VSA for Volume Spread Analysis

Based on the work of Tom Williams (Master the Markets) and Gavin Holmes (Trading in the Shadow of the Smart Money) and Tradeguider's VSA.

Test the implementation by running:

mix generate_data --instrument=BTC-USDT --bar=1m

Constants Configuration

The module uses several configurable constants that define thresholds for VSA analysis:

Extreme Reset Threshold

• @bars_to_extreme_reset (default: 200): Defines the number of bars after which extreme values are reset

Position Thresholds

• @position_high_threshold (default: 0.7): Defines the threshold above which a close/open price is considered "high" within the bar's range (70% of the high-low range)
• @position_low_threshold (default: 0.3): Defines the threshold below which a close/open price is considered "low" within the bar's range (30% of the high-low range)

Volume Factor Thresholds

These constants define volume significance relative to the mean volume:

• @ultra_high_volume_factor (default: 2.0): Volume exceeding 2x the average indicates exceptional market interest or institutional activity
• @high_volume_factor (default: 1.5): Volume exceeding 1.5x the average suggests increased market participation
• @low_volume_factor (default: 0.5): Volume below 0.5x the average indicates reduced market interest or lack of institutional participation
• @very_low_volume_factor (default: 0.25): Volume below 0.25x the average suggests very thin trading conditions or market disinterest

Spread Factor Constants (Internal)

• @wide_spread_factor (1.5): Used to identify bars with spreads 1.5x larger than average, indicating increased volatility or significant price movement
• @narrow_spread_factor (0.7): Used to identify bars with spreads smaller than 70% of average, suggesting consolidation or reduced volatility

Significance in VSA

These thresholds are fundamental to Volume Spread Analysis as they help identify:

• Professional vs Retail Activity: Ultra-high volume often indicates smart money
• Market Phases: Low volume suggests accumulation/distribution phases
• Support/Resistance: High closes on wide spreads with high volume suggest strength
• Weakness Signs: Wide spreads with low volume may indicate lack of support

All constants can be configured via application environment variables for different market conditions.