Dear community,

I'm currently developing a strategy where it is crucial to set entries & stops based on the volume profile.

I have read this article which shows how to get the volume profile for a particular day (

https://www.quantconnect.com/forum/discussion/7716/working-out-value-area-a-k-a-market-profile-volume-profile-from-auction-market-theory/p1

).

 

I want to set entires/stops based on the previous x days of the accumulated volume.

For example:

As soon as price is outside of the 2nd standard deviation (based on volume) of the last ten days buy/sell a security.

If I placed an order I want to set stops based on percentiles, for instance as soon as price hits the 10% or 90% percentile (based on volume) liquidate the position.

 

I am trying to understand how to modify the code (Derek Melchin's code from the post) so it incorporates the functionality I need.

 

I hope that you can point me into the right direction.

 

Thank you very much

Author

Mar17

November 2020