Custom TPO Approximation by TheMartketVengeance

This strategy replicates a simplified intraday Market Profile/TPO approach for assets such as XAUUSD, FX, or stocks, focusing on key auction levels and volume dynamics to identify high-probability breakouts and exits.

Value Area Calculation: Each new day, the script accumulates all price and volume data to approximate the previous day’s Volume Weighted Average Price (VWAP, used here as Point of Control or POC). The Value Area High (VAH) and Value Area Low (VAL) are estimated as one standard deviation above and below this daily VWAP, representing the core 70% trading range where the majority of volume transacted.

Entry and Exit Logic: A long trade is triggered when price breaks out above yesterday’s VAH (plus a user-defined buffer) on above-average volume—this confirms momentum outside the fair value range. Exits occur if price falls below VAL, suggesting rejection of higher prices and a shift in auction direction.

Volume Confirmation: Entry signals require volume to be above the moving average, ensuring participation and validation of breakouts.

Intraday Plotting: The strategy plots the previous VAH, VAL, POC, and trigger/entry levels throughout the day for clear, visual reference.

Risk Management: The “pips” buffer input allows traders to fine-tune sensitivity for different markets (such as 0.0001 for FX or 1 for gold). Multiple entries are prevented until a new breakout opportunity emerges on the next session.

This method enables traders to systemize breakout trades with solid context from auction market theory, volume confirmation, and precise intraday tracking.