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EVaR Indicator and Position SizingThe Problem: Financial markets consistently show "fat-tailed" distributions where extreme events occur with higher frequency than predicted by normal distributions (Gaussian or even log-normal). These fat tails manifest in sudden price crashes, volatility spikes, and black swan events that traditional risk measures like volatility can underestimate. Standard deviation and conventional VaR calculations assume normally distributed returns, leaving traders vulnerable to severe drawdowns during market stress. Cryptocurrencies and volatile instruments display particularly pronounced fat-tailed behavior, with extreme moves occurring 5-10 times more frequently than normal distribution models would predict. This reality demands a more sophisticated approach to risk measurement and position sizing. The Solution: Entropic Value at Risk (EVAR) EVaR addresses these limitations by incorporating principles from statistical mechanics and information theory through Tsallis entropy. This advanced approach captures the non-linear dependencies and power-law distributions characteristic of real financial markets. Entropy is more adaptive than standard deviations and volatility measures. I was inspired to create this indicator after reading the paper " The End of Mean-Variance? Tsallis Entropy Revolutionises Portfolio Optimisation in Cryptocurrencies " by by Sana Gaied Chortane and Kamel Naoui. Key advantages of EVAR over traditional risk measures: Superior tail risk capture: More accurately quantifies the probability of extreme market moves Adaptability to market regimes: Self-calibrates to changing volatility environments Non-parametric flexibility: Makes less assumptions about the underlying return distribution Forward-looking risk assessment: Better anticipates potential market changes (just look at the charts :) Mathematically, EVAR is defined as: EVAR_α(X) = inf_{z>0} {z * log(1/α * M_X(1/z))} Where the moment-generating function is calculated using q-exponentials rather than conventional exponentials, allowing precise modeling of fat-tailed behavior. Technical Implementation This indicator implements EVAR through a q-exponential approach from Tsallis statistics: Returns Calculation: Price returns are calculated over the lookback period Moment Generating Function: Approximated using q-exponentials to account for fat tails EVAR Computation: Derived from the MGF and confidence parameter Normalization: Scaled to for intuitive visualization Position Sizing: Inversely modulated based on normalized EVAR The q-parameter controls tail sensitivity—higher values (1.5-2.0) increase the weighting of extreme events in the calculation, making the model more conservative during potentially turbulent conditions. Indicator Components 1. EVAR Risk Visualization Dynamic EVAR Plot: Color-coded from red to green normalized risk measurement (0-1) Risk Thresholds: Reference lines at 0.3, 0.5, and 0.7 delineating risk zones 2. Position Sizing Matrix Risk Assessment: Current risk level and raw EVAR value Position Recommendations: Percentage allocation, dollar value, and quantity Stop Parameters: Mathematically derived stop price with percentage distance Drawdown Projection: Maximum theoretical loss if stop is triggered Interpretation and Application The normalized EVAR reading provides a probabilistic risk assessment: < 0.3: Low risk environment with minimal tail concerns 0.3-0.5: Moderate risk with standard tail behavior 0.5-0.7: Elevated risk with increased probability of significant moves > 0.7: High risk environment with substantial tail risk present Position sizing is automatically calculated using an inverse relationship to EVAR, contracting during high-risk periods and expanding during low-risk conditions. This is a counter-cyclical approach that ensures consistent risk exposure across varying market regimes, especially when the market is hyped or overheated. Parameter Optimization For optimal risk assessment across market conditions: Lookback Period: Determines the historical window for risk calculation Q Parameter: Controls tail sensitivity (higher values increase conservatism) Confidence Level: Sets the statistical threshold for risk assessment For cryptocurrencies and highly volatile instruments, a q-parameter between 1.5-2.0 typically provides the most accurate risk assessment because it helps capturing the fat-tailed behavior characteristic of these markets. You can also increase the q-parameter for more conservative approaches. Practical Applications Adaptive Risk Management: Quantify and respond to changing tail risk conditions Volatility-Normalized Positioning: Maintain consistent exposure across market regimes Black Swan Detection: Early identification of potential extreme market conditions Portfolio Construction: Apply consistent risk-based sizing across diverse instruments This indicator is my own approach to entropy-based risk measures as an alterative to volatility and standard deviations and it helps with fat-tailed markets. Enjoy!
Pine Script® göstergesi
HenriqueCentieiro tarafından
KumoFlow Pro v1.0📌 Strategy Description: KumoFlow Pro v1.0 KumoFlow Pro is a momentum strategy that fuses the classic Ichimoku system with modern volume-based confirmations: VWMA (Volume Weighted Moving Average) and CMF (Chaikin Money Flow). It focuses not only on trend direction but also on whether the move is supported by genuine volume, enabling trades only on high-conviction breakouts. 🔍 Key Components: - 🔹 Ichimoku: Captures trend direction, momentum, and support/resistance zones. - 🔸 VWMA: Adds weight to volume-backed price moves and filters out weak breakouts. - 🔸 CMF: Confirms the presence of real capital flow in the trade direction. - 🔁 Trailing Stop: Dynamic exit mechanism that locks in profit once the trade is in gain. It is % based and adapts to price behavior. 🎯 Purpose of This Setup: - Capitalize on short-term volatility - Catch early breakouts with volume confirmation - Preserve profits with precision via trailing exit ⚙️ OPTIMIZED PARAMETERS (BTC / 30MIN CHART): - Ichimoku Tenkan/Kijun: 5 / 15 - Senkou B: 30 - VWMA & CMF Length: 10 - Trailing Trigger: 1.5% - Trailing Offset: 1.0% ⚠️ DISCLAIMER: This setup is tuned for fast-paced environments and frequent entries. It may produce false signals in choppy conditions. Please test and validate on demo or historical charts before live use. 🔧 All parameters are fully user-adjustable from the input panel. You may customize it for different timeframes or assets.
Pine Script® stratejisi
ALCIVOOO tarafından
Gabriel's Relative Strength IndexGabriel’s RSI—The Reinvention of Relative Strength Not your average RSI. This is a fully reengineered Relative Strength Index that merges the power of advanced signal processing, adaptive smoothing, volume dynamics, and intelligent divergence detection into a single, modular toolkit designed for precision trading across all markets. Whether you’re scalping crypto, swing trading equities, or dissecting futures contracts—Gabriel’s RSI adapts to your strategy with unrivaled control and clarity. 1. RSI Settings RSI Length (Jurik): Set to 51 by default to mimic a 21-period standard RSI when Jurik smoothing is applied. Adjust lower (e.g., 22) to mimic a 9-period RSI. RSI Source: The default is hlc3 for smoother RSI inputs. Can be changed to any price-based series (close, open, etc.) for customization. 2. RSI Smoothing Options MA Type: Smoothing applies to both RSI and its MA overlay simultaneously. I used to use the 56 EMA RSI, and it works well too. JMA: Best for adaptive recursive smoothing. A power of 2 and a phase of 50 are used. T3: Smooth and lag-reduced, suitable for trend detection. The alpha is 0.7. SMA + Bollinger Bands: Adds deviation-based envelopes for volatility spotting. MA Length: Affects how smooth or reactive the RSI signal is. BB StdDev: Only relevant if BBs are used. Controls bandwidth for overbought/oversold zones. 3. MACD Settings Fast/Slow Length: Defaults (21/81) optimized for smoother MACD with SMA or T3. For Algo trading, EMA/JMA is best. Signal Length: Shorter (e.g., 2) gives more reactive crossover signals, it can be increased. Source: Default is close. Close works best for the settings I input. MA Types: JMA and EMA reduce noise and increase signal generation. Select SMA for simplicity or T3 for trend-following. Histogram: Bar colors signal strength and trend of MACD directly on your chart. 4. Directional Movement Index (DMI) ADX Smoothing: High values (e.g., 100) offer strong trend confirmation with Hann Window smoothing. DI Length: Affects DI+/- sensitivity. 100 ADX - 12 DI or 15 ADX - 35 DI are suggested, the latter for quicker boot time, as 100 bars is quite long. Smoothing Type: Choose Hann Window for refined smoothing; RMA (SMMA) for simplicity. Volatility Type: ATR includes gaps; ADR is useful for gapless strategies. Plotted as area fills, 0 to 100 scaled. 5. Volume Z-Score %R Length: Normalizes volume to percentile range (73 swing, 112 exhaustion). Z-Score Lengths: Compares short-term and long-term volume trends with Z-scores of volume. Fast Z-Score < Slow Z-Score = Gives a Volume Squeeze. Fast MA > Slow MA = Bullish Volume Divergence; volume has been fired. Not via Z-score, but instead via SMA, ALMA, and RMA of volume. WPR Volume: Weighted %R used to highlight exhaustion/pivot points. Plot volume bars after a volume squeeze has been fired; if bars aren't plotted, then it's under squeeze. Backtest on ES1! Prove it's good for catching bottoms below 15 minutes as well. 6. Divergence Engine Pivot Settings: Pivot Period (12), Divergence minval Lookback (5), and max Lookback Bars (100) control sensitivity. Works well on any asset class; these are the optimal settings for the RSI. Source Options: RSI, MACD, ADX, DI difference, or Volume %R. Divergence Type: Regular: Classic reversal signals. Hidden: Continuation signals. Heikin Ashi Mode: Enables use of HA candles on normal charts for smoother pivots. May distort values if your chart is H.A. so leave it unchecked then. 7. Squeeze Momentum (SQZMOM) Squeeze Types: Wide (Black): Regular compression Normal (Red), Regular Squeeze Narrow (Yellow), Golden Squeeze Very Narrow (Purple) Extreme compression Fired (Green): Breakout detected Plotted as circles on the bottom of my indicator. Momentum Bar Colors: Cyan: Rising momentum Blue: Pullback within uptrend Red: Falling momentum Yellow: Correction within downtrend Reversal Lines: Dashed lines indicate momentum crossing its Jurik MA (DM-Style Pivots). Plotted as squares on the top of my indicator. 8. Rate of Change (RoC) RoC of Momentum: EMA-smoothed RoC on momentum for leading signals. Double smoothed, once and then another time for smoother signals. Signal Line: JMA used to filter noise and generate reversal signals. Crossovers: Bullish/bearish signals based on RoC vs signal line are plotted as triangles directly on your chart. Optimized: Backtested for short-term setups like 1H or faster. Works on Daily timeframes as well for Futures. 9. Multi-Timeframe Squeeze Settings Each timeframe (Hourly, 4H, Daily, Weekly, Monthly) has: Reversal Toggle: Enables dashed line DM-Style Pivots on crossovers. MA Length: For Jurik MA smoothing on momentum. BB/KC Thresholds: Define squeeze sensitivity per timeframe. A shorter BB/KC length, 17-14-12, responds better on lower timeframes. Momentum Length: Tailors oscillator responsiveness; 20 is ideal. 10. BB Std. Deviation Scaling Low-Pass Super Smoother : Smooths (True Range) noise for BBs. High-Pass Butterworth : Extracts cycles for BB Stdv. blend. Root Mean Squared : Dynamic BB width adjustment based on market activity. 11. Alerts RSI: Overbought/oversold reversals. Several types. MACD: Histogram shift through zero line. DMI/ADX: Crossovers and strength conditions. The 17 key level is used for the ADX. Volume: Smart Money alerts on low-volume zones. May concentrate on ICT sessions. Squeeze: Alerts on all 5 squeeze states. Momentum: Crosses and reversals. RoC: Bullish and bearish crosses. Divergences: Regular, hidden, combined. 12. Visual Output Summary RSI Line + MA/BBs MACD Histogram Bar Colors DMI/ADX as area fills Volume %R columns Squeeze Momentum Shapes and Dots RoC Crossover Arrows DM-style Breakout Pivots Divergence Lines and Labels Best Practices Watch the slope of the RSI for pullbacks on a strong trend. Combine it with squeeze for exit timing. Combine RSI Divergence with MACD histogram cross and Squeeze firing for precise entry. Use Volume Z-Score to filter for institutional activity, and enter Long. Watch for reversals as well. Watch RoC crossovers for fast, leading signals. Enable Reversal Lines on 1H+ charts for breakout or breakdown pivots. Use multi-timeframe thresholds for swing confirmation. The TFs I use the most are 2-5-15 minutes for futures and swinging with 1 hour daily and weekly. Those are the TFs I backtested.
Pine Script® göstergesi
GabrielAmadeusLau tarafından
NQ Position Size CalculatorNQ Position Size Line Calculator is designed specifically for Nasdaq 100 futures (NQ) and micro futures (MNQ) traders who want to maintain disciplined risk management. This visual tool eliminates the guesswork from position sizing by displaying distance lines and contract calculations directly on your chart. The indicator creates horizontal lines at 10-tick intervals from your stop loss level, showing you exactly how many contracts to trade at each distance to maintain your predetermined risk amount. Whether you're trading regular NQ contracts or micro MNQ contracts, this calculator ensures you never risk more than intended while providing instant visual feedback for optimal position sizing decisions. How to Use the Indicator Step 1: Configure Your Settings Stop Loss Price: Enter your exact stop loss level (e.g., 20000.00) Risk Amount ($): Set your maximum dollar risk per trade (e.g., $500) Contract Type: Choose between: NQ (Regular): $5 per tick - for larger accounts MNQ (Micro): $0.50 per tick - for smaller accounts or conservative sizing Display Options: Max Lines: Number of distance lines to show (default: 30) Show Labels: Toggle tick distance and contract count labels Line Color: Customize the color of distance lines Label Size: Choose tiny, small, or normal label sizes Step 2: Read the Visual Display Once configured, the indicator displays: Stop Loss Line: Thick yellow line marking your exact stop loss level Yellow label showing the stop loss price Distance Lines: Dashed red lines at 10-tick intervals above and below your stop loss Lines appear on both sides for long and short position planning Labels (if enabled): Green labels (right side): For long positions above your stop loss Red labels (left side): For short positions below your stop loss Format: "20T 5x" means 20 ticks distance, 5 contracts maximum Step 3: Use the Information Tables The indicator provides two helpful tables: Position Size Table (top-right): Shows common tick distances (10, 20, 40, 80, 160 ticks) Displays risk per contract at each distance Contract count for your specified risk amount Total risk with rounded contract numbers Settings Table (bottom-right): Confirms your current risk amount Shows selected contract type Displays current settings for quick reference Step 4: Apply to Your Trading For Long Positions: Look at the green labels on the right side of your chart Find your desired entry level Read the label to see: distance in ticks and maximum contracts Example: "30T 8x" = 30 ticks from stop, buy 8 contracts maximum For Short Positions: Look at the red labels on the left side of your chart Find your desired entry level Read the label for tick distance and contract count Example: "40T 6x" = 40 ticks from stop, sell 6 contracts maximum Step 5: Trading Execution Before Entering a Trade: Identify your stop loss level and input it into the indicator Choose your entry point by looking at the distance lines Note the contract count from the corresponding label Verify the risk amount matches your trading plan Execute your trade with the calculated position size Risk Management Features: Contract rounding: All position sizes are rounded down (never up) to ensure you don't exceed your risk limit Zero position filtering: Lines only show where position size is at least 1 contract Dual-sided display: Plan both long and short opportunities simultaneously
Pine Script® göstergesi
birdmanx tarafından
VDN2 - SuperTrend + ADX + Stochastic StrategySuperTrend + ADX + Stochastic Overview:
A trend-following and momentum-confirmation strategy using SuperTrend, ADX (>20 filter), and Stochastic oscillator. Optimized for Gold (XAUUSD) on the 10-minute chart. Backtest Highlights (Last 1 Week): Win Rate: 83.3% (5 out of 6 trades) Net Profit: +56.35 USD (1 contract size) Avg Trade Duration: ~58 bars (~9.6 hours) Max Drawdown: 16.65 USD Avg Win: 9.24 USD, Avg Loss: 0.82 USD Largest Single Profit: 23.28 USD Profit Factor: ~11.27 Core Logic: Enter Long when: * SuperTrend is bullish * ADX > 20 * Stochastic %K > %D and %K < 80 Enter Short when: * SuperTrend is bearish * ADX > 20 * Stochastic %K < %D and %K > 20 No fixed TP/SL. Positions closed on signal reversal.
Pine Script® stratejisi
vidinozyer tarafından
Painel de Velas 1H e 2H + Grade DiáriaIndicator Description "1H and 2H Candlestick Panel + Daily Grid" Overview This advanced indicator for TradingView combines a candlestick information panel on multiple timeframes with a daily grid of supports and resistances, providing a complete market overview for intraday and swing trading. Main Features 1. Automatic Daily Grid Previous Close Line: Highlighted red line marking the previous day's close. Support/Resistance Grid: 4 lines above (blue) and 4 lines below (gold) the previous close, spaced according to a configurable distance. Automatic update at the beginning of each new day. Customizable distance between lines in the inputs. 2. Multi-Timeframe Candlestick Panel Information table in the upper right corner with data from: Included timeframes: Current, 30M, 1H, 2H, 3H, 4H, 6H, 12H and Daily (1D). Displayed information: Open and Close Price difference (value and color according to direction) Candle type (Positive/Negative) Time remaining until candlestick close (HH:MM:SS format) 3. Confluence Signals Buy Alert: When all candlesticks (from current to daily) are positive. Sell Alert: When all candlesticks (from current to daily) are negative. Visual signals: Buy/sell arrows on the chart and configurable alerts. Customizable Settings Grid Distance (Dots): Adjust the distance between daily support/resistance lines. How to Use Daily Grid: Use the blue lines (above) as potential resistance and the gold ones (below) as support. The red line (previous close) is a key level for analysis. Candlestick Panel: Monitor the direction of candlesticks on different timeframes to identify trends. Use the remaining time to plan entries before the close of important candlesticks. Confluence Signals: Trade in the direction of confluence when all timeframes are aligned (buy or sell). Benefits ✔ Efficient multi-timeframe analysis ✔ Visual identification of support/resistance zones ✔ Automatic alerts for strong setups ✔ Easy grid customization Ideal for traders who trade based on price action and timeframe confluence!
Pine Script® göstergesi
itasouza tarafından
Position Trading Strategy - EMA + FVG (Conservative)claude.ai # 📊 Conservative Position Trading Strategy - EMA + FVG ## 🎯 **Strategy Overview** This indicator combines **Exponential Moving Averages (EMA)** with **Fair Value Gap (FVG)** analysis to identify high-probability trading opportunities. Designed specifically for **funded account traders** who need consistent, conservative performance with strict risk management. --- ## 🔧 **Key Features** ### ✅ **Smart Entry Scoring System (1-10 Scale)** - **EMA Alignment**: 3 points maximum - **Price Position**: 2 points maximum - **Momentum Confirmation**: 2 points maximum - **Volume Validation**: 1 point maximum - **FVG Proximity**: 2 points maximum ### ✅ **Advanced Signal Filtering** - **Confluence Filter**: Ensures strong trend alignment - **Volatility Filter**: Avoids choppy market conditions - **Time Separation**: Prevents overtrading - **Enhanced Exit Logic**: Color-coded position tracking ### ✅ **Risk Management Features** - **Pyramiding Control**: Configurable position scaling - **Conservative Position Sizing**: Based on account risk - **Smart Exit Conditions**: Protects profits and limits losses --- ## ⚙️ **Settings Configuration** ### 🎯 **Entry Signal Strength** | Setting | Conservative | Moderate | Aggressive | |---------|-------------|----------|------------| | **Minimum Entry Score** | 8-9 | 7-8 | 6-7 | | **FVG Threshold** | 0.20% | 0.15% | 0.10% | | **Use Confluence Filter** | ✅ ON | ✅ ON | ❌ OFF | | **Volatility Filter** | ✅ ON | ✅ ON | ❌ OFF | **📝 Recommendation**: Start with **Conservative** settings for funded accounts, then adjust based on performance. ### 🏗️ **Pyramiding Configuration** | Account Type | Pyramid Levels | Risk Per Trade | Max Drawdown Target | |-------------|----------------|----------------|---------------------| | **Funded Account** | 1-2 | 0.25-0.5% | <3% | | **Personal Account** | 2-3 | 0.5-1.0% | <5% | | **High Risk** | 3-4 | 1.0-2.0% | <10% | ### 🔧 **Recommended Settings by Trading Style** #### 🛡️ **Ultra Conservative (Funded Accounts)** ``` Minimum Entry Score: 8 Pyramid Levels: 1 Risk Per Trade: 0.25% FVG Threshold: 0.20% Confluence Filter: ON Volatility Filter: ON Min Candle Separation: 8 ``` #### ⚖️ **Balanced Approach** ``` Minimum Entry Score: 7 Pyramid Levels: 2 Risk Per Trade: 0.5% FVG Threshold: 0.15% Confluence Filter: ON Volatility Filter: ON Min Candle Separation: 5 ``` #### 🎯 **Moderate Aggressive** ``` Minimum Entry Score: 6 Pyramid Levels: 3 Risk Per Trade: 1.0% FVG Threshold: 0.10% Confluence Filter: OFF Volatility Filter: OFF Min Candle Separation: 3 ``` --- ## 📈 **How to Use** ### 1️⃣ **Setup Process** 1. Add the indicator to your chart 2. Configure settings based on your account type 3. Set up alerts for entry/exit signals 4. Monitor the info table for real-time metrics ### 2️⃣ **Signal Interpretation** - **Green Labels (L + Score)**: Long entry signals - **Red Labels (S + Score)**: Short entry signals - **Green EXIT L**: Long position exits - **Magenta EXIT S**: Short position exits ### 3️⃣ **Info Table Monitoring** - **Long/Short Score**: Current entry strength - **Trend**: Overall market direction - **Position**: Current position status - **Pyramids**: Active scaling levels - **Volatility**: Market condition assessment --- ## 🎨 **Visual Elements** ### 📊 **Chart Display** - **Blue Line**: EMA 21 (Short-term trend) - **Orange Line**: EMA 55 (Medium-term trend) - **Red Line**: EMA 233 (Long-term trend) - **Background Colors**: Subtle trend indication - **Entry/Exit Labels**: Clear signal identification ### 📋 **Information Table** Real-time dashboard showing: - Current signal strength - Position status - Risk metrics - Market conditions --- ## ⚠️ **Important Notes** ### 🔴 **Risk Disclaimers** - **Past performance does not guarantee future results** - **Always use proper risk management** - **Test thoroughly on demo accounts first** - **Funded account rules vary by provider** ### 💡 **Best Practices** - **Backtest extensively** before live trading - **Start with conservative settings** - **Monitor maximum drawdown closely** - **Keep detailed trading records** - **Follow your funded account rules** ### 📅 **Recommended Timeframes** - **Primary Analysis**: 4H, 1D - **Entry Timing**: 1H, 15M - **Avoid**: <15M timeframes --- ## 🎓 **Strategy Logic** ### 📈 **Entry Conditions** 1. **EMA Alignment**: Trend direction confirmation 2. **Price Position**: Above/below key EMAs 3. **Momentum**: RSI and price change validation 4. **Volume**: Above-average trading activity 5. **FVG Proximity**: Near unfilled gaps ### 📉 **Exit Conditions** - EMA crossovers (trend change) - Price breaks key support/resistance - Momentum reversal signals - Position management rules --- ## 🏆 **Performance Optimization** ### 📊 **For Better Results** - **Combine with market structure analysis** - **Use multiple timeframe confirmation** - **Respect overall market trends** - **Avoid trading during major news events** ### 🔧 **Customization Tips** - **Adjust EMA periods** for different markets - **Modify FVG threshold** based on volatility - **Experiment with scoring weights** - **Fine-tune risk parameters** --- ## 💬 **Community & Support** ### 📝 **Feedback Welcome** - Share your settings and results - Report any bugs or issues - Suggest improvements - Post your backtesting results ### 🤝 **Collaboration** This strategy is designed to evolve with community input. Your feedback helps make it better for everyone! --- ## 🎯 **Final Recommendations** ### ✅ **Do:** - Start conservative and adjust gradually - Backtest thoroughly across different market conditions - Keep detailed performance records - Follow strict risk management rules ### ❌ **Don't:** - Use maximum aggressive settings immediately - Ignore drawdown limits - Trade without proper backtesting - Violate your funded account rules --- **📞 Remember**: This indicator is a tool to assist your trading decisions. Always combine it with proper risk management, market analysis, and your own trading plan. Success in trading comes from discipline, patience, and continuous learning. **🎯 Good luck and trade safely!**
Pine Script® göstergesi
dadaisthelimit tarafından
Fast Fourier Transform [ScorsoneEnterprises]The SCE Fast Fourier Transform (FFT) is a tool designed to analyze periodicities and cyclical structures embedded in price. This is a Fourier analysis to transform price data from the time domain into the frequency domain, showing the rhythmic behaviors that are otherwise invisible on standard charts. Instead of merely observing raw prices, this implementation applies the FFT on the logarithmic returns of the asset: Log Return(𝑚) = log⁡(close / close ) This ensures stationarity and stabilizes variance, making the analysis statistically robust and less influenced by trends or large price swings. For a user-defined lookback window 𝑁: Each frequency component 𝑘 is computed by summing real and imaginary projections of log-returns multiplied by complex exponential functions: 𝑒^−𝑖𝜃 = cos⁡(𝜃)−𝑖sin(𝜃) where: θ = 2πkm / N ​he result is the magnitude spectrum, calculated as: Magnitude(𝑘) = sqrt(Real_Sum(𝑘)^2 + Imag_Sum(𝑘)^2) This spectrum represents the strength of oscillations at each frequency over the lookback period, helping traders identify dominant cycles. Visual Analysis & Interpretation To give traders context for the FFT spectrum’s values, this script calculates: 25th Percentile (Purple Line) Represents relatively low cyclical intensity. Values below this threshold may signal quiet, noisy, or trendless periods. 75th Percentile (Red Line) Represents heightened cyclical dominance. Values above this threshold may indicate significant periodic activity and potential trend formation or rhythm in price action. The FFT magnitude of the lowest frequency component (index 0) is plotted directly on the chart in teal. Observing how this signal fluctuates relative to its percentile bands provides a dynamic measure of cyclical market activity. Chart examples In this NYSE:CL chart, we see the regime of the price accurately described in the spectral analysis. We see the price above the 75th percentile continue to trend higher until it breaks back below. In long trending markets like NYSE:PL has been, it can give a very good explanation of the strength. There was confidence to not switch regimes as we never crossed below the 75th percentile early in the move. The script is also usable on the lower timeframes. There is no difference in the usability from the different timeframes. Script Parameters Lookback Value (N) Default: 30 Defines how many bars of data to analyze. Larger N captures longer-term cycles but may smooth out shorter-term oscillations.
Pine Script® göstergesi
ScorsoneEnterprises tarafından
Range Bar Gaps DetectorRange Bar Gaps Detector Overview The Range Bar Gaps Detector identifies price gaps across multiple range bar sizes (12, 24, 60, and 120) on any trading instrument, helping traders spot potential support/resistance zones or breakout opportunities. Designed for Pine Script v6, this indicator detects gaps on range bars and exports data for use in companion scripts like Range Bar Gaps Overlap, making it ideal for multi-timeframe gap analysis. Key Features Multi-Range Gap Detection: Identifies gaps on 12, 24, 60, and 120-range bars, capturing both bullish (gap up) and bearish (gap down) price movements. Customizable Sensitivity: Includes a user-defined minimum deviation (default: 10% of 14-period SMA) for 12-range gaps to filter out noise. 7-Day Lookback: Automatically prunes gaps older than 7 days to focus on recent, relevant price levels. Data Export: Serializes up to 10 gaps per range (tops, bottoms, start bars, highest/lowest prices, and age) for seamless integration with overlap analysis scripts. Debugging Support: Plots gap counts and aggregation data in the Data Window for easy verification of detected gaps. How It Works The indicator aggregates price movements to simulate higher range bars (24, 60, 120) from a base range bar chart. It detects gaps when the price jumps significantly between bars, ensuring gaps meet the minimum deviation threshold for 12-range bars. Gaps are stored in arrays, serialized for external use, and pruned after 7 days to maintain efficiency. Usage Add to your range bar chart (e.g., 12-range) to detect gaps across multiple ranges. Use alongside the Range Bar Gaps Overlap indicator to visualize gaps and their overlaps as boxes on the chart. Check the Data Window to confirm gap counts and sizes for each range (12, 24, 60, 120). Adjust the "Minimal Deviation (%) for 12-Range" input to control gap detection sensitivity. Settings Minimal Deviation (%) for 12-Range: Set the minimum gap size for 12-range bars (default: 10% of 14-period SMA). Range Sizes: Fixed at 24, 60, and 120 for higher range bar aggregation. Notes Ensure the script is published under your TradingView username (e.g., GreenArrow2005) for use with companion scripts. Best used on range bar charts to maintain consistent gap detection. For advanced overlap analysis, pair with the Range Bar Gaps Overlap indicator to highlight zones where gaps from different ranges align. Ideal For Traders seeking to identify key price levels for support/resistance or breakout strategies. Multi-timeframe analysts combining gap data across various range bar sizes. Developers building custom indicators that leverage gap data for advanced charting.
Pine Script® göstergesi
GreenArrow2005 tarafından
Stochastic Money Flow IndexThe Stochastic Money Flow Index (or Stochastic MFI ), is a variation of the classic Stochastic RSI that uses the Money Flow Index (MFI) rather than the Relative Strength Index (RSI) in its calculation. While the RSI focuses solely on price momentum, the MFI is a volume-weighted indicator, meaning it incorporates both price and volume data. The Stochastic MFI is intended to provide a more precise and sensitive reading of the MFI by measuring the level of the MFI relative to its range over a specific period. Settings Stochastic Settings %K Length : The number of periods used to calculate the Stochastic. (Default: 14) %K Smoothing : The SMA length used to 'smooth' the %K line. (Default: 3) %D Smoothing : The SMA length used to 'smooth' the %D line. (Default: 1) Money Flow Index Settings MFI Length : The number of periods used to calculate the Money Flow Index. (Default: 14) MFI Source : The source used to calculate the Money Flow Index. (Default: close) Additional Settings Show Overbought/Oversold Gradients? : Toggle the display of overbought/oversold gradients. (Default: true)
Pine Script® göstergesi
iambrennanwalsh tarafından
Fear and Greed Index [DunesIsland]The Fear and Greed Index is a sentiment indicator designed to measure the emotions driving the stock market, specifically investor fear and greed. Fear represents pessimism and caution, while greed reflects optimism and risk-taking. This indicator aggregates multiple market metrics to provide a comprehensive view of market sentiment, helping traders and investors gauge whether the market is overly fearful or excessively greedy.How It WorksThe Fear and Greed Index is calculated using four key market indicators, each capturing a different aspect of market sentiment: Market Momentum (30% weight) Measures how the S&P 500 (SPX) is performing relative to its 125-day simple moving average (SMA). A higher value indicates that the market is trading well above its moving average, signaling greed. Stock Price Strength (20% weight) Calculates the net number of stocks hitting 52-week highs minus those hitting 52-week lows on the NYSE. A greater number of net highs suggests strong market breadth and greed. Put/Call Options (30% weight) Uses the 5-day average of the put/call ratio. A lower ratio (more call options being bought) indicates greed, as investors are betting on rising prices. Market Volatility (20% weight) Utilizes the VIX index, which measures market volatility. Lower volatility is associated with greed, as investors are less fearful of large market swings. Each component is normalized using a z-score over a 252-day lookback period (approximately one trading year) and scaled to a range of 0 to 100. The final Fear and Greed Index is a weighted average of these four components, with the weights specified above.Key FeaturesIndex Range: The index value ranges from 0 to 100: 0–25: Extreme Fear (red) 25–50: Fear (orange) 50–75: Neutral (yellow) 75–100: Greed (green) Dynamic Plot Color: The plot line changes color based on the index value, visually indicating the current sentiment zone. Reference Lines: Horizontal lines are plotted at 0, 25, 50, 75, and 100 to represent the different sentiment levels: Extreme Fear, Fear, Neutral, Greed, and Extreme Greed. How to Interpret Low Values (0–25): Indicate extreme fear, which may suggest that the market is oversold and could be due for a rebound. High Values (75–100): Indicate greed, which may signal that the market is overbought and could be at risk of a correction. Neutral Range (25–75): Suggests a balanced market sentiment, neither overly fearful nor greedy. This indicator is a valuable tool for contrarian investors, as extreme readings often precede market reversals. However, it should be used in conjunction with other technical and fundamental analysis tools for a well-rounded view of the market.
Pine Script® göstergesi
dunesisland tarafından
Random Coin Toss Strategy📌 Overview This strategy is a probability-based trading simulation that randomly decides trade direction using a coin-toss mechanism and executes trades with a customizable risk-reward ratio. It's designed primarily for testing entry frequency and risk dynamics, not predictive accuracy. 🎯 Core Concept Every N bars (configurable), the strategy performs a pseudo-random coin toss. Based on the result: If heads → Buy If tails → Sell Once a position is opened, it sets a Stop-Loss (SL) and Take-Profit (TP) based on a multiple of the current ATR (Average True Range) value. ⚙️ Configurable Inputs ATR Length Period for ATR calculation, determines volatility basis. SL Multiplier SL distance = ATR × multiplier (e.g., 1.0 means 1x ATR) . TP Multiplier TP distance = ATR × multiplier (e.g., 2.0 = 2x ATR) . Entry Frequency Bars to wait between each new coin toss decision. Show TP/SL Zones Toggle on/off for drawing visual TP and SL zones. Box Size Number of bars used to define the width of the TP/SL boxes. 🔁 Entry & Exit Logic Entry: Happens only when no current position exists and it's the correct bar interval. Entry direction is randomly decided. Exit: Positions exit at either: Take-Profit (TP) level Stop-Loss (SL) level Both are calculated using the configured ATR-based distances. 🖼️ Visual Features TP and SL zones: Rendered as shaded rectangles (boxes) only once per trade. Green box for TP zone, red box for SL zone. Automatically deleted and redrawn for each new trade to avoid chart clutter. ATR Display Table: A minimal info table at the top-right shows the current ATR value. Updates every few bars for performance. 🧪 Use Cases Ideal for risk-reward modeling, strategy prototyping, and understanding how volatility-based SL/TP behavior affects results. Great for backtesting frequency, RR tweaks (e.g., 2:5 or 3:1), and execution structure in random conditions. ⚠️ Disclaimer Since the trade direction is random, this script is not meant for predictive trading but serves as a powerful experiment framework for studying how SL, TP, and volatility interact with random chance in a controlled, repeatable system.
Pine Script® stratejisi
vineeth059 tarafından
1
EMAREVEX: Adaptive Multi-Timeframe Mean Reversion 📘 Strategy Overview: EMAREVEX EMAREVEX (EMA Reversion Expert) is a professionally engineered mean-reversion strategy tailored for BTC/USDT, optimized specifically for the 15-minute and 30-minute timeframes. It combines: - Multi-timeframe EMA200 trend filtering (15m & 30m) - Bollinger Band lower/upper breaches as reversion anchors - RSI-based confirmation for oversold/overbought conditions - A trailing stop-loss mechanism that activates only after volatility surpasses a configurable ATR threshold, then dynamically tracks price This setup targets short-term pullback opportunities in volatile intraday environments. 🔬 Designed for quant-informed traders who seek precision entries and dynamic exit control. ⚠️ Warning: This strategy is optimized on historical data. It should not be used without discretionary confirmation, appropriate risk management, and forward-testing under live market conditions.
Pine Script® stratejisi
ALCIVOOO tarafından
Price x Vol StochasticAn enhanced Fast Stochastic (FSTO) indicator that integrates volume as a conviction amplifier. This script modifies the price stochastic to range from −1 to +1, allowing it to express directional momentum. Volume stochastic remains in the range of 0 to +1, serving as a direction-neutral amplifier. The result is a bi-directional composite stochastic that: >> Emphasizes congruent signals (e.g., strong price direction with strong volume). >> Minimizes misleading or incongruent signals from high volume paired with neutral or conflicting price movement. Ideal for identifying high-conviction breakouts and momentum divergences with volume support.
Pine Script® göstergesi
Shaeroden tarafından
SMA Crossing Background Color (Multi-Timeframe)When day trading or scalping on lower timeframes, it’s often difficult to determine whether the broader market trend is moving upward or downward. To address this, I usually check higher timeframes. However, splitting the layout makes the charts too small and hard to read. To solve this issue, I created an indicator that uses the background color to show whether the current price is above or below a moving average from a higher timeframe. For example, if you set the SMA Length to 200 and the MT Timeframe to 5 minutes, the indicator will display a red background on the 1-minute chart when the price drops below the 200 SMA on the 5-minute chart. This helps you quickly recognize that the trend on the higher timeframe has turned bearish—without having to open a separate chart. デイトレード、スキャルピングで短いタイムフレームでトレードをするときに、大きな動きは上に向いているのか下に向いているのかトレンドがわからなくなることがあります。 その時に上位足を確認するのですが、レイアウトをスプリットすると画面が小さくて見えにくくなるので、バックグラウンドの色で上位足の移動平均線では価格が上なのか下なのかを表示させるインジケーターを作りました。 例えば、SMA Length で200を選び、MT Timeframeで5分を選べば、1分足タイムフレームでトレードしていて雲行きが怪しくなってくるとBGが赤になり、5分足では200線以下に突入しているようだと把握することができます。
Pine Script® göstergesi
myoban tarafından