(roc_ma / 5, "Momentum", color=color.new(color.blue, 50), linewidth=1)

// D. Reference Lines
hline(vol_surge, "Volume Surge Level", color=color.orange, linestyle=hline.style_dashed)
hline(1.0, "Average Volume", color=color.gray)
hline(0, "Zero", color=color.white)

// E. Signal Markers
plotshape(bull_final, "Bullish Reversal", shape.triangleup, location.bottom, color.lime, size=size.normal, text="BUY", textcolor=color.white)
plotshape(bear_final, "Bearish Reversal", shape.triangledown, location.top, color.red, size=size.normal, text="SELL", textcolor=color.white)

// F. Early Warning (Low opacity)
plotshape(bull_conviction and not bull_final, "Bull Setup Forming", shape.circle, location.bottom, color.new(color.green, 70), size=size.tiny)
plotshape(bear_conviction and not bear_final, "Bear Setup Forming", shape.circle, location.top, color.new(color.red, 70), size=size.tiny)

// G. Background for Extreme Zones
bgcolor(at_top ? color.new(color.red, 95) : at_bottom ? color.new(color.green, 95) : na)

// ==========================================
// 10. INFO TABLE
// ==========================================
var table info = table.new(position.top_right, 2, 5, bgcolor=color.new(color.black, 85), border_width=1)

if barstate.islast
    table.cell(info, 0, 0, "Metric", text_color=color.yellow, text_size=size.small)
    table.cell(info, 1, 0, "Status", text_color=color.yellow, text_size=size.small)
    
    table.cell(info, 0, 1, "Vol Ratio", text_color=color.gray, text_size=size.tiny)
    table.cell(info, 1, 1, str.tostring(vol_ratio, "#.##"), 
               text_color=vol_ratio > vol_surge ? color.orange : color.white, text_size=size.tiny)
    
    table.cell(info, 0, 2, "Net Pressure", text_color=color.gray, text_size=size.tiny)
    table.cell(info, 1, 2, delta_ma > 0 ? "Buying" : "Selling", 
               text_color=delta_ma > 0 ? color.green : color.red, text_size=size.tiny)
    
    table.cell(info, 0, 3, "Momentum", text_color=color.gray, text_size=size.tiny)
    table.cell(info, 1, 3, bull_decel ? "Bull Decel" : bear_decel ? "Bear Decel" : "Normal", 
               text_color=bull_decel or bear_decel ? color.yellow : color.gray, text_size=size.tiny)
    
    table.cell(info, 0, 4, "Conviction", text_color=color.gray, text_size=size.tiny)
    table.cell(info, 1, 4, str.tostring(conviction_score) + "%", 
               text_color=conviction_score > 70 ? color.lime : conviction_score > 50 ? color.yellow : color.gray, text_size=size.tiny)

// ==========================================
// 11. ALERTS
// ==========================================
alertcondition(bull_final, "Bullish Reversal Confirmed", "VP Filter: BULLISH REVERSAL - High Volume Conviction")
alertcondition(bear_final, "Bearish Reversal Confirmed", "VP Filter: BEARISH REVERSAL - High Volume Conviction")
alertcondition(bull_conviction, "Bullish Setup Forming", "VP Filter: Bullish reversal setup building...")
alertcondition(bear_conviction, "Bearish Setup Forming", "VP Filter: Bearish reversal setup building...")