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Williams Vix Fix OHLC candles plot indicator (Tartigradia)OHLC candles plot of the Williams VixFix indicator, which allows to draw trend lines. Williams VixFix is a realized volatility indicator developed by Larry Williams, and can help in finding market bottoms. Indeed, as Williams describe in his paper, markets tend to find the lowest prices during times of highest volatility, which usually accompany times of highest fear. The VixFix is calculated as how much the current low price statistically deviates from the maximum within a given look-back period. The Williams VixFix indicator is usually presented as a curve or histogram. The novelty of this indicator is to present the data as a OHLC candles plot: whereas the original Williams VixFix calculation only involves the close value, we here use the open, high and low values as well. This led to some mathematical challenges because some of these calculations led to absurd values, so workarounds had to be found, but in the end I think the result was worth it, it reproduces the VIX chart quite well. A great additional value of the OHLC chart is that it shows not just the close value, but all the values during the session: open, high and low in addition to close. This allows to draw trend lines and can provide additional information on momentum and sentiment. In addition, other indicators can be used on it, as if it was a price chart, such as RSI indicators (see RSI+ (alt) indicator for example). For more information on the Vix Fix, which is a strategy published under public domain: The VIX Fix, Larry Williams, Active Trader magazine, December 2007, web.archive.org Fixing the VIX: An Indicator to Beat Fear, Amber Hestla-Barnhart, Journal of Technical Analysis, March 13, 2015, ssrn.com Replicating the CBOE VIX using a synthetic volatility index trading algorithm, Dayne Cary and Gary van Vuuren, Cogent Economics & Finance, Volume 7, 2019, Issue 1, doi.org This indicator includes only the Williams VixFix as an OHLC candles or bars plot, and price / vixfix candles plot, as well as the typical vixfix histogram. Indeed, it is much more practical for unbounded range indicators to be plotted in their own separate panel, hence why this indicator is released separately, so that it can work and be scaled adequately out of the box. Note that the there are however no bottom buy signals. For a more complete indicator, which also includes the OHLC candles plots present here, but also bottom signals and Inverse VixFix (top signals), see: Set Index symbol to SPX, and index_current = false, and timeframe Weekly, to reproduce the original VIX as close as possible by the VIXFIX (use the Add Symbol option, because you want to plot CBOE:VIX on the same timeframe as the current chart, which may include extended session / weekends). With the Weekly timeframe, off days / extended session days should not change much, but with lower timeframes this is important, because nights and weekends can change how the graph appears and seemingly make them different because of timing misalignment when in reality they are not when properly aligned.
Penunjuk Pine Script®
oleh tartigradia
6
[blackcat] L3 Gann SlopeLevel 3 Background William Gann (Wilian D. Gann) is one of the most famous investors in the twentieth century. His outstanding achievements in the stock and futures markets are unparalleled. The theory he created that perfectly combines time and price has been It is still talked about and highly praised by the investment community. Function The slope is the degree of the angle line relative to the time axis (X axis). Volatility is the ratio of unit amplitude to unit time. At the heart of Gann angles is the determination of volatility. Gann angle is the movement of price defined by time unit and price unit. Each angle is determined by the relationship between time and price. In the rising angle, the angle with the larger slope means that the stock price is rising stronger and falling. In a trend line, the larger the slope, the stronger the downtrend. This technical indicator speaks of the Gann slope expressed as an oscillator. Its value varies from 0 to 100. The positive slope means rising, and the negative slope means falling. For rising and falling, the strength of rising and falling is distinguished by the thickness and color of the oscillating line: 1. The thin white line represents the basic oscillator curve and has no special meaning. 2. Light red indicates that an uptrend is established, and dark red indicates a very strong uptrend. 3. Light green indicates an established downtrend, dark green indicates a very strong downtrend. Remarks Feedbacks are appreciated.
Penunjuk Pine Script®
oleh blackcat1402
2
[blackcat] L3 God Hunter ScalpingLevel 3 Background An ultra-short scaler that I integrate with multiple custom function implementations. Because of its responsiveness it is suitable for small cycle applications. Function The first technical indicator to integrate is the stoch. By combining the stoch indicators of long and short periods, I can not only ensure its high-speed reaction speed, but also be compatible with stability. The second is the improved KDJ indicator to further strengthen buying and selling conditions. Because the final trend output is relatively fast, I used a variety of long-short conditions to improve adaptability. and minimize noise. It is well known that price fluctuations in small cycles are more random. The third feature is the classification of buying and selling points, not only through the reversal of the trend curve, but also several other buying and selling point conditions, oversold and overbought signals, signal divergence techniques, etc. Finally, through the nested RSI, the momentum trend strength of the trend signal is represented by a gradient color to assist in judging whether the reversal point is approaching. Remarks For differnent instruments and time frames, overbought and oversold threshold should be adjusted accordingly, or it may not work well. Feedbacks are appreciated.
Penunjuk Pine Script®
oleh blackcat1402
15
Machine Learning: kNN (New Approach)Description: kNN is a very robust and simple method for data classification and prediction. It is very effective if the training data is large. However, it is distinguished by difficulty at determining its main parameter, K (a number of nearest neighbors), beforehand. The computation cost is also quite high because we need to compute distance of each instance to all training samples. Nevertheless, in algorithmic trading KNN is reported to perform on a par with such techniques as SVM and Random Forest. It is also widely used in the area of data science. The input data is just a long series of prices over time without any particular features. The value to be predicted is just the next bar's price. The way that this problem is solved for both nearest neighbor techniques and for some other types of prediction algorithms is to create training records by taking, for instance, 10 consecutive prices and using the first 9 as predictor values and the 10th as the prediction value. Doing this way, given 100 data points in your time series you could create 10 different training records. It's possible to create even more training records than 10 by creating a new record starting at every data point. For instance, you could take the first 10 data points and create a record. Then you could take the 10 consecutive data points starting at the second data point, the 10 consecutive data points starting at the third data point, etc. By default, shown are only 10 initial data points as predictor values and the 6th as the prediction value. Here is a step-by-step workthrough on how to compute K nearest neighbors (KNN) algorithm for quantitative data: 1. Determine parameter K = number of nearest neighbors. 2. Calculate the distance between the instance and all the training samples. As we are dealing with one-dimensional distance, we simply take absolute value from the instance to value of x (| x – v |). 3. Rank the distance and determine nearest neighbors based on the K'th minimum distance. 4. Gather the values of the nearest neighbors. 5. Use average of nearest neighbors as the prediction value of the instance. The original logic of the algorithm was slightly modified, and as a result at approx. N=17 the resulting curve nicely approximates that of the sma(20). See the description below. Beside the sma-like MA this algorithm also gives you a hint on the direction of the next bar move.
Penunjuk Pine Script®
oleh capissimo
42
SUPPORT RESISTANCE STRATEGY [5MIN TF]A SUPPORT RESISTANCE BREAKOUT STRATEGY for 5 minute Time-Frame , that has the time condition for Indian Markets The Timing can be changed to fit other markets, scroll down to "TIME CONDITION" to know more. The commission is also included in the strategy . The basic idea is when , 1) Price crosses above Resistance Level ,indicated by Red Line, is a Long condition. 2) Price crosses below Support Level ,indicated by Green Line , is a Short condition. 3) Candle high crosses above ema1, is a part of the Long condition . 4) Candle low crosses below ema1, is a part of the Short condition . 5) Volume Threshold is an added confirmation for long/short positions. 6) Maximum Risk per trade for the intraday trade can be changed . 7) Default qty size is set to 50 contracts , which can be changed under settings → properties → order size. 8) ATR is used for trailing after entry, as mentioned in the inputs below. // ═════════════════════════// // ————————> INPUTS <————————— // // ═════════════════════════// → L_Bars ———————————> Length of Resistance / Support Levels. → R_Bars ———————————> Length of Resistance / Support Levels. → Volume Break ———————> Volume Breakout from range to confirm Long/Short position. → Price Cross Ema —————> Added condition as explained above (3) and (4). → ATR LONG —————————> ATR stoploss trail for Long positions. → ATR SHORT ————————> ATR stoploss trail for Short positions. → RISK ————————————> Maximum Risk per trade intraday. The strategy was back-tested on TCS ,the input values and the results are mentioned under "BACKTEST RESULTS" below. // ═════════════════════════ // // ————————> PROPERTIES<——————— // // ═════════════════════════ // Default_qty_size ————> 50 contracts , which can be changed under Settings ↓ Properties ↓ Order size // ═══════════════════════════════// // ————————> TIME CONDITION <————————— // // ═══════════════════════════════// The time can be changed in the script , Add it → click on ' { } ' → Pine editor→ making it a copy [right top corner} → Edit the line 27. The Indian Markets open at 9:15am and closes at 3:30pm. The 'time_cond' specifies the time at which Entries should happen . "Close All" function closes all the trades at 3pm , at the open of the next candle. To change the time to close all trades , Go to Pine Editor → Edit the line 92 . All open trades get closed at 3pm , because some brokers don't allow you to place fresh intraday orders after 3pm . // ═══════════════════════════════════════════════ // // ————————> BACKTEST RESULTS ( 100 CLOSED TRADES )<————————— // // ═══════════════════════════════════════════════ // INPUTS can be changed for better Back-Test results. The strategy applied to NSE:TCS ( 5 min Time-Frame and contract size 50) gives us 60% profitability , as shown below It was tested for a period a 6 months with a Profit Factor of 1.8 ,net Profit of 30,000 Rs profit . Sharpe Ratio : 0.49 Sortino Ratio : 1.4 The graph has a Linear Curve with Consistent Profits. The INPUTS are as follows, 1) L_Bars —————————> 4 2) R_Bars —————————> 4 3) Volume Break ————> 5 4) Price Cross Ema ——> 100 5) ATR LONG ——————> 2.4 6) ATR SHORT —————> 2.6 7) RISK —————————> 2000 8) Default qty size ——> 50 NSE:TCS Save it to favorites. Apply it to your charts Now !! Thank You ☺ NSE:TCS
Strategi Pine Script®
oleh The_Algo_Engineer
1
PIVOT STRATEGY [INDIAN MARKET TIMING] A Back-tested Profitable Strategy for Free!! A PIVOT INTRADAY STRATEGY for 5 minute Time-Frame , that also explains the time condition for Indian Markets The Timing can be changed to fit other markets, scroll down to "TIME CONDITION" to know more. The commission is also included in the strategy . The basic idea is when , 1) Price crosses above ema1 ,indicated by pivot highest line in green color . 2) Price crosses below ema1 ,indicated by pivot lowest line in red color . 3) Candle high crosses above pivot highest , is the Long condition . 4) Candle low crosses below pivot lowest , is the Short condition . 5) Maximum Risk per trade for the intraday trade can be changed . 6) Default_qty_size is set to 60 contracts , which can be changed under settings → properties → order size . 7) ATR is used for trailing after entry, as mentioned in the inputs below. // ═════════════════════════// // ————————> INPUTS <————————— // // ═════════════════════════// Leftbars —————> Length of pivot highs and lows Rightbars —————> Length of pivot highs and lows Price Cross Ema —————> Added condition ATR LONG —————> ATR stoploss trail for Long positions ATR SHORT —————> ATR stoploss trail for Short positions RISK —————> Maximum Risk per trade for the day The strategy was back-tested on RELIANCE ,the input values and the results are mentioned under "BACKTEST RESULTS" below . // ═════════════════════════ // // ————————> PROPERTIES<——————— // // ═════════════════════════ // Default_qty_size ————> 60 contracts , which can be changed under settings ↓ properties ↓ order size // ═══════════════════════════════// // ————————> TIME CONDITION <————————— // // ═══════════════════════════════// The time can be changed in the script , Add it → click on ' { } ' → Pine editor→ making it a copy [right top corner} → Edit the line 25 . The Indian Markets open at 9:15am and closes at 3:30pm . The 'time_cond' specifies the time at which Entries should happen . "Close All" function closes all the trades at 3pm, at the open of the next candle. To change the time to close all trades , Go to Pine Editor → Edit the line 103 . All open trades get closed at 3pm , because some brokers don't allow you to place fresh intraday orders after 3pm . NSE:RELIANCE // ═══════════════════════════════════════════════ // // ————————> BACKTEST RESULTS ( 128 CLOSED TRADES )<————————— // // ═══════════════════════════════════════════════ // INPUTS can be changed for better back-test results. The strategy applied to NIFTY ( 5 min Time-Frame and contract size 60 ) gives us 60% profitability y , as shown below It was tested for a period a 6 months with a Profit Factor of 1.45 ,net Profit of 21,500Rs profit . Sharpe Ratio : 0.311 Sortino Ratio : 0.727 The graph has a Linear Curve with consistent profits . The INPUTS are as follows, 1) Leftbars ————————> 3 2) Rightbars ————————> 5 3) Price Cross Ema ——————> 150 4) ATR LONG ————————> 2.7 5) ATR SHORT ———————> 2.9 6) RISK —————————> 2500 7) Default qty size ——————> 60 NSE:RELIANCE Save it to favorites. Apply it to your charts Now !! ↓ FOLLOW US FOR MORE ! Thank me later ;)
Strategi Pine Script®
oleh The_Algo_Engineer
Consolidation Breakout [Indian Market Timing]OK let's get started , A Day Trading (Intraday) Consolidation Breakout Indication Strategy that explains time condition for Indian Markets . The commission is also included in the strategy . The basic idea is , 1) Price crosses above upper band , indicated by a color change (green) is the Long condition . 2) Price crosses below lower band , indicated by a color change (red) is the Short condition . 3) ATR is used for trailing after entry // ═══════════════════════════════// // ————————> TIME CONDITION <————————— // // ═══════════════════════════════// The Indian Markets open at 9:15am and closes at 3:30pm. The time_condition specifies the time at which Entries should happen . "Close All" function closes all the trades at 2:57pm. All open trades get closed at 2:57pm , because some brokers dont allow you to place fresh intraday orders after 3pm. NSE:NIFTY1! // ═══════════════════════════════════════════════ // // ————————> BACKTEST RESULTS ( 114 CLOSED TRADES )<————————— // // ═══════════════════════════════════════════════ // LENGTH , MULT (factor) and ATR can be changed for better backtest results. The strategy applied to NIFTY (3 min Time-Frame and contract size 5) gives us 60% profitability , as shown below It was tested for a period a 8 months with a Profit Factor of 2.2 , avg Trade of 6000Rs profit and Sharpe Ratio : 0.67 The graph has a Linear Curve with consistent profits. NSE:NIFTY1! Save it favorites. Apply it to your charts Now !! Thank me later ;)
Strategi Pine Script®
oleh The_Algo_Engineer
3
Defu_RSIThis is a composite indicator, a collection of multiple indicators. Includes: 1. in the simple RSI oversold and overbought area, I rewritten the RSI index of pine, which is more in line with the change of the relative intensity of rise and fall. 2. the red and green column line to the top is rewritten by William w% index. The red and green column indicates the top of the stage. When the column line disappears, it indicates the top of the stage. It is very reliable. 3. CCI green line: calculate CCI index through EMA weighting, smooth CCI curve and reflect trend change. 4. the j-link of KDJ variant indicates the real-time change of trend, which is used in conjunction with CCI index. Please observe carefully 5. the intra day fluctuation indicator is represented by a red orange column line below the 0 axis, and a simple filter is added to indicate the turning point of the trend. I will continue to update when I have time //==============The above is translated by Google , please pass the administrator 这是个复合指标，是多个指标的集合。 包含有 1. 简单RSI超卖超买区，我改写了pine自带的rsi指标，这个更加符合涨跌相对强度的变化。 2.到顶红绿柱线，由威廉W%指标改写，红绿柱表示阶段的顶部，当柱线消失时，表示阶段顶部，非常可靠。 3. CCI 绿色线，通过ema加权计算CCI指标，平滑CCI曲线，反应趋势变化。 4.用KDJ变种的J线连表示趋势的即时变化，这个配合CCI指标使用。请仔细观察 5.日内波动指示器，在0轴下方用红橙柱线表示，加了简单的过滤器，表示趋势的转折点。
Penunjuk Pine Script®
oleh Defuwa
Hodrick-Prescott MACD [Loxx]Hodrick-Prescott MACD is a MACD indicator using a Hodrick-Prescott Filter. What is Hodrick–Prescott filter? The Hodrick–Prescott filter (also known as Hodrick–Prescott decomposition) is a mathematical tool used in macroeconomics, especially in real business cycle theory, to remove the cyclical component of a time series from raw data. It is used to obtain a smoothed-curve representation of a time series, one that is more sensitive to long-term than to short-term fluctuations. The adjustment of the sensitivity of the trend to short-term fluctuations is achieved by modifying a multiplier Lambda. The filter was popularized in the field of economics in the 1990s by economists Robert J. Hodrick and Nobel Memorial Prize winner Edward C. Prescott, though it was first proposed much earlier by E. T. Whittaker in 1923. There are some drawbacks to use the HP filter than you can read here: en.wikipedia.org Included Bar coloring 3 types of signals Alerts Loxx's Expanded Source Types
Penunjuk Pine Script®
oleh loxx
Hodrick-Prescott Channel [Loxx]Hodrick-Prescott Channel is a fast and slow moving average that moves inside a channel. Breakouts are when the fast ma crosses up over the slow ma and breakdowns are the opposite. The white moving average is the fast ma, the slow moving average is the red/green ma. What is Hodrick–Prescott filter? The Hodrick–Prescott filter (also known as Hodrick–Prescott decomposition) is a mathematical tool used in macroeconomics, especially in real business cycle theory, to remove the cyclical component of a time series from raw data. It is used to obtain a smoothed-curve representation of a time series, one that is more sensitive to long-term than to short-term fluctuations. The adjustment of the sensitivity of the trend to short-term fluctuations is achieved by modifying a multiplier Lambda. The filter was popularized in the field of economics in the 1990s by economists Robert J. Hodrick and Nobel Memorial Prize winner Edward C. Prescott, though it was first proposed much earlier by E. T. Whittaker in 1923. There are some drawbacks to use the HP filter than you can read here: en.wikipedia.org Included Bar coloring Signals Alerts
Penunjuk Pine Script®
oleh loxx
2
ln(close/20 sma) adjusted for time (BTC)(This indicator was designed for the BTC index chart) Designed for Bitcoin. Plots the log of the close/20W SMA with a linear offset m*t, where m is the gradient I've chosen and t is the candle index. Anything above 1 is a mania phase/market cycle top. If it peaks around 0.92 and rolls over, it could be a local/market cycle top. This will obviously not work at all in the long term as Bitcoin will not continue following the trend line on the log plot (you can even see it start to deviate in the Jan-Feb 2021 peaks where the indicator went to 1.15). It identifies the 2011, 2013 (both of them), 2017 tops as being just above 1. It also identifies the 2019 local peak and 2021 market cycle top at ~0.94. Feel free to change the gradient or even add a function to curve the straight line eventually. I made this for fun, feel free to use it as you wish.
Penunjuk Pine Script®
oleh piHQ0A1qhtZ6ut9K
VIX: Backwardation Vs ContangoVIX: Backwardation Vs Contango Quickly visualize Contango vs Backwardation in the S&P 500 Volatility Index by plotting the prices of the futures contracts over the next 9 months Note: indicator does not map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot TO UPDATE(every few months recommended): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old contract labels (bottom); add new contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly This is one of several similar indicators: Meats | Metals | Grains | VIX Tips: -Right click and reset chart if you can't see the plot; or if you have trouble with the scaling. -Right click and pin to Scale A to plot on the same scale as price --Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot updated 15th June 2022 © twingall
Penunjuk Pine Script®
oleh twingall
1
Metals:Backwardation/ContangoMETALS: Gold , Silver , Copper ( GC , SI, HG) Quickly visualize carrying charge market vs backwardized market by comparing the price of the next 2 years of futures contracts. Carrying charge (contract prices increasing into the future) = normal, representing the costs of carrying/storage of a commodity. When this is flipped to Backwardation (contract prices decreasing into the future): its a bullish sign: Buyers want this commodity, and they want it NOW. Note: indicator does not map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot There's likely some more efficient way to write this; e.g. when plotting for Gold ( GC ); 21 of the security requests are redundant; but they are still made; and can make this slower to load TO UPDATE(once a year will do): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old contract labels (bottom); add new contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly This is one of three similar indicators: Meats | Metals | Grains -If you want to build from this; to work on other commodities ; be aware that Tradingview limits the number of contract calls to 40 (hence the 3 seperate indicators) Tips: -Right click and reset chart if you can't see the plot; or if you have trouble with the scaling. -Right click and add to new scale if you prefer this not to overlay directly on price. Or move to new pane below. --Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot updated 15th June 2022 © twingall
Penunjuk Pine Script®
oleh twingall
5
Grains:Backwardation/ContangoGRAINS: Wheat , Soybeans , Corn (ZW, ZS, ZC ) Quickly visualize carrying charge market vs backwardized market by comparing the price of the next 2 years of futures contracts. Carrying charge (contract prices increasing into the future) = normal, representing the costs of carrying/storage of a commodity. When this is flipped to Backwardation (contract prices decreasing into the future): its a bullish sign: Buyers want this commodity, and they want it NOW. The above chart shows a nice example of backwardation. Note: indicator does not map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot There's likely some more efficient way to write this; e.g. when plotting for Wheat (ZW); 15 of the security requests are redundant; but they are still made; and can make this slower to load TO UPDATE(once a year will do): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old contract labels (bottom); add new contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly This is one of three similar indicators: Meats | Metals | Grains -If you want to build from this; to work on other commodities ; be aware that Tradingview limits the number of contract calls to 40 (hence the 3 seperate indicators) Tips: -Right click and reset chart if you can't see the plot; or if you have trouble with the scaling. -Right click and add to new scale if you prefer this not to overlay directly on price. Or move to new pane below. --Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot updated 15th June 2022 © twingall
Penunjuk Pine Script®
oleh twingall
2
Meats: Backwardation/CantangoMEATS: Live Cattle , Feeder Cattle, Lean Hogs (LE, GF , HE) Quickly visualize carrying charge market vs backwardized market by comparing the price of the next 2 years of futures contracts. Carrying charge (contract prices increasing into the future) = normal, representing the costs of carrying/storage of a commodity. When this is flipped to Backwardation (contract prices decreasing into the future): its a bullish sign: Buyers want this commodity, and they want it NOW. Note: indicator does NOT map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot There's likely some more efficient way to write this; e.g. when plotting for Live Cattle (LE); 8 of the security requests are redundant; but they are still made; and can make this slower to load TO UPDATE(once a year will do): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old contract labels (bottom); add new contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly This is one of three similar indicators: Meats | Metals | Grains -If you want to build from this; to work on other commodities ; be aware that Tradingview limits the number of contract calls to 40 (hence the 3 seperate indicators) Tips: -Right click and reset chart if you can't see the plot; or if you have trouble with the scaling. -Right click and add to new scale if you prefer this not to overlay directly on price. Or move to new pane below. --Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot updated 15th June 2022 © twingall
Penunjuk Pine Script®
oleh twingall