Vertical Horizontal Moving Average [AneoPsy & alexgrover]

24 Jun 2020

Moving average adapting to the strength of the trend, this is made possible by using the square of the vertical-horizontal filter as a smoothing factor. Alerts are included with two different types of conditions available to the user.

Settings

• Length : Period of the moving average
  
• Src : Input data for the indicator
  
• Alerts : Types of conditions to be used in the alerts, when set to "VHMA Direction Change" alerts are triggered once the VHMA is either rising or declining, else the alerts are based on the crosses between Src and the VHMA
  

Usage

The VHMA can be used as a fast or slow-moving average in a moving average crossover system, or as input for other indicators.



VHMA of with length = 25 and sma with length = 200.



VHMA with length = 25 used as input for the RSI with length = 14.

Details

The vertical-horizontal filter is a measure of the strength of the trend and lay in a (0,1) range, to calculate it you just need to divide the rolling range over with the rolling sum of the absolute price changes, squaring the result allow to get lower results with higher values of length.



Squared vertical horizontal filter with length = 50, the value is low when the market is ranging and high when trending.

To set the alerts go in the alert panel, click on create alert, and select VHMA in "condition", choose between the buy or sell alert. If Src = closing price or another indicator dependant on the closing price select in options "once per bar close", if the indicator using the opening or lagged closing prices values as input select "One per bar" instead.

Thanks

Thanks to AneoPsy for adding the color change, the idea to use two kinds of conditions for the alert, and for its feedback, you can follow him

tradingview.com/u/AneoPsy/

and finally thanks to you for reading and for your support, only one last script left for the month, then we'll start July with some pretty interesting indicators, I hope you'll like them ^^/