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OrderFlow [Adjustable] | Fractalyst

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What's the indicator's purpose and functionality?

This indicator is designed to assist traders in identifying real-time probabilities of buyside and sellside liquidity.

It allows for an adjustable pivot level, enabling traders to customize the level they want to use for their entries.

By doing so, traders can evaluate whether their chosen entry point would yield a positive expected value over a large sample size, optimizing their strategy for long-term profitability.

For advanced traders looking to enhance their analysis, the indicator supports the incorporation of up to 7 higher timeframe biases.

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Additionally, the higher timeframe pivot level can be adjusted according to the trader's preferences,

Offering maximum adaptability to different strategies and needs, further helping to maximize positive EV.

EV=(P(Win)×R(Win))−(P(Loss)×R(Loss))
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What's the purpose of these levels? What are the underlying calculations?

1. Understanding Swing highs and Swing Lows
Swing High: A Swing High is formed when there is a high with 2 lower highs to the left and right.
Swing Low: A Swing Low is formed when there is a low with 2 higher lows to the left and right.
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2. Understanding the purpose and the underlying calculations behind Buyside, Sellside and Pivot levels.
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3. Identifying Discount and Premium Zones.
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4. Importance of Risk-Reward in Premium and Discount Ranges
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How does the script calculate probabilities?
The script calculates the probability of each liquidity level individually. Here's the breakdown:

1. Upon the formation of a new range, the script waits for the price to reach and tap into pivot level level. Status: "⏸" - Inactive
2. Once pivot level is tapped into, the pivot status becomes activated and it waits for either liquidity side to be hit. Status: "▶" - Active
3. If the buyside liquidity is hit, the script adds to the count of successful buyside liquidity occurrences. Similarly, if the sellside is tapped, it records successful sellside liquidity occurrences.
4. Finally, the number of successful occurrences for each side is divided by the overall count individually to calculate the range probabilities.
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Note: The calculations are performed independently for each directional range. A range is considered bearish if the previous breakout was through a sellside liquidity. Conversely, a range is considered bullish if the most recent breakout was through a buyside liquidity.
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What does the multi-timeframe functionality offer?
In the adjustable version of the orderflow indicator, you can incorporate up to 7 higher timeframe probabilities directly into the table.

This feature allows you to analyze the probabilities of buyside and sellside liquidity across multiple timeframes, without the need to manually switch between them.

By viewing these higher timeframe probabilities in one place, traders can spot larger market trends and refine their entries and exits with a better understanding of the overall market context.

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This multi-timeframe functionality helps traders:

1. Simplify decision-making by offering a comprehensive view of multiple timeframes at once.

2. Identify confluence between timeframes, enhancing the confidence in trade setups.

3. Adapt strategies more effectively, as the higher timeframe pivot levels can be customized to meet individual preferences and goals.
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What are the multi-timeframe underlying calculations?
The script uses the same calculations (mentioned above) and uses security function to request the data such as price levels, bar time, probabilities and booleans from the user-input timeframe.
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How does the Indicator Identifies Positive Expected Values?

OrderFlow [Adjustable] indicator instantly calculates whether a trade setup has the potential for positive expected value (EV) in the long run.

To determine a positive EV setup, the indicator uses the formula:

EV=(P(Win)×R(Win))−(P(Loss)×R(Loss))

where:

P(Win) is the probability of a winning trade.
R(Win) is the reward or return for a winning trade, determined by the current risk-to-reward ratio (RR).
P(Loss) is the probability of a losing trade.
R(Loss) is the loss incurred per losing trade, typically assumed to be -1.

By calculating these values based on historical data and the current trading setup, the indicator helps you understand whether your trade has a positive expected value over a large sample size.
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How can I know that the setup I'm going to trade with has a postive EV?
If the indicator detects that the adjusted pivot and buy/sell side probabilities have generated positive expected value (EV) in historical data, the risk-to-reward (RR) label within the range box will be colored blue and red .

If the setup does not produce positive EV, the RR label will appear gray.

This indicates that even the risk-to-reward ratio is greater than 1:1, the setup is not likely to yield a positive EV because, according to historical data, the number of losses outweighs the number of wins relative to the RR gain per winning trade.

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What is the confidence level in the indicator, and how is it determined?

The confidence level in the indicator reflects the reliability of the probabilities calculated based on historical data. It is determined by the sample size of the probabilities used in the calculations. A larger sample size generally increases the confidence level, indicating that the probabilities are more reliable and consistent with past performance.
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How does the confidence level affect the risk-to-reward (RR) label?

The confidence level (★) is visually represented alongside the probability label. A higher confidence level indicates that the probabilities used to determine the RR label are based on a larger and more reliable sample size.
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How can traders use the confidence level to make better trading decisions?

Traders can use the confidence level to gauge the reliability of the probabilities and expected value (EV) calculations provided by the indicator. A confidence level above 95% is considered statistically significant and indicates that the historical data supporting the probabilities is robust. This high confidence level suggests that the probabilities are reliable and that the indicator’s recommendations are more likely to be accurate.

In data science and statistics, a confidence level above 95% generally means that there is less than a 5% chance that the observed results are due to random variation. This threshold is widely accepted in research and industry as a marker of statistical significance. Studies such as those published in the Journal of Statistical Software and the American Statistical Association support this threshold, emphasizing that a confidence level above 95% provides a strong assurance of data reliability and validity.

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Conversely, a confidence level below 95% indicates that the sample size may be insufficient and that the data might be less reliable. In such cases, traders should approach the indicator’s recommendations with caution and consider additional factors or further analysis before making trading decisions.

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How does the sample size affect the confidence level, and how does it relate to my TradingView plan?

The sample size for calculating the confidence level is directly influenced by the amount of historical data available on your charts. A larger sample size typically leads to more reliable probabilities and higher confidence levels.

Here’s how the TradingView plans affect your data access:

Essential Plan
The Essential Plan provides basic data access with a limited amount of historical data. This can lead to smaller sample sizes and lower confidence levels, which may weaken the robustness of your probability calculations. Suitable for casual traders who do not require extensive historical analysis.

Plus Plan
The Plus Plan offers more historical data than the Essential Plan, allowing for larger sample sizes and more accurate confidence levels. This enhancement improves the reliability of indicator calculations. This plan is ideal for more active traders looking to refine their strategies with better data.

Premium Plan
The Premium Plan grants access to extensive historical data, enabling the largest sample sizes and the highest confidence levels. This plan provides the most reliable data for accurate calculations, with up to 20,000 historical bars available for analysis. It is designed for serious traders who need comprehensive data for in-depth market analysis.

PRO+ Plans
The PRO+ Plans offer the most extensive historical data, allowing for the largest sample sizes and the highest confidence levels. These plans are tailored for professional traders who require advanced features and significant historical data to support their trading strategies effectively.

For many traders, the Premium Plan offers a good balance of affordability and sufficient sample size for accurate confidence levels.
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What is the HTF probability table and how does it work?

The HTF (Higher Time Frame) probability table is a feature that allows you to view buy and sellside probabilities and their status from timeframes higher than your current chart timeframe.

Here’s how it works:

Data Request: The table requests and retrieves data from user-defined higher timeframes (HTFs) that you select.

Probability Display: It displays the buy and sellside probabilities for each of these HTFs, providing insights into the likelihood of price movements based on higher timeframe data.

Detailed Tooltips: The table includes detailed tooltips for each timeframe, offering additional context and explanations to help you understand the data better.
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What do the different colors in the HTF probability table indicate?

The colors in the HTF probability table provide visual cues about the expected value (EV) of trading setups based on higher timeframe probabilities:

Blue: Suggests that entering a long position from the HTF user-defined pivot point, targeting buyside liquidity, is likely to result in a positive expected value (EV) based on historical data and sample size.

Red: Indicates that entering a short position from the HTF user-defined pivot point, targeting sellside liquidity, is likely to result in a positive expected value (EV) based on historical data and sample size.

Gray: Shows that neither long nor short trades from the HTF user-defined pivot point are expected to generate positive EV, suggesting that trading these setups may not be favorable.
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How to use the indicator effectively?

For Amateur Traders:

Start Simple: Begin by focusing on one timeframe at a time with the pivot level set to the default (50%). This helps you understand the basic functionality of the indicator.

Entry and Exit Strategy: Focus on entering trades at the pivot level while targeting the higher probability side for take profit and the lower probability side for stop loss.

Use simulation or paper trading to practice this strategy.

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Adjustments: Once you have a solid understanding of how the indicator works, you can start adjusting the pivot level to other values that suit your strategy.
Ensure that the RR labels are colored (blue or red) to indicate positive EV setups before executing trades.

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For Advanced Traders:

1. Select Higher Timeframe Bias: Choose a higher timeframe (HTF) as your main bias. Start with the default pivot level and ensure the confidence level is above 95% to validate the probabilities.

2. Align Lower Timeframes: Switch between lower timeframes to identify which ones align with your predefined HTF bias. This helps in synchronizing your trading decisions across different timeframes.

3. Set Entries with Current Pivot Level: Use the current pivot level for trade entries. Ensure the HTF status label is active, indicating that the probabilities are valid and in play.

4. Target HTF Liquidity Level: Aim for liquidity levels that correspond to the higher timeframe, as these levels are likely to offer better trading opportunities.

5. Adjust Pivot Levels: As you gain experience, adjust the pivot levels to further optimize your strategy for high EV. Fine-tune these levels based on the aggregated data from multiple timeframes.

6. Practice on Paper Trading: Test your strategies through paper trading to eliminate discretion and refine your approach without financial risk.

7. Focus on Trade Management: Ultimately, effective trade management is crucial. Concentrate on managing your trades well to ensure long-term success. By aiming for setups that produce positive EV, you can position yourself similarly to how a casino operates.

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🎲 Becoming the House (Gaining Edge Over the Market):

In American roulette, the house has a 5.26% edge due to the 0 and 00. This means that while players have a 47.37% chance of winning on even-money bets, the true odds are 50%. The discrepancy between the true odds and the payout ensures that, statistically, the casino will win over time.

From the Trader's Perspective: In trading, you gain an edge by focusing on setups with positive expected value (EV). If you have a 55.48% chance of winning with a 1:1 risk-to-reward ratio, your setup has a higher probability of profitability than the losing side. By consistently targeting such setups and managing your trades effectively, you create a statistical advantage, similar to the casino’s edge.

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🎰 Applying the Concept to Trading:

Just as casinos rely on their mathematical edge, you can achieve long-term success in trading by focusing on setups with positive EV. By ensuring that your probabilities and risk-to-reward (RR) ratios are in your favor, you create an edge similar to that of the house.

And by systematically targeting trades with favorable probabilities and managing your trades effectively, you improve your chances of profitability over the long run. Which is going to help you “become the house” in your trading, leveraging statistical advantages to enhance your overall performance.

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What makes this indicator original?

Real-Time Probability Calculations: The indicator provides real-time calculations of buy and sell probabilities based on historical data, allowing traders to assess the likelihood of positive expected value (EV) setups instantly.

Adjustable Pivot Levels: It features an adjustable pivot level that traders can modify according to their preferences, enhancing the flexibility to align with different trading strategies.

Multi-Timeframe Integration: The indicator supports up to 7 higher timeframes, displaying their probabilities and biases in a single view, which helps traders make informed decisions without switching timeframes.

Confidence Levels: It includes confidence levels based on sample sizes, offering insights into the reliability of the probabilities. Traders can gauge the strength of the data before making trades.

Dynamic EV Labels: The indicator provides color-coded EV labels that change based on the validity of the setup. Blue indicates positive EV in a long bias, red indicates positive EV in a short bias and gray signals caution, making it easier for traders to identify high-quality setups.

HTF Probability Table: The HTF probability table displays buy and sell probabilities from user-defined higher timeframes, helping traders integrate broader market context into their decision-making process.

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Terms and Conditions | Disclaimer

Our charting tools are provided for informational and educational purposes only and should not be construed as financial, investment, or trading advice. They are not intended to forecast market movements or offer specific recommendations. Users should understand that past performance does not guarantee future results and should not base financial decisions solely on historical data.

Built-in components, features, and functionalities of our charting tools are the intellectual property of Fractalyst use, reproduction, or distribution of these proprietary elements is prohibited.


By continuing to use our charting tools, the user acknowledges and accepts the Terms and Conditions outlined in this legal disclaimer and agrees to respect our intellectual property rights and comply with all applicable laws and regulations.
Nota Keluaran
New Features
Real-Time Expected Value Calculation: Introduced a new feature that calculates the expected value in real-time, providing traders with immediate insights into potential outcomes and enhancing decision-making processes.

Improvements

Enhanced Table Probability Tooltips: Improved the tooltips in the probability table for better clarity and user experience. The updated tooltips now offer more detailed explanations and context, allowing users to understand the HTF data more effectively.
Nota Keluaran
- Prepared backend logic for the next update, ensuring smoother integration and improved performance for future features.
Nota Keluaran
- Improved range probability calculation for more accurate directional forecasts.
- Enhanced labels for better readability across various devices.
- Added real-time Kelly Criterion integration, allowing traders to optimize position sizing based on dynamic probabilities.
expectedvalueforecastinginstututionaltradingmechanicaltradingmultitimeframeanalysisorderflowPivot points and levelsprobabilitiesquantitativestatisticssystematictrading

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