Sequential Filter - An Original Filtering ApproachRemoving irregular variations in the closing price remain a major task in technical analysis, indicators used to this end mostly include moving averages and other kind of low-pass filters. Understanding what kind of variations we want to remove is important, irregular (noisy) variations have mostly a short term period, fully removing them can be complicated if the filter is not properly selected, for example we might want to fully remove variations with a period of 2 bars and lower, if we select an arithmetic moving average the filter output might still contain such variations because of the ripples in the frequency response passband, all it would take is a variation of high amplitude for that variation to be clearly visible.
Although all it would take for better filtering is a filter with better performance in the frequency domain (gaussian, Butterworth, Bessel...) we can design innovative approaches that does not rely on the model of classical moving averages, today a new technical indicator is proposed, the technical indicator fully remove variations lower than the selected period.
The Indicator Approach
In order for the indicator output to change the closing price need to produce length consecutive up's/down's, length control the variation threshold of the indicator, variations lower than length are fully removed. Lets see a visual example :
Here length = 3, the closing price need to make 3 consecutive up's/down's, when the sequence happen the indicator output is equal to src , here the closing price, else the indicator is equal to its precedent value, hence removing other variations. The value of 3 is the value by default, this is because i have seen in the past that the average smallest variations period where in general of 3 bars.
Because the indicator focus only on the variation sign, it totally ignore the amplitude of the movement, this provide an effective way to filter short term retracement in a fluctuation as show'n below :
The candle option of the indicator allow the indicator to only focus on the body color of a candle, thus ignoring potential gaps, below is an example with the candle option off :
If we activate the "candle" option we end up with :
Note that the candle option is based on the closing and opening price, if you use the indicator on another indicator output make sure to have the candle option off.
Length and Indicator Color
The closing price is infected by noise, and will rarely make a large sequence of consecutive up's/down's, the indicator can therefore be useful to detect consecutive sequence of length period, here 6 is selected on BTCUSD :
A consecutive up's/down's of period 6 can be considered a relatively rare event.
It is important to note that the color of the indicator used by default has nothing to do with the consecutive sequence detected, that is the indicator turning red doesn't necessarily mean that a consecutive down's sequence has occurred, but only that this sequence has occurred at a lower value than the precedent detected sequence. This is show'n below :
In order to make the indicator color based on the detected sequence check the "Color Based On Detected Sequence" option.
Conclusion
An original approach on filtering price variations has been proposed, i believe the indicator code is elegant as well as relatively efficient, and since high values of length can't really be used the indicator execution speed will remain relatively fast.
Thanks for reading !
Noise
RSI + EMA+ MTF Stop-LossThis is a simple RSI with multiple MTF (No security) to help with direction short and long-term.
The rsi for the current chart has a noise reduction, while the rest are based on ma's.
I have supplied an extra flexible mtf rsi ma for potential adjustable/long-term stop-loss or direction identification.
Enjoy
[RS]Signal to Noise BandsEXPERIMENTAL:
Bands using Signal to Noise Calculation.
The bands calculation is similar to bolingers in the aspect that both use standard deviation.
Cash in/Cash out Report (CICO) - Quiets market noiseThe cash in/cash out report (CICO for short) was built with the intent to quiet the market noise. The blunt way to say it, this indicator quiets the market manipulators voice and helps the retail investor make more money. I believe money is better of in the 99% hands versus the greedy hoarding that is currently going on. There are dozens of companies in the SP500 that have the same tax rate as unborn babies, nada. These hoarders also have machine learning high frequency trading bots that purposely create fear and anxiety in the markets. When all of the major markets move at the exact same time of day on frequent occasions, I see red flags. I recommend looking into Authorized participants in the ETF market to understand how the markets can be manipulated, specifically Creation and Redemption.
Enough of my rant. This indicator is open source. Directions on how to use the indicator can be found within the code. The basic summary is, clear your charts to bare minimums. Make the colors gray on all candles. Then apply this indicator. The indicator will color the "buy" and "sell" signals on the chart. Keep in mind, markets are manipulated to create fear in the retail investors little heart and can change drastically at any second. This indicator will show real time changes in running sum into and out of the market, it is estimated by average prices and not exact.
Once the chart is all greyed out and the indicator is applied you will see an area colored red and green. What this indicator does is takes a running sum of the new money into and out of the market. It takes the average of the high and low price times the volume. If the price is going up the value is positive, going down will be negative. Then the running sum is displayed. The area section is the running sum and the column bars are each value. When a market is steadily increasing in value you will see the large green area grow. When markets shift, values and display will change in color and vector. Full descriptions are available within the script in the comment sections.
I hope this help you make more money. If this helps you grow profits, give it a like!
Happy investing 99%er!
Motion Smoothness Index Introduction
Its holiday time for me, i have been working here a lot. But no leaving before publishing. Telling when market price is smooth or rough is not the easiest task, so today i present a trend metric indicator that allow you to give you this kind of information.
The Indicator
The indicator is in an approximate range of (0,1) with mean x̄ decaying for higher length's, when the indicator is below 0.5 the market is smooth, else rough, this is the simple interpretation. The indicator is simply the ratio of the price residual standard deviation and the price standard deviation.
Higher value of length will make the indicator less accurate when it comes to detect rough market price, you can still use the indicator direction or its running mean to give you insights but 0.5 is still the recommended detection threshold.
In More Depth
Even tho market is random by nature there can still be structures in the price (cycles and trends), the fractional BM model will tell you that market price is sometimes auto-correlated (trending) or non auto-correlated (ranging), knowing what is the current market state is therefore important, when price is rough it can means an excess in noise thus exhibiting an uncorrelated market at the contrary of a smoother price that can allow for auto-correlation.
Now, market is infected by noise, and thats really unfortunate but the noise posses various properties that can allow for all the structures we see in market price. So thinking about the market allowing for possible profits during auto-correlated states is encouraging.
Conclusion
Although the indicator measure smoothness/roughness it can still be interpreted as a trend/range state detector. I hope it provide to be useful.
I wish you all good holidays and see you next time ! Thanks for reading !
EMA NoHesi - cutting noise in EMA and any other data seriesNoise is common issue in variety of indicators. NoHesi is my take on reducing this noise.
Moving Averages are great indicators to show and maintain the trend. But sometimes - especially in pullback areas, smooth reversal zones or flat markets - MAs suggest trend changes, while it would be best for them to stay quiet :)
NoHesi function smoothens this noise, without adding unnecessary delay. NoHesi will make MA stay in the same direction as long as the move is not significant. If significant - MAs will report trend-change instantly.
Check the chart for illustration - NoHesi EMA keeps showing the same direction, despite its numerous attempts to change it (marked blue).
NoHesi can be applied to any data series: MAs, RSI , ADX , etc. EMA seemed like the most obvious example, so I used it for this presentation.
Hope it helps in your research!
P.S. When applying this to EMAs in other markets/timeframes, you will need to adjust "hesitation" parameter.
Signal to Noise Ratio [SNR]Intro
This script measures the Signal to Noise ratio of a security and plots it in deciBels scale!
Usage
Ideally, you would want the ratio to be above 10 dB, meaning the Signal strength is 10x the noise strength.
As a baseline, you should not rely on indicators that use any kind of moving average if the SNR is below 6 dB - meaning Signal strength is only 4x noise strength.
I've written the SNR as a functional block so you may simply copy and paste, then call getSNR() to get the ratio in dB.
Principle
I consider a bar's High and Low to be the range of that period and (High + Low)/2 to be the "real" value of the signal.
This script compares a bars range (noise) to the perceived signal using a Hilbert Transform.
Cheers,
DasanC
[RESEARCH] Quasi White NoiseQuasi White Noise script.
An experimental approach to implement a white noise using Pine Script. Uses Connors RSI under the hood.
en.wikipedia.org
