Tape + Volume Footprint + Heatmap Strategy (CLEVER)

📊 Strategy Name:

Tape + Volume Footprint + Heatmap Strategy (CLEVER) AUDJPY XAUUSD BTCUSD GBPMXN EURUSD USOIL USDCHF USDCNH NOKJPY

🧠 Purpose

This strategy is a multi-factor trading system that combines trend analysis, volume footprint detection, and heatmap-based liquidity zones to identify high-probability trade entries.

It is designed to detect aggressive price movements backed by strong volume activity (footprints) and trade in the direction of the prevailing trend, while visualizing high-volume price zones via a heatmap on the chart.

⚙️ Core Components Explained
1. Inputs
Parameter Description
Trend MA Length Number of bars used for the moving average trend filter.
Volume MA Length Used to determine average trading volume.
Range MA Length Calculates the average candle range (high-low).
Volume Spike Multiplier Defines how much greater than average volume must be to flag a “spike.”
Range Spike Multiplier Defines how much greater than average candle size must be to flag a “range spike.”
Heatmap Bins Number of bins (levels) for the volume heatmap.
Lookback Bars How many bars to use for calculating volume distribution in the heatmap.
ATR Multipliers Used to calculate stop-loss (SL) and take-profit (TP) distances.
ATR Length Period for the Average True Range indicator.
2. Trend Calculation

maTrend = Simple moving average of the close price over trendLength.

If price > maTrend → Bullish trend

If price < maTrend → Bearish trend

This ensures trades follow the dominant direction of the market.

3. Footprint Bar Detection

The script identifies “footprint bars” — candles showing both high volume and wide range:

volSpike → Volume > average volume × volSpikeMul

rangeSpike → Candle range > average range × rangeSpikeMul

footprintBar = both conditions true

These bars indicate institutional activity or smart money engagement — potential trade catalysts.

4. Volume Heatmap System

This is a custom-built volume profile that divides the last lookbackBins bars into heatBins price zones.

Steps:

Determine Range:

Finds the highest and lowest prices over the last lookbackBins.

Divide Range:

Splits that range into equal “bins” (price intervals).

Assign Volume:

Adds each candle’s volume to the bin matching its close price.

Threshold Calculation:

Calculates the 80th percentile of bin volume — zones above this are marked as “hot zones.”

Color Mapping:

The background color becomes red (semi-transparent) when the current price is in a hot zone, helping visualize high-volume liquidity areas where price tends to react.

5. Entry Logic

The system only trades when a footprint bar appears in the direction of the trend:

Condition Description
Long Entry Price is above trend MA and a footprint bar appears.
Short Entry Price is below trend MA and a footprint bar appears.

These conditions confirm momentum + volume alignment.

6. Exit Logic (Risk Management)

Uses ATR-based stop-loss and take-profit to dynamically adjust to market volatility:

Stop Loss (SL) = close - ATR × SL multiplier

Take Profit (TP) = close + ATR × TP multiplier

The same logic is mirrored for short trades.

This ensures consistent risk-to-reward management based on volatility.

7. Visuals

Blue Line → Trend MA (helps identify direction).

Green Triangles (BUY) → Long entry signals.

Red Triangles (SELL) → Short entry signals.

Red Heatmap Background → Indicates high-volume “hot zones” where significant trading activity occurred.

💡 How to Use

Trade only in the direction of the trend (blue MA).

Enter on footprint bars that meet the criteria.

Be cautious in red heatmap zones — these areas often cause reversals or consolidations.

Adjust ATR multipliers to fit your preferred risk/reward ratio.

✅ Summary Table
Feature Description
Indicator Type Strategy (auto backtestable)
Core Logic Trend + Volume Spike + Range Spike + Heatmap
Entry Confirmation Footprint bar aligned with trend
Risk Management ATR-based Stop Loss & Take Profit
Visualization Trend MA, Buy/Sell Triangles, Volume Heatmap
Best Suited For Intraday / Swing traders using volume and price action confirmation