[blackcat] L2 Ehlers Autocorrelation PeriodogramLevel: 2
Background
John F. Ehlers introduced Autocorrelation Periodogram in his "Cycle Analytics for Traders" chapter 8 on 2013.
Function
Construction of the autocorrelation periodogram starts with the autocorrelation function using the minimum three bars of averaging. The cyclic information is extracted using a discrete Fourier transform (DFT) of the autocorrelation results. This approach has at least four distinct advantages over other spectral estimation techniques. These are:
1. Rapid response. The spectral estimates start to form within a half-cycle period of their initiation.
2. Relative cyclic power as a function of time is estimated. The autocorrelation at all cycle periods can be low if there are no cycles present, for example, during a trend. Previous works treated the maximum cycle amplitude at each time bar equally.
3. The autocorrelation is constrained to be between minus one and plus one regardless of the period of the measured cycle period. This obviates the need to compensate for Spectral Dilation of the cycle amplitude as a function of the cycle period.
4. The resolution of the cyclic measurement is inherently high and is independent of any windowing function of the price data.
The dominant cycle is extracted from the spectral estimate in the next block of code using a center-of-gravity (CG) algorithm. The CG algorithm measures the average center of two-dimensional objects. The algorithm computes the average period at which the powers are centered. That is the dominant cycle. The dominant cycle is a value that varies with time. The spectrum values vary between 0 and 1 after being normalized. These values are converted to colors. When the spectrum is greater than 0.5, the colors combine red and yellow, with yellow being the result when spectrum = 1 and red being the result when the spectrum = 0.5. When the spectrum is less than 0.5, the red saturation is decreased, with the result the color is black when spectrum = 0.
Key Signal
DominantCycle --> Dominant Cycle
Period --> Autocorrelation Periodogram Array
Pros and Cons
100% John F. Ehlers definition translation of original work, even variable names are the same. This help readers who would like to use pine to read his book. If you had read his works, then you will be quite familiar with my code style.
Remarks
The 49th script for Blackcat1402 John F. Ehlers Week publication.
Courtesy of @RicardoSantos for RGB functions.
Readme
In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.
The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works.
Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element.
Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level.
Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated.
Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop.
Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.
Cari dalam skrip untuk "algo"
Trend-Range IdentifierTrend trading algorithms fail in ranging market and Swing trading algorithm fail in trending market. Purpose of this indicator is to identify if the instrument is trending or ranging so that you can apply appropriate trading algorithm for the market.
Process:
ATR is calculated based on the input parameter atrLength
Range/Channel containing upLine and downLine is calculated by adding/subtracting atrMultiplier * atr to close price.
This range/channel will remain same until the price breaks either upLine or downLine.
Once price crosses one among upLine and downLine, then new upLine/downLine is calculated based on latest close price.
If price breaks upLine, the trend is considered to be up until the next line break or no lines are broken for rangeLength bars. During this state, candles are colored in lime and upLine/downLine are colored in green.
If price breaks downLine, the trend is considered to be down until the next line break or no lines are broken for rangeLength bars. During this state, candles are colored in orange and upLine/downLine are colored in red.
If close price does not break either upLine or downLine for rangeLength bars, then the instrument is considered to be in range. During this state, candles are colored in silver and upLine/downLine are colored in purple.
In ranging duration, we display one among Keltner Channel, Bollinger Band or Donchian Band as per input parameter : rangeChannel . Other parameters used for calculation are rangeLength and stdDev
I have not fully optimized parameters. Suggestions and feedback welcome.
Dynamic Dots Dashboard (a Cloud/ZLEMA Composite)The purpose of this indicator is to provide an easy-to-read binary dashboard of where the current price is relative to key dynamic supports and resistances. The concept is simple, if a dynamic s/r is currently acting as a resistance, the indicator plots a dot above the histogram in the red box. If a dynamic s/r is acting as support, a dot is plotted in the green box below.
There are some additional features, but the dot graphs are king.
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KEY:
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Currently the dynamic s/r's being used in the dot plots are:
Ichimoku Cloud:
Tenkan (blue)
Kijun (pink)
Senkou A (red)
Senkou B (green)
ZLEMA (Zero Lag Exponential Moving Average)
99 ZLEMA (lavender)
200 ZLEMA (salmon)
You'll see a dashed line through the middle of the resistances section (red) and supports section (green). Cloud indicators are plotted above the dashed line, and ZLEMA's are below.
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How it Works - Visual
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As stated in the intro - if a dynamic s/r is currently above the current price and acting as a resistance, the indicator plots a dot above the histogram in the red box. If a dynamic s/r is acting as support, a dot is plotted in the green box below. Additionally, there is an optional histogram (default is on) that will further visualize this relationship. The histogram is a simple summation of the resistances above and the supports below.
Here's a visual to assist with what that means. This chart includes all of those dynamic s/r's in the dynamic dot dashboard (the on-chart parts are individually added, not part of this tool).
You can see that as a dynamic support is lost, the corresponding dot is moved from the supports section at the bottom (green), to the resistances section at the top (red). The opposite being true as resistances are being overtaken (broken resistances are moved to the support section (red)). You can see that the raw chart is just... a mess. Which kinda of accentuates one of the key goals of this indicator: to get all that dynamic support info without a mess of a chart like that.
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How To Use It
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There are a lot of ways to use this information, but the most notable of which is to detect shifts in the market cycle.
For this example, take a look at the dynamic s/r dots in the resistances category (red background). You can see clearly that there are distinctive blocks of high density dots that have clear beginnings and ends. When we transition from a high density of dots to none in resistances, that means we are flipping them as support and entering a bull cycle. On the other hand, when we go from low density of dots as resistances to high density, we're pivoting to a bear cycle. Easy as that, you can quickly detect when market cycles are beginning or ending.
Alternatively, you can add your preferred linear SR's, fibs, etc. to the chart and quickly glance at the dashboard to gauge how dynamic SR's may be contributing to the risk of your trade.
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Who It's For
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New traders: by looking at dot density alone, you can use Dot Dynamics to spot transitionary phases in market cycles.
Experienced traders: keep your charts clean and the information easy to digest.
Developers: I created this originally as a starting point for more complex algos I'm working on. One algo is reading this dot dashboard and taking a position size relative to the s/r's above and below. Another cloud algo is using the results as inputs to spot good setups.
Colored Bars
There is an option (off by default, shown in the headline image above) to fill the bar colors based on how many dynamic s/r's are above or below the current price. This can make things easier for some users, confusing for others. I defaulted them to off as I don't want colors to confuse the primary value proposition of the indicators, which is the dot heat map. You can turn on colored bars in the settings.
One thing to note with the colored bars: they plot the color purely by the dot densities. Random spikes in the gradient colors (i.e. red to lime or green) can be a useful thing to notice, as they commonly occur at places where the price is bouncing between dynamic s/r's and can indicate a paradigm shift in the market cycle.
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Timeframes and Assets
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This can be used effectively on all assets (stocks, crypto, forex, etc) and all time frames. As always with any indicator, the higher TF's are generally respected more than lower TF's.
Thanks for checking it out! I've been trading crypto for years and am just now beginning to publish my ideas, secret-sauce scripts and handy tools (like this one). If you enjoyed this indicator and would like to see more, a like and a follow is greatly appreciated 😁.
Price levelsThanks to the developers for adding arrays to TradingView. This gives you more freedom in Pine Script coding.
I have created an algorithm that draws support and resistance levels on a chart. The algorithm can be easily customized as you need.
This algorithm can help both intuitive and system traders. Intuitive traders just look at the drawn lines. For system traders, the "levels" array stores all level values. Thus, you can use these values for algorithmic trading.
McGinley Dynamic (Improved) - John R. McGinley, Jr.For all the McGinley enthusiasts out there, this is my improved version of the "McGinley Dynamic", originally formulated and publicized in 1990 by John R. McGinley, Jr. Prior to this release, I recently had an encounter with a member request regarding the reliability and stability of the general algorithm. Years ago, I attempted to discover the root of it's inconsistency, but success was not possible until now. Being no stranger to a good old fashioned computational crisis, I revisited it with considerable contemplation.
I discovered a lack of constraints in the formulation that either caused the algorithm to implode to near zero and zero OR it could explosively enlarge to near infinite values during unusual price action volatility conditions, occurring on different time frames. A numeric E-notation in a moving average doesn't mean a stock just shot up in excess of a few quintillion in value from just "10ish" moments ago. Anyone experienced with the usual McGinley Dynamic, has probably encountered this with dynamically dramatic surprises in their chart, destroying it's usability.
Well, I believe I have found an answer to this dilemma of 'susceptibility to miscalculation', to provide what is most likely McGinley's whole hearted intention. It required upgrading the formulation with two constraints applied to it using min/max() functions. Let me explain why below.
When using base numbers with an exponent to the power of four, some miniature numbers smaller than one can numerically collapse to near 0 values, or even 0.0 itself. A denominator of zero will always give any computational device a horribly bad day, not to mention the developer. Let this be an EASY lesson in computational division, I often entertainingly express to others. You have heard the terminology "$#|T happens!🙂" right? In the programming realm, "AnyNumber/0.0 CAN happen!🤪" too, and it happens "A LOT" unexpectedly, even when it's highly improbable. On the other hand, numbers a bit larger than 2 with the power of four can tremendously expand rapidly to the numeric limits of 64-bit processing, generating ginormous spikes on a chart.
The ephemeral presence of one OR both of those potentials now has a combined satisfactory remedy, AND you as TV members now have it, endowed with the ever evolving "Power of Pine". Oh yeah, this one plots from bar_index==0 too. It also has experimental settings tweaks to play with, that may reveal untapped potential of this formulation. This function now has gain of function capabilities, NOT to be confused with viral gain of function enhancements from reckless BSL-4 leaking laboratories that need to be eternally abolished from this planet. Although, I do have hopes this imd() function has the potential to go viral. I believe this improved function may have utility in the future by developers of the TradingView community. You have the source, and use it wisely...
I included an generic ema() plot for a basic comparison, ultimately unveiling some of this algorithm's unique characteristics differing on a variety of time frames. Also another unconstrained function is included to display some the disparities of having no limitations on a divisor in the calculation. I strongly advise against the use of umd() in any published script. There is simply just no reason to even ponder using it. I also included notes in the script to warn against this. It's funny now, but some folks don't always read/understand my advisories... You have been warned!
NOTICE: You have absolute freedom to use this source code any way you see fit within your new Pine projects, and that includes TV themselves. You don't have to ask for my permission to reuse this improved function in your published scripts, simply because I have better things to do than answer requests for the reuse of this simplistic imd() function. Sufficient accreditation regarding this script and compliance with "TV's House Rules" regarding code reuse, is as easy as copying the entire function as is. Fair enough? Good! I have a backlog of "computational crises" to contend with, including another one during the writing of this elaborate description.
When available time provides itself, I will consider your inquiries, thoughts, and concepts presented below in the comments section, should you have any questions or comments regarding this indicator. When my indicators achieve more prevalent use by TV members, I may implement more ideas when they present themselves as worthy additions. Have a profitable future everyone!
RenkoNow you can plot a "Renko" chart on any timeframe for free! As with my previous algorithm, you can plot the "Linear Break" chart on any timeframe for free!
I again decided to help TradingView programmers and wrote code that converts a standard candles / bars to a "Renko" chart. The built-in renko() and security() functions for constructing a "Renko" chart are working wrong. Do not try to write strategies based on the built-in renko() function! The developers write in the manual: "Please note that you cannot plot Renko bricks from Pine script exactly as they look. You can only get a series of numbers similar to OHLC values for Renko bars and use them in your algorithms". However, it is possible to build a "Renko" chart exactly like the "Renko" chart built into TradingView. Personally, I had enough Pine Script functionality.
For a complete understanding of how such a chart is built, you can read to Steve Nison's book "BEYOND JAPANESE CANDLES" and see the instructions for creating a "Renko" chart:
Rule 1: one white brick (or series) is built when the price rises above the base price by a fixed threshold value or more.
Rule 2: one black brick (or series) is built when the price falls below the base price by a fixed threshold or more.
Rule 3: if the rise or fall of the price is less than the minimum fixed value, then new bricks are not drawn.
Rule 4: if today's closing price is higher than the maximum of the last brick (white or black) by a threshold or more, move to the column to the right and build one or more white bricks of equal height. A new brick begins with the maximum of the previous brick.
Rule 5: if today's closing price is below the minimum of the last brick (white or black) by a threshold or more, move to the column to the right and build one or more black bricks of equal height. A new brick begins with the minimum of the previous brick.
Rule 6: if the price is below the maximum or above the minimum, then new bricks are not drawn on the chart.
So my algorithm can to plot Traditional Renko with a fixed box size. I want to note that such a "Renko" chart is slightly different from the "Renko" chart built into TradingView, because as a base price I use (by default) close of first candle. How the developers of TradingView calculate the base price I don’t know. Personally, I do as written in the book of Steve Neeson.
The algorithm is very complicated and I do not want to explain it in detail. I will explain very briefly. The first part of the get_renko () function — // creating lists — creates two lists that record how many green bricks should be and how many red bricks. The second part of the get_renko () function — // creating open and close series — creates open and close series to plot bricks. So, this is a white box - study it!
As you understand, one green candle can create a condition under which it will be necessary to plot, for example, 10 green bricks. So the smaller the box size you make, the smaller the portion of the chart you will see.
I stuffed all the logic into a wrapper in the form of the get_renko() function, which returns a tuple of OHLC values. And these series with the help of the plotcandle() annotation can be converted to the "Renko" chart. I also want to note that with a large number of candles on the chart, outrages about the buffer size uncertainty are heard from the TradingView blackbox. Because of it, in the annotation study() set the value of the max_bars_back parameter.
In general, use this script (for example, to write strategies)!
Many Moving AveragesThis script allows you to add two moving averages to a chart, where the type of moving average can be chosen from a collection of 15 different moving average algorithms. Each moving average can also have different lengths and crossovers/unders can be displayed and alerted on.
The supported moving average types are:
Simple Moving Average ( SMA )
Exponential Moving Average ( EMA )
Double Exponential Moving Average ( DEMA )
Triple Exponential Moving Average ( TEMA )
Weighted Moving Average ( WMA )
Volume Weighted Moving Average ( VWMA )
Smoothed Moving Average ( SMMA )
Hull Moving Average ( HMA )
Least Square Moving Average/Linear Regression ( LSMA )
Arnaud Legoux Moving Average ( ALMA )
Jurik Moving Average ( JMA )
Volatility Adjusted Moving Average ( VAMA )
Fractal Adaptive Moving Average ( FRAMA )
Zero-Lag Exponential Moving Average ( ZLEMA )
Kauman Adaptive Moving Average ( KAMA )
Many of the moving average algorithms were taken from other peoples' scripts. I'd like to thank the authors for making their code available.
JayRogers
Alex Orekhov (everget)
Alex Orekhov (everget)
Joris Duyck (JD)
nemozny
Shizaru
KobySK
Jurik Research and Consulting for inventing the JMA.
BitradertrackerEste Indicador ya no consiste en líneas móviles que se cruzan para dar señales de entrada o salida, si no que va más allá e interpreta gráficamente lo que está sucediendo con el valor.
Es un algoritmo potente, que incluye 4 indicadores de tendencia y 2 indicadores de volumen.
Con este indicador podemos movernos con las "manos fuertes" del mercado, rastrear sus intenciones y tomar decisiones de compra y venta.
Diseñado para operar en criptomonedas.
En cuanto a qué temporalidad usar, cuanto más grande mejor, ya que al final lo que estamos haciendo es el análisis de datos y, por lo tanto, cuanto más datos, mejor. Personalmente recomiendo usarlo en velas de 30 minutos, 1 hora y 4 horas.
Recuerde, ningún indicador es 100% efectivo.
Este indicador nos muestra en las áreas de color púrpura (manos fuertes) y en las áreas de color verde (manos débiles) y al mostrármelo gráficamente ya el indicador vale la pena.
El mercado está impulsado por dos tipos de inversores, que se denominan manos fuertes o ballenas (agencias, fondos, empresas, bancos, etc.) y manos débiles o peces pequeños (es decir, nosotros).
No tenemos la capacidad de manipular un valor, ya que nuestra cartera es limitada, pero podemos ingresar y salir de los valores fácilmente ya que no tenemos mucho dinero.
Las ballenas pueden manipular un valor ya que tienen muchos bitcoins y / o dinero, sin embargo, no pueden moverse fácilmente.
Entonces, ¿como pueden comprar o vender sus monedas las ballenas? Bueno, ellos hacen su juego: Tratan de hacernos creer que la moneda esta barata cuando nos quieren vender sus monedas o hacernos creer que la moneda es cara cuando quieren comprar nuestras monedas. Esta manipulación se realiza de muchas maneras, la mayoría por noticias.
Nosotros, los pequeños peces, no podemos competir contra las ballenas, pero podemos descubrir qué están haciendo (recuerde, son lentas, mueven sus monstruosas cantidades de dinero) debemos movernos con ellas e imitarlas. Mejor estar bajo la ballena que delante de ella.
Con este indicador puedes ver cuando las ballenas están operando y reaccionar ; porque el enfoque matemático que los sustenta ha demostrado ser bastante exitoso.
Cuando las manos fuertes están por debajo de cero, se dice que están comprando. Lo mismo ocurre con las manos débiles. Generalmente, si las manos fuertes están comprando o vendiendo, el precio está lateralizado. El movimiento del precio está asociado con las compras y ventas realizadas por la mano débil.
Espero que les sea de mucha utilidad.
Bitrader4.0
This indicator no longer consists of mobile lines that intersect to give input or output signals, but it goes further and graphically interprets what is happening with the value.
It is a powerful algorithm, which includes 4 trend indicators and 2 volume indicators.
With this indicator we can move with the "strong hands" of the market, track their intentions and make buying and selling decisions.
Designed to operate in cryptocurrencies.
As for what temporality to use, the bigger the better, since in the end what we are doing is the analysis of data and, therefore, the more data, the better. Personally I recommend using it in candles of 30 minutes, 1 hour and 4 hours.
Remember, no indicator is 100% effective.
This indicator shows us in the areas of color purple (strong hands) and in the areas of color green (weak hands) and by showing it graphically and the indicator is worth it.
The market is driven by two types of investors, which are called strong hands or whales (agencies, funds, companies, banks, etc.) and weak hands or small fish (that is, us).
We do not have the ability to manipulate a value, since our portfolio is limited, but we can enter and exit the securities easily since we do not have much money.
Whales can manipulate a value since they have many bitcoins and / or money, however, they can not move easily.
So, how can whales buy or sell their coins? Well, they make their game: They try to make us believe that the currency is cheap when they want to sell their coins or make us believe that the currency is expensive when they want to buy our coins. This manipulation is done in many ways, most by news.
We, small fish, can not compete against whales, but we can find out what they are doing (remember, they are slow, move their monstrous amounts of money) we must move with them and imitate them. Better to be under the whale than in front of her.
With this indicator you can see when the whales are operating and reacting; because the mathematical approach that sustains them has proven to be quite successful.
When strong hands are below zero, they say they are buying. The same goes for weak hands. Generally, if strong hands are buying or selling, the price is lateralized. The movement of the price is associated with the purchases and sales made by the weak hand.
I hope you find it very useful.
Bitrader4.0
META: STDEV Study (Scripting Exercise)While trying to figure out how to make the STDEV function use an exponential moving average instead of simple moving average , I discovered the builtin function doesn't really use either.
Check it out, it's amazing how different the two-pass algorithm is from the builtin!
Eventually I reverse-engineered and discovered that STDEV uses the Naiive algorithm and doesn't apply "Bessel's Correction". K can be 0, it doesn't seem to change the data although having it included should make it a little more precise.
en.wikipedia.org
Acc/DistAMA with FRACTAL DEVIATION BANDS by @XeL_ArjonaACCUMULATION/DISTRIBUTION ADAPTIVE MOVING AVERAGE with FRACTAL DEVIATION BANDS
Ver. 2.5 @ 16.09.2015
By Ricardo M Arjona @XeL_Arjona
DISCLAIMER:
The Following indicator/code IS NOT intended to be a formal investment advice or recommendation by the
author, nor should be construed as such. Users will be fully responsible by their use regarding their own trading vehicles/assets.
The embedded code and ideas within this work are FREELY AND PUBLICLY available on the Web for NON LUCRATIVE ACTIVITIES and must remain as is.
Pine Script code MOD's and adaptations by @XeL_Arjona with special mention in regard of:
Buy (Bull) and Sell (Bear) "Power Balance Algorithm" by:
Stocks & Commodities V. 21:10 (68-72): "Bull And Bear Balance Indicator by Vadim Gimelfarb"
Fractal Deviation Bands by @XeL_Arjona.
Color Cloud Fill by @ChrisMoody
CHANGE LOG:
Following a "Fractal Approach" now the lookback window is hardcode correlated with a given timeframe. (Default @ 126 days as Half a Year / 252 bars)
Clean and speed up of Adaptive Moving Average Algo.
Fractal Deviation Band Cloud coloring smoothed.
>
ALL NEW IDEAS OR MODIFICATIONS to these indicator(s) are Welcome in favor to deploy a better and more accurate readings. I will be very glad to be notified at Twitter or TradingVew accounts at: @XeL_Arjona
Any important addition to this work MUST REMAIN PUBLIC by means of CreativeCommons CC & TradingView. Copyright 2015
Volume Pressure Composite Average with Bands by @XeL_ArjonaVOLUME PRESSURE COMPOSITE AVERAGE WITH BANDS
Ver. 1.0.beta.10.08.2015
By Ricardo M Arjona @XeL_Arjona
DISCLAIMER:
The Following indicator/code IS NOT intended to be a formal investment advice or recommendation by the author, nor should be construed as such. Users will be fully responsible by their use regarding their own trading vehicles/assets.
The embedded code and ideas within this work are FREELY AND PUBLICLY available on the Web for NON LUCRATIVE ACTIVITIES and must remain as is.
Pine Script code MOD's and adaptations by @XeL_Arjona with special mention in regard of:
Buy (Bull) and Sell (Bear) "Power Balance Algorithm" by :
Stocks & Commodities V. 21:10 (68-72):
"Bull And Bear Balance Indicator by Vadim Gimelfarb"
Adjusted Exponential Adaptation from original Volume Weighted Moving Average (VEMA) by @XeL_Arjona with help given at the @pinescript chat room with special mention to @RicardoSantos
Color Cloud Fill Condition algorithm by @ChrisMoody
WHAT IS THIS?
The following indicators try to acknowledge in a K-I-S-S approach to the eye (Keep-It-Simple-Stupid), the two most important aspects of nearly every trading vehicle: -- PRICE ACTION IN RELATION BY IT'S VOLUME --
A) My approach is to make this indicator both as a "Trend Follower" as well as a Volatility expressed in the Bands which are the weighting basis of the trend given their "Cross Signal" given by the Buy & Sell Volume Pressures algorithm. >
B) Please experiment with lookback periods against different timeframes. Given the nature of the Volume Mathematical Monster this kind of study is and in concordance with Price Action; at first glance I've noted that both in short as in long term periods, the indicator tends to adapt quite well to general price action conditions. BE ADVICED THIS IS EXPERIMENTAL!
C) ALL NEW IDEAS OR MODIFICATIONS to these indicator(s) are Welcome in favor to deploy a better and more accurate readings. I will be very glad to be notified at Twitter or TradingVew accounts at: @XeL_Arjona
Any important addition to this work MUST REMAIN PUBLIC by means of CreativeCommons CC & TradingView. --- All Authorship Rights RESERVED 2015 ---
Volume Weighted Intra Bar LR KurtosisThis indicator analyzes market character by decomposing total
Excess Kurtosis ("Fat Tails") of a SINGLE BAR into four distinct,
interpretable components based on a Linear Regression model.
Key Features:
1. **Intra-Bar LR Kurtosis Decomposition:** For each bar on the chart,
the indicator analyzes the underlying price action on a smaller
timeframe ('Intra-Bar Timeframe'). It fits a Linear Regression
line through the intra-bar data to decompose the 4th Moment:
- **Trend Kurtosis (Gold):** Peakedness of the regression line
itself. High values indicate the price path within the bar
moves in sudden jumps, steps, or gaps (discontinuous path).
- **Residual Kurtosis (Red):** Excess Kurtosis of the noise
around the regression line. Captures "Hidden Tail Risk" or
extreme outliers within the bar relative to the trend.
- **Within-Bar Kurtosis (Blue):** Fat tails derived from the
microstructure of individual intra-bar candles.
- **Interaction Variance (Dark Grey):** The comovement of variance
and mean deviations (volatility clustering relative to trend).
- **Interaction Skewness (Darker Grey):** The comovement of skewness
and mean deviations (asymmetry relative to trend).
2. **Visual Decomposition Logic:** Total Excess Kurtosis is the
primary metric displayed. Since statistical moments are additive,
this indicator calculates the *exact* Total Kurtosis and partitions
the columns based on the Law of Total Moments.
3. **Dual Display Modes:** The indicator offers two modes to
visualize this decomposition:
- **Absolute Mode:** Plots the *total* kurtosis as a
stacked column chart. Stacking logic groups components to
ensure visual clarity of the magnitude.
- **Relative Mode:** Plots the direct *contribution ratio*
(proportion) of each component relative to the total sum,
ideal for identifying the dominant driver (Trend vs. Noise).
4. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
transforms inputs into logarithmic space, analyzing the
kurtosis of *returns* rather than absolute prices.
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all regression and moment calculations,
emphasizing high-participation moves.
5. **Kurtosis Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (peaks/valleys) in
the *total* kurtosis line. (Note: This is only visible
in 'Absolute Mode').
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
6. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
7. **Multi-Timeframe (MTF) Capability:**
- **MTF Analysis Lines:** The entire intra-bar analysis can be
run on a higher timeframe (using the `Timeframe` input),
with standard options to handle gaps (`Fill Gaps`) and
prevent repainting (`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
8. **Integrated Alerts:** Includes comprehensive alerts for:
- Kurtosis magnitude (High Positive / High Negative).
- Character changes (Trend Jumps vs. Noise Outliers).
- Total Kurtosis pivot (High/Low) detection.
**Caution: Real-Time Data Behavior (Intra-Bar Repainting)**
This indicator uses high-resolution intra-bar data. As a result, the
values on the **current, unclosed bar** (the real-time bar) will
update dynamically as new intra-bar data arrives. This behavior is
normal and necessary for this type of analysis. Signals should only
be considered final **after the main chart bar has closed.**
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
Volume Weighted Intra Bar KurtosisThis indicator analyzes market sentiment by providing a detailed
view of Excess Kurtosis ("Fat Tails"). It uses data from a lower,
intra-bar timeframe to separate the total kurtosis of a single bar
into distinct, interpretable components.
Key Features:
1. **Intra-Bar Kurtosis Decomposition:** For each bar on the chart,
the indicator analyzes the underlying price action on a smaller
timeframe ('Intra-Bar Timeframe'). Unlike Variance, the Fourth
Central Moment (Kurtosis) decomposes into three parts:
- **Between-Bar Kurtosis (Gold):** Peakedness of the price
path *between* the intra-bar candles. High values indicate
that the macro movement happened in jumps or gaps rather
than a smooth progression.
- **Within-Bar Kurtosis (Blue):** Fat tails derived from the
microstructure (extreme wicks) *inside* the intra-bar candles.
- **Interaction Variance (Dark Grey):** The comovement of variance
and mean deviations (volatility clustering relative to trend).
- **Interaction Skewness (Darker Grey):** The comovement of skewness
and mean deviations (asymmetry relative to trend).
2. **Visual Decomposition Logic:** Total Excess Kurtosis is the
primary metric displayed. Since Kurtosis coefficients are not
linearly additive, this indicator calculates the *exact* Total
Kurtosis and partitions the columns based on the additive
Fourth Moment Decomposition (`M4Tot = M4Btw + M4Wtn + M4Int`).
3. **Dual Display Modes:** The indicator offers two modes to
visualize this information:
- **Absolute Mode:** Plots the *total* kurtosis as a
stacked column chart, showing the *absolute magnitude* of
tail risk and the contribution of each component.
- **Relative Mode:** Plots the components as a 100% stacked
column chart (scaled from 0 to 1), focusing purely on the
*energy ratio* of the components.
4. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
calculates an **Exponential Regression Curve** (log-space),
making the analysis suitable for comparing assets with
different scales (e.g., BTC vs EURUSD).
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all mean and moment calculations.
5. **Kurtosis Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (peaks/valleys) in
the *total* kurtosis line. (Note: This is only visible
in 'Absolute Mode').
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
6. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
7. **Multi-Timeframe (MTF) Capability:**
- **MTF Analysis Lines:** The entire intra-bar analysis can be
run on a higher timeframe (using the `Timeframe` input),
with standard options to handle gaps (`Fill Gaps`) and
prevent repainting (`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
8. **Integrated Alerts:** Includes alerts for:
- Kurtosis magnitude (High Positive / High Negative).
- Kurtosis character changes/emerging/fading.
- Total Kurtosis pivot (High/Low) detection.
**Caution: Real-Time Data Behavior (Intra-Bar Repainting)**
This indicator uses high-resolution intra-bar data. As a result, the
values on the **current, unclosed bar** (the real-time bar) will
update dynamically as new intra-bar data arrives. This behavior is
normal and necessary for this type of analysis. Signals should only
be considered final **after the main chart bar has closed.**
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
Smart SafeZone Stops [MarkitTick]💡 This script represents a sophisticated evolution of volatility-based trailing stop methodologies. It is designed to assist traders in managing trend-following positions by dynamically adjusting stop-loss levels based on market noise, directional momentum, and volume flows. Unlike static trailing stops that move by a fixed percentage or simple ATR multiples, this tool calculates the "safe zone" by analyzing how far price has penetrated against the trend over a specific lookback period, offering a granular approach to risk management that adapts to changing market conditions.
✨ Originality and Utility
The primary utility of this indicator lies in its ability to filter out market noise while remaining tight enough to protect profits during strong trends. While the classic SafeZone concept (popularized by Dr. Alexander Elder) is effective, this script introduces several modern enhancements that increase its robustness:
● Dynamic ADX Integration Standard SafeZone stops use a fixed multiplier. This script integrates the Average Directional Index (ADX) to gauge trend strength. When the trend is strong, the stop tightens (Aggressive Multiplier) to lock in profits rapidly. When the trend is weak or choppy, the stop widens (Conservative Multiplier) to prevent premature shakeouts. ● Volume-Weighted Noise Price movement on low volume is often considered "noise," while high-volume movement signifies conviction. This script optionally weights the noise calculation by Relative Volume. A downward spike on low volume will affect the stop level less than a downward spike on high volume.
● 3-Day Smoothing Mechanism To prevent the stop line from becoming too jagged or reacting to single-bar anomalies, the script applies a 3-day smoothing algorithm. It utilizes the "worst-case" scenario of the last three calculated stop levels, ensuring the stop only moves when the trend structure genuinely shifts.
🔬 Methodology and Concepts
The underlying logic operates on a "Ratchet" mechanism, meaning the stop line can only move in the direction of the trade (up for longs, down for shorts) and never retraces until a trend reversal occurs.
● Directional Noise Calculation The script separates market noise into two components: Downside Penetration (for Longs): The distance the price dips below the previous bar's low. Upside Penetration (for Shorts): The distance the price spikes above the previous bar's high. The average of these penetrations is calculated over the Noise Lookback Period .
● The SafeZone Formula The raw stop level is derived as follows: Long Stop = Previous Low - (Average Downside Noise × Multiplier) Short Stop = Previous High + (Average Upside Noise × Multiplier)
● Adaptive Multiplier Logic If Dynamic ADX is enabled: If ADX > Strong Threshold: Use Aggressive Multiplier (e.g., 1.5x). If ADX < Weak Threshold: Use Conservative Multiplier (e.g., 3.5x). Otherwise: Use the Base Safety Coefficient.
● Exhaustion Detection The script calculates the distance between the current Close price and the Active Stop. If this distance exceeds a specific multiple of the ATR (Average True Range), it flags a "Mean Reversion" or "Exhaustion" warning, suggesting price has extended too far from equilibrium.
🎨 Visual Guide
The indicator plots distinct visual elements to guide decision-making without cluttering the chart excessively.
● Trailing Stop Lines Green Line (Solid): Represents the SafeZone Long Stop. This line appears below price during an uptrend. As long as price closes above this line, the bullish bias is intact. Red Line (Solid): Represents the SafeZone Short Stop. This line appears above price during a downtrend. A close above this line signals a potential short exit or reversal.
● Trend Signals Green Triangle (Below Bar): Marks the "Bull Start." This occurs when the price crosses above the Trend Filter EMA and the trend logic flips to bullish. Red Triangle (Above Bar): Marks the "Bear Start." Indicates the start of a downtrend sequence.
● Exhaustion Warnings Yellow Labels (⚠️): These appear when price has extended significantly away from the stop line (based on the ATR Exhaustion Multiplier). This is not an immediate sell signal but a warning that the trend may be overextended and a pullback is probable.
● MTF Consensus Cloud Background Color: If enabled, the chart background changes color to reflect the Higher Timeframe (HTF) trend. Green Background: Current trend matches HTF Uptrend. Red Background: Current trend matches HTF Downtrend. Gray Background: Trends are mismatched (Consolidation/Conflict).
● Quantitative Dashboard A table located in the top-right corner displays real-time statistics: Trend: Current state (BULLISH/BEARISH). Age: Number of bars since the trend began. Stop Price: Exact price level of the trailing stop. Risk %: The percentage distance from the current Close to the Stop. If this exceeds 3%, the text turns red to highlight elevated risk. Active Mult: The current multiplier being used (Dynamic or Fixed). ADX State: Shows if the trend is Strong, Weak, or Normal.
📖 How to Use
1. Entry Timing Wait for a Trend Switch signal (Triangle). For a long entry (Green Triangle), ensure the price is above the Trend Baseline (EMA). Ideally, look for confluence with the MTF Cloud (Green Background).
2. Position Management Once in a trade, use the Trailing Stop Line as your hard exit or invalidation point. Do not manually move the stop away from price; the script automatically "ratchets" the stop tighter as the trend progresses.
3. Taking Profits Use the "Exhaustion Warnings" (⚠️) as opportunities to scale out of positions. When price moves parabolically away from the stop line, the probability of a snap-back increases.
4. Managing Chop If the dashboard shows "ADX State: WEAK," expect the stop line to remain wider. This allows the asset "room to breathe" without stopping you out on random volatility.
⚙️ Inputs and Settings
The script is highly customizable to fit different asset classes (Crypto, Forex, Stocks).
● Trend Definitions Trend Filter (EMA Length): Determines the baseline trend bias (Default: 22). Price must be above this EMA to initiate a long calculation.
● Noise Calculation Noise Lookback Period: The number of bars used to calculate average penetration (Default: 10). Base Safety Coefficient: The standard multiplier applied to the noise average (Default: 2.5). Higher values = wider stops. Use Volume Weighting: Enables the volume-adjustment logic. Use 3-Day Smoothing: Recommended keeping this TRUE to avoid stop-hunts.
● Dynamic Multiplier (ADX) Enable Dynamic ADX: Toggles the adaptive multiplier. Strong/Weak Thresholds: The ADX levels that trigger aggressive or conservative multipliers.
● Multi-Timeframe Consensus Higher Timeframe: Select the TF for the cloud background (e.g., Daily or Weekly).
● Exhaustion Warning ATR Multiplier: Defines how far price must be from the stop to trigger a warning (Default: 3.0).
🔍 Deconstruction of the Underlying Scientific and Academic Framework
The "Smart SafeZone" indicator is grounded in the statistical analysis of market noise versus signal.
● Theory of Noise Penetration Conventional stops often use Standard Deviation (Bollinger Bands) or Average True Range (Keltner Channels/Chandelier Stops). While effective, these measures assume volatility is symmetrical. This script adopts the view that directional volatility matters more. In an uptrend, upside volatility is "good" signal, while downside volatility is "noise." By explicitly calculating the average downside penetration (Low - Low), the script isolates the specific counter-trend force acting on the asset. ● Volume-Weighted Price Analysis (VWPA) The inclusion of volume weighting draws upon Dow Theory principles, which state that volume must confirm the trend. Math: Penetration × (Volume / AverageVolume) This formula asserts that a price drop on low volume is statistically less significant than a drop on high volume. By dampening the impact of low-volume moves, the stop becomes more resistant to liquidity vacuums and algorithmic stop-hunts.
● Trend Efficiency (ADX) The integration of J. Welles Wilder’s ADX (Average Directional Index) adds a dimension of Trend Efficiency. High ADX values indicate a highly efficient trend with little retracement. Mathematically, this justifies a lower standard deviation (or noise multiplier) for the stop, as the probability of a deep retracement without a trend change is lower in high-momentum environments.
⚠️ Disclaimer
All provided scripts and indicators are strictly for educational exploration and must not be interpreted as financial advice or a recommendation to execute trades. I expressly disclaim all liability for any financial losses or damages that may result, directly or indirectly, from the reliance on or application of these tools. Market participation carries inherent risk where past performance never guarantees future returns, leaving all investment decisions and due diligence solely at your own discretion.
Volume Weighted LR KurtosisThis indicator analyzes market character by decomposing total
Excess Kurtosis ("Fat Tails") into four distinct, interpretable
components based on a Linear Regression model.
Key Features:
1. **Four-Component Kurtosis Decomposition:** The indicator
separates market tail risk based on the 'Estimate Bar Statistics' option.
It leverages the Law of Total Moments to provide an additive
breakdown of the 4th Statistical Moment:
- **Trend Kurtosis (Gold):** Peakedness of the regression line
itself. High values indicate the trend moves in sudden jumps,
steps, or gaps (discontinuous path).
- **Residual Kurtosis (Red):** Excess Kurtosis of the noise
around the regression line. This captures the "Hidden Tail Risk"
(extreme outliers relative to the trend).
- **Within-Bar Kurtosis (Blue):** Fat tails derived from the
microstructure of individual bars (requires 'Estimate Bar Statistics').
- **Interaction Variance (Dark Grey):** The comovement of variance
and mean deviations (volatility clustering relative to trend).
- **Interaction Skewness (Darker Grey):** The comovement of skewness
and mean deviations (asymmetry relative to trend).
2. **Visual Decomposition Logic:** Total Excess Kurtosis is the
primary metric displayed. Since statistical moments are additive,
this indicator calculates the *exact* Total Kurtosis and partitions
the area to visualize the contribution (weight) of each
structural source to the overall tail risk.
3. **Dual Display Modes:** The indicator offers two modes to
visualize this decomposition:
- **Absolute Mode:** Displays the *total* kurtosis as a
stacked area chart, allowing to see the magnitude of tail risk.
Stacking logic groups components to ensure visual clarity.
- **Relative Mode:** Displays the direct *contribution ratio*
(proportion) of each component relative to the total sum,
ideal for identifying the dominant driver of the risk.
4. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
transforms inputs into logarithmic space, analyzing the
kurtosis of *returns* rather than absolute prices.
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all regression and moment calculations,
emphasizing high-participation moves.
5. **Kurtosis Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (peaks/valleys) in
the *total* kurtosis line. This helps identify extremes in
market fragility or structural changes.
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
6. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
7. **Multi-Timeframe (MTF) Capability:**
- **MTF Kurtosis Lines:** The kurtosis lines can be
calculated on a higher timeframe, with standard options
to handle gaps (`Fill Gaps`) and prevent repainting
(`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
8. **Integrated Alerts:** Includes comprehensive alerts for:
- Kurtosis magnitude (High Positive / High Negative).
- Kurtosis character changes/emerging/fading.
- Total Kurtosis pivot (High/Low) detection.
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
Volume Weighted KurtosisThis indicator analyzes market sentiment by decomposing total
Excess Kurtosis ("Fat Tails") into distinct, interpretable components:
"Between-Bar" (Trend Path) and "Within-Bar" (Microstructure).
Key Features:
1. **Moment-Based Kurtosis Decomposition:** The indicator
separates kurtosis based on the 'Estimate Bar Statistics' option.
It leverages the additive property of the Fourth Central Moment
(Cumulants) to ensure mathematical rigor:
- **Standard Mode (`Estimate Bar Statistics` = OFF):** Calculates
simple kurtosis of the selected `Source`.
- **Decomposition Mode (`Estimate Bar Statistics` = ON):** The
indicator uses a statistical model ('Estimator') to
calculate *within-bar* kurtosis.
This separates the tail risk into:
- **Between-Bar Kurtosis (Gold):** Peakedness of the price
path itself. High values indicate the trend moves in jumps
or gaps rather than a smooth progression.
- **Within-Bar Kurtosis (Blue):** Fat tails within the
microstructure. High values imply significant outliers
inside the bars (e.g., extreme wicks).
- **Interaction Variance (Dark Grey):** The comovement of variance
and mean deviations (volatility clustering relative to trend).
- **Interaction Skewness (Darker Grey):** The comovement of skewness
and mean deviations (asymmetry relative to trend).
2. **Visual Decomposition Logic:** Total Excess Kurtosis is the
primary metric displayed. Since Kurtosis coefficients are not
linearly additive, this indicator calculates the *exact* Total
Kurtosis and partitions the area/ratios based on the additive
Fourth Moment Decomposition (`M4Tot = M4Btw + M4Wtn + M4Int`). This
ensures the displayed total kurtosis remains mathematically accurate.
3. **Dual Display Modes:** The indicator offers two modes to
visualize this decomposition:
- **Absolute Mode:** Displays the *Total Kurtosis* as the main
line, with the background filled by the stacked components.
Shows the *magnitude* of the tail risk.
- **Relative Mode:** Displays the **Contribution Ratios**
of each component (-1.0 to 1.0). This isolates the
*structure/quality* of the risk (e.g., "Is the risk
driven by the trend jumps or by the candle instability?").
4. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
transforms inputs into logarithmic space, analyzing the
kurtosis of *returns* rather than absolute prices.
(Essential for correct statistical properties).
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all moment calculations, emphasizing
high-participation moves.
5. **Kurtosis Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (peaks/valleys) in
the *Total Kurtosis* line. (Note: This is only visible
in 'Absolute Mode').
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
6. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
7. **Multi-Timeframe (MTF) Capability:**
- **MTF Kurtosis Lines:** The kurtosis lines can be
calculated on a higher timeframe, with standard options
to handle gaps (`Fill Gaps`) and prevent repainting
(`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
8. **Integrated Alerts:** Includes comprehensive alerts for:
- Kurtosis magnitude (High Positive / High Negative).
- Character changes (Inter-Bar vs. Intra-Bar dominance).
- Total Kurtosis pivot (High/Low) detection.
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
Volume Weighted Intra Bar LR SkewnessThis indicator analyzes market character by decomposing total
skewness (asymmetry) of a SINGLE BAR into four distinct,
interpretable components based on a Linear Regression model.
Key Features:
1. **Intra-Bar LR Skewness Decomposition:** For each bar on the chart,
the indicator analyzes the underlying price action on a smaller
timeframe ('Intra-Bar Timeframe'). It fits a Linear Regression
line through the intra-bar data to decompose the 3rd Moment:
- **Trend Skewness (Green/Red):** Asymmetry originating from
the slope of the intra-bar regression line. Indicates if the
price path within the bar is geometrically trend-driven.
- **Residual Skewness (Yellow):** Asymmetry of the noise
around the regression line. Captures "Tail Risk" or sudden
shocks within the bar that deviate from the main path.
- **Within-Bar Skewness (Blue):** Asymmetry derived from the
microstructure of individual intra-bar candles.
- **Interaction Skewness (Dark Grey):** Asymmetry caused by
the correlation between price levels and volatility within
the bar (e.g., volatility expanding as price drops).
2. **Visual Decomposition Logic:** Total Skewness is the
primary metric displayed. Since statistical moments are additive,
this indicator calculates the *exact* Total Skewness and partitions
the columns based on the Law of Total Moments.
3. **Dual Display Modes:** The indicator offers two modes to
visualize this decomposition:
- **Absolute Mode:** Plots the *total* skewness as a
stacked column chart. Stacking logic groups components with
the same sign to ensure visual clarity.
- **Relative Mode:** Plots the direct *contribution ratio*
(proportion) of each component relative to the total sum,
ideal for identifying the dominant driver (Trend vs. Noise).
4. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
transforms inputs into logarithmic space, analyzing the
skewness of *returns* rather than absolute prices.
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all regression and moment calculations,
emphasizing high-participation moves.
5. **Skewness Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (peaks/valleys) in
the *total* skewness line. (Note: This is only visible
in 'Absolute Mode').
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
6. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
7. **Multi-Timeframe (MTF) Capability:**
- **MTF Analysis Lines:** The entire intra-bar analysis can be
run on a higher timeframe (using the `Timeframe` input),
with standard options to handle gaps (`Fill Gaps`) and
prevent repainting (`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
8. **Integrated Alerts:** Includes comprehensive alerts for:
- Skewness magnitude (High Positive / High Negative).
- Character changes (Trend vs. Noise dominance).
- Total Skewness pivot (High/Low) detection.
**Caution: Real-Time Data Behavior (Intra-Bar Repainting)**
This indicator uses high-resolution intra-bar data. As a result, the
values on the **current, unclosed bar** (the real-time bar) will
update dynamically as new intra-bar data arrives. This behavior is
normal and necessary for this type of analysis. Signals should only
be considered final **after the main chart bar has closed.**
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
Volume Weighted Intra Bar SkewnessThis indicator analyzes market sentiment by providing a detailed
view of skewness (asymmetry). It uses data from a lower, intra-bar
timeframe to separate the total skewness of a single bar into
distinct, interpretable components.
Key Features:
1. **Intra-Bar Skewness Decomposition:** For each bar on the chart,
the indicator analyzes the underlying price action on a smaller
timeframe ('Intra-Bar Timeframe'). Unlike Variance, the Third
Central Moment (Skewness) decomposes into three parts:
- **Between-Bar Skewness (Gold):** Asymmetry of the price
path *between* the intra-bar candles. Indicates if the macro
movements within the bar accelerated in one direction.
- **Within-Bar Skewness (Blue):** Asymmetry of the
microstructure (wicks vs. tails) *inside* the intra-bar candles.
- **Interaction Skewness (Grey):** The component arising from
the comovement of local means and local variances (e.g.,
does volatility increase when price drops?).
2. **Visual Decomposition Logic:** Total Skewness is the
primary metric displayed. Since Skewness coefficients are not
linearly additive, this indicator calculates the *exact* Total
Skewness and partitions the columns based on the additive
Third Moment Decomposition (`M3Tot = M3Btw + M3Wtn + M3Int`).
3. **Dual Display Modes:** The indicator offers two modes to
visualize this information:
- **Absolute Mode:** Plots the *total* skewness as a
stacked column chart, showing the *absolute magnitude* of
asymmetry and the contribution of each component.
- **Relative Mode:** Plots the components as a 100% stacked
column chart (scaled from 0 to 1), focusing purely on the
*energy ratio* of the components.
4. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
calculates an **Exponential Regression Curve** (log-space),
making the analysis suitable for comparing assets with
different scales (e.g., BTC vs EURUSD).
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all mean and moment calculations.
5. **Skewness Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (highs and lows) in
the *total* skewness line. (Note: This is only visible
in 'Absolute Mode').
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
6. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
7. **Multi-Timeframe (MTF) Capability:**
- **MTF Analysis Lines:** The entire intra-bar analysis can be
run on a higher timeframe (using the `Timeframe` input),
with standard options to handle gaps (`Fill Gaps`) and
prevent repainting (`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
8. **Integrated Alerts:** Includes alerts for:
- Skewness magnitude (High Positive / High Negative).
- Skewness character changes/emerging/fading.
- Total Skewness pivot (High/Low) detection.
**Caution: Real-Time Data Behavior (Intra-Bar Repainting)**
This indicator uses high-resolution intra-bar data. As a result, the
values on the **current, unclosed bar** (the real-time bar) will
update dynamically as new intra-bar data arrives. This behavior is
normal and necessary for this type of analysis. Signals should only
be considered final **after the main chart bar has closed.**
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
Volume Weighted LR SkewnessThis indicator analyzes market character by decomposing total
skewness (asymmetry) into four distinct, interpretable components
based on a Linear Regression model.
Key Features:
1. **Four-Component Skewness Decomposition:** The indicator
separates market asymmetry based on the 'Estimate Bar Statistics' option.
It leverages the Law of Total Moments to provide an additive
breakdown of the 3rd Statistical Moment:
- **Trend Skewness (Green/Red):** Asymmetry originating from
the slope of the regression line itself. Indicates if the
trend path is geometrically skewed.
- **Residual Skewness (Yellow):** Asymmetry of the noise
around the regression line. Captures "Tail Risk" (e.g.,
sudden spikes against the trend).
- **Within-Bar Skewness (Blue):** Asymmetry derived from the
microstructure of individual bars (requires 'Estimate Bar Statistics').
- **Interaction Skewness (Dark Grey):** Asymmetry caused by the
correlation between price levels and volatility (e.g.,
volatility expanding as price moves in one direction).
*Dominance of this component indicates an unstable, emotional market.*
2. **Visual Decomposition Logic:** Total Skewness is the
primary metric displayed. Since statistical moments are additive,
this indicator calculates the *exact* Total Skewness and partitions
the area to visualize the contribution (weight) of each
structural source to the overall market bias.
3. **Dual Display Modes:** The indicator offers two modes to
visualize this decomposition:
- **Absolute Mode:** Displays the *total* skewness as a
stacked area chart, allowing to see the magnitude of tail risk.
Stacking logic groups components with the same sign to ensure
visual clarity.
- **Relative Mode:** Displays the direct *contribution ratio*
(proportion) of each component relative to the total sum,
ideal for identifying the dominant driver of asymmetry.
4. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
transforms inputs into logarithmic space, analyzing the
skewness of *returns* rather than absolute prices.
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all regression and moment calculations,
emphasizing high-participation moves.
5. **Skewness Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (peaks/valleys) in
the *total* skewness line. This helps identify extremes in
market sentiment or structural bias.
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
6. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
7. **Multi-Timeframe (MTF) Capability:**
- **MTF Skewness Lines:** The skewness lines can be
calculated on a higher timeframe, with standard options
to handle gaps (`Fill Gaps`) and prevent repainting
(`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
8. **Integrated Alerts:** Includes comprehensive alerts for:
- Skewness magnitude (High Positive / High Negative).
- Skewness character changes/emerging/fading.
- Total Skewness pivot (High/Low) detection.
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
Volume Weighted SkewnessThis indicator analyzes market sentiment by decomposing total
skewness (asymmetry) into two distinct, interpretable components:
"Between-Bar" (Inter-Bar) and "Within-Bar" (Intra-Bar) skewness.
Key Features:
1. **Moment-Based Skewness decomposition:** The indicator
separates skewness based on the 'Estimate Bar Statistics' option.
It leverages the additive property of the Third Central Moment
to ensure mathematical rigor:
- **Standard Mode (`Estimate Bar Statistics` = OFF):** Calculates
simple skewness of the selected `Source`.
- **Decomposition Mode (`Estimate Bar Statistics` = ON):** The
indicator uses a statistical model ('Estimator') to
calculate *within-bar* skewness.
This separates the asymmetry into:
- **Between-Bar Skewness (Gold):** Asymmetry of the price
path itself. A positive value indicates that the trend
moves more aggressively upwards than downwards.
- **Within-Bar Skewness (Blue):** Asymmetry of the
microstructure (wicks vs. tails). A positive value implies
strong buying pressure within the bars (long tails).
2. **Visual Decomposition Logic:** Total Skewness is the
primary metric displayed. Since Skewness coefficients are not
linearly additive, this indicator calculates the *exact* Total
Skewness and partitions the area/ratios based on the additive
Third Moment Decomposition (`M3Tot = M3Btw + M3Wtn`). This
ensures the displayed total skewness remains mathematically accurate.
3. **Dual Display Modes:** The indicator offers two modes to
visualize this decomposition:
- **Absolute Mode:** Displays the *Total Skewness* as the main
line, with the background filled by the stacked components.
Shows the *magnitude* and direction of the tail risk.
- **Relative Mode:** Displays the **Contribution Ratios**
of each component (-1.0 to 1.0). This isolates the
*structure/quality* of the asymmetry (e.g., "Is the skewness
driven by the trend or by the candle shapes?").
4. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
transforms inputs into logarithmic space, analyzing the
skewness of *returns* rather than absolute prices.
(Essential for correct statistical properties).
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all moment calculations, emphasizing
high-participation moves.
5. **Skewness Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (peaks/valleys) in
the *Total Skewness* line. (Note: This is only visible
in 'Absolute Mode').
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
6. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
7. **Multi-Timeframe (MTF) Capability:**
- **MTF Skewness Lines:** The skewness lines can be
calculated on a higher timeframe, with standard options
to handle gaps (`Fill Gaps`) and prevent repainting
(`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
8. **Integrated Alerts:** Includes comprehensive alerts for:
- Skewness magnitude (High Positive / High Negative).
- Character changes (Inter-Bar vs. Intra-Bar dominance).
- Total Skewness pivot (High/Low) detection.
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
Volume Weighted Intra Bar LR CorrelationThis indicator analyzes market character by providing a detailed
view of correlation. It applies a Linear Regression model to
intra-bar price action, dissecting the total correlation of
each bar into three distinct components.
Key Features:
1. **Three-Component Correlation Decomposition:** The indicator
separates correlation based on the 'Estimate Bar Statistics' option.
- **Standard Mode (`Estimate Bar Statistics` = OFF):** Calculates
correlation based on the selected `Source` (this results
mainly in 'Trend' and 'Residual' correlation).
- **Decomposition Mode (`Estimate Bar Statistics` = ON):** The
indicator uses a statistical model ('Estimator') to
calculate *within-bar* correlation.
(Assumption: In this mode, the `Source` input is
**ignored**, and an estimated mean for each bar is used
instead).
This separates correlation into:
- **Trend Correlation (Green/Red):** Correlation explained by the
regression's slope (Directional Alignment).
- **Residual Correlation (Yellow):** Correlation from price
oscillating around the regression line (Mean-Reversion/Cointegration).
- **Within-Bar Correlation (Blue):** Correlation from the
high-low range of each bar (Microstructure/Noise).
2. **Visual Decomposition Logic:** Total Correlation is the
primary metric displayed. Since Correlation Coefficients are not
linearly additive, this indicator plots the *exact* Total
Correlation and partitions the area underneath based on the
Covariance Ratio. This ensures the displayed total correlation
remains mathematically accurate while showing relative composition.
3. **Dual Display Modes:** The indicator offers two modes to
visualize this decomposition:
- **Absolute Mode:** Displays the *total* correlation as a
stacked area chart, partitioned by the ratio of
the three components.
- **Relative Mode:** Displays the direct *energy ratio*
(proportion) of each component relative to the total (0-1),
ideal for identifying the dominant market character.
4. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
calculates an **Exponential Regression Curve** (log-space),
making the analysis suitable for growth assets.
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all regression and correlation calculations.
5. **Correlation Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (highs and lows) in
the *total* correlation line. (Note: This is only visible
in 'Absolute Mode').
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
6. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
7. **Multi-Timeframe (MTF) Capability:**
- **MTF Correlation Lines:** The correlation lines can be
calculated on a higher timeframe, with standard options
to handle gaps (`Fill Gaps`) and prevent repainting
(`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
8. **Integrated Alerts:** Includes comprehensive alerts for:
- Correlation magnitude (High Positive / High Inverse).
- Correlation character changes/emerging/fading.
- Total Correlation pivot (High/Low) detection.
**Caution! Real-Time Data Behavior (Intra-Bar Repainting)**
This indicator uses high-resolution intra-bar data. As a result, the
values on the **current, unclosed bar** (the real-time bar) will
update dynamically as new intra-bar data arrives. This behavior is
normal and necessary for this type of analysis. Signals should only
be considered final **after the main chart bar has closed.**
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
Volume Weighted Intra Bar CorrelationThis indicator analyzes market character by providing a detailed
view of correlation. It uses data from a lower, intra-bar timeframe
to separate the total correlation of a single bar into two distinct
components.
Key Features:
1. **Intra-Bar Correlation Decomposition:** For each bar on the chart,
the indicator analyzes the underlying price action on a smaller
timeframe ('Intra-Bar Timeframe') and quantifies two types of correlation:
- **Between-Bar Correlation (Directional):** Calculated from price
movements *between* the intra-bar candles. This component
represents the **macro-movement** correlation within the main bar.
- **Within-Bar Correlation (Non-Directional):** Calculated from
price fluctuations *inside* each intra-bar candle. This
component represents the **microstructure/noise** correlation.
2. **Visual Decomposition Logic:** Total Correlation is the
primary metric displayed. Since Correlation Coefficients are not
linearly additive, this indicator plots the *exact* Total
Correlation and partitions the area underneath based on the
Covariance Ratio. This ensures the displayed total correlation
remains mathematically accurate while showing relative composition.
3. **Dual Display Modes:** The indicator offers two modes to
visualize this information:
- **Absolute Mode:** Plots the *total* correlation as a
stacked column chart, showing the *absolute magnitude* of
correlation and the contribution of each component.
- **Relative Mode:** Plots the components as a 100% stacked
column chart (scaled from 0 to 1), focusing purely on the
*energy ratio* of 'between-bar' (macro) and 'within-bar' (micro)
correlation.
4. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
calculates an **Exponential Regression Curve** (log-space),
making the analysis suitable for comparing assets with
different scales (e.g., BTC vs EURUSD).
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all mean and covariance calculations.
5. **Correlation Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (highs and lows) in
the *total* correlation line. (Note: This is only visible
in 'Absolute Mode').
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
6. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
7. **Multi-Timeframe (MTF) Capability:**
- **MTF Analysis Lines:** The entire intra-bar analysis can be
run on a higher timeframe (using the `Timeframe` input),
with standard options to handle gaps (`Fill Gaps`) and
prevent repainting (`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
8. **Integrated Alerts:** Includes alerts for:
- Correlation magnitude (High Positive / High Inverse).
- Correlation character changes/emerging/fading.
- Total Correlation pivot (High/Low) detection.
**Caution: Real-Time Data Behavior (Intra-Bar Repainting)**
This indicator uses high-resolution intra-bar data. As a result, the
values on the **current, unclosed bar** (the real-time bar) will
update dynamically as new intra-bar data arrives. This behavior is
normal and necessary for this type of analysis. Signals should only
be considered final **after the main chart bar has closed.**
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
Volume Weighted LR CorrelationThis indicator analyzes the structural relationship between two
assets by decomposing the Total Correlation into three distinct,
interpretable components using a Weighted Linear Regression model
and a Hybrid Copula Estimator.
Key Features:
1. **Hybrid Copula Estimator:** Unlike standard correlation, which
often fails on High/Low range data, this indicator fuses two
metrics to ensure mathematical rigor:
- **Magnitude:** Derived from Rogers-Satchell Volatility (robust to trend).
- **Direction:** Derived from Log-Returns.
This allows for precise correlation estimates even on intra-bar data.
2. **Three-Component Correlation Decomposition:** The indicator
separates correlation based on the 'Estimate Bar Statistics' option.
- **Standard Mode (`Estimate Bar Statistics` = OFF):** Calculates
correlation based on the selected `Source`.
- **Decomposition Mode (`Estimate Bar Statistics` = ON):** The
indicator uses a statistical model ('Estimator') to
calculate *within-bar* correlation.
This separates the relationship into:
- **Trend Correlation (Green/Red):** Correlation of the regression
slopes. Indicates if assets are trending in the same direction.
- **Residual Correlation (Yellow):** Correlation of the noise
around the trend (Cointegration). Indicates if assets
mean-revert together, even if trends differ.
- **Within-Bar Correlation (Blue):** Correlation of the
microstructure (intra-bar volatility).
3. **Visual Decomposition Logic:** Total Correlation is the
primary metric displayed. Since Correlation Coefficients are not
linearly additive, this indicator calculates the *exact* Total
Correlation and partitions the area/ratios based on the additive
Covariance Decomposition. This ensures the displayed total
correlation remains mathematically accurate.
4. **Dual Display Modes:** The indicator offers two modes to
visualize this decomposition:
- **Absolute Mode:** Displays the *Total Correlation* as the main
line, with the background filled by the stacked components
(Trend, Residual, Within). Shows the *magnitude* of the relationship.
- **Relative Mode:** Displays the **Energy Ratios** (-1.0 to 1.0)
of each component using L1-Normalization. This isolates the
*structure/quality* of the relationship (e.g., "Is the
correlation driven by Trend or just by Noise?").
5. **Calculation Options:**
- **Normalization:** An optional 'Normalize' setting
calculates an **Exponential Regression Curve** (log-space),
creating a constant percentage variance environment. Essential
for comparing assets with different scales (e.g., BTC vs EURUSD).
- **Volume Weighting:** An option (`Volume weighted`) applies
volume weighting to all regression and covariance calculations.
6. **Correlation Cycle Analysis:**
- **Pivot Detection:** Includes a built-in pivot detector
that identifies significant turning points (highs and lows) in
the *Total Correlation* line.
- **Flexible Pivot Algorithms:** Supports various underlying
mathematical models for pivot detection provided by the
core library.
7. **Note on Confirmation (Lag):** Pivot signals are confirmed
using a lookback method. A pivot is only plotted *after*
the `Pivot Right Bars` input has passed, which introduces
an inherent lag.
8. **Multi-Timeframe (MTF) Capability:**
- **MTF Correlation Lines:** The correlation lines can be
calculated on a higher timeframe, with standard options
to handle gaps (`Fill Gaps`) and prevent repainting
(`Wait for...`).
- **Limitation:** The Pivot detection (`Calculate Pivots`) is
**disabled** if a Higher Timeframe (HTF) is selected.
9. **Integrated Alerts:** Includes comprehensive alerts for:
- Correlation magnitude (High Positive / High Inverse).
- Correlation character changes/emerging/fading.
- Total Correlation pivot (High/Low) detection.
---
**DISCLAIMER**
1. **For Informational/Educational Use Only:** This indicator is
provided for informational and educational purposes only. It does
not constitute financial, investment, or trading advice, nor is
it a recommendation to buy or sell any asset.
2. **Use at Your Own Risk:** All trading decisions you make based on
the information or signals generated by this indicator are made
solely at your own risk.
3. **No Guarantee of Performance:** Past performance is not an
indicator of future results. The author makes no guarantee
regarding the accuracy of the signals or future profitability.
4. **No Liability:** The author shall not be held liable for any
financial losses or damages incurred directly or indirectly from
the use of this indicator.
5. **Signals Are Not Recommendations:** The alerts and visual signals
(e.g., crossovers) generated by this tool are not direct
recommendations to buy or sell. They are technical observations
for your own analysis and consideration.
