Footprint strategyThis strategy uses imbalance volume data obtained by footprint calculation technology.
There are two signals to enter a trade:
trend - the current buy volume on the bar is greater than the current sell volume and there is at least one imbalance line.
reversal - the current bar is falling, but the general market trend is positive (growing) and the imbalance buy volume exceeds the imbalance sell volume.
When any of the conditions is triggered, two orders are placed: Take Profit and Stop loss (according to the percentage value from the inputs).
A little advice on use:
The strategy performs best on a 15 minute timeframe.
It is necessary to choose acceptable values of Take Profit and Stop loss depending on the order of symbol prices.
Inputs related to the strategy:
Stop loss - percentage size of stop loss to exit the trade.
Enable stop loss - stop loss activation.
Take Profit - percentage size of Take Profit.
Calculation timeframe - this is the timeframe from which the volume will be collected for distribution to buy and sell (if you do not have access to the seconds chart, set here 1 minute, the accuracy will be less, but it will work).
Trend timeframe - this is the timeframe from which the trend will be calculated.
Enable trend - activation of trend calculation.
Inputs related to the calculation of footprints (collection of the volume of purchases and sales):
Count show bars - Number of bars from rt bar to history to calculate.
Display all available bars - Strategy calculation on all available bars (based on the available amount of data with reduced resolution (set in Calculation timeframe)).
Ticks Per Row - Sets the price step, calculated by multiplying the entered value by syminfo.mintick.
Auto - The automatic "Ticks Per Row" calculation is based on the first available bar and applied to subsequent bars.
Max row - sets the acceptable number of rows within a bar.
Imbalance Percent - A percentage coefficient to determine the Imbalance of price levels.
Stacked levels - And minimum number of consecutive Imbalance levels required to draw extended lines.
If you have suggestions for improving the strategy and adding new conditions for entering and exiting the trade, please write).
Komut dosyalarını "accuracy" için ara
PVSRA Candles Auto OverrideWhat does this “PVSRA Candles Auto Override” Indicator
do?
This indicator automates PVSRA analysis for crypto traders. It finds the corresponding Binance Perpetual Futures chart for the current instrument, then replaces the current chart's volume profile with the perpetual futures data (if available) to ensure the PVSRA calculation uses the most relevant volume. This not only reduces human error during market scans but also automatically selects the appropriate Binance Perpetual Futures contract, saving time and improving the accuracy of PVSRA calculations.
How can a trader use this indicator?
This helps the trader to identify if there is volume data available in an equivalent Binance Perpetual Futures chart and automatically displays it, making it easier to switch coins whilst viewing the market. Why do we want to use Binance Perpetual Futures Volume? In most markets Binance volume surpasses those of other crypto exchanges so this will give us a better view on the volume spikes in the market.
What is PVSRA and how can I trade using this indicator?
PVSRA candles are a type of candlestick chart formatting. PVSRA stands for Price, Volume, Support and Resistance Analysis.
Here's a breakdown of what PVSRA candles aim to achieve:
Combine multiple factors: They take into account price movement, trading volume, and support and resistance levels to identify potential trading opportunities.
Highlight potential imbalances: By color-coding candles based on PVSRA analysis, they aim to show areas of high volume activity, potentially representing imbalances created by market makers (large institutions that influence price).
Identify areas of revisit: The theory is that these high-volume zones may be revisited by the market in the future, as there's "unrecovered liquidity" in those areas.
Usage of the Indicator:
By default the indicator will automatically use the Equivalent Binance Perpetual Chart for the Data
You can override the symbol manually if you what to view another instrument’s data.
RS Rating for Indian MarketRS Rating for Trading View
This Trading View script calculates the Relative Price Strength (RS) Rating for a given stock. It's a measure of a stock's price performance over the last twelve months, compared to all stocks in a selected Index. The rating scale ranges from 1 (lowest) to 99 (highest).
Features
- Adaptation for Indian Market
- Option to choose the index to compare to (NSE:NIFTY, NSE:CNX500, NSE:NIFTYSMLCAP250, NSE:CNXSMALLCAP)
- Option to compare to a different index
- Option to hide the RS rating
- Option to plot RS new highs
- Option to adjust the offset of the line for display purposes
- Option to change the color of the RS Line & Rating
- Option to change the color of the dots for RS new highs
- Option to choose which new high to plot (RS New Highs, RS New Highs Before Price, Historical RS New Highs, Historical RS New Highs Before Price)
- Option to adjust the recent high look-back count
Please note that the script is designed to work best in the daily timeframe. Results may not be accurate in other timeframes.
This script uses three methods to calculate the RS Rating:
1. A method that calculates how the stock behaves vs SMA.
2. A classic performance method that calculates the performance of the stock's closing price vs the closing price 3 months back.
3. A method that measures how the stock performs against the comparative Symbol.
The final RS Rating is a combination of the results from these three methods. The script also includes some adjustments based on observations to improve the accuracy of the rating.
RSI Order Blocks [UAlgo]The "RSI Order Blocks " identifies and visualizes potential order blocks based on the Relative Strength Index (RSI) indicator. These zones may indicating potential support or resistance levels.
🔶 Key Features :
RSI-based Order Block Identification: The script utilizes the RSI indicator to identify potential order blocks. It detects pivot highs and lows in the RSI, which are indicative of potential reversal points, and marks these areas as potential order blocks.
Order Block Visualization: Identified order blocks are visually represented on the chart, making it easy for traders to recognize and interpret these significant price zones. Both bullish and bearish order blocks are differentiated by color, enhancing clarity and ease of analysis. Additionally, within each order block, the RSI value of that block is also shown.
RSI Overbought/Oversold Filter: Optionally, users can apply a filter based on RSI levels to refine the detection of order blocks. This filter prevents the creation of order blocks when the RSI is within specified overbought or oversold conditions (default between 30 and 70), helping traders focus on areas of potentially significant price action.
An Example with the OB/OS Filter Feature Turned Off:
An Example with the OB/OS Filter Feature Turned On:
Mitigation of Broken Order Blocks: Provides flexibility in selecting the mitigation method (based on close or wick) for determining order block breaches.
Customizable Parameters: The script offers a range of customizable parameters to tailor the detection and visualization of order blocks to suit individual trading preferences. Users can adjust parameters such as RSI Length, Order Block Detection Sensitivity, Mitigation Method, and order block style to fine-tune the analysis according to their trading strategy.
🔶 Disclaimer :
Not Financial Advice: This indicator is intended for educational and informational purposes only. It does not constitute financial advice or recommendations to buy, sell, or hold any financial instruments.
Use at Own Risk: Trading involves substantial risk of loss and is not suitable for all investors. Users of this indicator should exercise caution and conduct their own research and analysis before making any trading decisions.
Performance Not Guaranteed: Past performance is not indicative of future results. While the indicator aims to assist traders in analyzing market trends, there is no guarantee of accuracy or success in trading operations.
Trailing Management (Zeiierman)█ Overview
The Trailing Management (Zeiierman) indicator is designed for traders who seek an automated and dynamic approach to managing trailing stops. It helps traders make systematic decisions regarding when to enter and exit trades based on the calculated risk-reward ratio. By providing a clear visual representation of trailing stop levels and risk-reward metrics, the indicator is an essential tool for both novice and experienced traders aiming to enhance their trading discipline.
The Trailing Management (Zeiierman) indicator integrates a Break-Even Curve feature to enhance its utility in trailing stop management and risk-reward optimization. The Break-Even Curve illuminates the precise point at which a trade neither gains nor loses value, offering clarity on the risk-reward landscape. Furthermore, this precise point is calculated based on the required win rate and the risk/reward ratio. This calculation aids traders in understanding the type of strategy they need to employ at any given time to be profitable. In other words, traders can, at any given point, assess the kind of strategy they need to utilize to make money, depending on the price's position within the risk/reward box.
█ How It Works
The indicator operates by computing the highest high and the lowest low over a user-defined period and then applying this information to determine optimal trailing stop levels for both long and short positions.
Directional Bias:
It establishes the direction of the market trend by comparing the index of the highest high and the lowest low within the lookback period.
Bullish
Bearish
Trailing Stop Adjustment:
The trailing stops are adjusted using one of three methods: an automatic calculation based on the median of recent peak differences, pivot points, or a fixed percentage defined by the user.
The Break-Even Curve:
The Break-Even Curve, along with the risk/reward ratio, is determined through the trailing method. This approach utilizes the current closing price as a hypothetical entry point for trades. All calculations, including those for the curve, are based on this current closing price, ensuring real-time accuracy and relevance. As market conditions fluctuate, the curve dynamically adjusts, offering traders a visual benchmark that signifies the break-even point. This real-time adjustment provides traders with an invaluable tool, allowing them to visually track how shifts in the market could impact the point at which their trades neither gain nor lose value.
Example:
Let's say the price is at the midpoint of the risk/reward box; this means that the risk/reward ratio should be 1:1, and the minimum win rate is 50% to break even.
In this example, we can see that the price is near the stop-loss level. If you are about to take a trade in this area and would respect your stop, you only need to have a minimum win rate of 11% to earn money, given the risk/reward ratio, assuming that you hold the trade to the target.
In other words, traders can, at any given point, assess the kind of strategy they need to employ to make money based on the price's position within the risk/reward box.
█ How to Use
Market Bias:
When using the Auto Bias feature, the indicator calculates the underlying market bias and displays it as either bullish or bearish. This helps traders align their trades with the underlying market trend.
Risk Management:
By observing the plotted trailing stops and the risk-reward ratios, traders can make strategic decisions to enter or exit positions, effectively managing the risk.
Strategy selection:
The Break-Even Curve is a powerful tool for managing risk, allowing traders to visualize the relationship between their trailing stops and the market's price movements. By understanding where the break-even point lies, traders can adjust their strategies to either lock in profits or cut losses.
Based on the plotted risk/reward box and the location of the price within this box, traders can easily see the win rate required by their strategy to make money in the long run, given the risk/reward ratio.
Consider this example: The market is bullish, as indicated by the bias, and the indicator suggests looking into long trades. The price is near the top of the risk/reward box, which means entering the market right now carries a huge risk, and the potential reward is very low. To take this trade, traders must have a strategy with a win rate of at least 90%.
█ Settings
Trailing Method:
Auto: The indicator calculates the trailing stop dynamically based on market conditions.
Pivot: The trailing stop is adjusted to the highest high (long positions) or lowest low (short positions) identified within a specified lookback period. This method uses the pivotal points of the market to set the trailing stop.
Percentage: The trailing stop is set at a fixed percentage away from the peak high or low.
Trailing Size (prd):
This setting defines the lookback period for the highest high and lowest low, which affects the sensitivity of the trailing stop to price movements.
Percentage Step (perc):
If the 'Percentage' method is selected, this setting determines the fixed percentage for the trailing stop distance.
Set Bias (bias):
Allows users to set a market bias which can be Bullish, Bearish, or Auto, affecting how the trailing stop is adjusted in relation to the market trend.
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Disclaimer
The information contained in my Scripts/Indicators/Ideas/Algos/Systems does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
My Scripts/Indicators/Ideas/Algos/Systems are only for educational purposes!
Trend Lines with Break Signals [UAlgo]🔶 Description:
The "Trend Lines with Breaks " indicator is designed to identify and visualize trend lines on a price chart, allowing traders to observe potential trend reversals or continuations. This script implements a method to draw trend lines based on pivot points (highs and lows) within a specified sensitivity range. It also provides an option to display breaks in these trend lines, aiding traders in recognizing significant market movements.
🔶 Key Features:
Trend Line Sensitivity Adjustment: Users can adjust the sensitivity of the trend lines using the "Trend Line Sensitivity" parameter, allowing customization based on market conditions and preferences.
Visualization of Trend Lines: The indicator visually represents trend lines on the chart, distinguishing between upward and downward trends. Users can customize the appearance of these trend lines, including color, style, and width.
Detection of Trend Line Breaks: Trend line breaks are identified by comparing the current price with the slope of the trend line. If the price breaks below (for bullish trend lines) or above (for bearish trend lines) the slope of the trend line, indicating a potential reversal, a "B" label is displayed on the chart. Trend line breaks are only displayed if the "showBreaks" parameter is enabled.
Before Bearish Trend Line Break :
If the price "Close" value closes above the trend line :
Before Bullish Trend Line Break :
If the price "Close" value closes below the trend line :
🔶 Disclaimer:
Not Financial Advice: This indicator is intended for educational and informational purposes only. It does not constitute financial advice or recommendations to buy, sell, or hold any financial instruments.
Use at Own Risk: Trading involves substantial risk of loss and is not suitable for all investors. Users of this indicator should exercise caution and conduct their own research and analysis before making any trading decisions.
Performance Not Guaranteed: Past performance is not indicative of future results. While the indicator aims to assist traders in analyzing market trends, there is no guarantee of accuracy or success in trading operations.
Quadratic Weighted Bands"Quadratic Weighted Bands" (QWB) is designed to identify and visualize market trends and volatility using quadratic weighted filtering techniques. It works by applying quadratic weighting to a selected data source over a specified length, enhancing the sensitivity and responsiveness of the indicator to recent market movements. A major advantage of this indicator is the ability to have a longer lookback period without having too much lag. This results in a smoother output that is still very responsive. Its about twice as fast as a normal average so adjust accordingly.
The indicator is customizable, allowing users to select between the normal Quadratic Weighting (QWF) and Volume Quadratic Weighting (VQWF), choose their data source, adjust the lookback period, and modify the deviation multiplier to fit their analysis needs. Additionally, users can customize the colors of the bands and center line.
The color of the central line changes based on the direction of the trend, as well as having a neutral (ranging) color. This visual aspect makes it easier for traders to quickly see the strength and direction of the market.
Style Select: Choose between "Normal Quadratic Weighting" or "Volume Quadratic Weighting" to adapt the indicator based on volume data or standard price data.
Source: This allows for the selection of the input source for the indicator, such as HL2, ensuring the analysis is aligned with specific trading preferences.
Length: Define the lookback period for the average, with the system automatically utilizing the maximum available length if the specified range exceeds available data, ensuring it always works.
Deviation Length: Optionally adjust the lookback period for calculating deviation, enhancing the indicator's sensitivity and accuracy in identifying market volatility.
Multiplier: Fine tune the deviation multiplier to control the width of the bands, allowing traders to adjust for market volatility and personal risk tolerance.
Top Color: Customize the color of the top band, which also affects the center line's appearance. Adjusting the brightness provides visual clarity and personalization.
Bottom Color: Similarly, select the color for the bottom band, which also influences the center line. The option to adjust brightness ensures the indicator's readability and aesthetic preference.
Neutral Color: Designate a color for indicating a ranging market.
Enjoy
Triple Digital Power this Pine Script that identifies a bearish candle with a body ratio of at least 55% that closes under the lowest point of a preceding bullish candle (also with a body ratio of at least 55%), you can follow the steps below. The body ratio is calculated as the absolute difference between the candle's open and close prices, divided by the range of the candle (high to low). This Pine Script will include:
- Calculating the body ratio for each candle.
- Identifying bullish and bearish candles based on the body ratio.
- Checking if the closing price of a bearish candle is lower than the lowest price of the preceding bullish candle with the required body ratio.
This script identifies the bearish candle that meets the criteria and marks it with a red triangle below the bar. It also optionally marks the qualifying bullish candles with a green triangle above the bar. This can help in visual analysis of the price chart to understand the pattern's occurrence within the given market conditions.
Please note, the efficiency and accuracy of this script are dependent on the characteristics of the market and the specific timeframe you are analyzing. It's always a good idea to backtest any trading strategy or script in a controlled environment to understand its potential performance.
Adaptive Schaff Trend Cycle (STC) [AlgoAlpha]Introducing the Adaptive Schaff Trend Cycle by AlgoAlpha: Elevate Your Trading Strategies 🚀
Discover precision and adaptability with the Adaptive Schaff Trend Cycle 🎯, meticulously crafted for traders seeking an edge in the markets. This advanced tool integrates sophisticated algorithms to offer clear insights and real-time analytics 📈.
Key Features:
⚙️Adaptive Signal Processing: Utilizes evolving calculations to adjust to market changes, offering highly responsive signals.
🔍Enhanced MACD Analysis: Innovates on the traditional MACD, providing new insights into market dynamics through an adaptive lens.
🎨Customizable Visual Experience: Features customizable up and down colors for tailored chart analysis.
🔔Real-Time Alerts: Stay informed with instant alerts on indicator changes.
Quick Guide to Using the Adaptive STC Indicator
1. 🔧 Adding the Indicator: Search for "Adaptive Schaff Trend Cycle (STC) " within TradingView's Indicators & Strategies and apply it to your chart. Customize the settings according to your trading style for optimum results.
2.👀 Market Analysis: Monitor the STC and Histogram values closely. The indicator's color gradients provide a visual representation of momentum shifts, helping you to identify trends more clearly.
3. 🚨 Set Alerts: Enable alerts for specific conditions like significant moves up or down, or when the histogram crosses zero. This feature ensures you never miss a potential trading opportunity.
How It Works:
The Adaptive Schaff Trend Cycle by AlgoAlpha introduces a dynamic approach to market analysis, refining traditional indicators through adaptive logic to align with fluctuating market conditions. Here's a concise overview of its operation:
🔄 Adaptive MACD Adjustment: The foundation of the indicator is an enhanced MACD calculation, which dynamically adjusts its parameters based on real-time market trends and momentum. This algorithmic adjustment aims to ensure the MACD's responsiveness to market changes, adapting its sensitivity to offer timely insights .
🌟 Integration of Schaff Trend Cycle (STC): After adjusting the MACD, the indicator calculates STC values to provide a smoothed representation of market trends. By normalizing and smoothing the MACD values on a scale from 0 to 100, the STC method helps in identifying market phases with a clear visualization. The smoothing process is designed to mitigate noise and focus on significant market movements .
📊 Visualization and Alerts: To aid in the interpretation of these insights, the Adaptive Schaff Trend Cycle employs color gradients and customizable visual settings to indicate momentum shifts. These visual cues, combined with alert functionalities, are structured to assist traders in monitoring market developments, enabling them to make informed decisions based on the presented data .
🛠️The Adaptive Schaff Trend Cycle thus merges adaptive MACD adjustments with STC methodology, supported by visual and alert features, to create a tool aimed at enhancing market analysis. By focusing on adaptability and current market conditions, it provides a nuanced view of market trends, intended to support traders in their decision-making processes without promising predictive accuracy or reliability .
HTF FVG and Wick Fill trackingImbalances in the charts are some of the clearest and most traded price areas. Two of the best and most used are fair value gaps FVGs and large candle wicks. In both of these price appears to move in such a way that most are left behind having 'missed' the move. But in reality price will often come back to these price points to re-balance and absorb the liquidity that was left behind.
This indicator takes these areas and makes viewing and tracking them clearer than ever. It does this, by first allowing the user to overlay a higher timeframe candle on the current chart. This in itself provides an in depth look at a higher timeframe candle both as it forms and in its final form.
Next the indicator identifies either the FVG or large wicks, on the chosen higher timeframe, all while the chart remains on a lower timeframe. As seen here the fair value gaps are clearly highlighted, taken from a 4 hour timeframe, while the actual chart is on 15 minutes. This allows the user even greater accuracy in identifying their key trading areas.
Utilizing the indicators unique feature, these areas can optionally be extended forward to the current timeframe and 'filled' in realtime. Areas that are filled to the users defined level, will be removed from the chart.
With supplementary settings for how much history to show, how large of a wick should be highlighted and complete control over the colour scheme, users will be able to track and understand the filling of imbalances like never before.
Fractional Differentiation█ Description
This Pine Script indicator implements fractional differentiation, a mathematical operation that extends the concept of differentiation to non-integer orders. Fractional differentiation is particularly significant in financial analysis, as it enables analysts to uncover underlying patterns in price series that are not evident with traditional integer-order differentiation. The motivation behind fractional differencing lies in its ability to balance the trade-off between retaining data/feature memory and ensuring stationarity.
█ Significance
Fractional differentiation offers a nuanced view of market data, allowing for the adjustment of the differentiation order to balance between signal clarity and noise reduction. This is especially useful in financial markets, where the choice of differentiation order can highlight long-term trends or short-term price movements without completely smoothing out the valuable market noise.
█ Approximations Used
The implementation relies on the Gamma function for the computation of coefficients in the fractional differentiation formula. Given the complexity of the Gamma function, this script uses an approximation method based on the Lanczos approximation for the logarithm of the Gamma function, as detailed in "An Analysis Of The Lanczos Gamma Approximation" by Glendon Ralph Pugh (2004). This approximation strikes a balance between computational efficiency and accuracy, making it suitable for real-time market analysis in Pine Script.
█ Limitations
While this script opens new avenues for market analysis, it comes with inherent limitations:
- The approximation of the Gamma function, although accurate, is not exact. The precision of the fractional differentiation result may vary slightly, especially for higher-order differentiations.
- The script's performance is subject to Pine Script's execution environment, with a default loop limit set to 100 iterations for practicality. Users might need to adjust this limit based on their specific use case, balancing between computational load and the desired depth of historical data analysis.
█ Credits
This script makes use of the `MathSpecialFunctionsGamma` library, authored by Ricardo Santos . This library provides essential mathematical functions, including an approximation of the Gamma function, which is crucial for the fractional differentiation calculation.
I also extend my sincere gratitude to
Dr. Marcos López de Prado for his seminal work, Advances in Financial Machine Learning (2018). Dr. López de Prado's insights have significantly influenced our approach to developing sophisticated analytical tools.
Dr. Ernie Chan for his freely and generously sharing valuable insights via discourse on quantitative trading strategies through his talks and publications.
Entry FraggerEntry Fragger is a simple buy signal indicator.
It is most suitable for cryptocurrency, especially for altcoins on the 5 minute to daily timeframe and is based on simple volume calculations, in combination with EMA's.
Main Signal Logic explained:
A buy signal is generated by counting candles with an above average sell volume of 130% to 170%, taking into account the candles position below and above the 50 and 200 EMA.
If criteria meet, the first green candle above the 50 EMA's suggests upcoming higher prices.
The indicator has 2 input variables.
"Signal Confirmations (0 - 7):" Changes signal accuracy by a defining an ammount of high sell volume candles necessary below the 50 EMA.
"Volume Calculation Base (9 - 200):" Sets the exponential volume multiplier, this affects candle coloring and the volume calculation inside the candle.
"Style Settings": Turn ON/OFF Signals, Cloud, Bar Coloring, EMA's, etc...
There are no generally suitable default numbers for those 2 inputs, those have to be tested out, depending on cryptocurrency and timeframe.
The calculation is very basic, the underlying idea being, market maker initiating range breakouts through rapid increase of volume above or below the EMA's .
Example settings:
SOLUSDT: Signal Confirmations: 2, Volume Calculation Base 13.
SOLUSDT: Signal Confirmations: 0, Volume Calculation Base 20.
As you can see it affects signals quite a lot, but staying accurate.
Finetune the inputs to your preference.
Risk to Reward, Stoploss, Take Profit, position sizing, etc... is up to the user.
Recommended entry is to wait for following candle closes, entering half of the candle size and setting Stoploss outside the structure, like this:
Or right below the candles open, for safety.
Kalman Price Filter [BackQuant]Kalman Price Filter
The Kalman Filter, named after Rudolf E. Kálmán, is a algorithm used for estimating the state of a linear dynamic system from a series of noisy measurements. Originally developed for aerospace applications in the early 1960s, such as guiding Apollo spacecraft to the moon, it has since been applied across numerous fields including robotics, economics, and, notably, financial markets. Its ability to efficiently process noisy data in real-time and adapt to new measurements has made it a valuable tool in these areas.
Use Cases in Financial Markets
1. Trend Identification:
The Kalman Filter can smooth out market price data, helping to identify the underlying trend amidst the noise. This is particularly useful in algorithmic trading, where identifying the direction and strength of a trend can inform trade entry and exit decisions.
2. Market Prediction:
While no filter can predict the future with certainty, the Kalman Filter can be used to forecast short-term market movements based on current and historical data. It does this by estimating the current state of the market (e.g., the "true" price) and projecting it forward under certain model assumptions.
3. Risk Management:
The Kalman Filter's ability to estimate the volatility (or noise) of the market can be used for risk management. By dynamically adjusting to changes in market conditions, it can help traders adjust their position sizes and stop-loss orders to better manage risk.
4. Pair Trading and Arbitrage:
In pair trading, where the goal is to capitalize on the price difference between two correlated securities, the Kalman Filter can be used to estimate the spread between the pair and identify when the spread deviates significantly from its historical average, indicating a trading opportunity.
5. Optimal Asset Allocation:
The filter can also be applied in portfolio management to dynamically adjust the weights of different assets in a portfolio based on their estimated risks and returns, optimizing the portfolio's performance over time.
Advantages in Financial Applications
Adaptability: The Kalman Filter continuously updates its estimates with each new data point, making it well-suited to markets that are constantly changing.
Efficiency: It processes data and updates estimates in real-time, which is crucial for high-frequency trading strategies.
Handling Noise: Its ability to distinguish between the signal (e.g., the true price trend) and noise (e.g., random fluctuations) is particularly valuable in financial markets, where price data can be highly volatile.
Challenges and Considerations
Model Assumptions: The effectiveness of the Kalman Filter in financial applications depends on the accuracy of the model used to describe market dynamics. Financial markets are complex and influenced by numerous factors, making model selection critical.
Parameter Sensitivity: The filter's performance can be sensitive to the choice of parameters, such as the process and measurement noise values. These need to be carefully selected and potentially adjusted over time.
Despite these challenges, the Kalman Filter remains a potent tool in the quantitative trader's arsenal, offering a sophisticated method to extract useful information from noisy financial data. Its use in trading strategies should, however, be complemented with sound risk management practices and an awareness of the limitations inherent in any model-based approach to trading.
Bitcoin Bubble Risk (Adjusted for Diminishing Returns)Description:
This indicator offers a unique lens through which traders can assess risk in the Bitcoin market, specifically tailored to recognize the phenomenon of diminishing returns. By calculating the natural logarithm of the price relative to a 20-month Simple Moving Average (SMA) and applying a dynamic normalization process, this tool highlights periods of varying risk based on historical price movements and adjusted returns. The indicator is designed to provide nuanced insights into potential risk levels, aiding traders in their decision-making processes.
Usage:
To effectively use this indicator, apply it to your chart while ensuring that Bitcoin's price is set to display in monthly candles. This setting is vital for the indicator to accurately reflect the market's risk levels, as it relies on long-term data aggregation to inform its analysis.
This tool is especially beneficial for traders focused on medium to long-term investment horizons in Bitcoin, offering insights into when the market may be entering higher or lower risk phases. By incorporating this indicator into your analysis, you can gain a deeper understanding of potential risk exposures based on the adjusted price trends and market conditions.
Originality and Utility:
This script stands out for its innovative approach to risk analysis in the cryptocurrency space. By adjusting for the diminishing returns seen in mature markets, it provides a refined perspective on risk levels, enhancing traditional methodologies. This script is a significant contribution to the TradingView community, offering a unique tool for traders aiming to navigate the complexities of the Bitcoin market with informed risk management strategies.
Important Note:
This indicator is for informational purposes only and should not be considered investment advice. Users are encouraged to conduct their own research and consult with financial professionals before making investment decisions. The accuracy of the indicator's predictions can only be ensured when applied to monthly candlestick charts of Bitcoin.
BTC/USD Inflation priced in! ~Period 2009 - 2023 (by TAS)The script creates a custom indicator titled "BTC Adjusted for Economic Factors.
Adjusted BTC Price is plotted in red, making it more prominent. The adjusted price is Bitcoin's historical closing prices adjusted for cumulative inflation over time, based on the Core Consumer Price Index (CPI) annual inflation rates from 2009 onwards.
The script calculates the adjusted price of Bitcoin by taking into account the effect of inflation on its value. It uses annual CPI rates for each year from 2009 to 2022 to calculate a cumulative inflation factor. The script assumes a placeholder inflation rate of 2.5% for 2023, indicating that this value should be updated when the actual rate is available. The script suggests adding CPI rates for additional years as they become available to maintain the accuracy of the adjustment.
Here's a breakdown of how the script works:
Core CPI Annual Inflation Rates: It starts by defining the annual inflation rates for each year from 2009 to 2022, expressed as a percentage divided by 100 to convert to a decimal.
Cumulative Inflation Calculation: The script calculates cumulative inflation starting from the year 2009 up to the current year. For each year that has passed since 2009, it multiplies the cumulative inflation factor by (1 + cpiRate), where cpiRate is the inflation rate for that year. This effectively compounds the inflation rate over time.
Adjusting Bitcoin's Price: The script then adjusts Bitcoin's closing price (close) for the calculated cumulative inflation to get the adjusted price (adjustedPrice).
Plotting the Prices: Finally, it plots both the original and the adjusted Bitcoin prices on the chart, allowing users to visually compare how inflation has theoretically impacted Bitcoin's value over time.
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Important to notice, Fib. Retracements from the 2017 cycle top to the recent top (¬80K) doesn't look invalidated.
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Inputs and feedback are welcome!
WaveTrendnel Oscillator [UAlgo]🔶Description:
The WaveTrendnel Oscillator, is a technical analysis tool designed for traders to identify potential trend reversals and overbought/oversold conditions in the market. It combines the concepts of wave analysis and trend analysis to generate signals based on the current market conditions. This indicator aims to provide traders with insights into the strength and direction of the prevailing trend, facilitating better decision-making in trading strategies.
🔶Key Features:
Customizable Parameters: Users can customize various parameters including the source data, channel length, average length, and signal length according to their trading preferences and market conditions.
Signal Display: The indicator offers the option to display buy and sell signals on the chart, helping traders to visually identify potential entry and exit points.
Wave and Kernel Analysis: The WaveTrendnel Oscillator utilizes a rational quadratic kernel function, which applies a mathematical approach known as the kernel method. This method analyzes historical price data by assigning weights to each data point based on its proximity to the current period, providing a smoother and more accurate representation of market trends.
Overbought/Oversold Levels: Traders can define overbought and oversold levels using customizable threshold parameters, enabling them to identify potential reversal points in the market.
🔶Credit:
The WaveTrendnel Oscillator indicator is a modification of the original WaveTrend Oscillator developed by @LazyBear on TradingView.
🔶Disclaimer:
Use with Caution: This indicator is provided for educational and informational purposes only and should not be considered as financial advice. Users should exercise caution and perform their own analysis before making trading decisions based on the indicator's signals.
Not Financial Advice: The information provided by this indicator does not constitute financial advice, and the creator (UAlgo) shall not be held responsible for any trading losses incurred as a result of using this indicator.
Backtesting Recommended: Traders are encouraged to backtest the indicator thoroughly on historical data before using it in live trading to assess its performance and suitability for their trading strategies.
Risk Management: Trading involves inherent risks, and users should implement proper risk management strategies, including but not limited to stop-loss orders and position sizing, to mitigate potential losses.
No Guarantees: The accuracy and reliability of the indicator's signals cannot be guaranteed, as they are based on historical price data and past performance may not be indicative of future results.
