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Whale Activity Indicator (WAI)
Overview
The Whale Activity Indicator (WAI) is designed to detect institutional accumulation, dark pool trades, and high-volume transactions that often precede major price moves. By analyzing volume spikes, On-Balance Volume (OBV), and the Money Flow Index (MFI), this indicator identifies potential whale buy and sell zones, providing traders with an edge in spotting large player activity.
How It Works
1️⃣ Institutional & Dark Pool Volume Detection
🔹 Large financial institutions and hedge funds often execute trades in dark pools or through block trades to prevent price slippage.
🔹 The indicator compares the current volume to predefined institutional and dark pool volume thresholds to determine if a trade is large enough to be considered whale activity.
🛠 Calculation:
If the total volume exceeds the Dark Pool Volume Threshold, it’s flagged as a dark pool trade.
If the total volume exceeds the Institutional Volume Threshold, it’s flagged as an institutional trade.
2️⃣ Volume Spike Detection
🔹 A sudden spike in trading volume relative to historical averages often signals the presence of institutional traders.
🔹 Instead of using a strict Z-score, this indicator detects volume spikes based on a rolling percentile threshold to ensure better adaptability across different assets.
🛠 Calculation:
Computes the Simple Moving Average (SMA) of volume over a period.
Defines a volume spike as any bar where the volume is 1.5× above the SMA (adjustable for sensitivity).
3️⃣ Trend Confirmation Using OBV & MFI
🔹 Institutions rarely trade against the trend, so additional validation is done using On-Balance Volume (OBV) and the Money Flow Index (MFI).
🛠 Calculation:
OBV (On-Balance Volume): Measures buying and selling pressure. A rising OBV suggests accumulation, while a falling OBV suggests distribution.
MFI (Money Flow Index): Confirms whether the volume is being accompanied by price movement, filtering out false signals.
🔹 BUY Signal: When OBV & MFI are both rising, it confirms institutional accumulation.
🔹 SELL Signal: When OBV & MFI are both falling, it confirms institutional distribution.
Signals & Visualization
📊 Plots:
✅ Green Up Label (Whale Buy) → Indicates institutional accumulation and potential price increase.
❌ Red Down Label (Whale Sell) → Indicates institutional distribution and potential price drop.
📉 Volume Histogram & Threshold Line → Helps visualize volume spikes relative to historical levels.
How to Use It in Trading
✔ Use this indicator on highly liquid assets (e.g., SPY, AAPL, NVDA) for best results.
✔ Combine with options flow analysis for deeper insight into institutional positioning.
✔ Adjust volume thresholds based on the asset’s liquidity and average trading volume.
✔ Backtest with different sensitivity levels to find optimal settings for your strategy.
🔔 Optional Add-ons: Alerts can be added to notify traders of significant whale movements in real time!
The Whale Activity Indicator (WAI) is designed to detect institutional accumulation, dark pool trades, and high-volume transactions that often precede major price moves. By analyzing volume spikes, On-Balance Volume (OBV), and the Money Flow Index (MFI), this indicator identifies potential whale buy and sell zones, providing traders with an edge in spotting large player activity.
How It Works
1️⃣ Institutional & Dark Pool Volume Detection
🔹 Large financial institutions and hedge funds often execute trades in dark pools or through block trades to prevent price slippage.
🔹 The indicator compares the current volume to predefined institutional and dark pool volume thresholds to determine if a trade is large enough to be considered whale activity.
🛠 Calculation:
If the total volume exceeds the Dark Pool Volume Threshold, it’s flagged as a dark pool trade.
If the total volume exceeds the Institutional Volume Threshold, it’s flagged as an institutional trade.
2️⃣ Volume Spike Detection
🔹 A sudden spike in trading volume relative to historical averages often signals the presence of institutional traders.
🔹 Instead of using a strict Z-score, this indicator detects volume spikes based on a rolling percentile threshold to ensure better adaptability across different assets.
🛠 Calculation:
Computes the Simple Moving Average (SMA) of volume over a period.
Defines a volume spike as any bar where the volume is 1.5× above the SMA (adjustable for sensitivity).
3️⃣ Trend Confirmation Using OBV & MFI
🔹 Institutions rarely trade against the trend, so additional validation is done using On-Balance Volume (OBV) and the Money Flow Index (MFI).
🛠 Calculation:
OBV (On-Balance Volume): Measures buying and selling pressure. A rising OBV suggests accumulation, while a falling OBV suggests distribution.
MFI (Money Flow Index): Confirms whether the volume is being accompanied by price movement, filtering out false signals.
🔹 BUY Signal: When OBV & MFI are both rising, it confirms institutional accumulation.
🔹 SELL Signal: When OBV & MFI are both falling, it confirms institutional distribution.
Signals & Visualization
📊 Plots:
✅ Green Up Label (Whale Buy) → Indicates institutional accumulation and potential price increase.
❌ Red Down Label (Whale Sell) → Indicates institutional distribution and potential price drop.
📉 Volume Histogram & Threshold Line → Helps visualize volume spikes relative to historical levels.
How to Use It in Trading
✔ Use this indicator on highly liquid assets (e.g., SPY, AAPL, NVDA) for best results.
✔ Combine with options flow analysis for deeper insight into institutional positioning.
✔ Adjust volume thresholds based on the asset’s liquidity and average trading volume.
✔ Backtest with different sensitivity levels to find optimal settings for your strategy.
🔔 Optional Add-ons: Alerts can be added to notify traders of significant whale movements in real time!
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