OPEN-SOURCE SCRIPT

Z-score Volume by Skreepan

Description:
This indicator calculates the Z-score of the trading volume over a specified period. The Z-score is a statistical measure that describes a value's relation to the mean of a group of values. In this context, it shows how far the current volume is from the average volume in terms of standard deviations.

Inputs:

ROC Length: The period used to calculate the Rate of Change (ROC) of the source price. Default is 9.
Source: The data series to calculate the ROC. Default is the closing price.
Period: The number of bars used to calculate the moving average and standard deviation of the volume. Default is 56.
Volume Z-Score Threshold: The threshold for the Z-score above which specific conditions will trigger visual markers. Default is 3.0.

Conditions:

A visual marker (triangle) is plotted on the chart when the following conditions are met:

1. The Volume Z-Score is greater than the specified threshold.
2. The open price is greater than the close price (indicating a bearish candle).
3. The ROC is less than -2.0 (indicating a significant downward movement).

Visualizations:

Markers are plotted on the chart when the conditions are met to highlight significant volume spikes under bearish conditions with strong downward price movement.

Note:
This indicator works by detecting anomalous volumes. When such volumes occur, it is considered a good signal to buy. The indicator performs well on 3-minute and 5-minute timeframes, but if you see a signal on the hourly timeframe, it serves as good confirmation on smaller timeframes. This indicator only works for buy signals.

If this indicator has been helpful to you, please leave a comment!