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Moving Regression Prediction BandsIntroducing the Moving Regression Prediction Bands indicator. Here I aimed to combine the principles of traditional band indicators (such as Bollinger Bands), regression channel and outlier detection methods. Its upper and lower bands define an interval in which the current price was expected to fall with a prescribed probability, as predicted by the previous-step result of the local polynomial regression (for the original Moving Regression script, see link below). Algorithm 1. At every time step, the script performs local polynomial regression of the sample data within the lookback window specified by the Length input parameter. 2. The fitted polynomial is used to construct the Moving Regression time series as well as to extrapolate data, that is, to predict the next data point ( MRPrediction ). 3. The accuracy of local interpolation is estimated by means of the root-mean-square error ( RMSE ), that is, the deviation between the fitted polynomial and the observed values. 4. The MRPrediction and RMSE values calculated for the previous bar are then used to build the upper and lower bands , which I define as follows: Upper Band = MRPrediction_prev + Multiplier *( RMSE_prev ) Lower Band = MRPrediction_prev - Multiplier *( RMSE_prev ) Here the Multiplier is a user-defined parameter that should be interpreted as a quantile in the standard normal distribution (the default value of 2.0 roughly corresponds to the 95% prediction interval). To visualize the central line , the script offers the following options: Previous-Period MR Prediction: MRPrediction_prev time series from the above equation. MR: Conventional Moving Regression time series. Ribbon: “Previous-Period MR Prediction” and “MR” curves plotted together and colored according to their relative value (green if MR > Previous MR Prediction; red otherwise). Usage My original idea was to use the band breakouts as potential trading signals. For example, the price crossing above the upper band is a bullish signal , being a potential sign that price is gaining momentum and is out of a previously predicted trend. The exit signal could be the crossing under the lower band or under the central line. However, be aware that it is an experimental indicator, so you might fin some better strategies. Feel free to play around!
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tbtkg tarafından
33
Trend ChannelMarket engineers can use channels to find out when a market has entered an undervalued or overvalued zone. Purchases and sales take place in these zones. Professionals use trending channels to find out when the market has overtaken itself and where it is likely to reverse. Upper channel line = EMA + EMA x channel coefficient Lower channel line = EMA - EMA x channel coefficient The topline reflects the bulls' strength in raising prices above the average value consensus. This line marks the normal limit of optimism in the market. The bottom line of the channel reflects the strength of the bears pushing prices below the average consensus of values. This line marks the normal limit of pessimism in the market. The coefficient is used to correct the distance to the moving average until the channel contains 95% of all prices. Only the tips and the lowest bottoms are allowed to protrude. For these peaks and curves and sideways trends, I have added two more switchable lines to the border lines, with a distance of 23.6% (light blue). The larger the time frame, the wider the channel. If you buy near a rising moving average, you take profits near the upper line of the channel. If you are short near a falling moving average, you should close out near the bottom of the channel. If the moving average is essentially flat, then you should be long on the bottom of the channel and short on the top of the channel. You realize profits when the prices have returned to their moving average to normal. Interesting for day traders: Adjust the moving average so that it has the same slope as the quotes on the hourly chart. With the coefficient you set the distance between the border lines. Perhaps adding the 23.6% lines will help, where the sideways trends are starting. Set the resolution to "1 hour". If you want to trade with these settings in short time units, e.g. in the 3 minute chart or in the 1 minute chart, then you now have target marks and indications in which direction the prices will possibly move when the prices have reached the moving average or one of the border lines. The text contains excerpts from "Come into my Trading Room" by Dr. Alexander Elder. The indicator has an additional exponential moving average with adjustable period, adjustable shift and adjustable source for the narrow range of quotations and final determination of direction. The chart shows how the trend channel and the Fibonacc trading indicator can complement each other. The text contains excerpts from "Come into my Trading Room" by Dr. Alexander Elder. Markttechniker können Kanäle verwenden um heraus zu finden, wann ein Markt eine unterbewertete oder überbewertete Zone erreicht hat. An diesen Zonen finden Käufe und Verkäufe statt. Profis benutzen Trendkanäle um herauszufinden, wann der Markt sich selbst überholt hat und wo er wahrscheinlich eine Umkehrbewegung vollziehen wird. Obere Kanallinie = EMA + EMA x Kanalkoeffizient Untere Kanallinie = EMA - EMA x Kanalkoeffizient Die Oberlinie reflektiert die Kraft der Bullen, mit der sie die Kurse über den durchschnittlichen Wertekonsens anheben. Diese Linie kennzeichnet die normale Grenze des Optimismus im Markt. Die untere Linie des Kanals reflektiert die Kraft der Bären, mit der sie die Kurse unter den durchschnittlichen Wertekonsens drücken. Diese Linie kennzeichnet die normale Grenze des Pessimismus im Markt. Mit dem Koeffizienten wird der Abstand zum gleitenden Durchschnitt so lange korrigiert, bis der Kanal 95% aller Kurse enthält. Lediglich die Spitzen und die niedrigsten Böden dürfen herausragen. Für diese Spitzen und Bögen und Seitwärtstrends habe ich zu den Grenzlinien zwei weitere zuschaltbare Linien, mit einem Abstand von 23,6%, hinzugefügt (hellblau). Je größer der Zeitrahmen ist, um so breiter ist der Kanal. Wenn Sie in der Nähe eines ansteigenden gleitenden Durchschnitts kaufen, nehmen Sie die Gewinne in der Nähe der oberen Grenzlinie des Kanals mit. Wenn Sie in der Nähe eines fallenden gleitenden Durchschnitts leerverkaufen, sollten Sie in der Nähe der unteren Grenzlinie des Kanals glattstellen. Wenn der gleitende Durchschnitt im Wesentlichen flach ist, dann sollten Sie an der unteren Kanalbegrenzung eine Long-Position und an der oberen Kanalbegrenzung eine Short-Position einnehmen. Gewinne realisieren Sie jeweils, wenn die Kurse zu ihrem gleitenden Durchschnitt, zur Normalität zurückgekehrt sind. Für Daytrader interessant: Stellen Sie den gleitenden Durchschnitt so ein, dass er die gleiche Steigung wie die Notierungen im Stunden-Chart hat. Mit dem Koeffizienten Stellen Sie den Abstand der Grenzlinien ein. Vielleicht hilft die Zuschaltung der 23,6%-Linien, wo die Seitwärtstrends anstoßen. Stellen Sie die Auflösung auf „1 Stunde“. Wenn Sie mit diesen Einstellungen in niedrigen Zeiteinheiten traden wollen, z.B. im 3 Minuten-Chart oder im 1 Minuten-Chart, dann haben Sie jetzt Zielmarken und Hinweise in welche Richtung die Notierungen möglicherweise laufen werden, wenn die Notierungen den gleitenden Durchschnitt oder eine der Grenzlinien erreicht haben. Der Text enthält Auszüge aus „Come into my Trading Room“ von Dr. Alexander Elder. Der Indikator besitzt zur engen Umfang der Notierungen und endgültigen Richtungsbestimmung einen zusätzlichen exponentiellen gleitenden Durchschnitt mit einstellbarer Periode, einstellbarer Verschiebung und einstellbarer Quelle. Der Chart zeigt wie sich Trendkanal und Fibonacc-Trading-Indikator ergänzen könne. Der Text enthält Auszüge aus „Come into my Trading Room“ von Dr . Alexander Elder.
Pine Script® göstergesi
N18041972 tarafından
2
Square Root Moving AverageAbstract This script computes moving averages which the weighting of the recent quarter takes up about a half weight. This script also provides their upper bands and lower bands. You can apply moving average or band strategies with this script. Introduction Moving average is a popular indicator which can eliminate market noise and observe trend. There are several moving average related strategies used by many traders. The first one is trade when the price is far from moving average. To measure if the price is far from moving average, traders may need a lower band and an upper band. Bollinger bands use standard derivation and Keltner channels use average true range. In up trend, moving average and lower band can be support. In ranging market, lower band can be support and upper band can be resistance. In down trend, moving average and upper band can be resistance. An another group of moving average strategy is comparing short term moving average and long term moving average. Moving average cross, Awesome oscillators and MACD belong to this group. The period and weightings of moving averages are also topics. Period, as known as length, means how many days are computed by moving averages. Weighting means how much weight the price of a day takes up in moving averages. For simple moving averages, the weightings of each day are equal. For most of non-simple moving averages, the weightings of more recent days are higher than the weightings of less recent days. Many trading courses say the concept of trading strategies is more important than the settings of moving averages. However, we can observe some characteristics of price movement to design the weightings of moving averages and make them more meaningful. In this research, we use the observation that when there are no significant events, when the time frame becomes 4 times, the average true range becomes about 2 times. For example, the average true range in 4-hour chart is about 2 times of the average true range in 1-hour chart; the average true range in 1-hour chart is about 2 times of the average true range in 15-minute chart. Therefore, the goal of design is making the weighting of the most recent quarter is close to the weighting of the rest recent three quarters. For example, for the 24-day moving average, the weighting of the most recent 6 days is close to the weighting of the rest 18 days. Computing the weighting The formula of moving average is sum ( price of day n * weighting of day n ) / sum ( weighting of day n ) Day 1 is the most recent day and day k+1 is the day before day k. For more convenient explanation, we don't expect sum ( weighting of day n ) is equal to 1. To make the weighting of the most recent quarter is close to the weighting of the rest recent three quarters, we have sum ( weighting of day 4n ) = 2 * sum ( weighting of day n ) If when weighting of day 1 is 1, we have sum ( weighting of day n ) = sqrt ( n ) weighting of day n = sqrt ( n ) - sqrt ( n-1 ) weighting of day 2 ≒ 1.414 - 1.000 = 0.414 weighting of day 3 ≒ 1.732 - 1.414 = 0.318 weighting of day 4 ≒ 2.000 - 1.732 = 0.268 If we follow this formula, the weighting of day 1 is too strong and the moving average may be not stable. To reduce the weighting of day 1 and keep the spirit of the formula, we can add a parameter (we call it as x_1w2b). The formula becomes weighting of day n = sqrt ( n+x_1w2b ) - sqrt ( n-1+x_1w2b ) if x_1w2b is 0.25, then we have weighting of day 1 = sqrt(1.25) - sqrt(0.25) ≒ 1.1 - 0.5 = 0.6 weighting of day 2 = sqrt(2.25) - sqrt(1.25) ≒ 1.5 - 1.1 = 0.4 weighting of day 3 = sqrt(3.25) - sqrt(2.25) ≒ 1.8 - 1.5 = 0.3 weighting of day 4 = sqrt(4.25) - sqrt(3.25) ≒ 2.06 - 1.8 = 0.26 weighting of day 5 = sqrt(5.25) - sqrt(4.25) ≒ 2.3 - 2.06 = 0.24 weighting of day 6 = sqrt(6.25) - sqrt(5.25) ≒ 2.5 - 2.3 = 0.2 weighting of day 7 = sqrt(7.25) - sqrt(6.25) ≒ 2.7 - 2.5 = 0.2 What you see and can adjust in this script This script plots three moving averages described above. The short term one is default magenta, 6 days and 1 atr. The middle term one is default yellow, 24 days and 2 atr. The long term one is default green, 96 days and 4 atr. I arrange the short term 6 days to make it close to sma(5). The other twos are arranged according to 4x length and 2x atr. There are 9 curves plotted by this script. I made the lower bands and the upper bands less clear than moving averages so it is less possible misrecognizing lower or upper bands as moving averages. x_src : how to compute the reference price of a day, using 1 to 4 of open, high, low and close. len : how many days are computed by moving averages atr : how many days are computed by average true range multi : the distance from the moving average to the lower band and the distance from the moving average to the lower band are equal to multi * average true range. x_1w2b : adjust this number to avoid the weighting of day 1 from being too strong. Conclusion There are moving averages which the weighting of the most recent quarter is close to the weighting of the rest recent three quarters. We can apply strategies based on moving averages. Like most of indicators, oversold does not always means it is an opportunity to buy. If the short term lower band is close to the middle term moving average or the middle term lower band is close to the long term moving average, it may be potential support value. References Computing FIR Filters Using Arrays How to trade with moving averages : the eight trading signals concluded by Granville How to trade with Bollinger bands How to trade with double Bollinger bands
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clocks156t174 tarafından
6
Tilson T3 and MavilimW Triple Combined StrategyInspired by truly greatful Kivanç Ozbilgic (www.tradingview.com). The strategy tries to combined three different moving average strategies into one. Strategies covered are: 1. Tillson T3 Moving Average Strategy Developed by Tim Tillson, the T3 Moving Average is considered superior to traditional moving averages as it is smoother, more responsive and thus performs better in ranging market conditions as well. However, it bears the disadvantage of overshooting the price as it attempts to realign itself to current market conditions. It incorporates a smoothing technique which allows it to plot curves more gradual than ordinary moving averages and with a smaller lag. Its smoothness is derived from the fact that it is a weighted sum of a single EMA, double EMA, triple EMA and so on. When a trend is formed, the price action will stay above or below the trend during most of its progression and will hardly be touched by any swings. Thus, a confirmed penetration of the T3 MA and the lack of a following reversal often indicates the end of a trend. Here is what the calculation looks like: T3 = c1*e6 + c2*e5 + c3*e4 + c4*e3, where: – e1 = EMA (Close, Period) – e2 = EMA (e1, Period) – e3 = EMA (e2, Period) – e4 = EMA (e3, Period) – e5 = EMA (e4, Period) – e6 = EMA (e5, Period) – a is the volume factor, default value is 0.7 but 0.618 can also be used – c1 = – a^3 – c2 = 3*a^2 + 3*a^3 – c3 = – 6*a^2 – 3*a – 3*a^3 – c4 = 1 + 3*a + a^3 + 3*a^2 T3 MovingThe T3 Moving Average generally produces entry signals similar to other moving averages and thus is traded largely in the same manner. Strategy for Tillson T3 is if the close crossovers T3 line and for at least five bars the close was under the T3 2. Tillson T3 Fibonacci Cross Kivanc Ozbilgic added a second T3 line with a volume factor of 0.618 (Fibonacci Ratio) and length of 3 (fibonacci number) which can be added by selecting the T3 Fibonacci Strategy input box. Strategy for Tillson T3 Fibo is when the Fibo Line crossover the T3 it gives long signal vice versa. 3. MavilimW MavilimW is originally a support and resistance indicator based on fibonacci injected weighted moving averages. Strategy for MavilimW is is if the close crossovers T3 line and for at least five bars the close was under the T3 Hope you enjoy
Pine Script® stratejisi
bartua tarafından
4
Bitcoin Block Height (Total Blocks)Bitcoin Block Height by RagingRocketBull 2020 Version 1.0 Differences between versions are listed below: ver 1.0: compare QUANDL Difficulty vs Blockchain Difficulty sources, get total error estimate ver 2.0: compare QUANDL Hash Rate vs Blockchain Hash Rate sources, get total error estimate ver 3.0: Total Blocks estimate using different methods -------------------------------- This indicator estimates Bitcoin Block Height (Total Blocks) using Difficulty and Hash Rate in the most accurate way possible, since QUANDL doesn't provide a direct source for Bitcoin Block Height (neither QUANDL:BCHAIN, nor QUANDL:BITCOINWATCH/MINING). Bitcoin Block Height can be used in other calculations, for instance, to estimate the next date of Bitcoin Halving. Using this indicator I demonstrate: - that QUANDL data is not accurate and differ from Blockchain source data (industry standard), but still can be used in calculations - how to plot a series of data points from an external csv source and compare it with another source - how to accurately estimate Bitcoin Block Height Features: - compare QUANDL Difficulty source (EOD, D1) with external Blockchain Difficulty csv source (EOD, D1, embedded) - show/hide Quandl/Blockchain Difficulty curves - show/hide Blockchain Difficulty candles - show/hide differences (aqua vertical lines) - show/hide time gaps (green vertical lines) - count source differences within data range only or for the whole history - multiply both sources by alpha to match before comparing - floor/round both matched sources when comparing - Blockchain Difficulty offset to align sequences, bars > 0 - count time gaps and missing bars (as result of time gaps) WARNING: - This indicator hits the max 1000 vars limit, adding more plots/vars/data points is not possible - Both QUANDL/Blockchain provide daily EOD data and must be plotted on a daily D1 chart otherwise results will be incorrect - current chart must not have any time gaps inside the range (time gaps outside the range don't affect the calculation). Time gaps check is provided. Otherwise hardcoded Blockchain series will be shifted forward on gaps and the whole sequence become truncated at the end => data comparison/total blocks estimate will be incorrect Examples of valid charts that can run this indicator: COINBASE:BTCUSD,D1 (has 8 time gaps, 34 missing bars outside the range), QUANDL:BCHAIN/DIFF,D1 (has no gaps) Usage: - Description of output plot values from left to right: - c_shifted - 4x blockchain plotcandles ohlc, green/black (default na) - diff - QUANDL Difficulty - c_shifted - Blockchain Difficulty with offset - QUANDL Difficulty multiplied by alpha and rounded - Blockchain Difficulty multiplied by alpha and rounded - is_different, bool - cur bar's source values are different (1) or not (0) - count, number of differences - bars, total number of bars/data points in the range - QUANDL daily blocks - Blockchain daily blocks - QUANDL total blocks - Blockchain total blocks - total_error - difference between total_blocks estimated using both sources as of cur bar, blocks - number_of_gaps - number of time gaps on a chart - missing_bars - number of missing bars as result of time gaps on a chart - Color coding: - Blue - QUANDL data - Red - Blockchain data - Black - Is Different - Aqua - number of differences - Green - number of time gaps - by default the indicator will show lots of vertical aqua lines, 138 differences, 928 bars, total error -370 blocks - to compare the best match of the 2 sources shift Blockchain source 1 bar into the future by setting Blockchain Difficulty offset = 1, leave alpha = 0.01 => this results in no vertical aqua lines, 0 differences, total_error = 0 blocks if you move the mouse inside the range some bars will show total_error = 1 blocks => total_error <= 1 blocks - now uncheck Round Difficulty Values flag => some filled aqua areas, 218 differences. - now set alpha = 1 (use raw source values) instead of 0.01 => lots of filled aqua areas, 871 differences. although there are many differences this still doesn't affect the total_blocks estimate provided Difficulty offset = 1 Methodology: To estimate Bitcoin Block Height we need 3 steps, each step has its own version: - Step 1: Compare QUANDL Difficulty vs Blockchain Difficulty sources and estimate error based on differences - Step 2: Compare QUANDL Hash Rate vs Blockchain Hash Rate sources and estimate error based on differences - Step 3: Estimate Bitcoin Block Height (Total Blocks) using different methods in the most accurate way possible QUANDL doesn't provide block time data, but we can calculate it using the Hash Rate approximation formula: estimated Hash rate/sec H = 2^32 * D / T, where D - Difficulty, T - block time, sec 1. block time (T) can be derived from the formula, since we already know Difficulty (D) and Hash Rate (H) from QUANDL 2. using block time (T) we can estimate daily blocks as daily time / block time 3. block height (total blocks) = cumulative sum of daily blocks of all bars on the chart (that's why having no gaps is important) Notes: - This code uses Pinescript v3 compatibility framework - hash rate is in THash/s, although QUANDL falsely states in description GHash/s! THash = 1000 GHash - you can't read files, can only embed/hardcode raw data in script - both QUANDL and Blockchain sources have no gaps - QUANDL and Blockchain series are different in the following ways: - all QUANDL data is already shifted 1 bar into the future, i.e. prev day's value is shown as cur day's value => Blockchain data must be shifted 1 bar forward to match - all QUANDL diff data > 1 bn (10^12) are truncated and have last 1-2 digits as zeros, unlike Blockchain data => must multiply both values by 0.01 and floor/round the results - QUANDL sometimes rounds, other times truncates those 1-2 last zero digits to get the 3rd last digit => must use both floor/round - you can only shift sequences forward into the future (right), not back into the past (left) using positive offset => only Blockchain source can be shifted - since total_blocks is already a cumulative sum of all prev values on each bar, total_error must be simple delta, can't be also int(cum()) or incremental - all Blockchain values and total_error are na outside the range - move you mouse cursor on the last bar/inside the range to see them TLDR, ver 1.0 Conclusion: QUANDL/Blockchain Difficulty source differences don't affect total blocks estimate, total error <= 1 block with avg 150 blocks/day is negligible Both QUANDL/Blockchain Difficulty sources are equally valid and can be used in calculations. QUANDL is a relatively good stand in for Blockchain industry standard data. Links: QUANDL difficulty source: www.quandl.com QUANDL hash rate source: www.quandl.com Blockchain difficulty source (export data as csv): www.blockchain.com
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RagingRocketBull tarafından
3
Bitcoin Logarithmic Growth Curves for intraday usersI wish to thank @Quantadelic who created this great indicator and leaving it open for others to improve. I have made changes to make it user-friendly for the intraday traders. The changes made have been; 1. Compartmentalized each area of the major Fibonacci level; 2. Added minor Fibonacci levels; 3. Color-coded the support and resistance levels, for better viewing; 4. Zoned each area of the major Fibonacci level; and 5. Created a time-frame display period for quicker loading of the indicator. I have removed a few things to allow the indicator to run quicker; 1. Future projections; and 2. The major higher levels of the Fibonacci, which may be useful when Bitcoin reaches 100k. Enjoy
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aaahopper tarafından
3
Hull SuiteHull is its extremely responsive and smooth moving average created by Alan Hull in 2005. Minimal lag and smooth curves made HMA extremely popular TA tool. alanhull.com Script was made to regroup multiple hull variants in one indicator,maintaining flexible customization and intuitive visualization Option to chose between 3 Hull variations Option to chose between 2 visualization modes ( Bands or single line) Option to Paint hull and/or candlesticks according to hulls trend Shortcut for personalizing Line/band thickness,instead of changing every object manually ,there is global option in inputs HMA THMA ( 3HMA) EHMA HMA: Alan Hull EHMA: Slower than hull by default. Raudys, Aistis & Lenčiauskas, Vaidotas & Malčius, Edmundas. (2013). Moving Averages for Financial Data Smoothing ( 403. 34-45. 10.1007/978-3-642-41947-8_4.) Vilnius University, Faculty of Mathematics and Informatics 3HMA (THMA) : Documentation on link below alexgrover
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InSilico tarafından
144
Gann High LowGann High Low is a moving average based trend indicator consisting of two different simple moving averages. The Gann High Low Activator Indicator was described by Robert Krausz in a 1998 issue of Stocks & Commodities Magazine. It is a simple moving average SMA of the previous n period's highs or lows. The indicator tracks both curves (of the highs and the lows). The close of the bar defines which of the two gets plotted. This version is showing the channel that needs to be broken if the trend is going to be changed, and it allows you to chose from the 4 basic averages type for calculation (by definition, Gann High Low Activator uses only simple moving average, but some other averages can give you results that are probably more acceptable for trading in some conditions). Increasing HPeriod and decreasing LPeriod better for short trades, vice versa for long positions.
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KivancOzbilgic tarafından
25
Tillson T3 Moving Average MTFMULTIPLE TIME FRAME version of Tillson T3 Moving Average Indicator Developed by Tim Tillson, the T3 Moving Average is considered superior -1.60% to traditional moving averages as it is smoother, more responsive and thus performs better in ranging market conditions as well. However, it bears the disadvantage of overshooting the price as it attempts to realign itself to current market conditions. It incorporates a smoothing technique which allows it to plot curves more gradual than ordinary moving averages and with a smaller lag. Its smoothness is derived from the fact that it is a weighted sum of a single EMA , double EMA , triple EMA and so on. When a trend is formed, the price action will stay above or below the trend during most of its progression and will hardly be touched by any swings. Thus, a confirmed penetration of the T3 MA and the lack of a following reversal often indicates the end of a trend. The T3 Moving Average generally produces entry signals similar to other moving averages and thus is traded largely in the same manner. Here are several assumptions: If the price action is above the T3 Moving Average and the indicator is headed upward, then we have a bullish trend and should only enter long trades (advisable for novice/intermediate traders). If the price is below the T3 Moving Average and it is edging lower, then we have a bearish trend and should limit entries to short. Below you can see it visualized in a trading platform. Although the T3 MA is considered as one of the best swing following indicators that can be used on all time frames and in any market, it is still not advisable for novice/intermediate traders to increase their risk level and enter the market during trading ranges (especially tight ones). Thus, for the purposes of this article we will limit our entry signals only to such in trending conditions. Once the market is displaying trending behavior, we can place with-trend entry orders as soon as the price pulls back to the moving average (undershooting or overshooting it will also work). As we know, moving averages are strong resistance/support levels, thus the price is more likely to rebound from them and resume its with-trend direction instead of penetrating it and reversing the trend. And so, in a bull trend, if the market pulls back to the moving average, we can fairly safely assume that it will bounce off the T3 MA and resume upward momentum, thus we can go long. The same logic is in force during a bearish trend . And last but not least, the T3 Moving Average can be used to generate entry signals upon crossing with another T3 MA with a longer trackback period (just like any other moving average crossover). When the fast T3 crosses the slower one from below and edges higher, this is called a Golden Cross and produces a bullish entry signal. When the faster T3 crosses the slower one from above and declines further, the scenario is called a Death Cross and signifies bearish conditions. I Personally added a second T3 line with a volume factor of 0.618 (Fibonacci Ratio) and length of 3 (fibonacci number) which can be added by selecting the box in the input section. traders can combine the two lines to have Buy/Sell signals from the crosses. Developed by Tim Tillson
Pine Script® göstergesi
KivancOzbilgic tarafından
3
Tillson T3 Moving Average by KIVANÇ fr3762Developed by Tim Tillson, the T3 Moving Average is considered superior to traditional moving averages as it is smoother, more responsive and thus performs better in ranging market conditions as well. However, it bears the disadvantage of overshooting the price as it attempts to realign itself to current market conditions. It incorporates a smoothing technique which allows it to plot curves more gradual than ordinary moving averages and with a smaller lag. Its smoothness is derived from the fact that it is a weighted sum of a single EMA , double EMA , triple EMA and so on. When a trend is formed, the price action will stay above or below the trend during most of its progression and will hardly be touched by any swings. Thus, a confirmed penetration of the T3 MA and the lack of a following reversal often indicates the end of a trend. The T3 Moving Average generally produces entry signals similar to other moving averages and thus is traded largely in the same manner. Here are several assumptions: If the price action is above the T3 Moving Average and the indicator is headed upward, then we have a bullish trend and should only enter long trades (advisable for novice/intermediate traders). If the price is below the T3 Moving Average and it is edging lower, then we have a bearish trend and should limit entries to short. Below you can see it visualized in a trading platform. Although the T3 MA is considered as one of the best swing following indicators that can be used on all time frames and in any market, it is still not advisable for novice/intermediate traders to increase their risk level and enter the market during trading ranges (especially tight ones). Thus, for the purposes of this article we will limit our entry signals only to such in trending conditions. Once the market is displaying trending behavior, we can place with-trend entry orders as soon as the price pulls back to the moving average (undershooting or overshooting it will also work). As we know, moving averages are strong resistance/support levels, thus the price is more likely to rebound from them and resume its with-trend direction instead of penetrating it and reversing the trend. And so, in a bull trend, if the market pulls back to the moving average, we can fairly safely assume that it will bounce off the T3 MA and resume upward momentum, thus we can go long. The same logic is in force during a bearish trend . And last but not least, the T3 Moving Average can be used to generate entry signals upon crossing with another T3 MA with a longer trackback period (just like any other moving average crossover). When the fast T3 crosses the slower one from below and edges higher, this is called a Golden Cross and produces a bullish entry signal. When the faster T3 crosses the slower one from above and declines further, the scenario is called a Death Cross and signifies bearish conditions. I Personally added a second T3 line with a volume factor of 0.618 (Fibonacci Ratio) and length of 3 (fibonacci number) which can be added by selecting the box in the input section. traders can combine the two lines to have Buy/Sell signals from the crosses. Developed by Tim Tillson
Pine Script® göstergesi
KivancOzbilgic tarafından
50
Topfinder Bottomfinder pivot matcher Midas- jayyMidas Technical Analysis: A VWAP Approach to Trading and Investing in Today’s Markets by Andrew Coles, David G. Hawkins Copyright © 2011 by Andrew Coles and David G. Hawkins. Appendix C: TradeStation Code for the MIDAS Topfinder/Bottomfinder Curves ported to tradingview This code is used to assist in adjusting D volume to intersect pivot candle at a pivot candle when using this script: Top Bottom Finder Public version- Jayy found here: The "n" number entered into the TB-F script is the topfinder/bottomfinder starting point or anchor Be sure to enter the correct number in the "Topfinder bottomfinder initiation/anchor candle: 1 for CANDLE low - top finder, 2 for CANDLE high - bottom finder, 3 for CANDLE MIDPOINT (hl2) dialogue box The location of the match point of the pivot candle is extremely important in the: "Match to PIVOT CANDLE: use 1 for CANDLE low, 2 for midtail of the candle below the BODY, 3 for candle BODY low, 4 for CANDLE HIGH, 5 for midpoint of candletail above body, 6 for candle BODY high". Do not confuse body high with candle high. The body low will either be the candle open or close. The body high will be either the open or close. If you expect a trend up the pivot candle is likely the low of the pivot candle ie 1 (2 and 3 are alternatives). In a trend down the high of the pivot candle is often selected ie 4 (5 or 6 are alternatives) If the candle body is aqua increase D volume if it is orange reduce D volume. Adjust iteratively until the candle body turns yellow. That will mean that the TB-F line passes through the pivot candle at the selected point. Jayy
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jayy tarafından
2
Vix FIX / StochRSI StrategyThis strategy is based off of Chris Moody's Vix Fix Indicator . I simply used his indicator and added some rules around it, specifically on entry and exits. Rules : Enter upon a filtered or aggressive entry If there are multiple entry signals, allow pyramiding Exit when there is Stochastic RSI crossover above 80 This works great on a number of stocks. I am keeping a list of stocks with decent Profit Factors and clean equity curves here . Possible ways to use this: Modify this script and setup alerts around the various entries Use as is with different stocks or currency pairs Modify entry / exit points to make it more profitable for even more symbols and currencies
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timj tarafından
42
UCS_Squeeze_Timing-V1There is an important information the Squeeze indicator is missing, which is the Pre Squeeze entry. While the Bollinger band begins to curves out of the KC, The breakout usually happens. There are many instances that the Squeeze indicator will fire, after the Major move, I cant blame the indicator, thats the nature (lagging) of all indicators, and we have to live with it. Therefore pre-squeeze-fire Entry can be critical in timing your entry. Timing it too early could result in stoploss if it turns against you, ( or serious burn on options premium), because we never know when the squeeze will fire with the TTM squeeze, But now We know. Its a little timing tool. Managing position is critical when playing options. I will code the timing signal when I get some time. Updated Versions -
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UDAY_C_Santhakumar tarafından
8
[KF] Multi-Duration Rate Expectations IndicatorAfter last fed cut in Oct then following jump in rates, I was frustrated at not having access to good rate expectations vs actual because the market usually prices in prior to fed action. This indicator was developed to make futures market rate expectations accessible and interpretable without requiring professional bond analytics systems. Summary This Pine Script indicator reveals what the futures market expects for interest rates across three key durations: Fed Funds (overnight), 2-Year, and 10-Year Treasury yields. By comparing futures-implied rates against current spot yields, it provides a clear visual signal of whether the market expects rates to rise, fall, or remain steady. Understanding Rate Futures Fed Funds futures (ZQ1!) use a simple design where the expected rate equals 100 minus the futures price. If ZQ1! trades at 96.12, the market expects a 3.88% Fed Funds rate. Treasury futures work differently - they trade as bond prices (typically 102-115) that move inversely to yields. Converting Treasury futures to implied yields requires complex bond mathematics involving duration and conversion factors. This indicator solves the Treasury futures complexity by implementing a self-calibrating sensitivity model. It observes the historical relationship between futures prices and yields, then uses this to project rate expectations. The model also compares front-month to next-month contracts to detect expected rate direction, automatically adapting as market conditions change. How to Use Add the indicator to any chart and select your desired duration in the settings. The display shows the futures-implied rate, current yield, and the difference between them. Green indicates the market expects higher rates, red means lower expectations, and gray shows expectations in line with current rates. The indicator excels at identifying divergences between market expectations and current rates, which often precede rate movements or futures repricing. Comparing expectations across different durations reveals insights about yield curve positioning and Fed policy anticipation. Technical Note While Fed Funds futures provide exact rate expectations, Treasury futures conversions are sophisticated approximations that provide reliable directional signals and reasonable magnitude estimates sufficient for most trading applications.
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Kanefire tarafından
NY VIX Channel Trend US Futures Day Trade StrategyNY VIX Channel Trend Strategy Summary in one paragraph Session anchored intraday strategy for index futures such as ES and NQ on one to fifteen minute charts. It acts only after the first configurable window of New York Regular Trading Hours and uses a VIX derived daily implied move to form a realistic channel from the session open. Originality comes from using a pure implied volatility yardstick as portable support and resistance, then committing in the direction of the first window close relative to the open. Add it to a clean chart and trade the simple visuals. For conservative alerts use on bar close. Scope and intent • Markets. Index futures ES and NQ • Timeframes. One to thirty minutes • Default demo. ES1 on five minutes • Purpose. Provide a portable intraday yardstick for entries and exits without curve fitting • Limits. This is a strategy. Orders are simulated on standard candles Originality and usefulness • Unique concept. A VIX only channel anchored at 09:30 New York plus a single window trend test • Addresses. False urgency at session open and unrealistic bands from arbitrary multipliers • Testability. Every input is visible and the channel is plotted so users can audit behavior • Portable yardstick. Daily implied move equals VIX percent divided by square root of two hundred fifty two • Protected status. None. Method and use are fully disclosed Method overview in plain language Take the daily VIX or VIX9D value, convert it to a daily fraction by dividing by square root of two hundred fifty two, then anchor a symmetric channel at the New York session open. Observe the first N minutes. If that window closes above the open the bias is long. If it closes below the open the bias is short. One trade per session. Exits occur at the channel boundary or at a bracket based on a user selected VIX factor. Positions are closed a set number of minutes before the session ends. Base measures Return basis. The daily implied move unit equals VIX percent divided by square root of two hundred fifty two and serves as the distance unit for targets and stops. Components • VIX Channel. Top, mid, bottom lines anchored at 09:30 New York. No extra multipliers • Window Trend. Close of the first N minutes relative to the session open sets direction • Risk Bracket. Take profit and stop loss equal to VIX unit times user factor • Session Window. Uses the exchange time of the chart Fusion rule Minimum gates count equals one. The trade only arms after the window has elapsed and a direction exists. One entry per session. Signal rule • Long when the window close is above the session open and the window has completed • Short when the window close is below the session open and the window has completed • Exit on channel touch. Long exits at the top. Short exits at the bottom • Flat thirty minutes before the session close or at the user setting Inputs with guidance Setup • Use VIX9D. Width source. Typical true for fast tone or false for baseline • Use daily OPEN. Toggle for sensitivity to overnight changes Logic • Window minutes. Five to one hundred twenty. Larger values delay entries and reduce whipsaw • VIX factor for TP. Zero point five to two. Raising it widens the profit target • VIX factor for SL. Zero point five to two. Raising it widens the stop • Exit minutes before close. Fifteen to ninety. Raising it exits earlier Properties visible in this publication • Initial capital one hundred thousand USD • Base currency USD • request.security uses lookahead off • Commission cash per contract two point five $ per each contract. Slippage one tick • Default order size method FIXED with value one contract. Pyramiding zero. Process orders on close ON. Bar magnifier OFF. Recalculate after order is filled OFF. Calc on every tick ON Realism and responsible publication No performance claims. Past results never guarantee future outcomes. Fills and slippage vary by venue. Shapes can move while a bar forms and settle on close. Strategy uses standard candles. Honest limitations and failure modes Economic releases and thin liquidity can break the channel. Very quiet regimes can reduce signal contrast. Session windows follow the exchange time of the chart. If both stop and target can be hit within one bar, assume stop first for conservative reading without bar magnifier. Works best in liquid hours of New York RTH. Very large gaps and surprise news may exceed the implied channel. Always validate on the symbols you trade. Entries and exits • Entry logic. After the first window, go long if the window close is above the session open, go short if below • Exit logic. Long exits at the channel top or at the take profit or stop. Short exits at the channel bottom or at the take profit or stop. Flat before session close by the configured minutes • Risk model. Initial stop and target based on the VIX unit times user factors. No trail and no break even. No cooldown • Tie handling. Treat as stop first for conservative interpretation Position sizing Fixed size one contract per trade. Target risk per trade should generally remain near one percent of account equity. Risk is based on the daily volatility value, the max loss from the tests for one year duration with 5min chart was 4%, while the avg loss was below <1% of the total capital. If you have any questions please let me know. Thank you for coming by !
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exlux tarafından
3
Volume Weighted Volatility RegimeThe Volume-Weighted Volatility Regime (VWVR) is a market analysis tool that dissects total volatility to classify the current market 'character' or 'regime'. Using a Linear Regression model, it decomposes volatility into Trend, Residual (mean-reversion), and Within-Bar (noise) components. Key Features: Seven-Stage Regime Classification: The indicator's primary output is a regime value from -3 to +3, identifying the market state: +3 (Strong Bull Trend): High directional, upward volatility. +2 (Choppy Bull): Moderate upward trend with noise. +1 (Quiet Bull): Low volatility, slight upward drift. 0 (Neutral): No clear directional bias. -1 (Quiet Bear): Low volatility, slight downward drift. -2 (Choppy Bear): Moderate downward trend with noise. -3 (Strong Bear Trend): High directional, downward volatility. Advanced Volatility Decomposition: The regime is derived from a three-component volatility model that separates price action into Trend (momentum), Residual (mean-reversion), and Within-Bar (noise) variance. The classification is determined by comparing the 'Trend' ratio against the user-defined 'Trend Threshold' and 'Quiet Threshold'. Dual-Level Analysis: The indicator analyzes market character on two levels simultaneously: Inter-Bar Regime (Background Color): Based on the main StdDev Length, showing the overall market character. Intra-Bar Regime (Column Color): Based on a high-resolution analysis within each single bar ('Intra-Bar Timeframe'), showing the micro-structural character. Calculation Options: Statistical Model: The 'Estimate Bar Statistics' option (enabled by default) uses a statistical model ('Estimator') to perform the decomposition. (Assumption: In this mode, the Source input is ignored, and an estimated mean for each bar is used instead). Normalization: An optional 'Normalize Volatility' setting calculates an Exponential Regression Curve (log-space). Volume Weighting: An option (Volume weighted) applies volume weighting to all volatility calculations. Multi-Timeframe (MTF) Capability: The entire dual-level analysis can be run on a higher timeframe (using the Timeframe input), with standard options to handle gaps (Fill Gaps) and prevent repainting (Wait for...). Integrated Alerts: Includes 22 comprehensive alerts that trigger whenever the 'Inter-Bar Regime' or the 'Intra-Bar Regime' crosses one of the key thresholds (e.g., 'Regime crosses above Neutral Line'), or when the 'Intra-Bar Dominance' crosses the 50% mark. Caution: Real-Time Data Behavior (Intra-Bar Repainting) This indicator uses high-resolution intra-bar data. As a result, the values on the current, unclosed bar (the real-time bar) will update dynamically as new intra-bar data arrives. This behavior is normal and necessary for this type of analysis. Signals should only be considered final after the main chart bar has closed. DISCLAIMER For Informational/Educational Use Only: This indicator is provided for informational and educational purposes only. It does not constitute financial, investment, or trading advice, nor is it a recommendation to buy or sell any asset. Use at Your Own Risk: All trading decisions you make based on the information or signals generated by this indicator are made solely at your own risk. No Guarantee of Performance: Past performance is not an indicator of future results. The author makes no guarantee regarding the accuracy of the signals or future profitability. No Liability: The author shall not be held liable for any financial losses or damages incurred directly or indirectly from the use of this indicator. Signals Are Not Recommendations: The alerts and visual signals (e.g., crossovers) generated by this tool are not direct recommendations to buy or sell. They are technical observations for your own analysis and consideration.
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AustrianTradingMachine tarafından
Volume Weighted Intra Bar LR Standard DeviationThis indicator analyzes market character by providing a detailed view of volatility. It applies a Linear Regression model to intra-bar price action, dissecting the total volatility of each bar into three distinct components. Key Features: Three-Component Volatility Decomposition: By analyzing a lower timeframe ('Intra-Bar Timeframe'), the indicator separates each bar's volatility into: Trend Volatility (Green/Red): Volatility explained by the intra-bar linear regression slope (Momentum). Residual Volatility (Yellow): Volatility from price oscillating around the intra-bar trendline (Mean-Reversion). Within-Bar Volatility (Blue): Volatility derived from the range of each intra-bar candle (Noise/Choppiness). Layered Column Visualization: The indicator plots these components as a layered column chart. The size of each colored layer visually represents the dominance of each volatility character. Dual Display Modes: The indicator offers two modes to visualize this decomposition: Absolute Mode: Displays the total standard deviation as the column height, showing the absolute magnitude of volatility and the contribution of each component. Normalized Mode: Displays the components as a 100% stacked column chart (scaled from 0 to 1), focusing purely on the percentage ratio of Trend, Residual, and Noise. Calculation Options: Statistical Model: The 'Estimate Bar Statistics' option (enabled by default) uses a statistical model ('Estimator') to perform the decomposition. (Assumption: In this mode, the Source input is ignored, and an estimated mean for each bar is used instead). Normalization: An optional 'Normalize Volatility' setting calculates an Exponential Regression Curve (log-space). Volume Weighting: An option (Volume weighted) applies volume weighting to all intra-bar calculations. Multi-Component Pivot Detection: Includes a pivot detector that identifies significant turning points (highs and lows) in both the Total Volatility and the Trend Volatility Ratio. (Note: These pivots are only plotted when 'Plot Mode' is set to 'Absolute'). Note on Confirmation (Lag): Pivot signals are confirmed using a lookback method. A pivot is only plotted after the Pivot Right Bars input has passed, which introduces an inherent lag. Multi-Timeframe (MTF) Capability: MTF Analysis: The entire intra-bar analysis can be run on a higher timeframe (using the Timeframe input), with standard options to handle gaps (Fill Gaps) and prevent repainting (Wait for...). Limitation: The Pivot detection (Calculate Pivots) is disabled if a Higher Timeframe (HTF) is selected. Integrated Alerts: Includes 9 comprehensive alerts for: Volatility character changes (e.g., 'Character Change from Noise to Trend'). Dominant character emerging (e.g., 'Bullish Trend Character Emerging'). Total Volatility pivot (High/Low) detection. Trend Volatility pivot (High/Low) detection. Caution! Real-Time Data Behavior (Intra-Bar Repainting) This indicator uses high-resolution intra-bar data. As a result, the values on the current, unclosed bar (the real-time bar) will update dynamically as new intra-bar data arrives. This behavior is normal and necessary for this type of analysis. Signals should only be considered final after the main chart bar has closed. DISCLAIMER For Informational/Educational Use Only: This indicator is provided for informational and educational purposes only. It does not constitute financial, investment, or trading advice, nor is it a recommendation to buy or sell any asset. Use at Your Own Risk: All trading decisions you make based on the information or signals generated by this indicator are made solely at your own risk. No Guarantee of Performance: Past performance is not an indicator of future results. The author makes no guarantee regarding the accuracy of the signals or future profitability. No Liability: The author shall not be held liable for any financial losses or damages incurred directly or indirectly from the use of this indicator. Signals Are Not Recommendations: The alerts and visual signals (e.g., crossovers) generated by this tool are not direct recommendations to buy or sell. They are technical observations for your own analysis and consideration.
Pine Script® göstergesi
AustrianTradingMachine tarafından
Volume Weighted LR Standard DeviationThis indicator analyzes market character by decomposing total volatility into three distinct, interpretable components based on a Linear Regression model. Key Features: Three-Component Volatility Decomposition: The indicator separates volatility based on the 'Estimate Bar Statistics' option. Standard Mode (Estimate Bar Statistics = OFF): Calculates volatility based on the selected Source (dies führt hauptsächlich zu 'Trend'- und 'Residual'-Volatilität). Decomposition Mode (Estimate Bar Statistics = ON): The indicator uses a statistical model ('Estimator') to calculate within-bar volatility. (Assumption: In this mode, the Source input is ignored, and an estimated mean for each bar is used instead). This separates volatility into: Trend Volatility (Green/Red): Volatility explained by the regression's slope (Momentum). Residual Volatility (Yellow): Volatility from price oscillating around the regression line (Mean-Reversion). Within-Bar Volatility (Blue): Volatility from the high-low range of each bar (Noise/Choppiness). Dual Display Modes: The indicator offers two modes to visualize this decomposition: Absolute Mode: Displays the total standard deviation as a stacked area chart, partitioned by the variance ratio of the three components. Normalized Mode: Displays the direct variance ratio (proportion) of each component relative to the total (0-1), ideal for identifying the dominant market character. Calculation Options: Normalization: An optional 'Normalize Volatility' setting calculates an Exponential Regression Curve (log-space), making the analysis suitable for growth assets. Volume Weighting: An option (Volume weighted) applies volume weighting to all regression and volatility calculations. Multi-Component Pivot Detection: Includes a pivot detector that identifies significant turning points (highs and lows) in both the Total Volatility and the Trend Volatility Ratio. (Note: These pivots are only plotted when 'Plot Mode' is set to 'Absolute'). Note on Confirmation (Lag): Pivot signals are confirmed using a lookback method. A pivot is only plotted after the Pivot Right Bars input has passed, which introduces an inherent lag. Multi-Timeframe (MTF) Capability: MTF Volatility Lines: The volatility lines can be calculated on a higher timeframe, with standard options to handle gaps (Fill Gaps) and prevent repainting (Wait for...). Limitation: The Pivot detection (Calculate Pivots) is disabled if a Higher Timeframe (HTF) is selected. Integrated Alerts: Includes 9 comprehensive alerts for: Volatility character changes (e.g., 'Character Change from Noise to Trend'). Dominant character emerging (e.g., 'Bullish Trend Character Emerging'). Total Volatility pivot (High/Low) detection. Trend Volatility pivot (High/Low) detection. DISCLAIMER For Informational/Educational Use Only: This indicator is provided for informational and educational purposes only. It does not constitute financial, investment, or trading advice, nor is it a recommendation to buy or sell any asset. Use at Your Own Risk: All trading decisions you make based on the information or signals generated by this indicator are made solely at your own risk. No Guarantee of Performance: Past performance is not an indicator of future results. The author makes no guarantee regarding the accuracy of the signals or future profitability. No Liability: The author shall not be held liable for any financial losses or damages incurred directly or indirectly from the use of this indicator. Signals Are Not Recommendations: The alerts and visual signals (e.g., crossovers) generated by this tool are not direct recommendations to buy or sell. They are technical observations for your own analysis and consideration.
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AustrianTradingMachine tarafından
Crypto Futures Basis Tracker (Annualized)🧩 What is Basis Arbitrage Basis arbitrage is a market-neutral trading strategy that exploits the price difference between a cryptocurrency’s spot and its futures markets. When futures trade above spot (called contango), traders can buy spot and short futures, locking in a potential yield. When futures trade below spot (backwardation), the reverse applies — short spot and go long futures. The yield earned (or cost paid) by holding this position until expiry is called the basis. Expressing it as an annualized percentage allows comparison across different contract maturities. ⚙️ How the Indicator Works This tool calculates the annualized basis for up to 10 cryptocurrency futures against a chosen spot price. You select one spot symbol (e.g., BITSTAMP:BTCUSD) and up to 10 futures symbols (e.g., DERIBIT:BTCUSD07X2025, DERIBIT:BTCUSD14X2025, etc.). The script automatically computes the days-to-expiry (DTE) and the annualized basis for each future. A table displays for each contract: symbol, expiry date, DTE, last price, and annualized basis (%) — making it easy to compare the forward curve across maturities. ⚠️ Risks and Limitations While basis arbitrage is often considered low-risk, it’s not risk-free: Funding and financing costs can erode returns, especially when borrowing or using leverage. Exchange or counterparty risk — if one leg of the trade fails (e.g., exchange default, margin liquidation), the hedge breaks. Execution and timing risk — the basis can tighten or invert before both legs are opened. Liquidity differences — thin futures may have large bid-ask spreads or slippage. Use this indicator for analysis and monitoring, not as an automated trading signal. Disclaimer: Please remember that past performance may not be indicative of future results. Due to various factors, including changing market conditions, the strategy may no longer perform as well as in historical backtesting. This post and the script don't provide any financial advice.
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QuantNomad tarafından