Trend Day IndentificationVolatility is cyclical, after a large move up or down the market typically "ranges" during the next session. Directional order flow that enters the market during this subsequent session tends not to persist, this non-persistency of transactions leads to a non-trend day which is when I trade intraday reversionary strategies.
This script finds trend days in BTC with the purpose of:
1) counting trend day frequency
2) predicting range contraction for the next 1-2 days so I can run intraday reversion strategies
Trend down is defined as daily bar opening within X% of high and closing within X% of low
Trend up is defined as daily bar opening within X% of low and closing within X% of high
default parameters are:
1) open range extreme = 15% (open is within 15% of high or low)
2) close range extreme = 15% (close is within 15% of high or low)
There is also an atr filter that checks that the trend day has a larger range than the previous 4 bars this is to make sure we find true range expansion vs recent ranges.
Notes:
If a trend day occurs after a prolonged sideways contraction it can signal a breakout - this is less common but is an exception to the rule. These types of occurrences can lead to the persistency of order flow and result in extended directional daily runs.
If a trend day occurs close to 20 days high or low (stopping just short OR pushing slightly through) then wait an additional day before trading intraday reversion strategies.
Komut dosyalarını "Volatility" için ara
Relative Standard DeviationStandard Deviation is a common measure of volatility (the dispersion of data relative to its mean). However, when using it as an indicator, it can be more useful at times to know the deviation relative to the price as a percentage versus the hard value. This normalizes the data so that it is easier to compare the deviation of different assets. By definition, standard deviation is the square root of the variance, and it is how far the price is from the mean 68.2% of the time when there is normative distribution.
What it does : This indicator will tell you the standard deviation of the asset relative to its price (as a %), but also has the option to plot the normal (population) standard deviation.
Example use case : The regular standard deviation of Asset A is $12 and Asset B is $10. Which one is more volatile? Well, it depends on the asset price. If asset A just closed at $900 and asset B just closed at $30, that makes a big difference. In this instance Asset A $12/$900=1.33% (standard deviation relative to the asset price). Asset B $10/$30=33.33% (standard deviation relative to the asset price). Using a normal standard deviation indicator, you would just see that the standard deviation of Asset A is higher as a hard dollar value, when the reality is that Asset A is much less volatile.
How to use it : This indicator plots a blue line by default that is the Relative Standard Deviation of the asset compared to the asset price (a %). There is also an option to turn on / plot regular (population) Standard Deviation, which will plot as a purple line. The mean length used for the average, and the lookback period that the indicator uses to calculate, are both adjustable with inputs.
Average True Range (VStop) Cloud SignalsThis indicator extends the built-in Volatility Stop indicator to a visual signals type indicator based on the crossover of a small VStop value (default 1.5x ATR) and a larger VStop value (default 3x ATR). The two values form a "cloud" with default coloring based on RSI/strength of trend.
MS VIX Bull ReversalThis script measures the rebound of the implied volatility of the S&P 500 index options from an excessive panic zone. The IV starts a reversion to the mean as soon as profit taking from the hedge begins. The assumption behind it: this rebound indicates at least the beginning of a countermovement, in uptrends the end of the correction and the trend continuation.
The Witcher [30MIN] - AlertsHello,
This is the Witcher Bot
This bot is got best performance at BTCUSDTPERP BINANCE FUTURES
this is bot for leverage 1x,
I tried focusing at highest % profitable trades, bot could be optimalised to even higher profit net.
TP: 1.1
SL: 8.2
Stop-loss unfortunelly have to be high to avoid bear/bull traps
The core of this strategy is trend strenght ( MONEY FLOW INDKES)
Strategy can only open position on strong price movment, to avoid wrong decision
Settings are set for highest profitable trades %
Bot using 10 indicators to trigger basic condtition for long and short :
1) ADX - Is one of the most powerful and accurate trend indicators. ADX measures how strong a trend is, and can give valuable information on whether there is a potential trading opportunity.
2) RSI - value helps strategy to stop trade in right time. When RSI is overbought strategy don't open new longs , also when RSI is oversold strategy don't open new shorts
3) TREND STRENGHT
4) JURIK MOVING AVERAGE - The Jurik Moving Average indicator is one of the surest ways to smoothen price curves within a minimum time lag. The indicator offers currency traders one of the best price filters during strong price moves. In this time, when bitcoin price action is so strong, this indicator is necessary.
5) SAR - The parabolic SAR is a technical indicator used to determine the price direction of an asset, as well as draw attention to when the price direction is changing. SAR supporting bot, to not open new trades when the trends are slowly changing
6) TREND INDICATOR
7) MOMENTUM - Indicator istechnical analysis tool used to determine the strength or weakness of a stock's price. Momentum measures the rate of the rise or fall of stock prices. Common momentum indicators include the relative strength index ( RSI ) and moving average convergence divergence ( MACD ).
8) OBV - On-balance volume (OBV) is a technical trading momentum indicator that uses volume flow to predict changes in stock price.
9) FAST MA - like previous ones this is for better view of trends, and correctly define the trends, also Speed_MA are using for predict the future price action.
10) RANGE FILTER - this indicator is for the better view of trends, define trends, that is important for every bull/bear traps which helps a lot becouse of the very variable trends.
I decided to add momentum indicator to strategy, to make a fast-reacting decision on lower timeframes at extremly price volatility
Also bot got additional EMA scalping option, which increase profit net but, in some situation, that could be risky.
For max security I recommend to turn off this option.
Commision are set at standard binancefutures VIP-0 = 0.04%
After converting strategy into study version, bot is ready for automation.
All the ploting color depends of adx value.
Strategy are not Repainting
For the source code I tried to keep as clean as I could
Enjoy
Margin Zones[kryptodude]This indicator is based on the margin requirements of the CME exchange.
Zones act as support and resistance levels, which are more likely to have a price reaction.
The recommended zones for entering a position, as well as taking profits, are zones 50 and 100.
For example, you decide to open a short position on the +100 zone,
in which case it is recommended to place a stop-loss behind the zone.
Take-profit part at -50 and -100, based on the zones from the formed maximum at the +100 zone.
Settings:
Select the currency pair and the exchange on which the indicator will work, For example BINANCE:BTCUSD
"Margin" (for example,now 68280, the next day the margin will be different)
"Tick cost" for BTC = 25 or 12.5
taken from the CME exchange.
"Price max"- High yesterday (for example 44451).
"Price min"- Low yesterday (for example 41280).
Please note, with strong volatility,
it is recommended to change the Tick cost instead of 25 to put 12.5
And also, only dots " . " not commas ", " work in the indicator.
Percentage Range IndicatorThe Percentage Range Indicator is useful for assessing the volatility of pairs for percentage-based grid bots. The higher the percentage range for a given time period, the more trades a grid bot is likely to generate in that period. Conversely, a grid bot can be optimised by using grids that are less than the Percentage Range Indicator value.
I have been using the Percentage Range Indicator based on the one hour time period and 168 periods of smoothing (seven days based on one-hour periods).
Enjoy.
Market PulseBINANCE:BTCUSDT
This is the "Market Pulse" indicator from TOS Indicators.
The scope of this indicator is to identify which one of the four market stages we're in
█ WHAT ARE THE 4 STAGES?
ACCELERATION (or uptrend)
DECELERATION (or downtrend)
ACCUMULATION (occurs after the market has presumably found a bottom and buyers are coming in)
DISTRIBUTION (occurs after the market has presumably found a top and sellers are coming in)
█ WHAT ARE THE TOOLS THAT IT USES TO IDENTIFY THEM?
3 VWMA (Volume Weighted Moving Average)
1 VMA (Variable Moving Average)
VWMA = is a moving average which takes volume into account, and gives closes with higher volume an higher weight
vwma(src, len) => ta.sma(src * volume, len) / ta.sma(volume, len)
VMA = is a moving average which automatically adjusts the smoothing constant using Market Volatility
vma(src, len) =>
vi = ta.cmo(src, len) / 100
alpha = 2 / (len + 1) * math.abs(vi)
vma = 0.0
vma := alpha * src + nz(vma ) * (1 - alpha)
█ HOW CAN I INTERPRET THE INDICATOR?
1) On the top right you can see a box which tells you the Market Stage of the chart you are currently using:
If VWMA8 > VWMA21 > VWMA34 it signals ACCELERATION, color coded in green
If VWMA8 < VWMA21 < VWMA34 it signals DECELERATION, color coded in red
If neither of the previous two conditions are met it signals ACCUMULATION (yellow) if price closes above the VMA and DISTRIBUTION (orange) if price closes below the VMA
2) Next you have the actual VMA which is the line plotted on the chart and color coded in green, red or gray accordingly to the Market Stage with a filter applied:
for a bullish signal (green label) the market needs to be in ACCELERATION and price must be above the VMA
for a bearish signal (red label) the market needs to be in DECELERATION and price must be below the VMA
This characteristic makes it sometimes slower at giving direction indications, but also makes it more suitable to be considered as actual signals for buying and selling
ACCUMULATION and DISTRIBUTION are both rapresented with color gray, if you want you can consider:
the line going from green to gray as ACCUMULATION, your bias is bullish until the line turns red
the line going from red to gray as DISTRIBUTION, your bias is bearish until the line turns green
3) Then you can choose to plot the 3 VWMA to indentify pullbacks and entries for your trades
4) Finally you have the Market Screener, which you can choose to plot and gives a fast look to the markets you are interested on
It basically gives you the Market Stage for every Symbol you choose using the timeframes you input
The maximum number of Symbols you can set is 20, and for all of them you have 2 different timeframes you can choose to analyse.
By default the Symbols are set to the top 20 Cryptocurrency by Market Cap, and the timeframes to 4h and D
There is an option which is on by default and color codes ACCUMULATION and DISTRIBUTION the same as the box on the top right, you can turn it off to make them gray
As I've written in the tooltip inside the indicator you should only use the screener to analyse timeframes which are equal or higher than the one you are currently on your chart.
If you don't plan to use the screener you can delete every symbol from the input boxes to make the indicator update faster when changing timeframe or market.
Be aware that the screener is on BETA and may give repainting signals!
Volume Bar Breakout and Breakdown IndicatorVolume shows strength of a movement and highest volume shows the region that pushed price to certain extent with full strength. Breakout or Breakout of the highest volume bar range shows continuity further push by sellers or buyers indicating a trend continuation for a small period if not for long duration. Entries can be taken once signal is generated with stoploss as recommended.
Guidelines:
Don't trade if range is too large
Don't trade if Breakdown or Breakdown candle body / range is too large or if there is high volatility
Use additional indicator to get the idea of overall trend analysis
level_statsThis script tells you the percentage of time an instrument's closing value is above and below a level of your choosing. The background color visually indicates periods where the instrument closed at or above the level (red) and below it (blue). For "stationary-ish" processes, you can get a loose feel for the mean, high, and low values. The historical information conveyed through the background coloring can help you plan derivatives trades. Try with your favorite pairs, commodities, or volatility indices.
Usage: pick a level of interest using the input.
EMA Ribbon Squeeze [Luca Massuda]This chart is used to capture volatility squeeze and trend.
The bollinger bands help determine whether prices are high or low on a relative basis. They are used in pairs, both upper and lower bands and in conjunction with a moving average.
The green cross on the BB means a squeeze in coming in the near future and a big move will soon appen up or down.
The EMA ribbon tells you the chart trend. When it is green you can open a long position when it flips red you can open a short position.
Keep your position until the color change.
Mean Reversion Strategy v2 [KL]Description :
This strategy will enter a position when the following conditions are met:
a) Main signal: When source data (ATR) diverts from its moving average value, and
b) Confirmation: If predicted direction of trend is favorable.
Assumptions :
During periods of high price volatility, ATR diverts from its moving average value. Eventually, ATR should revert. But since just knowing the magnitude of increase/decrease of ATR does not indicate a trend signal, we need to introduce a model to predict the current trend.
In short:
• Trend Prediction : This strategy calculates the expected logarithmic return of the security (the "Drift") and considers prices to be moving in uptrend if the drift curve is upward sloping.
• Assessment of ATR diversion : To determine "yes/no" regarding whether ATR at a given point in time has diverted, this script conducts a two-tailed hypothesis test at each candlestick period. The null hypothesis (H0) is that the fast moving average value should equal the slow moving average value (say, denoted as H0: atr14 == atr28; it is assumed that atr28 is more meaningful for the purpose of describing the current trend because it has a larger sample size). Investopedia has an article summarizing this topic .
Exit Condition :
When trailing stop loss hits.
Previous version :
This strategy is based on Version 1 published back in September . This older version considers +/- one standard deviation to be the critical values relative to average ATR when testing whether ATR has diverted from the mean. This does not take Standard Error ("SE") into account. As a result, the threshold is often too wide and it generates too many entry signals.
Column XO ZoneColumn XO is an indicator in Prashant Shah's book Trading The Markets The Point & Figure Way. It counts a number of Xs and Os in every column for the length period. Both Xs and Os are calculated separately. Then, both results are divided by half the number of columns which is set by length.
I personally don't find this indicator very useful, because all it can offer is very clear in Point and Figure charts. However, it was designed to give some information on volatility as well as direction.
Good luck!
Column XOColumn XO is an indicator in Prashant Shah's book Trading The Markets The Point & Figure Way. It counts a number of Xs and Os in every column for the long period. Then, the result is divided by the number of columns which is set by length.
This indicator is designed to identify changes in volatility and works well with Wyckoff's Law of Cause and Effect. The longer the price spends in the consolidation, the more volatile and far-reaching should the expansion phase be.
Good luck!
Jurik Moving Average//Sup TV. This script is inspired by (and dedicated to) closure of sales (today, Oct 20 '21) of the famous Jurik Research.
...
Jurik Research, the real people who been doing real things by using the real instruments, while many others been reading books "How to become a billionaire in 2 days", watching 5687 hours videos of how to use RSI, and studying+applying machine learning to everything cuz suddenly it became trendy xD
...
This is my remake of the original Jurik Moving Average (JMA) based on all the info I managed to get my hands on, some stuff is dated back to 2008 or smth.
The whole point of this filter, the point missed by other attempts of its remakes even posted there on TV, is that it takes into account volatility and adjusts its speed based on it.
Think about it as an EMA, where the alpha parameter is dynamic.
Now, by all means I'm not claiming that's this is the perfect replica of the original algo. I've tested it a lot, looks like it's working legit...
But we all can see together whether it's legit or nah, besides, the official sales are closed since today, you feel me?
...
@everget, does it differs from yours closed one?
...
Live Long And Prosper
Kaufman's Efficiency Ratio Strategy [KL]I recently published an indicator called "Kaufman's Efficiency Ratio Indicator". In the description of that script, I hypothesized about how the Efficiency Ratio could be applied to identify bullish moves in instances where price had already gone up steeply, but rests for a while, allowing for entry in expectation that price will continually rise. I decided to test out this idea with Pinescript.
About Kaufman's Efficiency Ratio ("ER")
ER was developed by a systematic trader by the name of Perry J. Kaufman.
Formula
The formula is:
= A divided by B,
where:
A = Current closing price minus the closing price at the start of the lookback period
B = Sum of differences between closing prices (in absolute terms) of consecutive bars over the lookback period
How this strategy enters a trade (Long):
- code: entry_signal_long = ER > 0 and ER_is_mid
- meaning: when ER is positive, strategy assumes price has risen. Usually ER value begins high (red), and unless it is a false move, then it should stay positive. This strategy will patiently wait until ER drops to medium (yellow), and then place a trade.
- how low/medium/high is dynamically determined: Refer to the description of my other script("Kaufman's Efficiency Ratio Indicator") for details. Trying to keep this as short as possible.
How this strategy exits a trade (Long):
- when price hits stop limit; stop limit is based on low of bars, trails upward based on ATR
- included a feature called "tightening TSL", which tries to reduce the stop-buffer during periods of high volatility implied by ER (very experimental, opening the floor for suggestions on how this can be improved)
Risk Management Tool [LuxAlgo]Good money management is one of the fundamental pillars of successful trading. With this indicator, we propose a simple way to manage trading positions. This tool shows Profit & Loss (P&L), suggests position size given a certain risk, sets stop losses and take profit levels using fixed price value/percentage/ATR/Range, and can also determine entries from crosses with technical indicators which is particularly handy if you don't want to set an entry manually.
1. Settings
Position Type: Determines if the position should be a "Long" or "Short".
Account Size: Determines the total capital of the trading account.
Risk: The maximum risk amount for a trade. Can be set as a percentage of the account size or as a fixed amount.
Entry Price: Determines the entry price of the position.
Entry From Cross: When enabled, allows to set the entry price where a cross with an external source was produced.
1.1 Stop Loss/Take Profit
Take Profit: Determines the take profit level, which can be determined by a value or percentage.
Stop Loss: Determines the stop loss level, which can be determined by a value or percentage.
2. Usage
One of the main usages of position management tools is to determine the position size to allocate given a specific risk amount and stop-loss. 2% of your capital is often recommended as a risk amount.
Our tool allows setting stop losses and take profits with different methods.
The ATR method sets the stop loss/take profit one ATR away from the entry price, with the ATR period being determined in the drop-down menu next to the selected methods. The range method works similarly but instead of using the ATR, we use a rolling range with a period determined in the drop-down menu next to the selected methods as well.
Unlike the available position management tool on TradingView, the entry can be determined from a cross between the price an an external source. The image above shows entries from the Volatility Stop indicator. This is particularly useful if you set positions based on trailing stops.
Berzerker IndexSome pairs have their own distinct behavior. That includes volatility, news reactiveness, trend x chop day discrepancy, and other qualities.
At first, I tried to measure this with the Choppiness Index, but it looks pretty much alike when you compare symbols like EURNZD and GBPCAD, but my testing shows some major behavioral differences between the two. Hence, I decided to build my own measurement which I later decided to call Berzerker Index.
• The calculation takes the previous value and adds 1, 3, 7, or 15 depending on how many standard deviations the price beats.
• Deviations use Jurik Moving Average as a central line. If there is no new penetration, the total value will not be increased.
• At the end of the value update, the result will decay whether it is changed or not. The readings decay significantly faster if the price is between the bands.
• The beginning of the calculation is the beginning of the chart. There isn't any period for the calculation.
As you can see, from the beginning of the year, the maximum readings on EURNZD are 49.8 and 73.6 for GBPCAD. This is what I wanted to achieve - find some way to clearly differentiate the pairs. Later, I went on EURUSD to confirm the results. EURUSD should be a calmer pair and it shows 33.5 which supports the theory.
The symbols with small bars and explosions on events and bank meetings will reach high values, whereas those that are more predictable with less extreme movements will be found below 45.
Lastly, you may identify long periods of continuous descend on the indicator as setting up for a large explosion. This is not the original idea but could work nevertheless.
Of course, I will further update this indicator if I get improvement ideas...
FAQ:
► Does this repaint?
• No.
► Where is the buy signal?
• There isn't one. The purpose is to study repeated behavioral patterns of different symbols, not to drink from the holy grail.
► Why is it called the 'Berzerker' Index?
• I don't know.
I used @everget's version of Jurik's Moving Average with his consent.
What do ya thing?
SQZ Multiframe StrategyThis is a first attempt to automate what my current strategy when trading is.
It uses 2 timeframes: the one you are currently using to see the chart and an "anchor trend" which is a higher order frame.
Supported timeframes are: 1m, 5m, 15m, 30m, 1H, 4H, 1D, 1W
The Strategy relies on two indicators:
Squeeze Momentum Indicator
CMF
How does it works?
It looks for a moment when the following conditions are met.
For Long:
Positive directionality in SQZM monitor in anchor timeframe
Positive directionality in SQZM monitor in current timeframe
Recent minimum in CMF
For Short:
Negative directionality in SQZM monitor in anchor timeframe
Negative directionality in SQZM monitor in current timeframe
Recent maximum in CMF
After a BUY or SELL order is executed the plot will start showing two lines: A TP line, and a SL line.
The TP and SL move dynamically based on a greedy algorithm based on 3 input parameters.
Min Profit to Start Moving SL (%): Sets an initial target for the trade.
Maximum Possible of SL (%): This is the maximum amount possible for SL. If volatility is not too high, a shorter SL will be chosen based on Kaufman's Stops method
Take profit factor: Is how much portion of the target I am taking as profit once the target is reached
Example for 5% Min profit:
When the first target is reached (+5%), the SL will be updated to 2.5% over the enter price.
When the second target is reached (+10%), the SL will be updated to 5% over the enter price.
Note: The strategy might abandon the position prematurely if a contrary signal is received while the trade is opened, and will change direction.
The Strategy has been backtested mostly for crypto. It might be good for stocks too, but the parameters mentioned might need some adjustments since price moves at a different rate.
Recommended timeframe is 4H for BTC , and 30min/1H for alts.
Comments and ideas are more than welcome!
Volume Pressure AnalysisVolume Pressure Analysis is a new concept I have been working on designed to show the effort required to move price. An ideal tool for confirming trends or locating reversals early. This indicator can highlight whale action and market manipulation. It calculates volume vs volatility and displays the results as a meter:
Above 0 shows how easy price action is traveling, the bigger these bars the less volume and effort is required to push price. These are indicated with a teal or red arrows and can confirm the beginning or continuation of a trend. This is the natural direction the chart wants to travel at that time.
Below 0 shows how hard price is to move. The bigger these bars the more volume and effort is required to push price. When whales and market makers push price against its will these bars will get bigger.
Yellow arrows signal pressure in that direction and excessive amounts of volume is required to move price. These signals can lead to reversal/ pivot points as price action struggles to continue its trend. These signals can be turned on in settings or use the overlay version of this script to display signals on chart. This is a very powerful tool when used with relative volume.
Bollinger Bands Width + %B + Vol. + Intraday Idx Alma var [DM]Greetings Colleagues here I published another script of the series "Alma Variant"
This script incorporates four different standard signals from Bollinger Band Book.
Signals:
Bollinger Band Width. Line blue
Bollinger Band %B. Line gray
Intraday intensity Index “normalized using log(volume)”. Oscillator line in the middle of the indicator with decision color green = buy, red=sell, purple=na
Bollinger Band Volume “normalized, decreased to 20% and limited to 100”
Alerts:
Bollinger Band (%B) Alert Level with your switch
Bollinger Band (Width) Alert Level with your switch
BB (Volume) Alert with your switch
Setting.
Individual ma settings
All alerts can be adjusted
The color of the Intraday intensity index background and lines help you decide on your volatility breakout direction
The background color has been conditioned to smoothed X periods for the accumulated volume above the alert level, Intraday Intensity Index direction and %B direction.
I recommend for the use of this indicator to first read John Bollinger's book to understand the usefulness of each of the signals and their configuration to execute the orders.
Heat Zone Relative Volatility Index 2.0v2 of Heat Zone RVI
• Updated aesthetics and added various alerts.
• The use of temperature descriptions with these Heat Zone scripts is more so metaphoric of the interpretations from what the RVI attempts to indicate primarily.
--- Due to the additions of the Overheated and Freezing Zones , the indicator-pane scaling is a little different from the original Heat Zone RVI .
Ex.)
--- If you like the scaling the way it was on v1, you can change it back by going into the settings , opening up the style page, and unchecking/turning off the Overheated Top Line as well as the Freezing Bottom Line . Otherwise, you can leave the settings be in regards to this matter.
Ex.)
Disclaimer : I am by no means a highly skilled or professional coder/programmer. I just enjoy dabbling and tinkering every now and again.
HOPE YOU ENJOY
