Moving Average Z-Score Suite [BackQuant]Moving Average Z-Score Suite
1. What is this indicator
The Moving Average Z-Score Suite is a versatile indicator designed to help traders identify and capitalize on market trends by utilizing a variety of moving averages. This indicator transforms selected moving averages into a Z-Score oscillator, providing clear signals for potential buy and sell opportunities. The indicator includes options to choose from eleven different moving average types, each offering unique benefits and characteristics. It also provides additional features such as standard deviation levels, extreme levels, and divergence detection, enhancing its utility in various market conditions.
2. What is a Z-Score
A Z-Score is a statistical measurement that describes a value's relationship to the mean of a group of values. It is measured in terms of standard deviations from the mean. For instance, a Z-Score of 1.0 means the value is one standard deviation above the mean, while a Z-Score of -1.0 indicates it is one standard deviation below the mean. In the context of financial markets, Z-Scores can be used to identify overbought or oversold conditions by determining how far a particular value (such as a moving average) deviates from its historical mean.
3. What moving averages can be used
The Moving Average Z-Score Suite allows users to select from the following eleven moving averages:
Simple Moving Average (SMA)
Hull Moving Average (HMA)
Exponential Moving Average (EMA)
Weighted Moving Average (WMA)
Double Exponential Moving Average (DEMA)
Running Moving Average (RMA)
Linear Regression Curve (LINREG) (This script can be found standalone )
Triple Exponential Moving Average (TEMA)
Arnaud Legoux Moving Average (ALMA)
Kalman Hull Moving Average (KHMA)
T3 Moving Average
Each of these moving averages has distinct properties and reacts differently to price changes, allowing traders to select the one that best fits their trading style and market conditions.
4. Why Turning a Moving Average into a Z-Score is Innovative and Its Benefits
Transforming a moving average into a Z-Score is an innovative approach because it normalizes the moving average values, making them more comparable across different periods and instruments. This normalization process helps in identifying extreme price movements and mean-reversion opportunities more effectively. By converting the moving average into a Z-Score, traders can better gauge the relative strength or weakness of a trend and detect potential reversals. This method enhances the traditional moving average analysis by adding a statistical perspective, providing clearer and more objective trading signals.
5. How It Can Be Used in the Context of a Trading System
In a trading system, it can be used to generate buy and sell signals based on the Z-Score values. When the Z-Score crosses above zero, it indicates a potential buying opportunity, suggesting that the price is above its mean and possibly trending upward. Conversely, a Z-Score crossing below zero signals a potential selling opportunity, indicating that the price is below its mean and might be trending downward. Additionally, the indicator's ability to show standard deviation levels and extreme levels helps traders set profit targets and stop-loss levels, improving risk management and trade planning.
6. How It Can Be Used for Trend Following
For trend-following strategies, it can be particularly useful. The Z-Score oscillator helps traders identify the strength and direction of a trend. By monitoring the Z-Score and its rate of change, traders can confirm the persistence of a trend and make informed decisions to enter or exit trades. The indicator's divergence detection feature further enhances trend-following by identifying potential reversals before they occur, allowing traders to capitalize on trend shifts. By providing a clear and quantifiable measure of trend strength, this indicator supports disciplined and systematic trend-following strategies.
No backtests for this indicator due to the many options and ways it can be used,
Enjoy
Trend
Multiple Non-Linear Regression [ChartPrime]This indicator is designed to perform multiple non-linear regression analysis using four independent variables: close, open, high, and low prices. Here's a breakdown of its components and functionalities:
Inputs:
Users can adjust several parameters:
Normalization Data Length: Length of data used for normalization.
Learning Rate: Rate at which the algorithm learns from errors.
Smooth?: Option to smooth the output.
Smooth Length: Length of smoothing if enabled.
Define start coefficients: Initial coefficients for the regression equation.
Data Normalization:
The script normalizes input data to a range between 0 and 1 using the highest and lowest values within a specified length.
Non-linear Regression:
It calculates the regression equation using the input coefficients and normalized data. The equation used is a weighted sum of the independent variables, with coefficients adjusted iteratively using gradient descent to minimize errors.
Error Calculation:
The script computes the error between the actual and predicted values.
Gradient Descent: The coefficients are updated iteratively using gradient descent to minimize the error.
// Compute the predicted values using the non-linear regression function
predictedValues = nonLinearRegression(x_1, x_2, x_3, x_4, b1, b2, b3, b4)
// Compute the error
error = errorModule(initial_val, predictedValues)
// Update the coefficients using gradient descent
b1 := b1 - (learningRate * (error * x_1))
b2 := b2 - (learningRate * (error * x_2))
b3 := b3 - (learningRate * (error * x_3))
b4 := b4 - (learningRate * (error * x_4))
Visualization:
Plotting of normalized input data (close, open, high, low).
The indicator provides visualization of normalized data values (close, open, high, low) in the form of circular markers on the chart, allowing users to easily observe the relative positions of these values in relation to each other and the regression line.
Plotting of the regression line.
Color gradient on the regression line based on its value and bar colors.
Display of normalized input data and predicted value in a table.
Signals for crossovers with a midline (0.5).
Interpretation:
Users can interpret the regression line and its crossovers with the midline (0.5) as signals for potential buy or sell opportunities.
This indicator helps users analyze the relationship between multiple variables and make trading decisions based on the regression analysis. Adjusting the coefficients and parameters can fine-tune the model's performance according to specific market conditions.
Six PillarsGeneral Overview
The "Six Pillars" indicator is a comprehensive trading tool that combines six different technical analysis methods to provide a holistic view of market conditions.
These six pillars are:
Trend
Momentum
Directional Movement (DM)
Stochastic
Fractal
On-Balance Volume (OBV)
The indicator calculates the state of each pillar and presents them in an easy-to-read table format. It also compares the current timeframe with a user-defined comparison timeframe to offer a multi-timeframe analysis.
A key feature of this indicator is the Confluence Strength meter. This unique metric quantifies the overall agreement between the six pillars across both timeframes, providing a score out of 100. A higher score indicates stronger agreement among the pillars, suggesting a more reliable trading signal.
I also included a visual cue in the form of candle coloring. When all six pillars agree on a bullish or bearish direction, the candle is colored green or red, respectively. This feature allows traders to quickly identify potential high-probability trade setups.
The Six Pillars indicator is designed to work across multiple timeframes, offering a comparison between the current timeframe and a user-defined comparison timeframe. This multi-timeframe analysis provides traders with a more comprehensive understanding of market dynamics.
Origin and Inspiration
The Six Pillars indicator was inspired by the work of Dr. Barry Burns, author of "Trend Trading for Dummies" and his concept of "5 energies." (Trend, Momentum, Cycle, Support/Resistance, Scale) I was intrigued by Dr. Burns' approach to analyzing market dynamics and decided to put my own twist upon his ideas.
Comparing the Six Pillars to Dr. Burns' 5 energies, you'll notice I kept Trend and Momentum, but I swapped out Cycle, Support/Resistance, and Scale for Directional Movement, Stochastic, Fractal, and On-Balance Volume. These changes give you a more dynamic view of market strength, potential reversals, and volume confirmation all in one package.
What Makes This Indicator Unique
The standout feature of the Six Pillars indicator is its Confluence Strength meter. This feature calculates the overall agreement between the six pillars, providing traders with a clear, numerical representation of signal strength.
The strength is calculated by considering the state of each pillar in both the current and comparison timeframes, resulting in a score out of 100.
Here's how it calculates the strength:
It considers the state of each pillar in both the current timeframe and the comparison timeframe.
For each pillar, the absolute value of its state is taken. This means that both strongly bullish (2) and strongly bearish (-2) states contribute equally to the strength.
The absolute values for all six pillars are summed up for both timeframes, resulting in two sums: current_sum and alternate_sum.
These sums are then added together to get a total_sum.
The total_sum is divided by 24 (the maximum possible sum if all pillars were at their strongest states in both timeframes) and multiplied by 100 to get a percentage.
The result is rounded to the nearest integer and capped at a minimum of 1.
This calculation method ensures that the Confluence Strength meter takes into account not only the current timeframe but also the comparison timeframe, providing a more robust measure of overall market sentiment. The resulting score, ranging from 1 to 100, gives traders a clear and intuitive measure of how strongly the pillars agree, with higher scores indicating stronger potential signals.
This approach to measuring signal strength is unique in that it doesn't just rely on a single aspect of price action or volume. Instead, it takes into account multiple factors, providing a more robust and reliable indication of potential market moves. The higher the Confluence Strength score, the more confident traders can be in the signal.
The Confluence Strength meter helps traders in several ways:
It provides a quick and easy way to gauge the overall market sentiment.
It helps prioritize potential trades by identifying the strongest signals.
It can be used as a filter to avoid weaker setups and focus on high-probability trades.
It offers an additional layer of confirmation for other trading strategies or indicators.
By combining the Six Pillars analysis with the Confluence Strength meter, I've created a powerful tool that not only identifies potential trading opportunities but also quantifies their strength, giving traders a significant edge in their decision-making process.
How the Pillars Work (What Determines Bullish or Bearish)
While developing this indicator, I selected and configured six key components that work together to provide a comprehensive view of market conditions. Each pillar is set up to complement the others, creating a synergistic effect that offers traders a more nuanced understanding of price action and volume.
Trend Pillar: Based on two Exponential Moving Averages (EMAs) - a fast EMA (8 period) and a slow EMA (21 period). It determines the trend by comparing these EMAs, with stronger trends indicated when the fast EMA is significantly above or below the slow EMA.
Directional Movement (DM) Pillar: Utilizes the Average Directional Index (ADX) with a default period of 14. It measures trend strength, with values above 25 indicating a strong trend. It also considers the Positive and Negative Directional Indicators (DI+ and DI-) to determine trend direction.
Momentum Pillar: Uses the Moving Average Convergence Divergence (MACD) with customizable fast (12), slow (26), and signal (9) lengths. It compares the MACD line to the signal line to determine momentum strength and direction.
Stochastic Pillar: Employs the Stochastic oscillator with a default period of 13. It identifies overbought conditions (above 80) and oversold conditions (below 20), with intermediate zones between 60-80 and 20-40.
Fractal Pillar: Uses Williams' Fractal indicator with a default period of 3. It identifies potential reversal points by looking for specific high and low patterns over the given period.
On-Balance Volume (OBV) Pillar: Incorporates On-Balance Volume with three EMAs - short (3), medium (13), and long (21) periods. It assesses volume trends by comparing these EMAs.
Each pillar outputs a state ranging from -2 (strongly bearish) to 2 (strongly bullish), with 0 indicating a neutral state. This standardized output allows for easy comparison and aggregation of signals across all pillars.
Users can customize various parameters for each pillar, allowing them to fine-tune the indicator to their specific trading style and market conditions. The multi-timeframe comparison feature also allows users to compare pillar states between the current timeframe and a user-defined comparison timeframe, providing additional context for decision-making.
Design
From a design standpoint, I've put considerable effort into making the Six Pillars indicator visually appealing and user-friendly. The clean and minimalistic design is a key feature that sets this indicator apart.
I've implemented a sleek table layout that displays all the essential information in a compact and organized manner. The use of a dark background (#030712) for the table creates a sleek look that's easy on the eyes, especially during extended trading sessions.
The overall design philosophy focuses on presenting complex information in a simple, intuitive format, allowing traders to make informed decisions quickly and efficiently.
The color scheme is carefully chosen to provide clear visual cues:
White text for headers ensures readability
Green (#22C55E) for bullish signals
Blue (#3B82F6) for neutral states
Red (#EF4444) for bearish signals
This color coding extends to the candle coloring, making it easy to spot when all pillars agree on a bullish or bearish outlook.
I've also incorporated intuitive symbols (↑↑, ↑, →, ↓, ↓↓) to represent the different states of each pillar, allowing for quick interpretation at a glance.
The table layout is thoughtfully organized, with clear sections for the current and comparison timeframes. The Confluence Strength meter is prominently displayed, providing traders with an immediate sense of signal strength.
To enhance usability, I've added tooltips to various elements, offering additional information and explanations when users hover over different parts of the indicator.
How to Use This Indicator
The Six Pillars indicator is a versatile tool that can be used for various trading strategies. Here are some general usage guidelines and specific scenarios:
General Usage Guidelines:
Pay attention to the Confluence Strength meter. Higher values indicate stronger agreement among the pillars and potentially more reliable signals.
Use the multi-timeframe comparison to confirm signals across different time horizons.
Look for alignment between the current timeframe and comparison timeframe pillars for stronger signals.
One of the strengths of this indicator is it can let you know when markets are sideways – so in general you can know to avoid entering when the Confluence Strength is low, indicating disagreement among the pillars.
Customization Options
The Six Pillars indicator offers a wide range of customization options, allowing traders to tailor the tool to their specific needs and trading style. Here are the key customizable elements:
Comparison Timeframe:
Users can select any timeframe for comparison with the current timeframe, providing flexibility in multi-timeframe analysis.
Trend Pillar:
Fast EMA Period: Adjustable for quicker or slower trend identification
Slow EMA Period: Can be modified to capture longer-term trends
Momentum Pillar:
MACD Fast Length
MACD Slow Length
MACD Signal Length These can be adjusted to fine-tune momentum sensitivity
DM Pillar:
ADX Period: Customizable to change the lookback period for trend strength measurement
ADX Threshold: Adjustable to define what constitutes a strong trend
Stochastic Pillar:
Stochastic Period: Can be modified to change the sensitivity of overbought/oversold readings
Fractal Pillar:
Fractal Period: Adjustable to identify potential reversal points over different timeframes
OBV Pillar:
Short OBV EMA
Medium OBV EMA
Long OBV EMA These periods can be customized to analyze volume trends over different timeframes
These customization options allow traders to experiment with different settings to find the optimal configuration for their trading strategy and market conditions. The flexibility of the Six Pillars indicator makes it adaptable to various trading styles and market environments.
Parabolic SAR Waves [MMA]Parabolic SAR Waves
Description:
The "Parabolic SAR Waves " is an advanced version of the traditional Parabolic SAR indicator, customized for TradingView. This script incorporates dynamic acceleration factors and optional gradient coloration to enhance visual interpretation and utility for traders aiming to accurately capture trends and predict potential reversals.
Features:
- Dynamic Acceleration: Adjust the initial, incremental, and maximum values of the acceleration factor to suit various market conditions and trading preferences.
- Gradient Coloring: Use gradient colors to indicate the strength and stability of the trend, providing visual cues that are easy to interpret.
- Trend Visibility: The SAR dots are plotted directly on the price chart, making it easy to spot trend changes and maintain situational awareness.
- Overlay Feature: Designed to overlay directly on the price charts, allowing for seamless integration with other technical analysis tools.
Benefits:
- Trend Detection: Helps in identifying the beginning and potential reversal of trends, aiding in timely decision-making.
- Stop-Loss Management: Utilizes the positions of the SAR dots as dynamic stop-loss points, which helps in risk management.
- Visual Simplicity: Enhances the decision-making process through a straightforward visual representation of trend data.
Parameters:
- Acceleration Start (accel_start): The initial value for the acceleration, set to 0.02 by default.
- Acceleration Increment (accel_inc): The amount by which the acceleration increases, set to 0.005 by default.
- Acceleration Maximum (accel_max): The maximum limit of the acceleration factor, set to 0.1 by default.
- Use Gradient Colors (use_gradient): A boolean toggle to enable or disable gradient coloring, enabled by default.
Indicator Usage:
1. To apply, select this indicator from TradingView's indicator library.
2. Adjust the acceleration parameters based on your specific trading strategy and market analysis.
3. Interpret the indicator signals:
- Green SAR dots below the price bars indicate a bullish trend.
- Red SAR dots above the price bars signify a bearish trend.
- Gradient colors, if enabled, provide insights into the acceleration factor's intensity relative to trend strength.
Alerts:
- Bullish Reversal Alert: Issues a notification if there is a potential upward reversal when the trend shifts to bullish.
- Bearish Reversal Alert: Alerts when there's potential for a downward move as the trend turns bearish.
The "Parabolic SAR Waves " is a robust tool, ideal for traders who need precise, customizable trend-following capabilities that integrate seamlessly with other market analysis strategies. Enhance your trading with detailed trend insights and adaptive parameter controls.
Bitcoin Trend Indicator█ Overview
The Trend Indicator script is designed to help traders identify the direction and strength of momentum in the price of a digital asset. By using historical price data, it calculates and provides daily signals indicating whether the asset is in an uptrend, downtrend, or no trend at all. The script can be applied to various cryptocurrencies, such as Bitcoin and Ether, using their respective price charts.
█ Key Concepts and Calculation Methodology
For calculations, the script uses the 180 most recent candles.
The Trend Indicator is calculated based on four moving average pairs (MAPs), which compare shorter-term and longer-term moving averages of the asset's price.
The moving averages are exponentially weighted, meaning more recent prices have a greater impact on the average than older prices. The half-life of the moving averages determines the weight decay.
The script uses the following moving average pairs:
1-day vs. 5-day
2.5-day vs. 10-day
5-day vs. 20-day
10-day vs. 40-day
█ Calculation Steps
Exponentially Weighted Moving Averages (EWMA):
Each moving average is calculated using an exponential decay factor and a normalization factor to adjust for the fixed window of 180 observations.
Component Inputs:
For each moving average pair, the script compares the shorter-term moving average to the longer-term moving average. If the shorter-term average is greater than or equal to the longer-term average, the component input is +1 (indicating an uptrend). If it is less, the input is -1 (indicating a downtrend).
Trend Indicator Value:
The script averages the four component inputs to produce a final value ranging from -1 to +1, representing the trend's direction and strength:
+1: Significant uptrend
+0.5: Uptrend
0: No trend
-0.5: Downtrend
-1: Significant downtrend
█ Learn More
For more information about the Bitcoin Trend Indicator and other trading tools, please visit my TradingView profile. Feel free to reach out with any questions or feedback.
Volume-Adjusted Bollinger BandsThe Volume-Adjusted Bollinger Bands (VABB) indicator is an advanced technical analysis tool that enhances the traditional Bollinger Bands by incorporating volume data. This integration allows the bands to dynamically adjust based on market volume, providing a more nuanced view of price movements and volatility. The key qualities of the VABB indicator include:
1. Dynamic Adjustment with Volume: Traditional Bollinger Bands are based solely on price data and standard deviations. The VABB indicator adjusts the width of the bands based on the volume ratio, making them more responsive to changes in market activity. This means that during periods of high volume, the bands will expand, and during periods of low volume, they will contract. This adjustment helps to reinforce the significance of price movements relative to the central line (VWMA).
2. Volume-Weighted Moving Average (VWMA): Instead of using a simple moving average (SMA) as the central line, the VABB uses the VWMA, which weights prices by volume. This provides a more accurate representation of the average price level, considering the trading volume.
3. Enhanced Signal Reliability: By incorporating volume, the VABB can filter out false signals that might occur in low-volume conditions. This makes the indicator particularly useful for identifying significant price movements that are supported by strong trading activity.
How to Use and Interpret the VABB Indicator
To use the VABB indicator, you need to set it up on your trading platform with the following parameters:
1. BB Length: The number of periods for calculating the Bollinger Bands (default is 20).
2. BB Multiplier: The multiplier for the standard deviation to set the width of the Bollinger Bands (default is 2.0).
3. Volume MA Length: The number of periods for calculating the moving average of the volume (default is 14).
Volume Ratio Smoothing Length: The number of periods for smoothing the volume ratio (default is 5).
Interpretation
1.Trend Identification: The VWMA serves as the central line. When the price is above the VWMA, it indicates an uptrend, and when it is below, it indicates a downtrend. The direction of the VWMA itself can also signal the trend's strength.
2. Volatility and Volume Analysis: The width of the VABB bands reflects both volatility and volume. Wider bands indicate high volatility and/or high volume, suggesting significant price movements. Narrower bands indicate low volatility and/or low volume, suggesting consolidation.
3. Trading Signals:
Breakouts: A price move outside the adjusted upper or lower bands can signal a potential breakout. High volume during such moves reinforces the breakout's validity.
Reversals: When the price touches or crosses the adjusted upper band, it may indicate overbought conditions, while touching or crossing the adjusted lower band may indicate oversold conditions. These conditions can signal potential reversals, especially if confirmed by other indicators or volume patterns.
Volume Confirmation: The volume ratio component helps confirm the strength of price movements. For instance, a breakout accompanied by a high volume ratio is more likely to be sustained than one with a low volume ratio.
Practical Example
Bullish Scenario: If the price crosses above the adjusted upper band with a high volume ratio, it suggests a strong bullish breakout. Traders might consider entering a long position, setting a stop-loss just below the VWMA or the lower band.
Bearish Scenario: Conversely, if the price crosses below the adjusted lower band with a high volume ratio, it suggests a strong bearish breakout. Traders might consider entering a short position, setting a stop-loss just above the VWMA or the upper band.
Conclusion
The Volume-Adjusted Bollinger Bands (VABB) indicator is a powerful tool that enhances traditional Bollinger Bands by incorporating volume data. This dynamic adjustment helps traders better understand market conditions and make more informed trading decisions. By using the VABB indicator, traders can identify significant price movements supported by volume, improving the reliability of their trading signals.
The Volume-Adjusted Bollinger Bands (VABB) indicator is provided for educational and informational purposes only. It is not financial advice and should not be construed as a recommendation to buy, sell, or hold any financial instrument. Trading involves significant risk of loss and is not suitable for all investors. Past performance is not indicative of future results.
Dynamic Candle StrengthHow It Works
Initialization of Dynamic Levels:
The first candle's high and low are taken as the initial dynamic high and dynamic low levels.
If the next candle's close price is above the dynamic high, the candle is colored green, indicating bullish conditions.
If the next candle's close price is below the dynamic low, the candle is colored black, indicating bearish conditions.
If a candle's high and low crossed both the dynamic high and dynamic low, the dynamic high and low levels are updated to the high and low of that candle, but the candle color will continue with the same color as the previous candle.
Maintaining and Updating Dynamic Levels:
The dynamic high and low are only updated if a candle's close is above the current dynamic high or below the current dynamic low.
If the candle does not close above or below these levels, the dynamic high and low remain unchanged.
Visual Signals:
Green Bars: Indicate that the candle's close is above the dynamic high, suggesting bullish conditions.
Black Bars: Indicate that the candle's close is below the dynamic low, suggesting bearish conditions.
This method ensures that the dynamic high and low levels are adjusted in real-time based on the most recent significant price movements, providing a reliable measure of market sentiment.
RunRox - Backtesting System (ASMC)Introducing RunRox - Backtesting System (ASMC), a specially designed backtesting system built on the robust structure of our Advanced SMC indicator. This innovative tool evaluates various Smart Money Concept (SMC) trading setups and serves as an automatic optimizer, displaying which entry and exit points have historically shown the best results. With cutting-edge technology, RunRox - Backtesting System (ASMC) provides you with effective strategies, maximizing your trading potential and taking your trading to the next level
🟠 HOW OUR BACKTESTING SYSTEM WORKS
Our backtesting system for the Advanced SMC (ASMC) indicator is meticulously designed to provide traders with a thorough analysis of their Smart Money Concept (SMC) strategies. Here’s an overview of how it works:
🔸 Advanced SMC Structure
Our ASMC indicator is built upon an enhanced SMC structure that integrates the Institutional Distribution Model (IDM), precise retracements, and five types of order blocks (CHoCH OB, IDM OB, Local OB, BOS OB, Extreme OB). These components allow for a detailed understanding of market dynamics and the identification of key trading opportunities.
🔸 Data Integration and Analysis
1. Historical Data Testing:
Our system tests various entry and exit points using historical market data.
The ASMC indicator is used to simulate trades based on predefined SMC setups, evaluating their effectiveness over a specified time period.
Traders can select different parameters such as entry points, stop-loss, and take-profit levels to see how these setups would have performed historically.
2. Entry and Exit Events:
The backtester can simulate trades based on 12 different entry events, 14 target events, and 14 stop-loss events, providing a comprehensive testing framework.
It allows for testing with multiple combinations of entry and exit strategies, ensuring a robust evaluation of trading setups.
3. Order Block Sensitivity:
The system uses the sensitivity settings from the ASMC indicator to determine the most relevant order blocks and fair value gaps (FVGs) for entry and exit points.
It distinguishes between different types of order blocks, helping traders identify strong institutional zones versus local zones.
🔸 Optimization Capabilities
1. Auto-Optimizer:
The backtester includes an auto-optimizer feature that evaluates various setups to find those with the best historical performance.
It automatically adjusts parameters to identify the most effective strategies for both trend-following and counter-trend trading.
2. Stop Loss and Take Profit Optimization:
It optimizes stop-loss and take-profit levels by testing different settings and identifying those that provided the best historical results.
This helps traders refine their risk management and maximize potential returns.
3. Trailing Stop Optimization:
The system also optimizes trailing stops, ensuring that traders can maximize their profits by adjusting their stops dynamically as the market moves.
🔸 Comprehensive Reporting
1. Performance Metrics:
The backtesting system provides detailed reports, including key performance metrics such as Net Profit, Win Rate, Profit Factor, and Max Drawdown.
These metrics help traders understand the historical performance of their strategies and make data-driven decisions.
2. Flexible Settings:
Traders can adjust initial balance, commission rates, and risk per trade settings to simulate real-world trading conditions.
The system supports testing with different leverage settings, allowing for realistic assessments even with tight stop-loss levels.
🔸 Conclusion
The RunRox Backtesting System (ASMC) is a powerful tool for traders seeking to validate and optimize their SMC strategies. By leveraging historical data and sophisticated optimization algorithms, it provides insights into the most effective setups, enhancing trading performance and decision-making.
🟠 HERE ARE THE AVAILABLE FEATURES
Historical backtesting for any setup – Select any entry point, exit point, and various stop-loss options to see the results of your setup on historical data.
Auto-optimizer for finding the best setups – The indicator displays settings that have shown the best results historically, providing valuable insights.
Auto-optimizer for counter-trend setups – Discover entry and exit points for counter-trend trading based on historical performance.
Auto-optimizer for stop-loss – The indicator shows stop-loss points that have been most effective historically.
Auto-optimizer for take-profit – The indicator identifies take-profit points that have performed well in historical trading data.
Auto-optimizer for trailing stop – The indicator presents trailing stop settings that have shown the best historical results.
And much more within our indicator, all of which we will cover in this post. Next, we will showcase the possible entry points, targets, and stop-loss options available for testing your strategies
🟠 ENTRY SETTINGS
12 Event Triggers for Trade Entry
Extr. ChoCh OB
Extr. ChoCh FVG
ChoCh
ChoCh OB
ChoCh FVG
IDM OB
IDM FVG
BoS FVG
BoS OB
BoS
Extr. BoS FVG
Extr. BoS OB
3 Trade Direction Options
Long Only: Enter long positions only
Short Only: Enter short positions only
Long and Short: Enter both long and short positions based on trend
3 Levels for Order Block/FVG Entries
Beginning: Enter the trade at the first touch of the Order Block/FVG
Middle: Enter the trade when the middle of the Order Block/FVG is reached
End: Enter the trade upon full filling of the Order Block/FVG
*Three levels work only for Order Blocks and FVG. For trade entries based on BOS or CHoCH, these settings do not apply as these parameters are not available for these types of entries
You can choose any combination of trade entries imaginable.
🟠 TARGET SETTINGS
14 Target Events, Including Fixed % and Fixed RR (Risk/Reward):
Fixed - % change in price
Fixed RR - Risk Reward per trade
Extr. ChoCh OB
Extr. ChoCh FVG
ChoCh
ChoCh OB
ChoCh FVG
IDM OB
IDM FVG
BoS FVG
BoS OB
BoS
Extr. BoS FVG
Extr. BoS OB
3 Levels of Order Block/FVG for Target
Beginning: Close the trade at the first touch of your target.
Middle: Close the trade at the midpoint of your chosen target.
End: Close the trade when your target is fully filled.
Customizable Parameters
Easily set your Fixed % and Fixed RR targets with a user-friendly input field. This field works only for the Fixed and Fixed RR entry parameters. When selecting a different entry point, this field is ignored
Choose any combination of target events to suit your trading strategy.
🟠 STOPLOSS SETTINGS
14 Possible StopLoss Events Including Entry Orderblock/FVG
Fixed - Fix the loss on the trade when the price moves by N%
Entry Block
Extr. ChoCh OB
Extr. ChoCh FVG
ChoCh
ChoCh OB
ChoCh FVG
IDM OB
IDM FVG
BoS FVG
BoS OB
BoS
Extr. BoS FVG
Extr. BoS OB
3 Levels for Order Blocks/FVG Exits
Beginning: Exit the trade at the first touch of the order block/FVG.
Middle: Exit the trade at the middle of the order block/FVG.
End: Exit the trade at the full completion of the order block/FVG.
Dedicated Field for Setting Fixed % Value
Set a fixed % value in a dedicated field for the Fixed parameter. This field works only for the Fixed parameter. When selecting other exit parameters, this field is ignored.
🟠 ADDITIONAL SETTINGS
Trailing Stop, %
Set a Trailing Stop as a percentage of your trade to potentially increase profit based on historical data.
Move SL to Breakeven, bars
Move your StopLoss to breakeven after exiting the entry zone for a specified number of bars. This can enhance your potential WinRate based on historical performance.
Skip trade if RR less than
This feature allows you to skip trades where the potential Risk-to-Reward ratio is less than the number set in this field.
🟠 EXAMPLE OF MANUAL SETUP
For example, let me show you how it works on the chart. You select entry parameters, stop loss parameters, and take profit parameters for your trades, and the strategy automatically tests this setup on historical data, allowing you to see the results of this strategy.
In the screenshot above, the parameters were as follows:
Trade Entry: CHoCH OB (Beginning)
Stop Loss: Entry Block
Take Profit: Break of BOS
The indicator will automatically test all possible trades on the chart and display the results for this setup.
🟠 AUTO OPTIMIZATION SETTINGS
In the screenshot above, you can see the optimization table displaying various entry points, exits, and stop-loss settings, along with their historical performance results and other parameters. This feature allows you to identify trading setups that have shown the best historical outcomes.
This functionality will enhance your trading approach, providing you with valuable insights based on historical data. You’ll be aware of the Smart Money Concept settings that have historically worked best for any specific chart and timeframe.
Our indicator includes various optimization options designed to help you find the most effective settings based on historical data. There are 5 optimization modes, each offering unique benefits for every trader
Trend Entry - Optimization of the best settings for trend-following trades. The strategy will enter trades only in the direction of the trend. If the trend is upward, it will look for long entry points and vice versa.
Counter Trend Entry - Finding setups against the trend. If the trend is upward, the script will search for short entry points. This is the opposite of trend entry optimization.
Stop Loss - Identifying stop-loss points that showed the best historical performance for the specific setup you have configured. This helps in finding effective exit points to minimize losses.
Take Profit - Determining targets for the configured setup based on historical performance, helping to identify potentially profitable take profit levels.
Trailing Stop - Finding optimal percentages for the trailing stop function based on historical data, which can potentially increase the profit of your trades.
Ability to set parameters for auto-optimization within a specified range. For example, if you choose FixRR TP from 1 to 10, the indicator will automatically test all possible Risk Reward Take Profit variations from 1 to 10 and display the results for each parameter individually.
Ability to set initial deposit parameters, position commissions, and risk per trade as a fixed percentage or fixed amount. Additionally, you can set the maximum leverage for a trade.
There are times when the stop loss is very close to the entry point, and adhering to the risk per trade values set in the settings may not allow for such a loss in any situation. That’s why we added the ability to set the maximum possible leverage, allowing you to test your trading strategy even with very tight stop losses.
Duplicated Smart Money Structure settings from our Advanced SMC indicator that you can adjust to match your trading style flexibly. All these settings will be taken into account during the optimization process or when manually calculating settings.
Additionally, you can test your strategy based on higher timeframe order blocks. For example, you can test a strategy on a 1-minute chart while displaying order blocks from a 15-minute timeframe. The auto-optimizer will consider all these parameters, including higher timeframe order blocks, and will enter trades based on these order blocks.
Highly flexible dashboard and results optimization settings allow you to display the tables you need and sort results by six different criteria: Profit Factor, Profit, Winrate, Max Drawdown, Wins, and Trades. This enables you to find the exact setup you desire, based on these comprehensive data points.
🟠 ALERT CUSTOMIZATION
With this indicator, you can set up buy and sell alerts based on the test results, allowing you to create a comprehensive trading strategy. This feature enables you to receive real-time signals, making it a powerful tool for implementing your trading strategies.
🟠 STRATEGY PROPERTIES
For backtesting, we used realistic initial data for entering trades, such as:
Starting balance: $1000
Commission: 0.01%
Risk per trade: 1%
To ensure realistic data, we used the above settings. We offer two methods for calculating your order size, and in our case, we used a 1% risk per trade. Here’s what it means:
Risk per trade: This is the maximum loss from your deposit if the trade goes against you. The trade volume can change depending on your stop-loss distance from the entry point. Here’s the formula we use to calculate the possible volume for a single trade:
1. quantity = percentage_risk * balance / loss_per_1_contract (incl. fee)
Then, we calculate the maximum allowed volume based on the specified maximum leverage:
2. max_quantity = maxLeverage * balance / entry_price
3. If quantity < max_quantity, meaning the leverage is less than the maximum allowed, we keep quantity. If quantity > max_quantity, we use max_quantity (the maximum allowed volume according to the set leverage).
This way, depending on the stop-loss distance, the position size can vary and be up to 100% of your deposit, but the loss in each trade will not exceed the set percentage, which in our case is 1% for this backtest. This is a standard risk calculation method based on your stop-loss distance.
🔸 Statistical Significance of Trade Data
In our strategy, you may notice there weren’t enough trades to form statistically significant data. This is inherent to the Smart Money Concept (SMC) strategy, where the focus is not on the number of trades but rather on the risk-to-reward ratio per trade. In SMC strategies, it’s crucial to avoid taking numerous uncertain setups and instead perform a comprehensive analysis of the market situation.
Therefore, our strategy results show fewer than 100 trades. It’s important to understand that this small sample size isn’t statistically significant and shouldn’t be relied upon for strategy analysis. Backtesting with a small number of trades should not be used to draw conclusions about the effectiveness of a strategy.
🔸 Versatile Use Cases
The methods of using this indicator are numerous, ranging from identifying potentially the best-performing order blocks on the chart to creating a comprehensive trading strategy based on the data provided by our indicator. We believe that every trader will find a valuable application for this tool, enhancing their entry and exit points in trades.
Disclaimer
Past performance is not indicative of future results. The results shown by this indicator do not guarantee similar outcomes in the future. Use this tool as part of a comprehensive trading strategy, considering all market conditions and risks.
How to access
For access to this indicator, please read the author’s instructions below this post
Growth TrendThis powerful indicator plots the number of growth stocks in an uptrend, providing a comprehensive view of the market's overall direction. By applying a simple moving average, users can quickly gauge the trend and make informed trading decisions.
How does it work?
The script pulls tickers from the S & P 500 Growth ETF. It then plots the number of stocks from the ETF that are trending above a medium-term Moving Average, signaling an uptrend.
A moving average is applied to help understand the trend.
The background is shaded when 3 or more consecutive days are above (green) or below (red) the moving average.
Key Features:
Visual Trend Identification: The indicator shades the background green when three or more consecutive days are above the moving average, indicating a strong uptrend. Conversely, it shades red when three consecutive days are below the moving average, signaling a downtrend.
Breakout Insights: By tracking the trend, traders can identify when breakouts in growth stocks are more likely to occur or fail. This helps traders time their entries and exits more effectively.
Trend Strength Assessment: The indicator provides a quick visual assessment of the trend's strength, enabling traders to adjust their strategies accordingly.
Why is this indicator helpful?
Improved Trading Decisions: By understanding the overall trend and strength of growth stocks, traders can make more informed decisions about when to buy or sell.
Enhanced Risk Management: The indicator helps traders identify potential trend reversals, enabling them to adjust their positions and manage risk more effectively.
Market Insights: The Growth Stock Trend Indicator provides a valuable perspective on the market's overall direction, helping traders stay ahead of the curve.
By incorporating this indicator into their trading strategy, traders can gain a competitive edge and make more informed decisions in the growth stock market.
mentfx Volume SimpleThe "ment vol" indicator can be integrated into various trading strategies to gain deeper insights into market volume dynamics:
Trend Confirmation:
Use the black bars to identify general volume trends in conjunction with price movements.
Green bars highlight moments of increasing volume, potentially indicating stronger market momentum.
Swing Detection:
Blue swing bars help identify significant volume spikes that may signify potential reversals or key market turning points.
Swing bars can be used to spot accumulation or distribution phases within the market.
Volume-Based Alerts:
Traders can set alerts based on the appearance of green or blue bars to catch significant volume changes in real time.
Helps in identifying potential breakout or breakdown points before they occur.
Why It's Unique:
The "ment vol" indicator is unique because it combines multiple volume analysis techniques into a single, easy-to-interpret visual format. By focusing on key volume patterns such as larger bars and swing bars, traders are equipped with actionable insights that go beyond simple volume analysis. This indicator is particularly useful for traders who rely on volume to confirm price movements and identify potential market shifts.
Conclusion:
Incorporating the "ment vol" indicator into your trading toolkit can provide a deeper understanding of market volume dynamics and enhance your ability to make timely and informed trading decisions. Whether you're a novice trader looking to improve your strategy or an experienced trader seeking a robust volume analysis tool, "ment vol" offers valuable insights that can help you navigate the markets with confidence.
How It Works:
The "ment vol" indicator evaluates the volume of each bar and applies specific coloring rules based on volume patterns:
Up and Down Bars: The indicator colors bars black if the closing price is higher or lower than the opening price, respectively.
Larger Bars: If the volume of the current bar is greater than the volume of the previous bar, the bar is colored green.
Swing Bars: If the volume of a bar is greater than both the preceding and following bars, forming a swing, it is colored blue.
These color-coded volume bars allow traders to quickly assess the strength and significance of volume changes in the market, providing a visual representation of potential trading opportunities.
Absolute Move BandsOverview:
The Absolute Move Bands indicator calculates the absolute value of the expected return, also known as "momentum" by some traders, and then displays it with standard deviation bands. The indicator also shows a moving average and a Kalman filter of the absolute move. If you take the expected return, you get what many traders commonly call "momentum." Now, if you turn the negative values into positive values by getting the magnitude of the expected return, it shows the "strength or intensity of the expected return." A low value of the absolute value of the expected return shows that the expected return is close to 0, which means that there is no significant trending behavior. The higher the value, the higher the deviation is from the mean, indicating stronger trend moves in the expected return itself. This indicator then gets the standard score of the absolute value of the expected return and then gets the moving average and Kalman Filter.
This indicator is not a directional indicator, but it can help you time moves and determine the "strength" of the expected returns (also known as momentum).
Interpreting the Magnitude:
Low Values: A low absolute value of the expected return indicates that the expected return is close to 0, suggesting no significant trending behavior in the market.
High Values: A high absolute value indicates a strong deviation from the mean, reflecting stronger trend moves in the expected return itself.
Standard Score Calculation:
This indicator computes the standard score (z-score) of the absolute value of the expected return. The value shows how many standard deviations the absolute return is from the mean. This helps in identifying periods of extreme magnitude.
Moving Average and Kalman Filter:
Moving Average: The indicator calculates the moving average of the standard score to smooth out the short-term fluctuations and show the longer-term trends in the absolute returns.
Kalman Filter: Applied to further reduce noise and provide a clearer signal, it enhances the indicator's effectiveness in determining the strength of the expected returns.
Standard Deviation Bands
Purpose: The standard deviation bands help determine if the standard score is at an extreme low or high.
High Standard Score (+2 Standard Deviation Band): Indicates that the absolute value of the expected return is at a high level, suggesting a strong trend. This could mean that the trend is at its peak and might be nearing completion.
Low Standard Score (-2 Standard Deviation Band): Indicates that the absolute value of the expected return is at a low level, suggesting minimal or no trending behavior. This could imply that the expected return is around 0, and a new trend (in any direction) may start soon.
How to interpret and use this indicator
Two ways will be discussed on how you can use this indicator. First of all lets go back over the interpretation of the standard score and bands.
High Standard Score: Indicates that the absolute value is significantly higher than usual, which suggest a strong trend which may be nearing its peak. Some traders who entered a trade at a low standard score value might want to consider taking profits or preparing for a potential reversal.
Low Standard Score: Indicates that the absolute value is significantly low, close to 0, which suggest minimal trending behavior and a new trend or move may soon start.
This indicator shouldn't be used alone; you may need an indicator that shows you the trend with an expected return indicator or a "momentum" indicator, because all this shows you is the strength of the trend or "momentum." So let's say that if you see that the standard score is low and the Kalman filter is increasing, then this shows that a trend may start soon, so you can use the "momentum" indicator and enter with whatever the trend is on.
Another way to use the indicator is to trade extreme occurrences. If on an indicator that shows the expected returns, or "momentum," and its at an extreme standard deviation occurrence level like -2 standard deviation from the mean, and the standard score is at 2 standard deviation (the top band), and the Kalman filter starts decreasing, then the downtrend may be over and you could place a long.
Dickey-Fuller Test for Mean Reversion and Stationarity **IF YOU NEED EXTRA SPECIAL HELP UNDERSTANDING THIS INDICATOR, GO TO THE BOTTOM OF THE DESCRIPTION FOR AN EVEN SIMPLER DESCRIPTION**
Dickey Fuller Test:
The Dickey-Fuller test is a statistical test used to determine whether a time series is stationary or has a unit root (a characteristic of a time series that makes it non-stationary), indicating that it is non-stationary. Stationarity means that the statistical properties of a time series, such as mean and variance, are constant over time. The test checks to see if the time series is mean-reverting or not. Many traders falsely assume that raw stock prices are mean-reverting when they are not, as evidenced by many different types of statistical models that show how stock prices are almost always positively autocorrelated or statistical tests like this one, which show that stock prices are not stationary.
Note: This indicator uses past results, and the results will always be changing as new data comes in. Just because it's stationary during a rare occurrence doesn't mean it will always be stationary. Especially in price, where this would be a rare occurrence on this test. (The Test Statistic is below the critical value.)
The indicator also shows the option to either choose Raw Price, Simple Returns, or Log Returns for the test.
Raw Prices:
Stock prices are usually non-stationary because they follow some type of random walk, exhibiting positive autocorrelation and trends in the long term.
The Dickey-Fuller test on raw prices will indicate non-stationary most of the time since prices are expected to have a unit root. (If the test statistic is higher than the critical value, it suggests the presence of a unit root, confirming non-stationarity.)
Simple Returns and Log Returns:
Simple and log returns are more stationary than prices, if not completely stationary, because they measure relative changes rather than absolute levels.
This test on simple and log returns may indicate stationary behavior, especially over longer periods. (The test statistic being below the critical value suggests the absence of a unit root, indicating stationarity.)
Null Hypothesis (H0): The time series has a unit root (it is non-stationary).
Alternative Hypothesis (H1): The time series does not have a unit root (it is stationary)
Interpretation: If the test statistic is less than the critical value, we reject the null hypothesis and conclude that the time series is stationary.
Types of Dickey-Fuller Tests:
1. (What this indicator uses) Standard Dickey-Fuller Test:
Tests the null hypothesis that a unit root is present in a simple autoregressive model.
This test is used for simple cases where we just want to check if the series has a consistent statistical property over time without considering any trends or additional complexities.
It examines the relationship between the current value of the series and its previous value to see if the series tends to drift over time or revert to the mean.
2. Augmented Dickey-Fuller (ADF) Test:
Tests for a unit root while accounting for more complex structures like trends and higher-order correlations in the data.
This test is more robust and is used when the time series has trends or other patterns that need to be considered.
It extends the regular test by including additional terms to account for the complexities, and this test may be more reliable than the regular Dickey-Fuller Test.
For things like stock prices, the ADF would be more appropriate because stock prices are almost always trending and positively autocorrelated, while the Dickey-Fuller Test is more appropriate for more simple time series.
Critical Values
This indicator uses the following critical values that are essential for interpreting the Dickey-Fuller test results. The critical values depend on the chosen significance levels:
1% Significance Level: Critical value of -3.43.
5% Significance Level: Critical value of -2.86.
10% Significance Level: Critical value of -2.57.
These critical values are thresholds that help determine whether to reject the null hypothesis of a unit root (non-stationarity). If the test statistic is less than (or more negative than) the critical value, it indicates that the time series is stationary. Conversely, if the test statistic is greater than the critical value, the series is considered non-stationary.
This indicator uses a dotted blue line by default to show the critical value. If the test-static, which is the gray column, goes below the critical value, then the test-static will become yellow, and the test will indicate that the time series is stationary or mean reverting for the current period of time.
What does this mean?
This is the weekly chart of BTCUSD with the Dickey-Fuller Test, with a length of 100 and a critical value of 1%.
So basically, in the long term, mean-reversion strategies that involve raw prices are not a good idea. You don't really need a statistical test either for this; just from seeing the chart itself, you can see that prices in the long term are trending and no mean reversion is present.
For the people who can't understand that the gray column being above the blue dotted line means price doesn't mean revert, here is a more simple description (you know you are):
Average (I have to include the meaning because they may not know what average is): The middle number is when you add up all the numbers and then divide by how many numbers there are. EX: If you have the numbers 2, 4, and 6, you add them up to get 12, and then divide by 3 (because there are 3 numbers), so the average is 4. It tells you what a typical number is in a group of numbers.
This indicator checks if a time series (like stock prices) tends to return to its average value or time.
Raw prices, which is just the regular price chart, are usually not mean-reverting (It's "always" positively autocorrelating but this group of people doesn't like that word). Price follows trends.
Simple returns and log returns are more likely to have periods of mean reversion.
How to use it:
Gray Column (the gray bars) Above the Blue Dotted Line: The price does not mean revert (non-stationary).
Gray Column Below Blue Line: The time series mean reverts (stationary)
So, if the test statistic (gray column) is below the critical value, which is the blue dotted line, then the series is stationary and mean reverting, but if it is above the blue dotted line, then the time series is not stationary or mean reverting, and strategies involving mean reversion will most likely result in a loss given enough occurrences.
Market Sentiment Technicals [LuxAlgo]The Market Sentiment Technicals indicator synthesizes insights from diverse technical analysis techniques, including price action market structures, trend indicators, volatility indicators, momentum oscillators, and more.
The indicator consolidates the evaluated outputs from these techniques into a singular value and presents the combined data through an oscillator format, technical rating, and a histogram panel featuring the sentiment of each component alongside the overall sentiment.
🔶 USAGE
The Market Sentiment Technicals indicator is a tool able to swiftly and easily gauge market sentiment by consolidating the individual sentiment from multiple technical analysis techniques applied to market data into a single value, allowing users to asses if the market is uptrending, consolidating, or downtrending.
The tool includes various components and presentation formats, each described in the sub-sections below.
🔹Indicators Sentiment Panel
The indicators sentiment panel provides normalized sentiment scores for each supported indicator, along with a synthesized representation derived from the average of all individual normalized sentiments.
🔹Market Sentiment Meter
The market sentiment meter is obtained from the synthesized representation derived from the average of all individual normalized sentiments. It allows users to quickly and easily gauge the overall market sentiment.
🔹Market Sentiment Oscillator
The market sentiment oscillator provides a visual means to monitor the current and historical strength of the market. It assists in identifying the trend direction, trend momentum, and overbought and oversold conditions, aiding in the anticipation of potential trend reversals.
Divergence occurs when there is a difference between what the price action is indicating and what the market sentiment oscillator is indicating, helping traders assess changes in the price trend.
🔶 DETAILS
The indicator employs a range of technical analysis techniques to interpret market data. Each group of indicators provides valuable insights into different aspects of market behavior.
🔹Momentum Indicators
Momentum indicators assess the speed and change of price movements, often indicating whether a trend is strengthening or weakening.
Relative Strength Index (RSI): Measures the magnitude of recent price changes to evaluate overbought or oversold conditions.
Stochastic %K: Compares the closing price to the range over a specified period to identify potential reversal points.
Stochastic RSI Fast: Combines features of Stochastic oscillators and RSI to gauge both momentum and overbought/oversold levels efficiently.
Commodity Channel Index (CCI): Measures the deviation of an asset's price from its statistical average to determine trend strength and overbought and oversold conditions.
Bull Bear Power: Evaluates the strength of buying and selling pressure in the market.
🔹Trend Indicators
Trend indicators help traders identify the direction of a market trend.
Moving Averages: Provides a smoothed representation of the underlying price data, aiding in trend identification and analysis.
Bollinger Bands: Consists of a middle band (typically a simple moving average) and upper and lower bands, which represent volatility levels of the market.
Supertrend: A trailing stop able to identify the current direction of the trend.
Linear Regression: Fits a straight line to past data points to predict future price movements and identify trend direction.
🔹Market Structures
Market Structures: Analyzes the overall pattern of price movements, including Break of Structure (BOS), Market Structure Shifts (MSS), also referred to as Change of Character (CHoCH), aiding in identifying potential market turning and continuation points.
🔹The Normalization Technique
The normalization technique employed for trend indicators relies on buy-sell signals. The script tracks price movements and normalizes them based on these signals.
normalize(buy, sell, smooth)=>
var os = 0
var float max = na
var float min = na
os := buy ? 1 : sell ? -1 : os
max := os > os ? close : os < os ? max : math.max(close, max)
min := os < os ? close : os > os ? min : math.min(close, min)
ta.sma((close - min)/(max - min), smooth) * 100
In this Pine Script snippet:
The variable os tracks market sentiment, taking a value of 1 for buy signals and -1 for sell signals, indicating bullish and bearish sentiments, respectively.
max and min are used to identify extremes in sentiment and are updated based on changes in os . When market sentiment shifts from buying to selling (or vice versa), max and min adjust accordingly.
Normalization is achieved by comparing current price levels to historical extremes in sentiment. The result is smoothed by default using a 3-period simple moving average. Users have the option to customize the smoothing period via the script settings input menu.
🔶 SETTINGS
🔹Generic Settings
Timeframe: This option selects the timeframe for calculating sentiment. If a timeframe lower than the chart's is chosen, calculations will be based on the chart's timeframe.
Horizontal Offset: Determines the distance at which the visual components of the indicator will be displayed from the primary chart.
Gradient Colors: Allows customization of gradient colors.
🔹Indicators Sentiment Panel
Indicators Sentiment Panel: Toggle the visibility of the indicators sentiment panel.
Panel Height: Determines the height of the panel.
🔹Market Sentiment Meter
Market Sentiment Meter: Toggle the visibility of the market sentiment meter (technical ratings in the shape of a speedometer).
🔹Market Sentiment Oscillator
Market Sentiment Oscillator: Toggle the visibility of the market sentiment oscillator.
Show Divergence: Enables detection of divergences based on the selected option.
Oscillator Line Width: Customization option for the line width.
Oscillator Height: Determines the height of the oscillator.
🔹Settings for Individual Components
In general,
Source: Determines the data source for calculations.
Length: The period to be used in calculations.
Smoothing: Degree of smoothness of the evaluated values.
🔹Normalization Settings - Trend Indicators
Smoothing: The period used in smoothing normalized values, where normalization is applied to moving averages, Bollinger Bands, Supertrend, VWAP bands, and market structures.
🔶 LIMITATIONS
Like any technical analysis tool, the Market Sentiment Technicals indicator has limitations. It's based on historical data and patterns, which may not always accurately predict future market movements. Additionally, market sentiment can be influenced by various factors, including economic news, geopolitical events, and market psychology, which may not be fully captured by technical analysis alone.
Chande Kroll Trend Strategy (SPX, 1H) | PINEINDICATORSThe "Chande Kroll Stop Strategy" is designed to optimize trading on the SPX using a 1-hour timeframe. This strategy effectively combines the Chande Kroll Stop indicator with a Simple Moving Average (SMA) to create a robust method for identifying long entry and exit points. This detailed description will explain the components, rationale, and usage to ensure compliance with TradingView's guidelines and help traders understand the strategy's utility and application.
Objective
The primary goal of this strategy is to identify potential long trading opportunities in the SPX by leveraging volatility-adjusted stop levels and trend-following principles. It aims to capture upward price movements while managing risk through dynamically calculated stops.
Chande Kroll Stop Parameters:
Calculation Mode: Offers "Linear" and "Exponential" options for position size calculation. The default mode is "Exponential."
Risk Multiplier: An adjustable multiplier for risk management and position sizing, defaulting to 5.
ATR Period: Defines the period for calculating the Average True Range (ATR), with a default of 10.
ATR Multiplier: A multiplier applied to the ATR to set stop levels, defaulting to 3.
Stop Length: Period used to determine the highest high and lowest low for stop calculation, defaulting to 21.
SMA Length: Period for the Simple Moving Average, defaulting to 21.
Calculation Details:
ATR Calculation: ATR is calculated over the specified period to measure market volatility.
Chande Kroll Stop Calculation:
High Stop: The highest high over the stop length minus the ATR multiplied by the ATR multiplier.
Low Stop: The lowest low over the stop length plus the ATR multiplied by the ATR multiplier.
SMA Calculation: The 21-period SMA of the closing price is used as a trend filter.
Entry and Exit Conditions:
Long Entry: A long position is initiated when the closing price crosses over the low stop and is above the 21-period SMA. This condition ensures that the market is trending upward and that the entry is made in the direction of the prevailing trend.
Exit Long: The long position is exited when the closing price falls below the high stop, indicating potential downward movement and protecting against significant drawdowns.
Position Sizing:
The quantity of shares to trade is calculated based on the selected calculation mode (linear or exponential) and the risk multiplier. This ensures position size is adjusted dynamically based on current market conditions and user-defined risk tolerance.
Exponential Mode: Quantity is calculated using the formula: riskMultiplier / lowestClose * 1000 * strategy.equity / strategy.initial_capital.
Linear Mode: Quantity is calculated using the formula: riskMultiplier / lowestClose * 1000.
Execution:
When the long entry condition is met, the strategy triggers a buy signal, and a long position is entered with the calculated quantity. An alert is generated to notify the trader.
When the exit condition is met, the strategy closes the position and triggers a sell signal, accompanied by an alert.
Plotting:
Buy Signals: Indicated with an upward triangle below the bar.
Sell Signals: Indicated with a downward triangle above the bar.
Application
This strategy is particularly effective for trading the SPX on a 1-hour timeframe, capitalizing on price movements by adjusting stop levels dynamically based on market volatility and trend direction.
Default Setup
Initial Capital: $1,000
Risk Multiplier: 5
ATR Period: 10
ATR Multiplier: 3
Stop Length: 21
SMA Length: 21
Commission: 0.01
Slippage: 3 Ticks
Backtesting Results
Backtesting indicates that the "Chande Kroll Stop Strategy" performs optimally on the SPX when applied to the 1-hour timeframe. The strategy's dynamic adjustment of stop levels helps manage risk effectively while capturing significant upward price movements. Backtesting was conducted with a realistic initial capital of $1,000, and commissions and slippage were included to ensure the results are not misleading.
Risk Management
The strategy incorporates risk management through dynamically calculated stop levels based on the ATR and a user-defined risk multiplier. This approach ensures that position sizes are adjusted according to market volatility, helping to mitigate potential losses. Trades are sized to risk a sustainable amount of equity, adhering to the guideline of risking no more than 5-10% per trade.
Usage Notes
Customization: Users can adjust the ATR period, ATR multiplier, stop length, and SMA length to better suit their trading style and risk tolerance.
Alerts: The strategy includes alerts for buy and sell signals to keep traders informed of potential entry and exit points.
Pyramiding: Although possible, the strategy yields the best results without pyramiding.
Justification of Components
The Chande Kroll Stop indicator and the 21-period SMA are combined to provide a robust framework for identifying long trading opportunities in trending markets. Here is why they work well together:
Chande Kroll Stop Indicator: This indicator provides dynamic stop levels that adapt to market volatility, allowing traders to set logical stop-loss levels that account for current price movements. It is particularly useful in volatile markets where fixed stops can be easily hit by random price fluctuations. By using the ATR, the stop levels adjust based on recent market activity, ensuring they remain relevant in varying market conditions.
21-Period SMA: The 21-period SMA acts as a trend filter to ensure trades are taken in the direction of the prevailing market trend. By requiring the closing price to be above the SMA for long entries, the strategy aligns itself with the broader market trend, reducing the risk of entering trades against the overall market direction. This helps to avoid false signals and ensures that the trades are in line with the dominant market movement.
Combining these two components creates a balanced approach that captures trending price movements while protecting against significant drawdowns through adaptive stop levels. The Chande Kroll Stop ensures that the stops are placed at levels that reflect current volatility, while the SMA filter ensures that trades are only taken when the market is trending in the desired direction.
Concepts Underlying Calculations
ATR (Average True Range): Used to measure market volatility, which informs the stop levels.
SMA (Simple Moving Average): Used to filter trades, ensuring positions are taken in the direction of the trend.
Chande Kroll Stop: Combines high and low price levels with ATR to create dynamic stop levels that adapt to market conditions.
Risk Disclaimer
Trading involves substantial risk, and most day traders incur losses. The "Chande Kroll Stop Strategy" is provided for informational and educational purposes only. Past performance is not indicative of future results. Users are advised to adjust and personalize this trading strategy to better match their individual trading preferences and risk tolerance.
Ticker Performance ComparisonTicker Performance Comparison Indicator
With this tool you can compare how three different tickers of your choice have performed over a specific period you choose. It can be used on any timeframe.
As you can see in the image above, I am comparing Nvidia, Bitcoin and Wadzpay over a 365 day period. This shows me at glance which asset has done better and by how much.
It shows how the closing prices have changed from the start of your chosen period to now, by automatically drawing lines on the same scale.
Key Features:
Lookback Period: You decide how many bars (days, weeks, etc.) back to look from today.
Three Tickers: Enter up to three different ticker symbols to see how they stack up against each other
Percentage Change: The tool calculates how much each ticker's closing price has changed, in percentage terms, from the start of your lookback period.
Performance Labels: Labels at the end of the period show the percentage change for each ticker.
Important:
Ignore the lines that are drawn before your lookback period: The lines before your chosen lookback period might be misleading. They appear due to the way historical data is processed and should be ignored. Only consider the data and trends from the start of the lookback period you entered to the present for an accurate comparison.
Use this tool to easily compare how different assets have performed over the timeframe that matters to you.
Volume-Enhanced Momentum Moving Average (VEMMA)Volume-Enhanced Momentum Moving Average (VEMMA)
Overview:
The Volume-Enhanced Momentum Moving Average (VEMMA) helps you spot market trends by combining momentum and volume as a moving average. This unique moving average adjusts itself based on the strength and activity of the market, giving you a clearer picture of what’s happening.
How It Works:
1. Key Settings (all of these are adjustable in the settings panel of the indicator):
◦ Base Length: Looks back over the last 50 days by default.
◦ Momentum Length: Uses the past 14 days to measure market strength.
◦ Volume Length: Uses the past 30 days to average trading volume.
◦ High/Low Thresholds: Considers RSI values above 70 as high momentum and below 30 as low momentum.
2. Momentum and Volume:
◦ Momentum: Calculated using the Relative Strength Index (RSI) to see if the market is gaining or losing strength.
◦ Volume: Average trading volume is calculated over the last 30 days to gauge trading activity.
3. VEMMA Calculation:
◦ For each of the past 50 days:
▪ Check Momentum: If RSI > 70, it’s high momentum; if RSI < 30, it’s low.
▪ Weight by Volume: High momentum days with high volume get more weight; low momentum days get less.
▪ Combine: Multiply the closing price by this weight and sum it up.
◦ Average: Divide the total by 50 to get the VEMMA value.
4. Visuals:
◦ Lines: Two lines, VEMMA1 (blue) and VEMMA2 (orange), show the adjusted moving averages.
◦ Colours: Background colors help you quickly spot high (green) and low (red) momentum periods.
How to Use:
• Spot Trends: Rising VEMMA lines suggest an uptrend; falling lines suggest a downtrend.
• Confirm Signals: When both VEMMA1 and VEMMA2 move together, it indicates a strong trend.
• Identify Reversals: Watch for background color changes from green to red or vice versa to catch potential trend reversals.
If the market has been strong and active, the VEMMA line will rise more sharply. If the market is weak and quiet, the line will be smoother.
Benefits:
• Integrated View: Combines market strength and trading activity for a fuller picture.
• Responsive: Adapts to significant market changes, highlighting key movements.
• Easy to Read: Clear visuals with color-coded backgrounds make interpretation simple.
Remember, just like any other indicator, this is not supposed to be used alone. Use it as part of your greater trading strategy. I do however believe it works exceptionally well for finding longer term trends early. The default VEMMA settings work very well as replacement for the EMA 200. Try it and see how it goes. Play around with the settings. Feedback appreciated.
Bayesian Trend Indicator [ChartPrime]Bayesian Trend Indicator
Overview:
In probability theory and statistics, Bayes' theorem (alternatively Bayes' law or Bayes' rule), named after Thomas Bayes, describes the probability of an event, based on prior knowledge of conditions that might be related to the event.
The "Bayesian Trend Indicator" is a sophisticated technical analysis tool designed to assess the direction of price trends in financial markets. It combines the principles of Bayesian probability theory with moving average analysis to provide traders with a comprehensive understanding of market sentiment and potential trend reversals.
At its core, the indicator utilizes multiple moving averages, including the Exponential Moving Average (EMA), Simple Moving Average (SMA), Double Exponential Moving Average (DEMA), and Volume Weighted Moving Average (VWMA) . These moving averages are calculated based on user-defined parameters such as length and gap length, allowing traders to customize the indicator to suit their trading strategies and preferences.
The indicator begins by calculating the trend for both fast and slow moving averages using a Smoothed Gradient Signal Function. This function assigns a numerical value to each data point based on its relationship with historical data, indicating the strength and direction of the trend.
// Smoothed Gradient Signal Function
sig(float src, gap)=>
ta.ema(source >= src ? 1 :
source >= src ? 0.9 :
source >= src ? 0.8 :
source >= src ? 0.7 :
source >= src ? 0.6 :
source >= src ? 0.5 :
source >= src ? 0.4 :
source >= src ? 0.3 :
source >= src ? 0.2 :
source >= src ? 0.1 :
0, 4)
Next, the indicator calculates prior probabilities using the trend information from the slow moving averages and likelihood probabilities using the trend information from the fast moving averages . These probabilities represent the likelihood of an uptrend or downtrend based on historical data.
// Define prior probabilities using moving averages
prior_up = (ema_trend + sma_trend + dema_trend + vwma_trend) / 4
prior_down = 1 - prior_up
// Define likelihoods using faster moving averages
likelihood_up = (ema_trend_fast + sma_trend_fast + dema_trend_fast + vwma_trend_fast) / 4
likelihood_down = 1 - likelihood_up
Using Bayes' theorem , the indicator then combines the prior and likelihood probabilities to calculate posterior probabilities, which reflect the updated probability of an uptrend or downtrend given the current market conditions. These posterior probabilities serve as a key signal for traders, informing them about the prevailing market sentiment and potential trend reversals.
// Calculate posterior probabilities using Bayes' theorem
posterior_up = prior_up * likelihood_up
/
(prior_up * likelihood_up + prior_down * likelihood_down)
Key Features:
◆ The trend direction:
To visually represent the trend direction , the indicator colors the bars on the chart based on the posterior probabilities. Bars are colored green to indicate an uptrend when the posterior probability is greater than 0.5 (>50%), while bars are colored red to indicate a downtrend when the posterior probability is less than 0.5 (<50%).
◆ Dashboard on the chart
Additionally, the indicator displays a dashboard on the chart , providing traders with detailed information about the probability of an uptrend , as well as the trends for each type of moving average. This dashboard serves as a valuable reference for traders to monitor trend strength and make informed trading decisions.
◆ Probability labels and signals:
Furthermore, the indicator includes probability labels and signals , which are displayed near the corresponding bars on the chart. These labels indicate the posterior probability of a trend, while small diamonds above or below bars indicate crossover or crossunder events when the posterior probability crosses the 0.5 threshold (50%).
The posterior probability of a trend
Crossover or Crossunder events
◆ User Inputs
Source:
Description: Defines the price source for the indicator's calculations. Users can select between different price values like close, open, high, low, etc.
MA's Length:
Description: Sets the length for the moving averages used in the trend calculations. A larger length will smooth out the moving averages, making the indicator less sensitive to short-term fluctuations.
Gap Length Between Fast and Slow MA's:
Description: Determines the difference in lengths between the slow and fast moving averages. A higher gap length will increase the difference, potentially identifying stronger trend signals.
Gap Signals:
Description: Defines the gap used for the smoothed gradient signal function. This parameter affects the sensitivity of the trend signals by setting the number of bars used in the signal calculations.
In summary, the "Bayesian Trend Indicator" is a powerful tool that leverages Bayesian probability theory and moving average analysis to help traders identify trend direction, assess market sentiment, and make informed trading decisions in various financial markets.
Entry Fragger - Strategy
For basic instructions please visit my other script "Entry Fragger".
The Signal Logic is explained there.
v1.4:
- Added advanced backtesting with fully customizable entries.
- Fully automated Buy Signals (profitable).
- Adjustable timeframes for signal logic. (requested)
Every setting affects the accuracy and profitability greatly now, based on settings applied.
The strategy performs best on high timeframes with larger capital and no leverage.
Useless for Forex, but absolutely smashes stocks and crypto on mid to high timeframes.
Please read through my other scripts description.
Set values as preferred and try your assets.
It does NOT work on low timeframes and forex!
Hint: BTC 4H, Custom Timeframe 1h, Moon Mode and Show Sell Signals enabled, R2R: 2.
Linear Regression Channel [GOODY]Linear Regression Channel
The Linear Regression Channel indicator is a versatile tool for traders, providing valuable insights into price trends and potential reversal points. It plots two linear regression channels on the chart, helping you visualize price dynamics and make informed trading decisions.
Indicator Features and Settings
General Settings:
• Source: The price source used for channel calculations. Typically, the close price is used.
1st Channel Settings:
• Length: The number of bars used to calculate the linear regression channel. Increasing this value widens the channel and makes it less responsive to recent price changes.
• Upper Deviation Multiplier: Multiplier for the upper deviation from the regression line. Higher values widen the upper boundary.
• Lower Deviation Multiplier: Multiplier for the lower deviation from the regression line. Higher values widen the lower boundary.
• Show Channel Lines: Toggle to show or hide the channel lines, useful for visualizing channel boundaries.
• Show Channel Background: Toggle to show or hide the background color between the channel lines, highlighting the area covered by the channel.
• Show Labels: Toggle to show or hide price level labels for the channel lines, helping to identify exact price levels at the boundaries.
• Upper Label Color: Color for the upper price level label.
• Lower Label Color: Color for the lower price level label.
• Label Offset: Offset for the price level labels, adjusting them horizontally.
1st Channel Display Settings:
• Extend Lines Left: Extend the regression channel lines to the left of the chart, visualizing historical performance.
• Extend Lines Right: Extend the regression channel lines to the right of the chart, anticipating future price movements.
1st Channel Style Settings:
• Upper 1st Channel Line Color: Color for the upper line of the first channel.
• Lower 1st Channel Line Color: Color for the lower line of the first channel.
• Upper Channel Color: Color for the upper channel area, filling the area between the upper channel line and the midline.
• Lower Channel Color: Color for the lower channel area, filling the area between the lower channel line and the midline.
• Baseline Color (DownTrend): Color of the baseline during a downtrend.
• Baseline Color (Up Trend): Color of the baseline during an uptrend.
2nd Channel Settings:
• Length for 2nd Channel: The number of bars used to calculate the second linear regression channel.
• Upper Deviation Multiplier for 2nd Channel: Multiplier for the upper deviation from the regression line in the second channel.
• Lower Deviation Multiplier for 2nd Channel: Multiplier for the lower deviation from the regression line in the second channel.
2nd Channel Display Settings:
• Show 2nd Channel Lines: Toggle to show or hide the second channel lines, useful for visualizing channel boundaries.
• Show 2nd Channel Background: Toggle to show or hide the background color between the second channel lines, highlighting the area covered by the second channel.
2nd Channel Style Settings:
• Upper 2nd Channel Color: Color for the upper line of the second channel.
• Lower 2nd Channel Color: Color for the lower line of the second channel.
• Baseline Color for 2nd Channel (Up Trend): Color of the baseline during an uptrend in the second channel.
• Baseline Color for 2nd Channel (Down Trend): Color of the baseline during a downtrend in the second channel.
• Upper 2nd Channel Background Color: Background color for the upper part of the second channel, filling the area between the upper channel line and the midline.
• Lower 2nd Channel Background Color: Background color for the lower part of the second channel, filling the area between the lower channel line and the midline.
• Line Style for 2nd Channel: Choose the style of the second channel lines (Solid, Dotted, Dashed, Arrow, Round).
2nd Channel Line Settings:
• Extend 2nd Channel Lines Left: Extend the second channel lines to the left of the chart, visualizing historical performance.
• Extend 2nd Channel Lines Right: Extend the second channel lines to the right of the chart, anticipating future price movements.
Other Settings:
• Show VWAP Detection: Toggle to enable or disable VWAP detection. VWAP (Volume Weighted Average Price) indicates the average price of the asset, weighted by volume.
• Show Doji Detection: Toggle to enable or disable Doji candle detection. Doji candles have small bodies, indicating market indecision.
• Doji Size Threshold: Threshold to determine a Doji candle. A smaller value indicates a stricter Doji definition.
How to Read the Indicator for Trading
Channel Lines and Colors:
• The upper line of the 1st channel (green) and the 2nd channel (blue) represents the upper boundary based on linear regression and deviation multipliers.
• The lower line of the 1st channel (red) and the 2nd channel (orange) represents the lower boundary.
• The midline changes color dynamically based on the trend direction:
• Pink during a downtrend for the 1st channel.
• Blue during an uptrend for the 1st channel.
• Gray during a consolidation for both channels.
• The 2nd channel uses similar color logic.
Channel Background:
• The background color between the channel lines highlights the area covered by the channel:
• Green for the upper area and red for the lower area in the 1st channel.
• Blue and orange for the upper and lower areas in the 2nd channel, respectively.
Labels:
• Price level labels at the channel boundaries provide exact price levels, displayed at the upper and lower lines if enabled.
VWAP and Doji Detection:
• VWAP is plotted as circles on the chart, showing the volume-weighted average price.
• Doji candles are highlighted with a background color if detected, indicating potential market indecision.
Alerts:
• Alerts are triggered when the trend direction of the channels changes. For example:
• An alert notifies you if the 1st channel is in an uptrend while the 2nd channel is in a downtrend.
• An alert notifies you if the 1st channel is in a downtrend while the 2nd channel is in an uptrend.
Trading with the Indicator
• Trend Identification: Use the color and direction of the midline and baseline to identify the current trend. An uptrend is indicated by a blue midline, while a downtrend is indicated by a pink midline.
• Reversal Points: Monitor when the price approaches the upper or lower boundaries of the channels, as these can act as support or resistance levels.
• Volume Insights: Use the VWAP and liquidity levels to understand the true average price based on volume and identify significant areas of trading activity.
• Market Indecision: Watch for Doji candles, which can signal potential reversals or periods of consolidation.
Simple Volatility MomentumOverview:
The Simple Volatility Momentum indicator calculates the mean and standard deviation of the changes of price (returns) using various types of moving averages (Incremental, Rolling, and Exponential). With quantifying the dispersion of price data around the mean, statistical insights are provided on the volatility and the movements of price and returns. The indicator also ranks the mean absolute value of the changes of price over a specified time period which helps you assess the strength of the "trend" and "momentum" regardless of the direction of returns.
Simple Volatility Momentum
This indicator can be used for mean reversion strategies and "momentum" or trend based strategies.
The indicator calculates the average return as the momentum metric and then gets the moving average of the average return and standard deviations from average return average. On the options you can determine if you want to use 1 or 2 standard deviation bands or have both of them enabled.
Settings:
Source: By default it's at close.
M Length: This is the length of the "momentum".
Rank Length: This is the length of the rank calculation of absolute value of the average return
MA Type: This is the different type of calculations for the mean and standard deviation. By default its at incremental.
Smoothing factor: (Only used if you choose the exponential MA type.)
The absolute value of the average return helps you see the strength of the "momentum" and trend. If there is a low ranking of the absolute value of the average return then you can eventually expect it to increase which means that the average return is trending, leading to trending price moves. If the Mean ABS rank value is at or near the maximum value 100 and the average return is at -2 standard deviation from the mean, you can see it as the negative momentum or trend being "finished". Similarly, if the Mean ABS value is near or at the maximum value 100 and the average return is at +2 standard deviation from the mean, you can view the uptrend, as "finished" and the Mean ABS rank can't really go higher than 100.
Moving Average Calculations type:
Incremental: Incremental moving averages use an incremental approach to update the moving average by adding the newest data point and subtracting the oldest one.
Exponential: The exponential moving average gives more weight to recent data points while still considering older ones. This is achieved by applying a smooth factor to the previous EMA value and the current data point. EMA's react more quickly to recent changes in the data compared to simple moving averages, making them useful for short term trends and momentum in financial markets.
Rolling: The moving average is calculated by taking the average of a fixed number of data points within a defined window. As new data becomes available, the window moves forward and the average is recalculated. Rolling Moving Averages are useful for smoothing out short-fluctuations and identifying trends over time.
Important thing to note about indicators involving bands and "momentum" or "trend" or prices:
For the explanation we will assume that stock returns follow a normal distribution and price follows a log normal distribution. Please note that in the live market this assumption isn't always true. Many people incorrectly use standard deviations on prices and trade them as mean reversion strategies or overbought or oversold levels which is not what standard deviations are meant for. Assuming you have applied the log transformation on the standard deviation bands (if your input is raw price then you should use a log transformation to remove the skewness of price), and you have a range of 2 standard deviations from the mean, under the empirical rule with enough occurrences 95% of the values will be within the 2 standard deviation range. This doesn't mean that if price falls to the bottom of the 2 standard deviation bound, there is a 95% chance it will revert back to mean, this is incorrect and not how standard deviations or mean reversion works.
"MOMENTUM"
In finance "momentum" refers to the rate of change of a time series data point. It shows the persistence or tendency for a data series to continue moving in its current direction. In finance, "momentum" based strategies capitalize on the observed tendency of assets that have performed well (or poorly) in the recent past to continue performing well (or poorly) in the near future. This persistence is often observed in various financial instruments including stocks, currencies and commodities.
"Momentum" is commonly calculated with the average return, and relies on the assumption that assets with positive "momentum" or a positive average return will likely continue to perform well in the short to medium term, while assets with a negative average return are expected to continue underperforming. This average return or expected value is derived from historical observations and statistical analysis of previous price movements. However, real markets are subject to levels of efficiencies, market fluctuations, randomness, and may not always produce consistent returns over time involving momentum based strategies.
Mean Reversion:
In finance, the average return is an important parameter in mean reversion strategies. Using statistical methodologies, mean reversion strategies aim to exploit the deviations from the historical average return by identifying instances where current prices and their changes diverge from their expected levels based on past performance. This approach involves statistical analysis and predictive modelling techniques to check where and when the average rate of change is likely to revert towards the mean. It's important to know that mean reversion is a temporary state and will not always be present in a specific timeseries.
Using the average return over price offers several advantages in finance and trading since it is less sensitive to extreme price movements or outliers compared to raw price data. Price itself contains a distribution that is usually positively-skewed and has no upper bound. Mean reversion typically occurs in distributions where extreme values are followed by a tendency for the variable to return towards its mean over time, however the probability distribution of price has no tendency for values to revert towards any specific level. Instead, values may continue to increase without a bound. Returns themself contain more stationary behavior than price levels. Mean reversion strategies rely on the assumption that deviations from the mean will eventually revert back to the mean. Returns, being more likely to exhibit stationary, are better suited for mean reversion based strategies.
The distribution of returns are often more symmetrically distributed around their mean compared to price distributions. This symmetry makes it easier to identify deviations from the mean and assess the likelihood of mean reversion occurrence. Returns are also less sensitive to trends and long-term price movements compared to price levels. Mean reversion strategies aim to exploit deviations from mean, which can be obscured when analyzing raw price data since raw price is almost always trending. Returns can filter out the trend component of price movements, making it easier to identify opportunities.
Stationary Process: Implication that properties like mean and variance remain relatively constant over time.
Sniper BreakoutThis indicator is based on 3 indicator :=
1) Forex Market Session 2) Ema 200 3) Volume
This indicator is for Forex market ..in Forex market (ex- Eur/Usd ) price often (67%) do rotation in every session means example :let suppose a trade take trade in asian session and have 30 pips stop loss 67 % chance price will come back to entry price after London session or New York session so trade have less chance to make trade without hitting stop loss
in this indicator we are using Forex market session indicator to get session range start to end ..this indicator will only search opportunity in London And New York Session range and that can be customize from input section . user can select time zone and time of session from input section indicator and color of session .
next indicator using 200 length Exponential Moving Average for trend identification .if close price is above 200 Ema means trend is upside moving & if close price is below 200 Ema means price is moving downside .user can change length and source of Ema from input section .
Third and most important part is volume indicator when a session start (Example-London session it keep Look back 6 previous candle and compare volume imbalance between look back candle .look back candle can be customize from input section default look back candle input is (6).
next we are using trade range time to only show trade on certain time because often market convert into trading range so given specific input time it only take trade when volume and price is rising or falling .time range can be selected from input section .
Trade Entry Buy Signal -if price is either London or New York session and price is above 200 Ema and volume not in imbalance last number of candle it give Feb (first entry buy ) we keep save high price of every candle after Feb (label ) signal .if any candle break above Feb label it show a confirm buy signal ..Below in example as we can see
Example Image Buy Signal -
in this above example step -1 we searching imbalance of volume and price as we can see imbalance of volume and price on green candle .next we look price is above 200 ema .next step(2) we got Feb (first entry buy ) signal this is not a confirm buy signal .we save high of candle next candle high close above previous candle high we got confirm buy signal .
Trade Entry Sell Signal - if price is either London or New York session and price is below 200 Ema and volume not in imbalance last number of candle it give Feb (first entry Sell ) we keep save low price of every candle after Fes (label ) signal .if any candle break below Fes label it show a confirm sell signal ..Below in example as we can see
step-1 starting of london session we start getting imbalance between price and volume .price is getting rejected but volume is rising on green candle we got fes (first entry sell signal ).next we save low of fes candle but price close above that low of candle we dont get confirm sell entry next price break below low of previous candle so open a new sell signal ..
Example 3 - No Confirm buy/sell Signal
In this above Image example we did not get any confirm signal...we got first entry buy signal but price did not close high of candle in london session .so that day chance price can go any side ..
Example 4 -Feb signal and later confirm buy entry
in this above example we got imbalance of volume and feb(first entry buy signal) but we dont get any confirm buy signal price is just going high then previous candle ..later we see price crossover high of previous candle we got confirm buy signal
Use Of Indicator - This indicator helps traders identify potential trade setups by signaling the first entry points and confirming them later. It's particularly useful for avoiding getting caught in price rotations and aligning trades with significant volume and price movements. Traders should analyze price action and news before confirming a trade.
MTF Supertrend [CryptoSea]The MTF Supertrend Indicator is a versatile tool crafted to enhance trend analysis across multiple timeframes. Leveraging the reliable Supertrend formula, it provides traders with a comprehensive view of market trends and potential reversal points.
Key Features
Multi Timeframe Analysis: Tracks Supertrend signals over a variety of timeframes, offering a broad perspective on market direction.
Percentage Threshold Display: Filters out Supertrend data that is not within a specified percentage of the current price, keeping the display focused on relevant trends.
Adaptive Visual Display: Features a dynamic table that shows the current Supertrend status, which is fully customizable to the user's display preferences.
Customizable Sensitivity: Users can fine-tune the factor and ATR period settings, allowing for personalized trend sensitivity.
How it Works
Supertrend Calculation: Computes the Supertrend using the Average True Range (ATR) multiplied by a customizable factor, detecting changes in volatility and trend.
Higher Timeframe Filtering: Prioritizes higher timeframe trends over the current chart's timeframe to avoid chart clutter and focus on the most significant trends.
Colour-Coded Trends: Utilizes colour coding to clearly indicate bullish and bearish trends, aiding quick visual analysis.
Responsive Display Options: Includes a switchable table view to overlay trend information on the chart, with options for dark and light themes.
Benefits for Different Trading Styles
Day Traders: Use real-time updates to catch short-term trend reversals and ride the momentum for quick profits.
Swing Traders: Benefit from viewing medium to long-term trends to formulate strategies that span several days or weeks.
Position Traders: Utilize the monthly supertrend data to make long-term investment decisions based on prevailing market directions.
Application
Strategic Decision-Making: Assists traders in making informed decisions by providing a layered view of trend directions across timeframes.
Trend Confirmation: Reinforces trading strategies by confirming trends with higher timeframe Supertrend alignment.
Customized Analysis: Adapts to various trading styles with input settings that control the display and sensitivity of trend data.
The MTF Supertrend Indicator by is a powerful addition to the trader's toolkit, enhancing multi-timeframe trend analysis and contributing to a strategic trading approach in volatile markets.
HTF Candle Consistency [LuxAlgo]The HTF Candle Consistency indicator tracks the most recent candle sentiment in up to 10 Higher Timeframe (HTF) and colors the user chart candle bodies based on the dominating sentiment. Users can weigh specific timeframes more significantly.
Additionally, the script provides an HTF dashboard that displays the current directional readouts for each selected timeframe to allow for an independent HTF analysis.
🔶 USAGE
Analyzing the movement and direction of higher timeframe candles can help filter out noisy variation from the price, and could be utilized to time trades better. When the majority of recent candles from the selected timeframes are bullish, the candle body will be colored in green, if this majority is bearish it will be colored in red.
Using the "Tricolor" coloring mode introduces a third coloring option, and is used when there isn't a clear sentiment majority across the selected timeframes, this option effectively allows for filtering out unwanted trends.
Users can control the variations to be filtered out depending on their chart timeframe and the enabled HTF's in the settings. Using low timeframes with higher HTF's will gray out a larger amount of candles, disabling these timeframes, changing them, or giving higher weighting to lower HTF's will allow for obtaining more dominance detection, and as such less grayed-out candles.
As seen above, the weight function allows for precise control over the specific elements being analyzed.
This indicator also features a dashboard for viewing each timeframe's direction at the same time. By doing so, it allows for better judgment on the specific elements composing the current HTF majority.
🔶 DETAILS
This indicator is only intended for Higher Timeframe Analysis, all the input timeframes should be kept equal to or lower than your current chart timeframe.
NOTE: This is necessary for data accuracy in most multi-timeframe indicators, and is generally a good practice to keep in mind.
As a reminder, the dashboard will display the timeframe in red text if a lower timeframe is detected. It is recommended to change or disable this timeframe for your analysis.
This indicator can support up to 10 timeframes, each with independent weightings.
NOTE: When a timeframe is disabled, the dashboard will no longer display that timeframe, and it will not be used in calculations.
🔹 Candle Coloring
Candle color can be selected between 3 modes.
Tricolor (Default): Changes the color based on a 3-part split of the possible data sum range.
Bicolor: Changes the color based on the sum being greater than or less than 0.
Gradient: Uses a 3-color gradient to determine the candle color based on the possible data sum range.
🔶 SETTINGS
🔹 Higher Timeframes
Toggle: Enable/Disable the timeframe from analysis.
Timeframe: Select which timeframe to use for analysis. <- NOTE: This input reflects any custom intervals you have created on Tradingview.
Weight: Determines the Weighting (Multiplier) for the timeframe's direction.
🔹 Style
Color Mode: (More details above) Determines the color mode in use for coloring candles.
🔹 Dashboard
General Settings: Control Toggle, Location, & Size of Dashboard on your chart.
Orientation: Choose to display the dashboard in a "Vertical (default)" or "Horizontal" orientation to fit your style.
