We have designed and characterized a MEMS microvalve with built-in capacitive displacement sensing and fitted it with a miniature piezoelectric actuator to achieve active valve control. The integrated displacement sensor enables high bandwidth proportional control of the gas flow through the valve. This is an essential requirement for non-invasive blood pressure waveform monitoring based on following the arterial pressure with a counter pressure. Using the capacitive sensor, we demonstrate negligible hysteresis in the valve control characteristics. Fabrication of the valve requires only two mask steps for deep reactive ion etching (DRIE) and one release etch.