Adaptive
Relative Strength Volatility Variable Bands [DW]This is an experimental adaptive trend following study inspired by Giorgos Siligardos's Reverse Engineering RSI and Tushar S. Chande's Variable Moving Average.
In this study, reverse engineered RSI levels are calculated and used to generate a volatility index for VMA calculation.
First, price levels are calculated for when RSI will equal 70 and 30. The difference between the levels is taken and normalized to create the volatility index.
Next, an initial VMA is calculated using the created volatility index. The moving average is an exponential calculation that adjusts the sampling length as volatility changes.
Then, upper and lower VMAs are calculated by taking a VMA of prices above and below the initial VMA. The midline is produced by taking the median of the upper and lower VMAs.
Lastly, the band levels are calculated by multiplying the distance from the midline to the upper and lower VMAs by 1, 2, 3, 4, and 5.
Bar colors are included. They're based on the midline trend and price action relative to the upper and lower VMAs.
Adaptive StochasticAdapt To The Right Situation
There are already some Adaptive Stochastic scripts out there, but i didn't see the concept of using different periods highest/lowest for their calculations. What we want
for such oscillator is to be active when price is trending and silent during range periods. Like that the information we will see will be clear and easy to use.
Switching between a long term highest/lowest during range periods and a short term highest/lowest during trending periods is what will create the adaptive stochastic.
The switching is made thanks to the Efficiency Ratio , the period of the efficiency ratio is determined by the length parameter.
The period of the highest and lowest will depend on the slow and fast parameters, if our efficiency ratio is close to one (trending market) then the indicator will use highest and lowest of period fast , making the indicator more reactive, if our efficiency ratio is low (ranging market) then the indicator will use highest and lowest of period slow , making the indicator less reactive.
The source of the indicator is a running line ( lsma ) of period slow-fast .
it is also possible to switch the parameters values, making the indicator reactive during ranging market and less reactive during trending ones.
Hope you enjoy
For any questions/demands feel free to pm me, i would be happy to help you
Retention-Acceleration FilterAnother Adaptive Filter
This indicator share the same structure as a classic adaptive filter using an exponential window with a smoothing constant.
However the smoothing constant used is different than any previously made (Kalman Gain, Efficiency ratio, Scaled Fractal Dimension Index) ,
here the smoothing constant is inspired by the different formulations for parameters resolution used in HPLC S. Said (J. High Resolution Chromatograpy &Chromatography Communciations, (1979) 193).
Different assumptions can be made which lead to different expressions for resolution in chromatographic parameters, therefore we will use highest's and lowest's in order to estimate an optimal smoothing constant based on if the market is trending or not. It can be complicated at first but the goal is to provide both smoothness at the right time and a fast estimation of the market center.
Handling Noise
In Red a Pure Sinewave. In White Sinewave + Noise. In Blue our filter of Period 3
Handling stationary signals is not the best thing to do since we need highest's and lowest's and for that non stationary signals with trend + cycle + noise are more suitable.
It is also possible to make it act faster by quiting the pow() function of AltK with sqrt(length) and smoothing the remaining constant.
Moving Average Smoothness BenchmarkHey there!
This tool will help you to choose a moving average/filter that has the lowest lag throughout the whole history for the specified period.
What does it do?
It calculates the mean absolute errors for each moving average or filter and shows histogram with results. The lower error the lower lag of the moving average.
So, the best average will be at the end of the list of labels on the chart.
Settings
The main setting is a period for all moving averages.
Additionally, it allows to customize some multi-parametric moving average such as JMA, ALMA, McGinley Dynamic, Tillson's T3, REMA, Adaptive Laguerre Filter, Hampel Filter, Recursive Median Filter and Middle-High-Low MA.
NOTE : The results may vary on the different tickers and timeframes. This tool measures the performances on the current ticker and on the current timeframe.
Supported averages/filters (use short titles to match movings on the chart)
SMA, Simple MA
EMA, Exponential MA
WMA, Weighted (Linear) MA
RMA, Running MA (by J. Welles Wilder)
VWMA, Volume Weighted MA (by Buff P. Dormeier)
AHMA, Ahrens MA (by Richard D. Ahrens)
ALMA, Arnaud Legoux MA (by Arnaud Legoux and Dimitris Kouzis-Loukas)
ALF, Adaptive Laguerre Filter (by John F. Ehlers)
ARSI, Adaptive RSI
DEMA, Double Exponential MA (by Patrick G. Mulloy)
EDCF, Ehlers Distance Coefficient Filter (by John F. Ehlers)
EVWMA, Elastic Volume Weighted MA (by Christian P. Fries)
FRAMA, Fractal Adaptive MA (by John F. Ehlers)
HFSMA, Hampel Filter on Simple Moving Average
HFEMA, Hampel Filter on Exponential Moving Average
HMA, Hull MA (by Alan Hull)
HWMA, Henderson Weighted MA (by Robert Henderson)
IIRF, Infinite Impulse Response Filter (by John F. Ehlers)
JMA1, Jurik MA with power of 1 (by Mark Jurik)
JMA2, Jurik MA with power of 2 (by Mark Jurik)
JMA3, Jurik MA with power of 3 (by Mark Jurik)
JMA4, Jurik MA with power of 4 (by Mark Jurik)
LF, Laguerre Filter (by John F. Ehlers)
LMA, Leo MA (by ProRealCode' user Leo)
LSMA, Least Squares MA (Moving Linear Regression)
MD, McGinley Dynamic (by John R. McGinley)
MHLMA, Middle-High-Low MA (by Vitali Apirine)
REMA, Regularized Exponential MA (by Chris Satchwell)
RMF, Recursive Median Filter (by John F. Ehlers)
RMTA, Recursive Moving Trend Average (by Dennis Meyers)
SHMMA, Sharp Modified MA (by Joe Sharp)
SWMA, Sine Weighted MA
TEMA, Triple Exponential MA (by Patrick G. Mulloy)
TMA, Triangular MA
T3, (by Tim Tillson)
VIDYA, Variable Index Dynamic Average (by Tushar S. Chande)
ZLEMA, Zero Lag Exponential MA (by John F. Ehlers and Ric Way)
BF2, Butterworth Filter with 2 poles
BF3, Butterworth Filter with 3 poles
SSF2, Super Smoother Filter with 2 poles (by John F. Ehlers)
SSF3, Super Smoother Filter with 3 poles (by John F. Ehlers)
GF1, Gaussian Filter with 1 pole
GF2, Gaussian Filter with 2 poles
GF3, Gaussian Filter with 3 poles
GF4, Gaussian Filter with 4 poles
Good luck and Merry Christmas!
Range Filter [DW]This is an experimental study designed to filter out minor price action for a clearer view of trends.
Inspired by the QQE's volatility filter, this filter applies the process directly to price rather than to a smoothed RSI.
First, a smooth average price range is calculated for the basis of the filter and multiplied by a specified amount.
Next, the filter is calculated by gating price movements that do not exceed the specified range.
Lastly the target ranges are plotted to display the prices that will trigger filter movement.
Custom bar colors are included. The color scheme is based on the filtered price trend.
Crypto-Sticks Ehler Adaptive Center of Gravityby Cryptorthyhms🥢 Crypto-Sticks™: Ehler's Adaptive Center of Gravity
A new series of indicators brought to you by Cryptorthyhms...giving you an alternate look at your trusted favorites! Follow me, there are still 2 dozen Crypto-Sticks indicators planned - all will be released in public library.
🚀 Indicator Specific Info
🐻Thanks to Lazybear for posting the original EACG code I updated to create this indicator! (give that man a follow/thumbsup, hes a legend!)
New Crypto-Sticks option is an EMA of the average signal line output. Eventually I will go back and update the previous indicators with this feature as well!
⛔Please remember that this indicator is ADAPTIVE. The overbought and oversold ranges do not correspond to specific values. This does make it a bit harder to signal with, but its a great indicator nonetheless.
Heiken Ashi candles (default) adds some more clear trend changing points.
Volume weighting the HA candles adds a different dimension to the indicator which I have to explore more fully. VW does work okay on this indicator, skewing output but also adding some noise. An example of VW+HA:
💭Please leave me any ideas or feedback you have!
🚫If you use volume weighting you should be on heiken candles.
🚀 Crypto-Sticks General Info
🚧This series isnt polished 100%, and I have some more options I will add in the future. But for now, I want to just release them, as I am not sure when I will have the time to put more work into them (many other big projects I am working on).
📊Its basically reinterpretations of all your favorite indicators. I calculate the values a little bit differently than normal, but the end result is creating a candlestick chart (for the indicator!). Then I added the option to plot them as Heiken Ashi candles to smooth out noise and make signaling easier. I recommend using the indicator on this setting.
🔊Lastly I implemented a Volume Weighting system for them all which simply integrates volume into the formulas for these indicators. For the most part this feature is experimental and doesn't provide huge utility (yet - I have other ways I want to try it as well - just no time). Though on some of the indicators it already shows great promise.
👍Enjoying this indicator or find it useful? Please give me a like and follow! There are many more indicators to be released in this series, not to mention I post crypto analysis and other free indicators regularly.
💬Questions? Comments? Want to get access to an entire suite of proven trading indicators? Come visit us on telegram and chat, or just soak up some knowledge. We make timely posts about the market, news, and strategy everyday. Our community isnt open only to subscribers - everyone is welcome to join.
Crypto-Sticks: Ehler's Adaptive Cyber Cycle by Cryptorthyhms🥢 Crypto-Sticks™: Ehler's Adaptive Cyber Cycle
A new series of indicators brought to you by Cryptorthyhms...giving you an alternate look at your trusted favorites! Follow me, there are still 2 dozen Crypto-Sticks indicators planned - all will be released in public library.
🚀 Indicator Specific Info
🐻Thanks to Lazybear for posting the original EACC code I updated to create this indicator! (give that man a follow/ thumbsup, hes a legend!)
New Crypto-Sticks option is an EMA of the average signal line output. Eventually I will go back and update the previous indicators with this feature as well!
⛔Please remember that this indicator is ADAPTIVE. The overbought and oversold ranges do not correspond to specific values. This does make it a bit harder to signal with, but its a great indicator nonetheless.
Heiken Ashi candles (default) adds some more clear trend changing points.
Volume weighting the HA candles adds a different dimension to the indicator which I have to explore more fully. VW does work okay on this indicator, skewing output but also adding some noise. An example of VW+HA:
💭Please leave me any ideas or feedback you have!
🚫If you use volume weighting you should be on heiken candles.
🚀Crypto-Sticks General Info
🚧This series isnt polished 100%, and I have some more options I will add in the future. But for now, I want to just release them, as I am not sure when I will have the time to put more work into them (many other big projects I am working on).
📊Its basically reinterpretations of all your favorite indicators. I calculate the values a little bit differently than normal, but the end result is creating a candlestick chart (for the indicator!). Then I added the option to plot them as Heiken Ashi candles to smooth out noise and make signaling easier. I recommend using the indicator on this setting.
🔊Lastly I implemented a Volume Weighting system for them all which simply integrates volume into the formulas for these indicators. For the most part this feature is experimental and doesn't provide huge utility (yet - I have other ways I want to try it as well - just no time). Though on some of the indicators it already shows great promise.
👍Enjoying this indicator or find it useful? Please give me a like and follow! There are many more indicators to be released in this series, not to mention I post crypto analysis and other free indicators regularly.
💬Questions? Comments? Want to get access to an entire suite of proven trading indicators? Come visit us on telegram and chat, or just soak up some knowledge. We make timely posts about the market, news, and strategy everyday. Our community isnt open only to subscribers - everyone is welcome to join.
Jurik Moving AverageThis indicator was originally developed by Mark Jurik.
NOTE: If Mr. Jurik ask me to remove this indicator from public access then I will do it.
Adaptive Least SquaresAn adaptive filtering technique allowing permanent re-evaluation of the filter parameters according to price volatility. The construction of this filter is based on the formula of moving ordinary least squares or lsma , the period parameter is estimated by dividing the true range with its highest. The filter will react faster during high volatility periods and slower during low volatility ones.
High smooth parameter will create smoother results, values inferior to 3 are recommended.
You can easily replace the parameter estimation method as long as the one used fluctuate in a range of , for example you can use the efficiency ratio
ER = abs(change(close,length))/sum(abs(change(close)),length)
Or the Fractal Dimension Index , in fact any values will work as long as they are rescaled (stoch(value,value,value,length)/100)
For any suggestions/questions feel free to send me a message :)
Ehlers Smoothed Adaptive MomentumEhlers Smoothed Adaptive Momentum script.
This indicator was developed and described by John F. Ehlers in his book "Cybernetic Analysis for Stocks and Futures" (2004, Chapter 12: Adapting to the Trend).
Ehlers Instantaneous TrendlineEhlers Instantaneous Trendline script.
This indicator was described by John F. Ehlers in his book "Rocket Science for Traders" (2001, Chapter 10: The Instantaneous Trendline).
Kaufman Adaptive Moving AverageKaufman Adaptive Moving Average script.
This indicator was originally developed by Perry J. Kaufman (`Smarter Trading: Improving Performance in Changing Markets`, 1995).
Ehlers FilterThis is the Adaptive Ehlers Filter.
I had to unroll the for loops and array because TV is missing crucial data structures and data conversions (Arrays and series to integer conversion for values).
I'm in the process of releasing some scripts. This is a very old script I had. This contains volatility ranges and can be used as trading signals. You can also see how the EF moves up or down, the direction, when price is sideways, and use price breaks up and down as signals from the line.
Have fun, because I didn't making this script hahaha
NOTE : There is an issue with the script where at certain time frames it positions itself below or above. I think its due to calculations. If anyone knows the fix before I get the chance to take a look at it, please let me know.
books.google.com
Ehlers MESA Adaptive Moving Averages (MAMA & FAMA)Ehlers MESA Adaptive Moving Averages (MAMA & FAMA) script.
These indicators was originally developed by John F. Ehlers (Stocks & Commodities V. 19:10: MESA Adaptive Moving Averages).
Adaptive Trend OscilatorAdaptive strategy for strong move starting points. When it capture signal stay in that direction until lost momentum or get a counter signal
Ehlers Deviation-Scaled Moving Average (DSMA)Ehlers Deviation-Scaled Moving Average indicator script.
This indicator was originally developed by John F. Ehlers (Stocks & Commodities V. 36:8: The Deviation-Scaled Moving Average).
Holt Exponential Moving AverageHolt Exponential Moving Average indicator script.
This indicator was originally developed by Charles C. Holt (International Journal of Forecasting 20(1):5-10, March 2004: Forecasting seasonals and trends by exponentially weighted moving averages).
Ahrens Moving AverageAhrens Moving Average indicator script.
This indicator was originally developed by Richard D. Ahrens (Stocks & Commodities V.31:11 (26-30): Build A Better Moving Average).
Adaptive Laguerre FilterAdaptive Laguerre Filter indicator script.
The Adaptive Laguerre Filter was originally developed and described by John Ehlers in his paper `Time Warp – Without Space Travel`.
Thanks to @apozdnyakov for the sorting solution.
Sharp Modified Moving AverageSharp Modified Moving Average indicator script. This indicator was originally developed by Joe Sharp (Stocks & Commodities, V.18:1, More Responsive Moving Averages).
Adaptive Moving AverageAdaptive Moving Average indicator script. This indicator was originally developed by Vitali Apirine (Stocks & Commodities V.36:5: Adaptive Moving Averages).
Laguerre FilterLaguerre Filter indicator based on the John Ehler's article "Time Warp – Without Space Travel" about the Laguerre Transform
