// This script is licensed under Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International

// https://creativecommons.org/licenses/by-nc-sa/4.0/

// © QuantAlgo

//@version=6

indicator(‘Volume-Weighted Price Z-Score [QuantAlgo]’, overlay = false)

//              ╔════════════════════════════════╗              //

//              ║      USER-DEFINED SETTINGS     ║              //

//              ╚════════════════════════════════╝              //

var string calculation_settings = ‘════════ Calculation Parameters ════════’

var string visual_settings = ‘════════ Visualization Settings ════════’

var string alert_settings = ‘════════ Alert Configuration ════════’

tooltip_price_source = ‘The price data used for calculations. Close is most common for end-of-period analysis. High/Low can be used for extremes, HL2 for midpoint, HLC3 for typical price, or OHLC4 for complete bar representation. Each source provides different sensitivity to price movements.’

tooltip_lookback = ‘Period for calculating the volume-weighted moving average and volatility baseline. Shorter periods (20-50) make the indicator more responsive to recent price changes, capturing short-term deviations quickly. Longer periods (100-200) provide more stable reference points, better for identifying major market dislocations. Match this to your trading timeframe.’

tooltip_smoothing = ‘EMA smoothing applied to the final z-score to reduce noise and create cleaner signals. Lower values (1-3) preserve more detail and react faster but may show more false signals. Higher values (5-10) create smoother curves with fewer whipsaws but slower response. Set to 1 for no smoothing.’

tooltip_preset = ‘Select a predefined configuration optimized for different analysis styles and market conditions.’

tooltip_preset_details = ‘Default (100, 5): Balanced configuration suitable for swing trading and daily/4H analysis. Provides good balance between responsiveness and stability. Works well for identifying medium-term overbought/oversold conditions.nnFast Response (50, 3): Faster configuration for intraday trading and scalping. Shorter lookback period and minimal smoothing catch price deviations quickly. Best for 15min-1H charts where rapid mean reversion opportunities are important. Expect more frequent signals.nnSmooth Trend (200, 8): Stable configuration for position trading and long-term analysis. Extended lookback and heavy smoothing filter out noise to identify only major market extremes. Ideal for daily-weekly charts where you want high-confidence deviation signals with minimal false positives.’

tooltip_extreme_threshold = ‘Z-score threshold for marking extreme deviation levels. Values above +threshold indicate extreme overvaluation, values below -threshold indicate extreme undervaluation. Standard values: 2.0 (95.4% confidence), 2.5 (98.8% confidence), 3.0 (99.7% confidence). Higher thresholds identify rarer, more extreme conditions.’

tooltip_color_preset = ‘Pre-configured color schemes optimized for different chart themes and visual preferences. Each preset maintains strong contrast for clear identification of positive vs negative deviations.’

tooltip_positive_color = ‘Color for positive z-score values (price above volume-weighted average). Represents conditions where the asset may be overvalued relative to its volume-weighted price. Typically shown in warm colors (red, orange) to indicate caution.’

tooltip_negative_color = ‘Color for negative z-score values (price below volume-weighted average). Represents conditions where the asset may be undervalued relative to its volume-weighted price. Typically shown in cool colors (cyan, blue, green) to indicate potential buying opportunities.’

tooltip_fill_transparency = ‘Transparency level for the gradient fill area between the z-score line and zero line. Higher values (70-95) create a more subtle, transparent background. Lower values (20-40) create a more solid, prominent fill that clearly highlights deviations. Set to 100 for completely transparent (no fill).’

tooltip_bar_coloring = ‘Enable/disable coloring of indicator bars based on the z-score gradient color. When enabled, the background bars of the indicator pane are colored to match the current z-score deviation, providing additional visual context for positive vs negative deviations.’

priceSource = input.source(close, ‘Price Source’, group = calculation_settings, tooltip = tooltip_price_source)

lookbackPeriod = input.int(100, ‘Lookback Period’, group = calculation_settings, tooltip = tooltip_lookback)

smoothingPeriod = input.int(5, ‘Smoothing Period’, minval = 1, group = calculation_settings, tooltip = tooltip_smoothing)

presetConfig = input.string(‘Default’, ‘Preset Configuration’, options = [‘Default’, ‘Fast Response’, ‘Smooth Trend’], group = calculation_settings, tooltip = tooltip_preset + ‘nn’ + tooltip_preset_details)

if presetConfig == ‘Fast Response’

    lookbackPeriod := 50

    smoothingPeriod := 3

    smoothingPeriod

else if presetConfig == ‘Smooth Trend’

    lookbackPeriod := 200

    smoothingPeriod := 8

    smoothingPeriod

extremeThreshold = input.float(2.5, ‘Extreme Threshold’, minval = 1.0, maxval = 4.0, step = 0.5, group = calculation_settings, tooltip = tooltip_extreme_threshold)

colorPreset = input.string(‘Custom’, ‘Color Preset’, options = [‘Classic’, ‘Aqua’, ‘Cosmic’, ‘Ember’, ‘Neon’, ‘Custom’], group = visual_settings, tooltip = tooltip_color_preset)

positiveColorInput = input.color(#ff0000, ‘Positive Deviation Color’, group = visual_settings, tooltip = tooltip_positive_color)

negativeColorInput = input.color(#00ffaa, ‘Negative Deviation Color’, group = visual_settings, tooltip = tooltip_negative_color)

fillTransparency = input.int(70, ‘Fill Transparency’, minval = 0, maxval = 100, group = visual_settings, tooltip = tooltip_fill_transparency)

enableBarColoring = input.bool(true, ‘Enable Bar Coloring’, group = visual_settings, tooltip = tooltip_bar_coloring)

[positiveColor, negativeColor] = switch colorPreset

    ‘Classic’ => [#ff0000, #00ff00]

    ‘Aqua’ => [#ff8c00, #00bfff]

    ‘Cosmic’ => [#9932cc, #49ffce]

    ‘Ember’ => [#00cccc, #ff6600]

    ‘Neon’ => [#ff00ff, #ffff00]

    ‘Custom’ => [positiveColorInput, negativeColorInput]

//              ╔════════════════════════════════╗              //

//              ║      Z-SCORE CALCULATION       ║              //

//              ╚════════════════════════════════╝              //

volumeWeightedAverage = ta.vwma(priceSource, lookbackPeriod)

logDeviation = math.log(priceSource / volumeWeightedAverage)

volatilityMeasure = ta.stdev(logDeviation, lookbackPeriod)

rawZScore = logDeviation / volatilityMeasure

zScore = ta.ema(rawZScore, smoothingPeriod)

//              ╔════════════════════════════════╗              //

//              ║    SIGNAL & LEVEL DETECTION    ║              //

//              ╚════════════════════════════════╝              //

extremePositive = zScore >= extremeThreshold

extremeNegative = zScore <= –extremeThreshold

crossAboveZero = ta.crossover(zScore, 0)

crossBelowZero = ta.crossunder(zScore, 0)

enterExtremePositive = ta.crossover(zScore, extremeThreshold)

enterExtremeNegative = ta.crossunder(zScore, –extremeThreshold)

exitExtremePositive = ta.crossunder(zScore, extremeThreshold)

exitExtremeNegative = ta.crossover(zScore, –extremeThreshold)

//              ╔════════════════════════════════╗              //

//              ║         VISUALIZATION          ║              //

//              ╚════════════════════════════════╝              //

var color neutralColor = #808080

gradientColor = zScore > 0 ?

     color.from_gradient(zScore, 0, extremeThreshold, neutralColor, positiveColor) :

     color.from_gradient(zScore, –extremeThreshold, 0, negativeColor, neutralColor)

zScorePlot = plot(zScore, color = gradientColor, linewidth = 3, title = ‘Z-Score’)

zeroLinePlot = plot(0, color = color.new(color.gray, 50), title = ‘Zero Line’, linestyle = plot.linestyle_dotted, editable = true)

fill(zScorePlot, zeroLinePlot, zScore, 0, color.new(gradientColor, fillTransparency), color.new(gradientColor, math.min(fillTransparency + 20, 100)), title = ‘Z-Score Fill’)

plot(extremeThreshold, ‘Extreme Positive Level’, color = positiveColor, linestyle = plot.linestyle_dashed, editable = true)

plot(–extremeThreshold, ‘Extreme Negative Level’, color = negativeColor, linestyle = plot.linestyle_dashed, editable = true)

plot(2, ‘+2σ’, color = color.new(color.gray, 50), linestyle = plot.linestyle_dotted, editable = true, display = display.none)

plot(-2, ‘-2σ’, color = color.new(color.gray, 50), linestyle = plot.linestyle_dotted, editable = true, display = display.none)

plot(1, ‘+1σ’, color = color.new(color.gray, 50), linestyle = plot.linestyle_dotted, editable = true)

plot(-1, ‘-1σ’, color = color.new(color.gray, 50), linestyle = plot.linestyle_dotted, editable = true)

barcolor(enableBarColoring ? gradientColor : na, title = ‘Z-Score Bar Color’)

//              ╔════════════════════════════════╗              //

//              ║             ALERTS             ║              //

//              ╚════════════════════════════════╝              //

alertcondition(enterExtremePositive, title = ‘Extreme Overbought’, message = ‘VWPZ: Extreme OVERBOUGHT condition detected! {{exchange}}:{{ticker}} – {{interval}}’)

alertcondition(enterExtremeNegative, title = ‘Extreme Oversold’, message = ‘VWPZ: Extreme OVERSOLD condition detected! {{exchange}}:{{ticker}} – {{interval}}’)

alertcondition(exitExtremePositive, title = ‘Exit Extreme Overbought’, message = ‘VWPZ: Exiting extreme overbought zone {{exchange}}:{{ticker}} – {{interval}}’)

alertcondition(exitExtremeNegative, title = ‘Exit Extreme Oversold’, message = ‘VWPZ: Exiting extreme oversold zone {{exchange}}:{{ticker}} – {{interval}}’)

alertcondition(crossAboveZero, title = ‘Bullish Mean Reversion’, message = ‘VWPZ: Crossed above zero – Bullish momentum {{exchange}}:{{ticker}} – {{interval}}’)

alertcondition(crossBelowZero, title = ‘Bearish Mean Reversion’, message = ‘VWPZ: Crossed below zero – Bearish momentum {{exchange}}:{{ticker}} – {{interval}}’)

alertcondition(enterExtremePositive or enterExtremeNegative, title = ‘Any Extreme Level’, message = ‘VWPZ: Extreme deviation detected! Check chart {{exchange}}:{{ticker}} – {{interval}}’)