Vo-S-Di-T-I - Volatility Scaled Directional Trend IndicatorThis code represents just the foundation for what's to come. It lays the groundwork for a more sophisticated quant trading model, offering a glimpse into the potential of future developments. I hope my contribution to this community will be valued. I'm here for idea exchanges and coding together, with the key emphasis on ensuring everything we do is grounded on a solid statistical basis.
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The developed code is based on a rigorous quantitative approach for analyzing price trends in the equity sector, utilizing advanced statistical methodology to scale returns based on the volatility observed over predefined periods of 20 and 50 days. This technique for normalizing returns allows us to eliminate distortions due to the intrinsic variability of prices and focus on the underlying structure of price behavior. The primary goal of the code is not to speculatively predict future market movements but rather to identify potential reversal trend signals through price dynamics analysis, within an optimized risk and return context.
Our approach is distinguished by the use of statistical decomposition techniques and time series analysis to interpret price variations as indicators of possible shifts in market behavior. This allows distinguishing between random or short-term price movements and true trend changes, providing a solid foundation for more informed investment decisions.
The current code represents the initial phase of a broader project that envisages the integration of machine learning algorithms to further refine the ability to detect significant changes in price trends. Through the application of predictive models and machine learning techniques, we intend to explore complex patterns in historical price data that may precede trend reversals, always respecting the principles of rigorous statistical analysis and risk management. This development and learning path will allow us to continuously improve investment strategies, leveraging the analytical capabilities of modern data science algorithms applied to the financial sector.
HOW TO READ
Simply put, Z values above 0 indicate an uptrend, while values below indicate a downtrend. IMPORTANT: It is not necessary to consider any crosses between Z-Short and Z-Long, but only potential crosses with 0.
The initial values are set at 20 and 50, but everyone is free to choose the most suitable periods, as long as all choices have valid statistical significance. My advice is to use R or MatLab to explore the best correlation between N and price movements. The reason I have set two values for N (Short and Long) is because it's interesting to assess short-term and medium-to-long-term trends to understand if price movements can lead to reversals only in the short term or also in the medium to long term. This idea came to me because I believe all other trend determination systems have too much lag and unpredictability.
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ATE_Common_Functions_LibraryLibrary "ATE_Common_Functions_Library"
- ATE_Common_Functions_Library was created to assist in constructing CCOMET Scanners
RCI(_rciLength, _source, _interval)
You will see me using this a lot. DEFINITELY my favorite oscillator to utilize for SO many different things from
timing entries/exits to determining trends.Calculation of this indicator based on Spearmans Correlation.
Parameters:
_rciLength (int) : (int)
Amount of bars back to use in RCI calculations.
_source (float) : (float)
Source to use in RCI calculations (can use ANY source series. Ie, open,close,high,low,etc).
_interval (int) : (int)
Optional (if parameter not included, it defaults to 3). RCI calculation groups bars by this amount and then will.
rank these groups of bars.
Returns: (float)
Returns a single RCI value that will oscillates between -100 and +100.
RCIAVG(_rciSMAlen, _source, _interval, firstLength, lastLength)
20 RCI's are averaged together to get this RCI Avg (Rank Correlation Index Average). Each RCI (of the 20 total RCI)
has a progressively LARGER Lookback Length. Rather than having ALL of the RCI Lengths be individually adjustable (because of too many inputs),
I have made the FIRST Length used (smallest Length value in the set) and the LAST Length used (largest length value in the set) be adjustable
and all other 18 Lengths are equally spread out between the 'firstLength' and the 'lastLength'.
Parameters:
_rciSMAlen (int) : (int)
Unlike the Single RCI Function, this function smooths out the end result using an SMA with a length value that is this parameter.
_source (float) : (float)
Source to use in RCI calculations (can use ANY source series. Ie, open,close,high,low,etc).
_interval (int) : (int)
Optional (if parameter not included, it defaults to 3). Within the RCI calculation, bars next to each other are grouped together
and then these groups are Ranked against each other. This parameter is the number of adjacent bars that are grouped together.
firstLength (int) : (int)
Optional (if parameter is not included when the function is called on in the script, then it defaults to 200).
This parameter is the Lookback Length for the 1st RCI used (so the SMALLEST Length used) in the RCI Avg.
lastLength (int) : (int)
Optional (if parameter is not included when the function is called on in the script, then it defaults to 2500).
This parameter is the Lookback Length for the 20th(the LAST) RCI used (so the LARGEST Length used) in the RCI Avg.
***** BEWARE ***** The 'lastLength' must be less than (or possibly equal to) 5000 because Tradingview has capped it at 5000, causing an error.
***** BEWARE ***** If the script gives a compiler "time out" error then the 'lastLength' must be lowered until it no longer times out when compiling.
Returns: (float)
Returns a single RCI value that is the Avg of many RCI values that will oscillate between -100 and +100.
PercentChange(_startingValue, _endingValue)
This is a quick function to calculate how much % change has occurred between the '_startingValue' and the '_endingValue'
that you input into the function.
Parameters:
_startingValue (float) : (float)
The source value to START the % change calculation from.
_endingValue (float) : (float)
The source value to END the % change caluclation from.
Returns: Returns a single output being the % value between 0-100 (with trailing numbers behind a decimal). If you want only
a certain amount of numbers behind the decimal, this function needs to be put within a formatting function to do so.
Rescale(_source, _oldMin, _oldMax, _newMin, _newMax)
Rescales series with a known '_oldMin' & '_oldMax'. Use this when the scale of the '_source' to
rescale is known (bounded).
Parameters:
_source (float) : (float)
Source to be normalized.
_oldMin (int) : (float)
The known minimum of the '_source'.
_oldMax (int) : (float)
The known maximum of the '_source'.
_newMin (int) : (float)
What you want the NEW minimum of the '_source' to be.
_newMax (int) : (float)
What you want the NEW maximum of the '_source' to be.
Returns: Outputs your previously bounded '_source', but now the value will only move between the '_newMin' and '_newMax'
values you set in the variables.
Normalize_Historical(_source, _minimumLvl, _maximumLvl)
Normalizes '_source' that has a previously unknown min/max(unbounded) determining the max & min of the '_source'
FROM THE ENTIRE CHARTS HISTORY. ]
Parameters:
_source (float) : (float)
Source to be normalized.
_minimumLvl (int) : (float)
The Lower Boundary Level.
_maximumLvl (int) : (float)
The Upper Boundary Level.
Returns: Returns your same '_source', but now the value will MOSTLY stay between the minimum and maximum values you set in the
'_minimumLvl' and '_maximumLvl' variables (ie. if the source you input is an RSI...the output is the same RSI value but
instead of moving between 0-100 it will move between the maxand min you set).
Normailize_Local(_source, _length, _minimumLvl, _maximumLvl)
Normalizes series with previously unknown min/max(unbounded). Much like the Normalize_Historical function above this one,
but rather than using the Highest/Lowest Values within the ENTIRE charts history, this on looks for the Highest/Lowest
values of '_source' within the last ___ bars (set by user as/in the '_length' parameter. ]
Parameters:
_source (float) : (float)
Source to be normalized.
_length (int) : (float)
The amount of bars to look back to determine the highest/lowest '_source' value.
_minimumLvl (int) : (float)
The Lower Boundary Level.
_maximumLvl (int) : (float)
The Upper Boundary Level.
Returns: Returns a single output variable being the previously unbounded '_source' that is now normalized and bound between
the values used for '_minimumLvl'/'_maximumLvl' of the '_source' within the user defined lookback period.
Cast ForwardThis indicator will not forecast price action. It will not predict price movement nor will it in any way predict the outcome of any trade you may take. This is not a signal for buying or selling. You must do your own back testing and analysis for trading.
Time and price are the two most important components of market data. Where was price at what time? To help visualize this question I created this indicator. It allows for the previous session data to be overlayed onto the chart offset forward 24 hours. What this means is that you have the high, (high/low)/2, and low of each candle plotted on top of your chart for the time frame of the current chart, but offset so that the data from the current candle has the data from the corresponding candle 24 hours prior lined up on the x-axis.
SMA Logic: I used the SMA (Simple Moving Average) function with a length of 1 to plot the data points without any smoothing to give the true values of the data.
For Intraday Charting
For Electronic Trading Hours:
In order to line up the data correctly, for intraday charts, I used the current chart timeframe and divided it into 1380 (number of minutes in the 23 hour futures market trading day) to set the data offset. Using the same math logic, this indicator also gives the correct correlated data on the 30 second time frame. If the chart time frame that is currently being used does not allow for correct data correlation (not a factor of 1380) it will not plot the data.
For Regular Trading Hours:
In order to line up the data correctly, for intraday charts, I used the current chart timeframe and divided it into 405 (number of minutes in the 6 hour 45 minutes New York regular session trading day, including the 15 minute settlement time) to set the data offset. This indicator also gives the correct correlated data on the 30 second time frame. If the chart time frame that is currently being used does not allow for correct data correlation (not a factor of 405) it will not plot the data.
For the Daily Chart:
This indicator plots a visualization of the 20-40-60 day IPDA data range; (The IPDA data range helps traders identify liquidity, price gaps, and equilibrium points in the market, providing insights for optimal trade entries and market structure shifts). It does this using the same SMA logic as the intraday plot. What this means is it offsets the historical data of the daily chart 20, 40, or 60 bars forward. You can plot any combination of the three on the chart at one time, but these will not show on the intraday chart. This allows for visualization of where the market will possibly seek liquidity, seek to rebalance, or seek equilibrium in the future.
Envelope and Moving Average**Description:**
- This script creates an indicator that combines an envelope and a simple moving average (MA).
- The envelope is constructed using a specified length, percentage deviation, and source price (close by default).
- The moving average is calculated based on a specified length and source price.
**Inputs:**
1. Envelope:
- Length: Number of periods used for the envelope calculation (default is 20).
- Percentage Deviation: Percentage above and below the envelope basis (default is 10%).
- Source: The price used for the envelope calculation (default is close).
- Exponential MA: Option to use exponential moving average for the envelope basis (default is false).
2. Moving Average:
- Length: Number of periods used for the moving average calculation (default is 20).
- Source: The price used for the moving average calculation (default is close).
**Plotting:**
- The script plots the envelope basis, upper envelope line, and lower envelope line.
- The area between the upper and lower envelope lines is filled with a semi-transparent color for better visualization.
- The moving average is plotted on the chart with a specified color and line width.
**How to Use in a Strategy:**
1. **Envelope Crossovers:**
- Go Long (Buy): When the close price crosses above the upper envelope line.
- Go Short (Sell): When the close price crosses below the lower envelope line.
2. **Moving Average Crossovers:**
- Go Long (Buy): When the close price crosses above the moving average.
- Go Short (Sell): When the close price crosses below the moving average.
3. **Confirmation:**
- Consider additional confirmation signals or filters to improve the robustness of your strategy.
- For example, you might require a certain amount of price momentum or use other technical indicators in conjunction with envelope and moving average signals.
4. **Optimization:**
- Experiment with different parameter values (e.g., envelope length, percentage deviation, moving average length) to optimize the strategy for specific market conditions.
5. **Risk Management:**
- Implement proper risk management techniques, such as setting stop-loss orders and position sizing, to control risk.
Remember to thoroughly backtest any strategy before deploying it in a live trading environment. Additionally, consider the current market conditions and adapt your strategy accordingly.
Leveraged Share Decay Tracker [SS]Releasing this utility tool for leveraged share traders and investors.
It is very difficult to track the amount of decay and efficiency that is associated with leveraged shares and since not all leveraged shares are created equally, I developed this tool to help investors/traders ascertain:
1. The general risk, in $$, per share associated with investing in a particular leveraged ETF
2. The ability of a leveraged share to match what it purports to do (i.e. if it is a 3X Bull share, is it actually returning consistently 3X the underlying or is there a large variance?)
3. The general decay at various timepoints expressed in $$$
How to use:
You need to be opened on the chart of the underlying. In the example above, the chart is on DIA, the leveraged share being tracked is UDOW (3X bull share of the DOW).
Once you are on the chart of the underlying, you then put in the leveraged share of interest. The indicator will perform two major assessments:
1. An analysis of the standard error between the underlying and the leveraged share. This is accomplished through linear regression, but instead of creating a linreg equation, it simply uses the results to ascertain the degree of error associated at various time points (the time points are 10, 20, 30, 40, 50, 100, 252).
2. An analysis of the variance of returns. The indicator requires you to put in the leverage amount. So if the leverage amount is 3% (i.e. SPXL or UPRO is 3 X SPY), be sure that you are putting that factor in the settings. It will then modify the underlying to match the leverage amount, and perform an assessment of variance over 10, 20, 30, 40, 50, 100, 252 days to ensure stability. This will verify whether the leveraged ETF is actually consistently performing how it purports to perform.
Here are some examples, and some tales of caution so you can see, for yourself, how not all leveraged shares are created equal.
SPY and SPXL:
SPY and UPRO:
XBI and LABU (3 x bull share):
XBI and LABD (3 x bear share):
SOX and SOXL:
AAPL and AAPU:
It is VERY pivotal you remember to check and adjust the Leveraged % factor.
For example, AAPU is leveraged 1.5%. You can see above it tracks this well. However, if you accidently leave it at 3%, you will get an erroneous result:
You can also see how some can fail to track the quoted leveraged amount, but still produce relatively lower risk decay.
And, as a final example, let's take a look at the worst leveraged share of life, BOIL:
Trainwreck that one. Stay far away from it!
The chart:
The chart will show you the drift (money value over time) and the variance (% variance between the expected and actual returns) over time. From here, you can ascertain the general length you feel comfortable holding a leveraged share. In general, for most stable shares, <= 50 trading days tends to be the sweet spot, but always check the chart.
There are also options to plot the variances and the drifts so you can see them visually.
And that is the indicator! Kind of boring, but there are absolutely 0 resources out there for doing this job, so hopefully you see the use for it!
Safe trades everyone!
Doda StochasticThe Doda Stochastic Indicator is an oscillator designed to identify primary trends in asset price movements, operating on a scale from 0 to 100. It offers potential buying signals when it fluctuates between 0 and 20, and potential selling signals when it trends between 80 and 100. To reinforce the reliability of these signals, traders often complement them with price action indicators.
The indicator aims to display a modified version of the Stochastic Oscillator, highlighting filtered stochastic values along with related signals.
Traders often use Stochastic indicators to identify potential reversal points or overbought/oversold conditions in the market. The modified version might aim to reduce noise or improve signals compared to the standard Stochastic oscillator. Adjusting the input parameters can alter the sensitivity of the indicator to market movements.
It can also be used to identify trend by considering Doda Stochatic's Moving Average crossing the midline level. If it is above it is uptrend and if below midline then it is downtrend. It does not repaint. It is a lagging indicator because it heavily depends on Moving Averages.
What makes the Doda Stochastic Indicator unique is its attempt to eliminate false or misleading signals commonly found in standard stochastic tools. Instead of relying solely on the 20 and 80 markings for overbought and oversold conditions, it uses the crossing of the green and red lines within these segments to identify signals. However, fully grasping its functionality is pivotal to maximising its utility.
The indicator strategically analyses price movements by scrutinising key price levels, market momentum, and unexpected shifts in trends. By default, it operates with a bar count of 2000 and a PDS value of 13.0, parameters that have undergone extensive testing. It's important to note that tweaking these settings might not always be necessary, as they are well-calibrated.
How to Use the Doda Stochastic Indicator:
Setting up the Indicator:
- Begin incorporating the Doda Stochastic Indicator into your trading strategy once you're confident in identifying significant support and resistance levels.
Strategy with Doda Stochastic:
- Buy Signal Criteria:
- Asset displaying an upward trend.
- Green line crossing above the red line on the indicator.
- Confirm entry with bullish candlestick patterns.
- Set stop loss below the nearest swing low.
- Set take profit at the nearest resistance zone or exit when the green line crosses below the red line.
- Implement risk management with a risk-to-reward ratio of at least 1:2.
- Sell Signal Criteria:
- Asset demonstrating a downtrend.
- Green line crossing below the red line on the indicator.
- Confirm entry with bearish candlestick patterns.
- Set stop loss above the nearest swing high.
- Set take profit at the nearest support zone or exit when the green line crosses above the red line.
- Implement risk management with a risk-to-reward ratio of at least 1:2.
Advantages and Disadvantages:
Pros:
- Analyses crucial price levels, market momentum, and unexpected trend changes.
- Identifies overbought and oversold levels.
Cons:
- Overbought and oversold levels may not always lead to immediate price reversals.
- Signals might occasionally misinterpret a trend reversal as a correction, and vice versa.
The strength of the indicator lies in its intricate approach to price analysis and its effort to minimize false signals. However, traders should exercise caution and consider supplementary confirmation signals for more robust trade decisions.
Relative Strength Trend Indicator (RSTI)This indicator is called the "Relative Strength Trend Indicator" (RSTI), designed to assess the relative strength of a trend.
Here is a detailed explanation of how it works and how traders can interpret it:
Indicator Operation:
1. Data Source (src): The indicator considers a data source, typically the closing price (close), but this can be adjusted according to the trader's preferences.
2. Period Length (Length): This determines the period used to calculate the simple moving average (SMA) of the data source. A longer period smoothes the indicator, while a shorter period makes it more responsive.
3. Multiplier (Multiplier): This is a multiplication factor applied to the Average True Range (ATR), adjusting the width of the bands.
4. Signal Length (Signal Length): This period is used to calculate the simple moving average of the relative strength (l_strength). It determines the sensitivity of the signal to changes in relative strength.
Interpretation of the Indicator:
1. Upper Strength Band (Upper Level): This line is drawn at 80 and represents a high strength level. When relative strength exceeds this value, it may indicate a potential overbought market.
2. Lower Strength Band (Lower Level): This line is drawn at 20 and represents a low strength level. When relative strength is below this value, it may indicate a potential oversold market.
3. RSTI Strength: The main line of the indicator, representing the calculated relative strength. When this line exceeds 50, it may indicate an uptrend, while a value below 50 may indicate a downtrend.
4. Filling Zones: These colored zones between levels 80 and 50, and between 50 and 20, can help quickly visualize relative strength. A colored zone above 50 indicates positive strength, while a colored zone below 50 indicates negative strength.
Qualities of the Indicator:
1. Adaptability: The use of ATR and the flexibility of parameters (length, multiplier, signal_length) allow the indicator to adapt to different market conditions.
2. Visual Clarity: Colored filling zones and horizontal lines make it easy to visualize relative strength levels.
3. Strength Signal: The signal line (RSTI Strength) allows traders to quickly spot changes in relative strength, facilitating decision-making.
4. Responsiveness: The combination of smoothed moving averages and relative strength indicators allows responsiveness to trend changes while reducing false signals.
It is essential to note that while this indicator can provide valuable insights, it is always recommended to use it in conjunction with other technical analysis tools for informed decision-making.
Megabar Breakout (Range & Volume & RSI)Hey there,
This strategy is based on the idea that certain events lead to what are called Megabars. Megabars are bars that have a very large range and volume. I wanted to verify whether these bars indicate the start of a trend and whether one should follow the trend.
Summary of the Code:
The code is based on three indicators: the range of the bar, the volume of the bar, and the RSI. When certain values of these indicators are met, a Megabar is identified. The direction of the Megabar indicates the direction in which we should trade.
Why do I combine these indicators?
I want to identify special bars that have the potential to mark the beginning of a breakout. Therefore, a bar needs to exhibit high volume, have a large range (huge price movement), and we also use the Relative Strength Index (RSI) to assess potential momentum. Only if all three criteria are met within one candle, do we use this as an identifier for a megabar.
Explanation of Drawings on the Chart:
As you can see, there is a green background on my chart. The green background symbolizes the time when I'm entering a trade. Only if a Megabar happens during that time, I'm ready to enter a trade. The time is between 6 AM and 4 PM CET. It's just because I prefer that time. Also, the strategy draws an error every time a Megabar happens based on VOL and Range only (not on the RSI). That makes it pretty easy to go through your chart and check the biggest bars manually. You can activate or deactivate these settings via the input data of the strategy.
When Do We Enter a Trade?
We wait for a Megabar to happen during our trading session. If the Megabar is bullish, we open a LONG trade at the opening price of the next candle. If the Megabar is bearish, we open a SHORT trade at the opening price of the next candle.
Where Do We Put Our Take Profit & Stop Loss?
The default setting is TP = 40 Pips and SL = 30 Pips. In that case, we are always trading with a risk-reward ratio of 1.33 by default. You can easily change these settings via the input data of the strategy.
Strategy Results
The criteria for Megabars were chosen by me in a way that makes Megabars something special. They are not intended to occur too frequently, as the fundamental idea of this strategy would otherwise not hold. This results in only 37 closed trades within the last 12 months. If you change the criterias for a megabar to a milder one, you will create more Megabars and therefore more trades. It's up to you. I have adapted this strategy to the 30-minute chart of the EURUSD. In the evaluation, we consider a period of 12 months, which I believe is sufficient.
My default settings for the indicators look like this:
Avg Length Vol 20
Avg Multiplier Vol 3
Avg Length Range 20
Avg Multiplier Range 4
Value SMA RSI for Long Trades 50
Value SMA RSI for Short Trades 70
IMPORTANT: The current performance overview does not display the results of these settings. Please change the settings to my default ones so that you can see how I use this strategy.
I do not recommend trading this strategy without further testing. The script is meant to reflect a basic idea and be used as a tool to identify Megabars. I have made this strategy completely public so that it can be further developed. One can take this framework and test it on different timeframes and different markets.
Market Average TrendThis indicator aims to be complimentary to SPDR Tracker , but I've adjusted the name as I've been able to utilize the "INDEX" data provider to support essentially every US market.
This is a breadth market internal indicator that allows quick review of strength given the 5, 20, 50, 100, 150 and 200 simple moving averages. Each can be toggled to build whatever combinations are desired, I recommend reviewing classic combinations such as 5 & 20 as well as 50 & 200.
It's entirely possible that I've missed some markets that "INDEX" provides data for, if you find any feel free to drop a comment and I'll add support for them in an update.
Markets currently supported:
S&P 100
S&P 500
S&P ENERGIES
S&P INFO TECH
S&P MATERIALS
S&P UTILITIES
S&P FINANCIALS
S&P REAL ESTATE
S&P CON STAPLES
S&P HEALTH CARE
S&P INDUSTRIALS
S&P TELECOM SRVS
S&P CONSUMER DISC
S&P GROWTH
NAS 100
NAS COMP
DOW INDUSTRIAL
DOW COMP
DOW UTILITIES
DOW TRANSPORTATION
RUSSELL 1000
RUSSELL 2000
RUSSELL 3000
You can utilize this to watch stocks for dip buys or potential trend continuation entries, short entries, swing exits or numerous other portfolio management strategies.
If using it with stocks, it's advisable to ensure the stock often follows the index, otherwise obviously it's great to use with major indexes and determine holdings sentiment.
Important!
The "INDEX" data provider only supplies updates to all of the various data feeds at the end of day, I've noticed quite some delays even after market close and not taken time to review their actual update schedule (if even published). Therefore, it's strongly recommended to mostly ignore the last value in the series until it's the day after.
Only works on daily timeframes and above, please don't comment that it's not working if on other timeframes lower than daily :)
Feedback and suggestions are always welcome, enjoy!
SMA Direction Cross Currency SummaryThis script shows the average SMA direction of each of the majors and crosses when compared to each other. The more blocks to the right the stronger the currency on that timeframe. The more blocks to the left the weaker the currency.
I'm finding it useful to quickly know the average flow of movement for each currency on the higher timeframes and then focus on that for a daily trade. I also like how i dont have to keep jumping between instruments to stay upto date. I'm not a 'real' trader so I have very limited time and attention for this so this does the job as a crude replacement for trawling all the chart each day.
The currencies compared are:
-NZD
-AUD
-JPY
-CHF
-EUR
-GBP
-CAD
-USD
The way it is calculated is that its based on the 20 SMA. For each currency vs the other crosses:
if the SMA is pointing up and price is higher = +2
if the SMA is pointing up and price is lower = +1
if the SMA is pointing down and price is higher = -2
if the SMA is pointing down and price is lower = -1
So if we where considering GBP. We would do that for GBPNZD, GBPAUD, GBPPJY, GBPCHF, GBPEUR, GBPCAD, GBPUSD. We would then consider this sum against all the currencies to understand the relative strength.
Due to the limit on how many instruments can be called in a single indicated you need to load it for each currencies so 8 currencies = 8 indicators.
Its a bit of a frankinstien script - it just throw it togeather so its probably got redundant code etc. Its built around 20 SMA - no idea what would happens when you change that.
NAS100 - 5 Minute Opening Range with EMAsThis indicator is designed for traders who focus on the opening range breakout strategy and use EMAs as part of their trading decisions. The script markes the first 5 min opening candle and generates Buy and Sell signals calculating EMA.
Basic features are :
User Inputs: Allows users to enable/disable alerts and choose to display Exponential Moving Averages (EMAs) for 5, 20, and 50 periods.
Opening Range Calculation: It calculates the first five minutes of the trading day, adjusting for different chart timeframes.
New Day Detection: Determines if the current bar is the first bar of a new day.
Data Storage: Utilizes arrays to store opening range highs, lows, start bars, and last bars for the last five days.
Daily Updates: Updates the stored data at the start of each new day, maintaining data for only the last five days.
Opening Range Plotting: Plots the opening ranges (high and low) for the past five days, with special plotting and filling for the current day.
EMA Calculation and Plotting: Calculates and plots EMAs (5, 20, and 50 periods) if enabled.
Alert Conditions: Sets up conditions for alerts when the price crosses above or below the current day's opening range.
Signal Generation: Generates buy and sell signals based on the relationship of the closing price to the opening range and the position of EMA5 relative to EMA50.
Signal Plotting: Plots buy and sell signals as triangles on the chart.
Adaptiv Trend Projection with Dynamic Length RegressionThe Adaptive Trend Projection indicator is a robust tool designed to provide an optimal trend projection calculated in a highly sophisticated manner. By utilizing linear regression lengths ranging from 20 to 200, this indicator estimates the duration of the trend by dynamically adjusting the projection length based on the calculated trend's strength.
Key Features:
1. Dynamic Length Adjustment: The indicator intelligently adapts the projection length between 20 and 200 using linear regression, ensuring adaptability to market conditions.
2. Trend Strength Calculation: Through linear regression analysis, the indicator calculates the slope, average, and intercept for each selected length, providing insights into the strength and direction of the trend.
3. Deviation Analysis: Beyond traditional trend analysis, the indicator calculates standard deviation, Pearson's correlation coefficient, and deviation values, offering a comprehensive view of market dynamics.
4. Confidence Levels: A unique feature of the Adaptive Trend Projection is its ability to determine confidence levels based on the highest Pearson's R value. Reliability is categorized into levels such as Neutral, Moderate, High, Very High, and Ultra High, providing users with a quick assessment of the projection's robustness.
5. Dynamic Forecasting: The indicator not only analyzes historical data but extends its functionality by dynamically forecasting future trend points. The projection adjusts in length based on the strength of the trend, allowing for more accurate predictions.
6. Visual Clarity: Enhancing visual clarity, the Adaptive Trend Projection indicator uses different line styles, widths, and colors to highlight crucial points, making it easier for traders to interpret and act upon the information.
In conclusion, the Adaptive Trend Projection indicator offers a nuanced understanding of market trends by combining advanced linear regression techniques, deviation analysis, and confidence level assessments. This enables traders to make informed decisions.
Monthly Performance Table by Dr. MauryaWhat is this ?
This Strategy script is not aim to produce strategy results but It aim to produce monthly PnL performance Calendar table which is useful for TradingView community to generate a monthly performance table for Own strategy.
So make sure to read the disclaimer below.
Why it is required to publish?:
I am not satisfied with the monthly performance available on TV community script. Sometimes it is very lengthy in code and sometimes it showing the wrong PNL for current month.
So I have decided to develop new Monthly performance or return in value as well as in percentage with highly flexible to adjust row automatically.
Features :
Accuracy increased for current month PnL.
There are 14 columns and automatically adjusted rows according to available trade years/month.
First Column reflect the YEAR, from second column to 13 column reflect the month and 14 column reflect the yearly PnL.
In tabulated data reflects the monthly PnL (value and (%)) in month column and Yearly PnL (value and (%)) in Yearly column.
Various color input also added to change the table look like background color, text color, heading text color, border color.
In tabulated data, background color turn green for profit and red for loss.
Copy from line 54 to last line as it is in your strategy script.
Credit: This code is modified and top up of the open-source code originally written by QuantNomad. Thanks for their contribution towards to give base and lead to other developers. I have changed the way of determining past PnL to array form and keep separated current month and year PnL from array. Which avoid the false pnl in current month.
Strategy description:
As in first line I said This strategy is aim to provide monthly performance table not focused on the strategy. But it is necessary to explain strategy which I have used here. Strategy is simply based on ADX available on TV community script. Long entry is based on when the difference between DIPlus and ADX is reached on certain value (Set value in Long difference in Input Tab) while Short entry is based on when the difference between DIMinus and ADX is reached on certain value (Set value in Short difference in Input Tab).
Default Strategy Properties used on chart(Important)
This script backtest is done on 1 hour timeframe of NSE:Reliance Inds Future cahrt, using the following backtesting properties:
Balance (default): 500 000 (default base currency)
Order Size: 1 contract
Comission: 20 INR per Order
Slippage: 5 tick
Default setting in Input tab
Len (ADX length) : 14
Th (ADX Threshhold): 20
Long Difference (DIPlus - ADX) = 5
Short Difference (DIMinus - ADX) = 5
We use these properties to ensure a realistic preview of the backtesting system, do note that default properties can be different for various reasons described below:
Order Size: 1 contract by default, this is to allow the strategy to run properly on most instruments such as futures.
Comission: Comission can vary depending on the market and instrument, there is no default value that might return realistic results.
We strongly recommend all users to ensure they adjust the Properties within the script settings to be in line with their accounts & trading platforms of choice to ensure results from the strategies built are realistic.
Disclaimer:
This script not provide indicative of any future results.
This script don’t provide any financial advice.
This strategy is only for the readymade snippet code for monthly PnL performance calender table for any own strategy.
Bull Flag DetectionThe FuturesGod bull flag indicator aims to identify the occurrence of bull flags.
Bull flags are a popular trading pattern that allows users to gauge long entries into a given market. Flags consist of a pole that is followed by either a downward or sideways consolidation period.
This script can be used on any market but was intended for futures (NQ, ES) trading on the intraday timeframe.
The script does the following:
1. Identifies the occurrence of a flag pole. This is based on a lookback period and percentage threshold decided by the user.
2. Marks the consolidation area after the pole occurrence using swing highs and swing lows.
3. Visually the above is represented by a shaded green area.
4. When a pole is detected, it is marked by a downward off-white triangle. Note that if the percentage threshold is reached several times on the same upward climb, the script will continue to identify points where the threshold for pole detection is met.
5. Also visualized are the 20, 50 and 200 period exponential moving averages. The area between the 20 and 50 EMAs are shaded to provide traders a visual of a possible support area.
Trendinator LiteThe Trendinator Lite indicator detects whether the crypto price is trending up or down. It is based on a set of rules developed by Scott Phillips.
According to the rules, trending is a two stage process (bollinger bands are 20 bar, 2 std):
1) Touch of the upper bollinger band for uptrend or touch of lower bollinger band for downtrend.
2) Look for a subsequent candle that makes both a higher high and a higher close since the upper bollinger touch in 1). When this happends, uptrend is confirmed. The reverse is true for down trend - look for a subsequent candle that makes both a lower low and a lower close since the lower bollinger touch in 1).
Trending stops when one of two things happens:
1) When we touch the lower bollinger band (in case of uptrend), or we touch the upper bollinger band (in case of downtrend).
2) When we continue for 20 bars without making a higher high (lower low for downtrend) than any of the preceding candles since we started trending.
The indicator is overlaid on top of the main chart - green for trending up, red for trending down, yellow for no trend.
Note, the upper bollinger and lower bollinger values are available as upper_bb and lower_bb respectively. Alerts can be set using these values if required.
Bollinger Bands (Nadaraya Smoothed) | Flux ChartsTicker: AMEX:SPY , Timeframe: 1m, Indicator settings: default
General Purpose
This script is an upgrade to the classic Bollinger Bands. The idea behind Bollinger bands is the detection of price movements outside of a stock's typical fluctuations. Bollinger Bands use a moving average over period n plus/minus the standard deviation over period n times a multiplier. When price closes above or below either band this can be considered an abnormal movement. This script allows for the classic Bollinger Band interpretation while de-noising or "smoothing" the bands.
Efficacy
Ticker: AMEX:SPY , Timeframe: 1m, Indicator settings: Standard Dev: 2; Level 1 : off; Level 2: off; labels: off
Upper Band Key:
Blue: Bollinger No smoothing
Orange: Bollinger SMA smoothing period of 10
Purple: Bollinger EMA smoothing period of 10
Red: Nadaraya Smoothed Bollinger bandwidth of 6
Here we chose periods so that each would have a similar offset from the original Bollinger's. Notice that the Red Band has a much smoother result while on average having a similar fit to the other smoothing techniques. Increasing the EMA's or SMA's period would result in them being smoother however the offset would increase making them less accurate to the original data.
Ticker: AMEX:SPY , Timeframe: 1m, Indicator settings: Standard Dev: 2; Level 1: off; Level 2: off; labels: off
Upper Band Key:
Blue: Bollinger No smoothing
Orange: Bollinger SMA smoothing period of 20
Purple: Bollinger EMA smoothing period of 20
Red: Nadaraya Smoothed Bollinger bandwidth of 6
This makes the Nadaraya estimator a particularly efficacious technique in this use case as it achieves a superior smoothness to fit ratio.
How to Use
This indicator is not intended to be used on its own. Its use case is to identify outlier movements and periods of consolidation. The Smoothing Factor when lowered results in a more reactive but noisy graph. This setting is also known as the "bandwidth" ; it essentially raises the amplitude of the kernel function causing a greater weighting to recent data similar to lowering the period of a SMA or EMA. The repaint smoothing simply draws on the Bollinger's each chart update. Typically repaint would be used for processing and displaying discrete data however currently it's simply another way to display the Bollinger Bands.
What makes this script unique.
Since Bollinger bands use standard deviation they have excess noise. By noise we mean minute fluctuations which most traders will not find useful in their strategies. The Nadaraya-Watson estimator, as used, is essentially a weighted average akin to an ema. A gaussian kernel is placed at the candlestick of interest. That candlestick's value will have the highest weight. From that point the other candlesticks' values effect on the average will decrease with the slope of the kernel function. This creates a localized mean of the Bollinger Bands allowing for reduced noise with minimal distortion of the original Bollinger data.
The Ultimate Buy and Sell IndicatorThis indicator should be used in conjunction with a solid risk management strategy that does not over-leverage positions and uses stop-losses. You can not rely 100% on the signals provided by this indicator (or any other for that matter).
With that said, this indicator can provide some excellent signals.
It has been designed with a large number of customization options intended for advanced traders, but you do not HAVE to be an advanced user to simply use the indicator. I have tried to make it easy to understand, and this section will provide you with a better understanding of how to use it.
NOTE:
While NOT REQUIRED, I would recommend also finding my indicator called, "Ultimate RSI", which is designed to work together with this indicator (visually). They both contain the same settings and allow you to visualize changes made in this indicator that can not be displayed on the main chart.
This indicator creates it's own candles(bars), so you have to go into your main settings and turn off the "body, border and wick" color settings. Using a dark background is also recommended.
How does it work?
The indicator mainly relies on the RSI indicator with Bollinger Bands for signals. (Though not entirely)
First, there are something that I call "Watch Signals", which are various Bollinger Band crossing events. This could be the price crossing Bollinger Bands or the RSI crossing Bollinger Bands.
There are separate watch signals for buys and sells. Buy watch signals are colored orange to match the BUY signal candle color and Fuchsia (kind of a bright purple) to match SELL signal candles.
In order for most buy or sell signals to be created, there must first be a watch signal. There is a lookback period (or length) for watch signals to be used, and after that many candles (bars) have passed, they will be ignored. You can set a length to look back as well as a time to wait before creating any.
What this means is that if there has previously been (for instance) a sell signal. You can tell it to wait 10 bars before creating any buy watch signals. You can then also tell it that it should look back 10 bars from the current one in order to find any buy watch signals. This means that if you had it set up that way 10 to wait and 10 to validate, it would start allowing buy watch signals 11 bars after a sell, and then once you hit 20 bars, it will start leaving a gap (invisible to you) as the 10 bar lookback period starts moving forward with each new bar. This is useful in order to keep signals more spaced apart as some bad signals come quickly after another one.
Example: You may get a sell signal where the Bollinger bands are tight, then the price easily drops down into the lower band creating a buy watch signal, then you get a "fake" or short pump up and it says buy, but then drops dramatically afterwards. The wait period can ensure that the sell stays in effect longer before a buy is considered by blocking any buy watch signals for a period of time.
After you get a watch signal, the system then looks for various other things to happen to create buy or sell signals. This could be the RSI crossing the (slow) RSI Basis line (from its Bollinger bands), it could be the price crossing its basis line, it could be MACD crosses, it could even be RSI crossing certain levels. All of these are options. If you like the MACD strategy and want it to give you buy and sell signals from just MACD crosses, simply select that option for signals.
It is also able to use the first of any of the options that takes place.
I included an option to force alternating buy and sell signals, rather than showing groups of, or subsequent buy, buy, buy signals, for instance.
Moving on....
You can change the moving average that is used to calculate the RSI. The standard moving average for RSI is the RMA (aka SWMA). Changes to this can dramatically change your signals. You also have the option to change the moving average type used in the Bollinger bands calculation. You can change the length of these as well. The same goes for the Bollinger bands over the Price chart. I added an ATR option for the RSI Bollinger bands to play with, as well. You are able to adjust the standard deviation (multiplier) of the bands as well, which will of course affect the signals.
The ways you can play with signals are nearly infinite, so have fun figuring it out.
The indicator allows for moving averages to be shown as well, with a variety of types to choose from. The standard numbers are 5, 10, 20, 50, 100 and 200, with the addition of a custom moving average of your choice. You can also change the color of this one. You can choose to show them all or any of them you want to show, in any combination, although the TYPE of moving average (SMA, EMA, WMA, etc.) will apply to all of them.
You may also notice the Bollinger Bands over the Price are colored, and become more or less transparent.
The color is derived from the trend of the RSI or the RSI basis (your choice). It looks back at the value however many bars you want and compares the values and that's how it determines if it is trending up or down. Since RSI is a directional momentum indicator, this can be quite useful. If you see the bands are getting darker, this will explain why.
The indicator has a lookback period for determining the widest the bands (which measure volatility) have been over that period of time. This is the baseline. It then will make the bands disappear (by making them more transparent) if the volatility is low. This indicates that a change in volatility is coming and that price isn't really changing much compared to the past (default 500) bars. If they become bright, this is because price has started trending in a direction and volatility is increasing.
I should also note that the candles are colored based on RSI levels.
If you use the Ultimate Companion indicator, you will be able to see the RSI levels (zones) that the colors are based on. As RSI moves into a new range, the candle color will change.
I have created a yellow zone where the candles turn yellow. This is when RSI is between (default) 45 and 55, indicating there is basically no momentum and price is going sideways. This is a good place to get trapped in bad trades, and there is a Yellow RSI Filter to block signals in this area to keep you from entering bad trades.
Green candles indicate values over 55 (getting brighter as RSI rises) and red candles are RSI values under 45 (getting brighter as RSI values get lower). If you see white, this means RSI is either over 80 or under 20. A sharp reversal is almost always imminent at this stage.
When we talk about Buy and Sell Signals, they draw a green or red triangle and it literally says BUY or SELL. There is an option to color the background for added visibility. These signals do not "repaint", what this means is that they can be late. To account for this, I have included a background color that will flash as a warning that a buy or sell could be imminent, although it may fail to break through and set a buy or sell signal. This is simply an advanced warning. The reason is that sometimes a candle may be very large and you won't be told to buy or sell during the candle until the move is completely over and now you're getting in on the next one. That's not a great feeling, so I made it repaint the background color and not repaint the completed signal. You get the best of both worlds.
This indicator also uses complex logic to handle things.
When there is a buy signal, it enters into a state of having been bought, or a "bought state". The same for sells. If Force alternating signals is off, you could have more than one buy in a bought state, or more than one sell in a sell state. There is an option to color the background green during the full duration of a bought state, or red during the full duration of a sold state.
I have added divergence.
This shows that the lows or highs of RSI and PRICE are different. If RSI is making higher highs but the price is not, then the price is likely to follow this bullish divergence, if the opposite happens, it's bearish. It will draw a line on the chart connecting the highs and lows and call it bearish or bullish. You can adjust this as well.
I have an RSI High/Low filter. If the RSI basis (or average) is very high or low, you can block signal from this area since the price is likely to continue in that direction before actually reversing.
You can change the settings of the MACD if you choose to use it for signals, and if you want to see it, you'll have to run that indicator below the chart and match the settings to see what is going on, just like the RSI.
Going back to Watch Signals. You can also choose to require more than one watch signal if you choose. You can skip watch signals, so it will ignore the first or second one, whatever you want to do. You can color the background to show you where watch signals have been skipped.
Regarding the wait period for creating watch signals after a sell or after a buy, you can also color the background to see where these were blocked by the wait period.
Lastly you can choose which type of watch signals to use, or keep them from being shown on the chart. This allows you to study the history of how the asset you are trading behaves and customize the behavior of signals based on your study of it.
Everything in the settings area has tooltips, which will explain what that thing does to help you along this journey.
I hope this indicator (and perhaps Ultimate RSI alongside this) will help you take your trading to the next level.
Sentiment Range MA [ChartPrime]The "Sentiment Range MA" provides traders with a dynamic perspective on market activity, emphasizing both stability in chop zones and quick adaptability outside of them.
Key Features:
Chop Zone Stability: In choppy markets, this indicator remains consistent, filtering out the noise to provide a clear view.
Quick Adaptability: Should the price break out of these zones, the indicator recalibrates promptly.
Dynamic Support and Resistance: Adapts based on the latest price action, serving as an evolving reference point.
Emphasis on Recent Levels: The tool factors in the latest notable market levels to stay relevant and timely.
Configurations:
Data Source: Choose your desired metric, though many default to the closing price.
Output Smoothing: Adjust the SR MA's response to market movements.
Trigger Smoothing: Refine boundary definitions based on your market insights.
ATR Period: Set the period for the ATR, influencing the surrounding boundary's width.
Range Multiplier: Control the ATR's effect on the range.
Range Switch: Flip between high-low and open-close values for range determination.
Visuals
Sentiment Range MA Line:
- This is the flowing line that transitions between green and red.
- When it's green, it indicates bullish momentum in the market. This suggests a prevailing upward trend and can be an entry cue for traders who trade with the trend.
- When it turns red, bearish sentiments dominate. It indicates the potential beginning of a downtrend or a continued downtrend. Traders might interpret this as a signal to be cautious, to short the market, or to exit long positions.
The Chop Zone:
- This is the space between the price candles and the Sentiment Range MA line. It represents a region where the price is considered to be moving sideways or without a clear direction. Price movements within the chop zone might not be substantial enough to warrant a trading decision. Only when the price breaks out of this zone do we see the Sentiment Range MA line change color, signaling a potential trading opportunity.
By interpreting these visuals, traders can make more informed decisions based on the prevailing market sentiment and trend. The chart becomes a tool, providing both an overview of the market condition and potential entry or exit points based on the Sentiment Range MA indicator's readings.
Detailed Settings Overview
Understanding the settings of the Sentiment Range MA Indicator can greatly enhance its utility in your trading strategy. Let's dive deeper into each:
Output Smoothing:
Purpose: It refines the SR MA to provide a clearer trend perspective.
Functionality:
- At `0`, it ensures the indicator responds immediately to price deviations from the chop zone.
- At higher values, it transforms the indicator into a volatility-adjusted moving average.
Filtering Modes:
- Single Filtering: Prioritizes speed.
- Double Filtering: Emphasizes stability.
Trigger Smoothing:
Purpose: Used for the range break detection.
Functionality: It dampens the indicator's sensitivity to sudden market volatility, preventing unnecessary triggers.
ATR Length:
Purpose: Governs the retrospective period for the chop zone.
Functionality:
- Higher values offer a more consistent and broad range size, capturing more historical data.
- Lower values allow for a more adaptive and responsive range.
Range Multiplier:
Purpose: Modifies the breadth of the range around the SR MA.
Functionality: Increasing the multiplier will extend the range, giving more leeway before triggering, while decreasing it will narrow the range, making the indicator more responsive to price changes.
Range Style:
Purpose: Decides which candlestick data is factored into the true range calculations.
Options:
- Body: Uses the open and close values.
- Wick: Accounts for the high and low values.
Functionality: Switching between styles lets you prioritize either the overall volatility (Wick) or just the concluded price action for a period (Body).
By fine-tuning these settings, traders can tailor the Sentiment Range MA Indicator to various market conditions and personal trading styles, ensuring optimal decision-making.
Quick Start
Based on the provided chart, here's a brief explanation of the default settings for the Sentiment Range MA Indicator:
Length: Set at ` 20 `.
- This determines the base moving average period. A standard setting, it calculates the average price over the last 20 periods, providing traders with a clear perspective of short-term trends.
ATR Length: Set at ` 200 `.
- This adjusts the lookback period for the Average True Range (ATR), which in turn influences the chop zone calculation. At a setting of 200, it offers a comprehensive view, considering a longer stretch of historical data.
Range Multiplier: Set at ` 6 `.
- This multiplies the ATR value, widening or narrowing the band around the SR MA. A setting of 6 means the range around the SR MA is determined by multiplying the ATR by 6, offering a broader fluctuation zone.
On the chart, the green line represents the bullish sentiment and the red represents the bearish sentiment. Price movements above and below these lines can be used as potential buy or sell signals respectively. Fine-tuning these settings can cater the Sentiment Range MA Indicator to your specific trading strategy and market condition preferences.
Alternative Settings
For traders looking to adapt to faster market conditions or prefer a more agile analysis, here's a brief description of the alternative settings for the Sentiment Range MA Indicator:
Length: Set at ` 3 `.
- This highly responsive setting calculates the average price over the last 3 periods. Ideal for quick market movements, it offers traders insights into very short-term price trends and potentially swift trade opportunities.
ATR Length: Set at ` 50 `.
- This shorter lookback period for the Average True Range (ATR) focuses on more recent market volatility, providing a tighter and more current chop zone calculation. It's suitable for those wanting to respond to recent market shifts.
Range Multiplier: Set at ` 4 `.
- Multiplying the ATR by 4 narrows down the buffer around the SR MA. This creates a tighter sentiment range, possibly resulting in more frequent crossovers and trading signals.
In the provided chart, the green line still denotes bullish momentum while the red symbolizes bearish sentiment. These alternative settings might generate more frequent signals, so traders should ensure their strategy is aligned with this heightened sensitivity.
Wrapping Up
The Sentiment Range MA melds stability and agility, making it a valuable tool in your trading toolkit. As always, before integrating new indicators, take the time to understand its nuances and potential impacts on your strategy.
RSI Custom LevelsRSI Custom Levels is a "one stop shop" for a complete strategy based on RSI.
AS per principal: RSI oscillates between 0-100 and therefore the indicator is build around various parameters of RSI. It comprises of 4 different levels of RSI and therefore highlights the candles accordingly.
Understanding each LEVEL:
Level 1 (Highlight): Highlights candles that have an RSI value (closing basis) less than Level 1 specified value (default 20)
Level 2 (Highlight): Highlights candles that have an RSI value (closing basis) greater than Level 1 specified value (default 20) and less than Level 2 specified value (default 45)
Level 4 (Highlight): Highlights candles that have an RSI value (closing basis) greater than Level 4 specified value (default 80)
Level 3 (Highlight): Highlights candles that have an RSI value (closing basis) greater than Level 3 specified value (default 55) and less than Level 4 specified value (default 80)
The most efficient way to trade is as follows:
TRENDING SETUPS:
Uptrend Setups: When RSI enters Level 3 with exit at Level 4
Downtrend Setups: When RSI enters Level 2 with exit at Level 1
SIDEWAYS APPLICATION:
When RSI is in between Level 2 and 3 that area has no highlights as the system considers it to be FLAT and non oscillating.
OVERSTRETCHED APPLICATIONS:
Downtrend Reversal: When RSI enters Level 2 from Level 1 that is a sign for a downtrend reversal.
Uptrend Reversal: When RSI enters Level 3 from Level 2 that is a sign for a uptrend reversal.
Moreover the most ideal scenario is to convert the colour of all candles into white (in dark theme) or black(in light theme) for best performance.
YD_Divergence_RSI+CMFThe ‘YD_Divergence_RSI+CMF’ indicator can find divergence using RSI (Relative Strength Index) and CMF (Chaikin Money Flow) indicators.
📌 Key functions
1. Search pivot high and pivot low points in a certain length of price.
2. Connect pivot high to pivot high , pivot low to pivot low , forming two standards for divergence in result.
The marker then plots only the higher high, lower low lines.
(higher low and lower high in prices are referred to hidden divergence, which are not considered in this indicator)
3. Compare the two standards with RSI and CMF indicators, send an alert if there is a divergence. As a result, the indicator will find four combination of divergence.
A. Higher high price / Lower RSI (Bearish RSI Divergence)
B. Lower low price / Higher RSI (Bullish RSI Divergence)
C. Higher high price / Lower CMF (Bearish CMF Divergence)
D. Lower low price / Higher CMF (Bullish CMF Divergence)
📌 Details
Developing the indicators, we put a lot of effort in making a customizable and user-friendly interface.
#1. Pivot Setting
Users can set the length to find the pivot high / pivot low in ‘Pivot Settings – Pivot Length.’
Increased pivot Length takes more candles to interpret the chart but reduce false signals since the it uses only the most certain pivot high / pivot low values. Obviously, decreased pivot length will act the opposite.
Users can choose whether to use ‘High/Low’ or ‘Close’ in ‘Pivot Reference’ to set the swing point of prices.
Users can also choose whether to display the pivot high / pivot low marker on the chart.
#2 RSI & CMF Settings
Users can adjust the length of RSI & CMF separately. (The default values are set to 14 and 20 each.)
#3 Label Setting
Users can adjust the text displayed on the chart label. (The default values is set to ‘Bullish / Bearish’, ‘RSI/CMF’, ‘Divergence’.)
Users can reduce the length of text label or simply turn the label off. Just click the ‘Bull/Bear’ or ‘None’ button. ‘Divergence’ works the same.
Users can decide whether to display the ‘Divergence Line and Label’, set custom settings for the label and line. (color, thickness, style, etc)
📌 Alert
Alert are provided as a combination of the chart's symbol and the set label text. For example,
‘BINANCE:BTCUSDT.P, Bullish RSI Divergence’
====================================================
"YD_Divergence_RSI+CMF" 지표 는 RSI와 CMF 지표를 이용해서 Divergence 를 찾아낼 수 있습니다.
📌 주요 기능
1. 정해진 가격 움직임 안에서 pivot high와 pivot low 포인트 를 찾아냅니다.
2. Pivot high로만 이어진 라인과, Pivot low로만 이어진 두 라인을 작도한 뒤 divergence의 기준으로 삼습니다.
이 지표에서는 normal divergence만 사용하기 때문에 차트에 higher high와 lower low만 표기 합니다.
(higher low와 lower high는 hidden divergence로 정의되며, 이 지표에서는 다루지 않습니다.
3. 두 기준선과 RSI, CMF 지표를 각각 비교하고, 결과적으로 4개의 조합을 구할 수 있습니다.
A. Higher high price / Lower RSI (Bearish RSI Divergence)
B. Lower low price / Higher RSI (Bullish RSI Divergence)
C. Higher high price / Lower CMF (Bearish CMF Divergence)
D. Lower low price / Higher CMF (Bullish CMF Divergence)
📌 세부 사항
지표를 개발하며 사용자들이 원하는 방향으로 지표를 설정할 수 있게 작업에 많은 공을 들였습니다. 굉장히 다양한 옵션을 선택할 수 있으며, 원하는 방식으로 지표를 사용할 수 있습니다.
#1 Pivot Setting
Pivot setting에서는 Pivot Length를 변경할 수 있습니다.
Pivot Length를 늘릴 경우, 보다 확실한 Swing High와 Swing Low만을 사용하게 되므로, False signal이 줄어들 수 있습니다. 하지만 Swing High/ Low를 판정하는 데에 더 긴 시간이 걸리게 되므로, Signal이 다소 늦게 발생하는 단점이 생기게 됩니다.
Pivot Length를 줄일 경우, 반대로 Swing High/Low의 판정이 더 빨리 일어나기 때문에, Signal을 거래에 이용하기는 좋을 수 있습니다. 다만, Swing High와 Low가 훨씬 더 잦은 빈도로 발생하기 때문에 False Signal을 줄 가능성이 높아집니다.
Pivot Reference에서는 가격의 Swing Point를 설정함에 있어, High/Low(고가/저가)를 이용할 지 Close (종가)를 이용할 지 선택할 수 있습니다.
Pivot High/Low Marker를 선택할 경우 Pivot High/ Low에 Marker가 찍히게 됩니다.
#2 RSI와 CMF Setting
RSI와 CMF Setting에서는 RSI와 CMF의 길이를 각각 설정할 수 있습니다. 기본값은 14와 20으로 설정되어 있습니다.
#3 Label Setting
Label Setting에서는 Label에 표시되는 글자를 선택할 수 있습니다.
기본값은 "Bullish / Bearish", "RSI/CMF", "Divergence"로 선택되어 있으며, 너무 길다고 느껴질 경우 "Bull/Bear" 혹은 "None"을 클릭하여 길이를 줄일 수 있습니다. 마찬가지로 Divergence의 경우도 생략이 가능합니다.
하단에서는 Divergence Line과 Label을 켜고 끌 수 있으며, 선의 색깔, 굵기, 종류, 그리고 Label의 색깔, 크기, 종류를 선택할 수 있습니다. Label의 Text 색 역시 변경이 가능합니다.
📌 얼러트
얼러트는 자신이 설정한 차트의 심볼과 Label의 문구의 조합으로 제공되며 예를 들면 다음과 같습니다.
"BINANCE:BTCUSDT.P, Bullish RSI Divergence"
Machine Learning: Trend Lines [YinYangAlgorithms]Trend lines have always been a key indicator that may help predict many different types of price movements. They have been well known to create different types of formations such as: Pennants, Channels, Flags and Wedges. The type of formation they create is based on how the formation was created and the angle it was created. For instance, if there was a strong price increase and then there is a Wedge where both end points meet, this is considered a Bull Pennant. The formations Trend Lines create may be powerful tools that can help predict current Support and Resistance and also Future Momentum changes. However, not all Trend Lines will create formations, and alone they may stand as strong Support and Resistance locations on the Vertical.
The purpose of this Indicator is to apply Machine Learning logic to a Traditional Trend Line Calculation, and therefore allowing a new approach to a modern indicator of high usage. The results of such are quite interesting and goes to show the impacts a simple KNN Machine Learning model can have on Traditional Indicators.
Tutorial:
There are a few different settings within this Indicator. Many will greatly impact the results and if any are changed, lots will need ‘Fine Tuning’. So let's discuss the main toggles that have great effects and what they do before discussing the lengths. Currently in this example above we have the Indicator at its Default Settings. In this example, you can see how the Trend Lines act as key Support and Resistance locations. Due note, Support and Resistance are a relative term, as is their color. What starts off as Support or Resistance may change when the price crosses over / under them.
In the example above we have zoomed in and circled locations that exhibited markers of Support and Resistance along the Trend Lines. These Trend Lines are all created using the Default Settings. As you can see from the example above; just because it is a Green Upwards Trend Line, doesn’t mean it’s a Support Line. Support and Resistance is always shifting on Trend Lines based on the prices location relative to them.
We won’t go through all the Formations Trend Lines make, but the example above, we can see the Trend Lines formed a Downward Channel. Channels are when there are two parallel downwards Trend Lines that are at a relatively similar angle. This means that they won’t ever meet. What may happen when the price is within these channels, is it may bounce between the upper and lower bounds. These Channels may drive the price upwards or downwards, depending on if it is in an Upwards or Downwards Channel.
If you refer to the example above, you’ll notice that the Trend Lines are formed like traditional Trend Lines. They don’t stem from current Highs and Lows but rather Machine Learning Highs and Lows. More often than not, the Machine Learning approach to Trend Lines cause their start point and angle to be quite different than a Traditional Trend Line. Due to this, it may help predict Support and Resistance locations at are more uncommon and therefore can be quite useful.
In the example above we have turned off the toggle in Settings ‘Use Exponential Data Average’. This Settings uses a custom Exponential Data Average of the KNN rather than simply averaging the KNN. By Default it is enabled, but as you can see when it is disabled it may create some pretty strong lasting Trend Lines. This is why we advise you ZOOM OUT AS FAR AS YOU CAN. Trend Lines are only displayed when you’ve zoomed out far enough that their Start Point is visible.
As you can see in this example above, there were 3 major Upward Trend Lines created in 2020 that have had a major impact on Support and Resistance Locations within the last year. Lets zoom in and get a closer look.
We have zoomed in for this example above, and circled some of the major Support and Resistance locations that these Upward Trend Lines may have had a major impact on.
Please note, these Machine Learning Trend Lines aren’t a ‘One Size Fits All’ kind of thing. They are completely customizable within the Settings, so that you can get a tailored experience based on what Pair and Time Frame you are trading on.
When any values are changed within the Settings, you’ll likely need to ‘Fine Tune’ the rest of the settings until your desired result is met. By default the modifiable lengths within the Settings are:
Machine Learning Length: 50
KNN Length:5
Fast ML Data Length: 5
Slow ML Data Length: 30
For example, let's toggle ‘Use Exponential Data Averages’ back on and change ‘Fast ML Data Length’ from 5 to 20 and ‘Slow ML Data Length’ from 30 to 50.
As you can in the example above, all of the lines have changed. Although there are still some strong Support Locations created by the Upwards Trend Lines.
We will conclude our Tutorial here. Hopefully you’ve learned how to use Machine Learning Trend Lines and will be able to now see some more unorthodox Support and Resistance locations on the Vertical.
Settings:
Use Machine Learning Sources: If disabled Traditional Trend line sources (High and Low) will be used rather than Rational Quadratics.
Use KNN Distance Sorting: You can disable this if you wish to not have the Machine Learning Data sorted using KNN. If disabled trend line logic will be Traditional.
Use Exponential Data Average: This Settings uses a custom Exponential Data Average of the KNN rather than simply averaging the KNN.
Machine Learning Length: How strong is our Machine Learning Memory? Please note, when this value is too high the data is almost 'too' much and can lead to poor results.
K-Nearest Neighbour (KNN) Length: How many K-Nearest Neighbours are allowed with our Distance Clustering? Please note, too high or too low may lead to poor results.
Fast ML Data Length: Fast and Slow speed needs to be adjusted properly to see results. 3/5/7 all seem to work well for Fast.
Slow ML Data Length: Fast and Slow speed needs to be adjusted properly to see results. 20 - 50 all seem to work well for Slow.
If you have any questions, comments, ideas or concerns please don't hesitate to contact us.
HAPPY TRADING!
Donchian MA Bands [LuxAlgo]The Donchian MA Bands script is a complete trend indicator derived from the popular Donchian channel indicator as well as various customizable moving averages to estimate trend direction and build support/resistance levels & zones.
🔶 USAGE
The indicator outputs various elements, the main ones being a lower dynamic zone (blue by default), an upper dynamic zone (in orange by default), and one support and resistance level/zones (red/green by default).
A prominent lower zone is indicative of an uptrend, while a prominent upper zone is indicative of a downtrend. These zones can be used as support/resistance as well.
Support/resistance zones and levels can be used using a breakout methodology or to determine price bounced if a level was tested multiple times.
The indicator contains various modes affecting the output of the indicator, described below.
🔹 Clouds
Clouds return one upper/lower dynamic zone and look/act similarly to a trailing stop. Price over the lower zone is indicative of an uptrend, and price under the upper zone is indicative of a downtrend.
🔹 Upper Band
The upper band mode returns a dynamic zone closer to prices during an uptrend, and farther away during a downtrend.
This band can act as a support during uptrends.
🔹 Lower Band
The lower band mode returns a dynamic zone closer to prices during an uptrend, and farther away during a downtrend.
This band can act as a resistance during downtrends.
🔹 Bands
Bands return both upper and lower zones, the zones are more apparent depending on the price trend direction, with uptrends being indicated by a more visible lower zone, and downtrends being indicated by a more visible upper zone.
Breakout dots are highlighted when price breakout the indicator displayed extremities, and can be indicative of a confirmed trend reversal.
These breakouts can be more effective for trend following during trending markets. Ranging markets might return breakouts highlighting the top/bottom.
🔶 DETAILS
The core of this script is the highest / lowest mean average (MA) value for a given number of bars back ( Donchian lines).
This is repeated a few times with the obtained values.
When Bands are chosen ( Style ) this will be repeated 1 more time.
The type of mean average can be customized ( Type MA ), as well as the number of bars back ( Length ).
Depending on the choice of bands ( Style ) the script will focus on certain area's of interest.
When the option Clouds , Upper band or Lower band is chosen, an extra feature, support/resistance (S/R), will be shown.
These color-filled areas are visible when there is a difference between the 2nd and 3rd highest/lowest values.
The lines/areas can be used for stop loss, entry, exit,...
You can set the type of MA and Length separately ( Settings -> S/R ).
If you don't need this feature, simply set Type ( Settings -> S/R ) -> NONE
The shape sometimes resembles triangles, indicating a potential direction
Default the average of the highest and lowest values is plotted (Style -> Mid Donchian)
This can act as potential support/resistance or visualization of the trend, the mean average is not plotted but can be (Style -> MA)
🔹 Note
When the option Bands is chosen, an indication is plotted when the closing price breaks above the highest band or breaks below the lower band. This isn't necessarily a buy/sell signal, it is merely a signal that these lines are broken.
Users should decide on their own how they use the bands/lines/areas as entry, exit, trailing stop, stop loss, profit taking,...
🔶 SETTINGS
🔹 Bands
Style: Clouds (default), Upper band, Lower band, Bands
Type MA: choose between SMA, EMA, RMA, HullMA, WMA, VWMA (default), DEMA, TEMA, NONE (off)
Length: Length of moving average and Donchian calculations (default 20)
Colour Bands
🔹 S/R (Support/Resistance, visible with Clouds, Upper band or Lower band)
Type MA: choose between SMA, EMA, RMA, HullMA, WMA, VWMA (default), DEMA, TEMA, NONE (off)
Length: Length of moving average and Donchian calculations (default 20)
Colour S/R
Advanced EMA Cross with Normalized ATR Filter, Controlling ADX
Description:
This strategy is based on EMA cross strategy and additional filters are used to get better results, a normalized ATR filter, and ADX control...
It aims to provide traders with a code base that generates signals for long positions based on market conditions defined by various indicators.
How it Works:
1. EMA: Uses short (8 periods) and long (20 periods) EMAs to identify crossovers.
2. ATR: Uses a 14-period ATR, normalized to its 20-period historical range, to filter out noise.
3. ADX: Uses a 14-period RMA to identify strong trends.
4. Volume: Filters trades based on a 14-period SMA of volume.
5. Super Trend: Uses a Super Trend indicator to identify the market direction.
How to Use:
- Buy Signal: Generated when EMA short crosses above EMA long, and other conditions like ATR and market direction are met.
- Sell Signal: Generated based on EMA crossunder and high ADX value.
Originality and Usefulness:
This script combines EMA, ATR, ADX, and Super Trend indicators to filter out false signals and identify more reliable trading opportunities.
USD Strength in the code is not working, just simulated it as PSEUDO CODE:
Strategy Results:
- Account Size: $1000
- Commission: Not considered
- Slippage: Not considered
- Risk: Manageable through parameters, now less than 5% per trade
- Dataset: Aim for more than 100 trades for a sufficient sample size
- Test Conditions: Test in 30 min chart for BTCUSDT
IMPORTANT NOTE: This script should be used for educational purposes and should not be considered as financial advice.
Chart:
- The script's output is plotted as Buy and Sell signals on the chart.
- No other scripts are included for clarity.
- Have tested with 30mins period
- You are encouraged to play with parameters, let me know if it helps you and/or if you can upgrade the code to a better level.
WHY DID I USE ATR AND ADX?
ATR filter is usually used for the following purposes.
Market Volatility: ATR measures how volatile the market is. High ATR values indicate that the price is experiencing significant fluctuations.
Filtering: Crossing a certain ATR threshold may indicate that the market is active enough to present trading opportunities.
Risk Management: ATR can also be used to set stop-loss and take-profit levels, helping to manage risk effectively.
And ADX is usually used for;
Trend Strength: ADX measures the strength of a trend. High ADX values indicate a strong trend.
Filtering: An ADX value above a certain level suggests that the trend is strong and it might be safer to trade.
Versatility: ADX does not indicate the direction of the trend, only its strength. This makes it useful in both bullish and bearish markets.
Using these indicators together can help filter out false signals and produce more reliable trading signals. While ATR helps to determine if the market is active enough, ADX measures the strength of the trend. Combined, they can create a more complex and effective trading strategy.
I've used ADX data to support generating a buy signal after a golden cross (bullish trend) and waiting until this is a strong trend. It sounds good to check for different trend strengths for bullish and bearish markets to decide a buy signal. Additionally I used ATR to check if the market has enough fluctuations.
