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McGinley Dynamic (Improved) - John R. McGinley, Jr.For all the McGinley enthusiasts out there, this is my improved version of the "McGinley Dynamic", originally formulated and publicized in 1990 by John R. McGinley, Jr. Prior to this release, I recently had an encounter with a member request regarding the reliability and stability of the general algorithm. Years ago, I attempted to discover the root of it's inconsistency, but success was not possible until now. Being no stranger to a good old fashioned computational crisis, I revisited it with considerable contemplation. I discovered a lack of constraints in the formulation that either caused the algorithm to implode to near zero and zero OR it could explosively enlarge to near infinite values during unusual price action volatility conditions, occurring on different time frames. A numeric E-notation in a moving average doesn't mean a stock just shot up in excess of a few quintillion in value from just "10ish" moments ago. Anyone experienced with the usual McGinley Dynamic, has probably encountered this with dynamically dramatic surprises in their chart, destroying it's usability. Well, I believe I have found an answer to this dilemma of 'susceptibility to miscalculation', to provide what is most likely McGinley's whole hearted intention. It required upgrading the formulation with two constraints applied to it using min/max() functions. Let me explain why below. When using base numbers with an exponent to the power of four, some miniature numbers smaller than one can numerically collapse to near 0 values, or even 0.0 itself. A denominator of zero will always give any computational device a horribly bad day, not to mention the developer. Let this be an EASY lesson in computational division, I often entertainingly express to others. You have heard the terminology "$#|T happens!🙂" right? In the programming realm, "AnyNumber/0.0 CAN happen!🤪" too, and it happens "A LOT" unexpectedly, even when it's highly improbable. On the other hand, numbers a bit larger than 2 with the power of four can tremendously expand rapidly to the numeric limits of 64-bit processing, generating ginormous spikes on a chart. The ephemeral presence of one OR both of those potentials now has a combined satisfactory remedy, AND you as TV members now have it, endowed with the ever evolving "Power of Pine". Oh yeah, this one plots from bar_index==0 too. It also has experimental settings tweaks to play with, that may reveal untapped potential of this formulation. This function now has gain of function capabilities, NOT to be confused with viral gain of function enhancements from reckless BSL-4 leaking laboratories that need to be eternally abolished from this planet. Although, I do have hopes this imd() function has the potential to go viral. I believe this improved function may have utility in the future by developers of the TradingView community. You have the source, and use it wisely... I included an generic ema() plot for a basic comparison, ultimately unveiling some of this algorithm's unique characteristics differing on a variety of time frames. Also another unconstrained function is included to display some the disparities of having no limitations on a divisor in the calculation. I strongly advise against the use of umd() in any published script. There is simply just no reason to even ponder using it. I also included notes in the script to warn against this. It's funny now, but some folks don't always read/understand my advisories... You have been warned! NOTICE: You have absolute freedom to use this source code any way you see fit within your new Pine projects, and that includes TV themselves. You don't have to ask for my permission to reuse this improved function in your published scripts, simply because I have better things to do than answer requests for the reuse of this simplistic imd() function. Sufficient accreditation regarding this script and compliance with "TV's House Rules" regarding code reuse, is as easy as copying the entire function as is. Fair enough? Good! I have a backlog of "computational crises" to contend with, including another one during the writing of this elaborate description. When available time provides itself, I will consider your inquiries, thoughts, and concepts presented below in the comments section, should you have any questions or comments regarding this indicator. When my indicators achieve more prevalent use by TV members, I may implement more ideas when they present themselves as worthy additions. Have a profitable future everyone!
Pine Script® göstergesi
ImmortalFreedom tarafından
42
Matrix functions - JD///////////////////////////////////////////////////////////////////////////////////////////////////////////////// // The arrays provided in Pinescript are linear 1D strucures that can be seen either as a large vertical stack or // a horizontal row containing a list of values, colors, bools,.. // // With the FUNCTIONS in this script the 1D ARRAY LIST can be CONVERTED INTO A 2D MATRIX form // // /////////////////////////////////////////// /// BASIC INFO ON THE MATRIX STRUCTURE: /// /////////////////////////////////////////// // // The matrix is set up as an 2D structure and is devided in ROWS and COLUMNS. // following the standard mathematical notation: // // a 3 x 4 matrix = 4 columns // 0 1 2 3 column index // 0 // 3 rows 1 // 2 // row // index // // With the use of some purpose-built functions, values can be placed or retrieved in a specific column of a certain row // this can be done by intuitively using row_nr and column_nr coördinates, // without having to worry on what exact index of the Pine array this value is located (the functions do these conversions for you) // // // the syntax I propose for the 2D Matrix array has the following structure: // // - the array starts with 2 VALUES describing the DIMENSION INFORMATION, (rows, columns) // these are ignored in the actual calculations and serve as a metadata header (similar to the "location, time,... etc." data that is stored in photo files) // so the array always carries it's own info about the nr. of rows and columns and doesn't need is seperate "info" file! // // To stay consistent with the standard Pinescript (array and ) indexing: // - indexes for sheets and columns start from 0 (first) and run up to the (total nr of sheets or columns) - 1 // - indexes for rows also start from 0 (most recent, cfr. ) and run up to the (total nr of rows) - 1 // // - this 2 value metadata header is followed by the actual df data // the actual data array can consist of (100,000 - 2) usable items, // // In a theoretical example, you can have a matrix with almost 20,000 rows with each 5 columns of data (eg. open, high, low, close, volume) in it!!! // // /////////////////////////////////// /// SCHEMATIC OF THE STRUCTURE: /// /////////////////////////////////// // ////// (metadata header with dimensions info) // // (0) (1) (array index) //
Pine Script® göstergesi
Duyck tarafından
28
Higher Timeframe Trend Indicator V3.0What is it? An indicator that depicts the trend of up to 5 higher timeframes on the same chart without needing to context-switch between charts. Features - Supports up to 5 timeframes - Trends indicated by 5 colored buttons: one for each timeframe - Varying shades of green: uptrend - Varying shades of red: downtrend - White/silver: sideways/neutral - Configurable length (time period) for each timeframe - Increase length to capture long term trends; decrease it to capture only short term ones - Configurable sensitivity for each timeframe - Sensitivity determines what angle is considered trending and what is not - Increase sensitivity to capture weak trends - Decrease sensitivity to filter out weak trends and capture only strong/steep ones - Sensitivity ranges from 1 (least sensitive) to 3 (most sensitive) - Move the labels around vertically for better visibility by changing the "Location" and "Offset" parameters How should one use it? Use it to quickly browse through charts to understand the context across timeframes, and zero in on only those that have trends aligning on the higher and lower timeframes as per your strategy. For e.g., a chart that is trending up strongly on the 15min and 60min (indicated by dark green colored buttons), and trending down on the 1 and/or 5 min (indicated by red-colored buttons), can be shortlisted for a potential pullback trade. Use your favorite pullback strategy (Supply/Demand, Support/Resistance, Moving Averages, etc.) to hop in on the trend. How are trends determined? The indicator uses normalized %change in price of the linear regression line segment of the chosen price sources (close, high, low, MA, etc.) over a specified length to determine trend direction and intensity Known Issues Will indicate the trend correctly only for timeframes *higher* than the current (visible) resolution/timeframe of the chart. Might not indicate it correctly for lower timeframes ( i.e., lower than the current (visible) resolution/timeframe of the chart). For this reason, all timeframes lower than the current resolution will be hidden in the present release. Future releases - I am still experimenting with various sensitivity levels and the corresponding trend shades to make the tool as accurate and intuitive as possible. These modifications might come in - Sensitivity levels might be increased. - Bug fixes, if any
Pine Script® göstergesi
the_MarketWhisperer tarafından
10
MACD-X, More Than MACD by DGTMoving Average Convergence Divergence – MACD The most popular indicator used in technical analysis, the moving average convergence divergence (MACD), created by Gerald Appel. MACD is a trend-following momentum indicator, designed to reveal changes in the strength, direction, momentum, and duration of a trend in a financial instrument’s price Historical evolution of MACD, - Gerald Appel created the MACD line, - Thomas Aspray added the histogram feature to MACD - Giorgos E. Siligardos created a leader of MACD MACD employs two Moving Averages of varying lengths (which are lagging indicators) to identify trend direction and duration. Then, MACD takes the difference in values between those two Moving Averages (MACD Line) and an EMA of those Moving Averages (Signal Line) and plots that difference between the two lines as a histogram which oscillates above and below a center Zero Line. The histogram is used as a good indication of a security's momentum. Mathematically expressed as; macd = ma(source, fast_length) – ma(source, slow_length) signal = ma(macd, signal_length) histogram = macd – signal where exponential moving average (ema) is in common use as a moving average (ma) fast_length = 12 slow_length = 26 signal_length = 9 The MACD indicator is typically good for identifying three types of basic signals ; Signal Line Crossovers A Signal Line Crossover is the most common signal produced by the MACD. On the occasions where the MACD Line crosses above or below the Signal Line, that can signify a potentially strong move. The standard interpretation of such an event is a recommendation to buy if the MACD line crosses up through the Signal Line (a "bullish" crossover), or to sell if it crosses down through the Signal Line (a "bearish" crossover). These events are taken as indications that the trend in the financial instrument is about to accelerate in the direction of the crossover. Zero Line Crossovers Zero Line Crossovers occur when the MACD Line crossed the Zero Line and either becomes positive (above 0) or negative (below 0). A change from positive to negative MACD is interpreted as "bearish", and from negative to positive as "bullish". Zero crossovers provide evidence of a change in the direction of a trend but less confirmation of its momentum than a signal line crossover Divergence Divergence is another signal created by the MACD. Simply, divergence occurs when the MACD and actual price are not in agreement. A "positive divergence" or "bullish divergence" occurs when the price makes a new low but the MACD does not confirm with a new low of its own. A "negative divergence" or "bearish divergence" occurs when the price makes a new high but the MACD does not confirm with a new high of its own. A divergence with respect to price may occur on the MACD line and/or the MACD Histogram Moving Average Crossovers , another hidden signal that MACD Indicator identifies Many traders will watch for a short-term moving average to cross above a longer-term moving average and use this to signal increasing upward momentum. This bullish crossover suggests that the price has recently been rising at a faster rate than it has in the past, so it is a common technical buy sign. Conversely, a short-term moving average crossing below a longer-term average is used to illustrate that the asset's price has been moving downward at a faster rate and that it may be a good time to sell. Moving Average Crossovers in reality is Zero Line Crossovers, the value of the MACD indicator is equal to zero each time the two moving averages cross over each other. For easy interpretation by trades, Zero Line Crossovers are simply described as positive or negative MACD False signals Like any forecasting algorithm, the MACD can generate false signals. A false positive, for example, would be a bullish crossover followed by a sudden decline in a financial instrument. A false negative would be a situation where there is bearish crossover, yet the financial instrument accelerated suddenly upwards What is “MACD-X” and Why it is “More Than MACD” In its simples form, MACD-X implements variety of different calculation techniques applied to obtain MACD Line, ability to use of variety of different sources , including Volume related sources, and can be plotted along with MACD in the same window and all those features are available and presented within a single indicator, MACD-X Different calculation techniques lead to different values for MACD Line, as will further discuss below, and as a consequence the signal line and the histogram values will differentiate accordingly. Mathematical calculation of both signal line and the histogram remain the same. Main features of MACD-X ; 1- Introduces different proven techniques applied on MACD calculation , such as MACD-Histogram, MACD-Leader and MACD-Source, besides the traditional MACD (MACD-TRADITIONAL) • MACD-Traditional , by Gerald Appel It is the MACD that we know, stated as traditional just to avoid confusion with other techniques used with this study • MACD-Histogram , by Thomas Aspray The MACD-Histogram measures the distance between MACD and its signal line (the 9-day EMA of MACD). Aspray developed the MACD-Histogram to anticipate signal line crossovers in MACD. Because MACD uses moving averages and moving averages lag price, signal line crossovers can come late and affect the reward-to-risk ratio of a trade. Bullish or bearish divergences in the MACD-Histogram can alert chartists to an imminent signal line crossover in MACD The MACD-Histogram represents the difference between MACD and its 9-day EMA, the signal line. Mathematically, macdx = macd - ma(macd, signal_length) Aspray's contribution served as a way to anticipate (and therefore cut down on lag) possible MACD crossovers which are a fundamental part of the indicator. Here come a question, what if repeat the same calculations once more (macdh2 = macdh - ma(macdh, signal_length), will it be even better, this question will remain to be tested • MACD-Leader , by Giorgos E. Siligardos, PhD MACD Leader has the ability to lead MACD at critical situations. Almost all smoothing methods encounter in technical analysis are based on a relative-weighted sum of past prices, and the Leader is no exception. The concealed weights of MACD Leader are such that more relative weight is used in the more recent prices than the respective weights used by the components of MACD. In effect, the Leader expresses more changes in average price dynamics for the recent price movement than MACD, thus eventually leading MACD, especially when significant trend changes are about to take place. Siligardos creates two less-laggard moving averages indicators in its formula using the same periods as follows Indicator1 = ma(source, fast_length) + ma(source - ma(source, fast_length), fast_length) Indicator2 = ma(source, slow_length) + ma(source - ma(source, slow_length), slow_length) and then take the difference: Indicator1 - Indicator2 The result is a new MACD Leader indicator macdx = macd + ma(source - fast_ma, fast_length) - ma(source - slow_ma, slow_length) • MACD-Source , a custom experimental interpretation of mine , MACD Source, presents an application of MACD that evaluates Source/MA Ratio, relatively with less lag, as a basis for MACD Line, also can be expressed as source convergence/divergence to its moving average. Among the various techniques for removing the lag between price and moving average (MA) of the price, one in particular stands out: the addition to the moving average of a portion of the difference between the price and MA. MACD Source, is based on signal length mean of the difference between Source and average value of shot length and long length moving average of the source (Source/MA Ratio), where the source is actual value and hence no lag and relatively less lag with the average value of moving average of the source . Mathematically expressed as, macdx = ma(source - avg( ma(source, fast_length), ma(source, slow_length) ), signal_length) MACD Source provides relatively early crossovers comparing to MACD and better momentum direction indications, assuming the lengths are set to same values For further details, you are invited to check the following two studies, where the first seeds were sown of the MACD-Source idea Price Distance to its Moving Averages study, adapts the idea of “Prices high above the moving average (MA) or low below it are likely to be remedied in the future by a reverse price movement", presented in an article by Denis Alajbeg, Zoran Bubas and Dina Vasic published in International Journal of Economics, Commerce and Management First MACD like interpretation comes with the second study named as “ P-MACD ”, where P stands for price, P-MACD study attempts to display relationship between Price and its 20 and 200-period moving average. Calculations with P-MACD were based on price distance (convergence/divergence) to its 200-period moving average, and moving average convergence/divergence of 20-period moving average to 200-period moving average of price. Now as explained above, MACD Source is a one adapted with traditional MACD, where Source stands for Price, Volume Indicator etc, any source applicable with MACD concept 2- Allows usage of variety of different sources, including Volume related indicators The most common usage of Source for MACD calculation is close value of the financial instruments price. As an experimental approach, this study will allow source to be selected as one of the following series; • Current Close Price (close) • Average of High, Low, and Close Price (hlc3) • On Balance Volume (obv) • Accumulation Distribution (accdist) • Price Volume Trend (pvt) Where, -Current Close Price and Average of High, Low, and Close Price are price actions of the financial instrument - Accumulation Distribution is a volume based indicator designed to measure underlying supply and demand - On Balance Volume (OBV) , is a momentum indicator that measures positive and negative volume flow - Price Volume Trend (PVT) is a momentum based indicator used to measure money flow 3- Can be plotted along with MACD in the same window using the same scaling Default setting of MACD-X will display MACD-Source with Current Close Price as a source and traditional MACD can be plotted eighter as a companion of MACD-X or can be selected to be plotted alone. Applying both will add ability to compare, or use as a confirmation of one other In case, traditional MACD Is plotted along with MACD-X to avoid misinterpreting, the lines plotted, the area between MACD-X Line and Signal-X Line is highlighted automatically, even if the highlight option not selected. Otherwise highlight will be applied only if that option selected 4- 4C Histogram Histogram is plotted with four colors to emphasize the momentum and direction 5- Customizable Additional to ability of selecting Calculation Method, Source, plotting along with MACD, there are few other option that allows users to customize the MACD-X indicator Lengths are configurable, default values are set as 12, 26, 9 respectively for fast, slow and smoothing length. Setting lengths to 8,21,5 respectively Is worth checking, slower length moving averages will lead to less lag and earlier reaction to price actions but yet requires a caution and back testing before applying Highlight the area between MACD-X Line and Signal-X Line, with colors emphasising the direction Label can be added to display Calculation Method, Source and Length settings, the aim of this label is to server only as a reminder to trades to be aware of settings while they are occupied with charts, analysis etc. Here comes another question, which is of more importance having the reminder or having the indicators with multi timeframe feature? Build-in Multi Time Frame features of Pine is not supported when labels and lines introduced in the script, there are other methods but brings complexity. To be studied further, this version will be with labels for time being. Epilogue MACD-X is an alternative variant of MACD, the insight/signals provided by MACD are also applicable to MACD-X with early and clear warnings for the changes in the trend. If MACD is essential to your analysis, then it is my guess that after using the MACD-X for a while and familiarizing yourself with its unique character and personality, you will make it an inseparable companion to other indicators in your charts. The various signals generated by MACD/MACD-X are easily interpreted and very few indicators in technical analysis have proved to be more reliable than the MACD, and this relatively simple indicator can quickly be incorporated into any short-term trading strategy Disclaimer : Trading success is all about following your trading strategy and the indicators should fit within your trading strategy, and not to be traded upon solely The script is for informational and educational purposes only. Use of the script does not constitutes professional and/or financial advice. You alone the sole responsibility of evaluating the script output and risks associated with the use of the script. In exchange for using the script, you agree not to hold dgtrd TradingView user liable for any possible claim for damages arising from any decision you make based on use of the script
Pine Script® göstergesi
dgtrd tarafından
158
Average Sentiment OscillatorDescription of this indicator from its author: Average Sentiment Oscillator Momentum oscillator of averaged bull/bear percentages. We suggest using it as a relatively accurate way to gauge the sentiment of a given period of candles, as a trend filter or for entry/exit signals. It’s a combination of two algorithms, both essentially the same but applied in a different way. The first one analyzes the bullish/bearishness of each bar using OHLC prices then averages all percentages in the period group of bars (eg. 10) to give the final % value. The second one treats the period group of bars as one bar and then determines the sentiment percentage with the OHLC points of the group. The first one is noisy but more accurate in respect to intra-bar sentiment, whereas the second gives a smoother result and adds more weight to the range of price movement. They can be used separately as Mode 1 and Mode 2 in the indicator settings, or combined as Mode 0. Original indicator idea from Benjamin Joshua Nash, converted from MT4 version Usage: The blue line is Bulls %, red line is Bears %. As they are both percentages of 100, they mirror each other. The higher line is the dominating sentiment. The lines crossing the 50% centreline mark the shift of power between bulls and bears, and this often provides a good entry or exit signal, i.e. if the blue line closes above 50% on the last bar, Buy or exit Sell, if the red line closes above 50% on the last bar, Sell or exit Buy. These entries are better when average volume is high. It's also possible to see the relative strength of the swings/trend, i.e. a blue peak is higher than the preceding red one. A clear divergence can be seen in the picture as the second bullish peak registers as a lower strength on the oscillator but moved higher on the price chart. By setting up levels at the 70% and 30% mark the oscillator can also be used for trading overbought/oversold levels similar to a Stochastic or RSI. As is the rule with most indicators, a smaller period gives more leading signals and a larger period gives less false signals.
Pine Script® göstergesi
KivancOzbilgic tarafından
49
13612WThis script is a 13612W momentum filter used in the Vigilant Asset Allocation (VAA) and Defensive Asset Allocation (DAA) created by Wouter J. Keller and Jan Willem Keuning. This asset allocation strategy was uploaded to SSRN in 2017 and 2018. 13612W Calculation Method (Profitability in Last 1 months * 12 + Profitability in Last 3 months * 4 + Profitability in Last 6 months * 2 + Profitability in Last 12 months)/4 Let me briefly explain one of the VAAs, VAA-G4. The VAA-G4 has an annualized return of 17.7%, a Sharpe ratio of 1.07% and Max Drawdown of 16.1%. (It's too long and complicated to describe all VAA, DAA strategies. Above all, the translator performance is not good.) VAA Global 4 Universe: SPY, EFA, EEM, AGG Cash Universe: SHY , IEF, LQD If 13612W of VAA Global 4 Universe is negative at least one >> 100% of assets hold one of the highest 13612W of Cash Universe If all 13612W of VAA Global 4 Universe are positive >> 100% of assets hold one of the highest 13612W of VAA Global 4 Universe Rebalancing is done every month according to this method.
Pine Script® göstergesi
noooob tarafından
12
MAFIA CANDLESMafia Candles is a Exhaustion bar count and candle count indicator, Using the Leledc Candles and 1-3 counting candle play gives you a pretty good idea where a so called "top" will be or a so called "bottom" will be! In this example, getting the transparent round circles ( either lime or red ) would mean that the move will be a good size move! EXAMPLE=1 You see a down trend and then the Mafia Candles Flashes a Green Dot on the forming new red candle. This is where in theory you might want to consider going long on the market! EXAMPLE=2 If you see a RED $ symbol, after a uptrend, this means in theory, there might be room for a short play or room for a small pullback in the price! THE CIRCLES(RED OR LIME COLORED) ARE INDICATING BIGGER MOVES! THE $ SYMBOLS (RED OR LIME COLORED) ARE INDICATING SMALLER PULLBACKS OR SMALLER PUMPS IN PRICE! RED IS CONSIDERED TO BE A SELL! LIME COLOR IS CONSIDERED TO BE A BUY! AS MUCH IS BASED OF THE 1-3 CANDLE COUNT AND THE LEDLEC CANDLE DEVIATION STRATEGY, LET ME EXPLAIN THE THEORY ON BOTH THE 1-3 CANDLE COUNT AND THE LELEDC STRATEGY I COMBINE TO BRING YOU THIS ADDITION OF THE INDICATOR.... LELEDC THEORY USAGE... An Exhaustion Bar is a bar which signals the exhaustion of the trend in the current direction. In other words an exhaustion bar is “A bar of last seller” in case of a downtrend and “A bar of last buyer”in case of an uptrend. Having said that when a party cannot take the price further in their direction,naturally the other party comes in , takes charge and reverses the direction of the trend. TO EASIER UNDERSTAND I GIVE YOU A EASY EXAMPLE OF WHAT AN LELEDC EXHAUSTION BAR IS... 1. A wide range bar ( a bar with long body!!!). 2. A long wick at the bottom of the bar and no or negligible wick at the top of the bar in case of “Bear exhaustion bar” and a long wick at the top and no or negligible wick at the bottom of the bar in case of “Bull exhuation bar”!!! 3. Extreme volume and..... 4. Bar forming at a key support or resistance area including a Round Number (RN) and Big Round Number ( BRN ).THE PSYCHOLOGY BEHIND THIS!!! Now let's assume that we have a group of people,say 100 people who decides to go for a casual running. After running for few KM's few of them will say “I am exhausted. I cannot run further”. They will quit running. After running further, another bunch of runners will say “I am exhausted. I can’t run further” and they also will quit running. This goes on and on and then there will be a stage where only few will be left in the running. Now a stage will come where the last person left in the running will say “I am exhausted” and he stops running. That means no one is left now in the running.This means all are exhausted in the running. The same way an exhaustion bar works and if we can figure out that exhaustion bar with all the tools available on hand, we will be in a big trade for sure!!.The reason is an exhaustion bar is formed at exact tops and bottoms most of the times.In forex with wide variety of pairs available at the counter ,one can trade this technique to make lifetime gains. NOW LET ME EXPLAIN THE 1-3 CANDLE CORRECTION COUNT THEORY WHICH IS USED TO GET THE SUM UP SIGNALS FROM THIS INDICATOR FROM ITS INPUT LEVELS!!! 1-3 CANDLES.... The 1-3 Candlestick pattern is basically like sequential, aka a candle counting system! 1-3 CANDLE COUNT means you count the number of bullish=green candles or the bearish=red candles! 3 BULL/GREEN CANDLES in a row, each closing its close higher than the previous one before it is the 1-3 candle top count idea! lets say you get 3 red bear candles, each candle after the first closes its body below the previous red candle before it, then you see 3 red candles with each closing lower bodies lower than the previous candle, THATS A POSSIBLE SIGN OF BEARISH EXHAUSTION, AND YOU MIGHT HAVE SOME BULLS STEP IN TO TAKE THE PRICE UP AFTER THE IMMEDIATE DOWNFALL OF THOSE 3 RED CANDLES!! PLEASE IF ANYONE HAS QUESTIONS OR NEEDS ANY FURTHER EXPLANATION, DONT HESISITATE TO MESSAGE ME! CHALRES KNIGHT IS THE ORIGINAL AUTHOR OF THE 1-3 CANDLE COUNT AND THE LELEDC EXHAUSTION BAR INDICATOR ON METE-TRADER! R.IP CHARLES F KNIGHT!!! WE LOVE YOU AND MISS YOU BROTHER! CHARLES KNIGHT PASSED DOWN ALL OF HIS INDICATORS AND SCRIPTS IN ORIGINAL CODE TO MYSELF WHEN HE PASSED AWAY AND I WILL CONTINUE TO HONOR HIS MEMORY BY ENHANCING HIS ORIGINAL SOURCE CODED SCRIPTS TO ENHANCE THE LIFE FOR ALL TRADERS! CHARLIE LOVED WHEN I WOULD PUT MY OWN SWING ON HIS INDICATORS! HE TAUGHT ME EVERYTHING I KNOW AND I KNOW ONE DAY I WILL SEE HIM AGAIN! TRADE IN PARADISE CHARLIE!!! THE BEST TRADER IN THE WORLD!!!
Pine Script® göstergesi
THECHARTMAFIA tarafından
Probability: Bull/Bear Dominance | Ratio | Bar CountIntro What's the probability of the next bar being red? How about green? Well, there are many ways to quantify the probability but I am presenting just one stupidly simple (but generally accurate) way to measure it. Strangely... no one has done this before that I can find. I try to check if someone else has done it first (Pro Tip: Plz do this. We honestly don't need the 5 trillionth "MTF MAs" script.) Indicator Its a basic counting script, but the nice thing about this script is you choose the time range. It starts counting from a specified point of your choosing. It counts up the bull bars and bear bars separately. Bull Bar = Close > Open Bear Bar = Open > Close You can look at them in sum or as a ratio of Green Bars : Red Bars I know, it's almost too simple. But, here's some interesting food for thought from a layman to fellow laymen. Analysis/Edge Between the time of candle open and candle close, the price can do one of three things, close higher, close lower, or close equal to. 'Equal to' is rare on higher timeframes in liquid markets and it provides no useful information. Thus, we'll nix it for purposes of this conversation. So boil it down. The next candle is going to be a red candle or a green candle. It is popular to refer to the general probability of most candles as 50/50, with trader's mission in life being to seek an edge that tilts the probabilities slightly in their favor. The truth is the odds are probably never actually 50/50, but knowing the precisely correct probability is unknowable, just like the accuracy of a weather forecast is inherently unknowable. What we're trying to do as traders is develop systems that give us predictive probabilistic outcomes that correspond with future realities based on various ways of measuring the market (most often heavily dependent on the past). The reality is that the market can be measured in many, many different ways. The important thing is that you measure it in a way that is accurate, relevant, and universally applicable. So look at this indicator here: You start from a point in time on a chosen timeframe and you put red bars in the red column, green in the green column, and count them all up. Then you make a ratio, in this case, Green : Red. What the ratio shows you is the percentage of green bars compared to red bars . At the time of this screenshot, the 4h on the SPX starting from the 2020 bottom is showing a ratio of 1.2. This means there have been 20% more green bars than there have been red bars. Now there are 1,000 directions you can take this discussion. What is the overall volatility picture, the size of the red bars vs the green bars, what happens if you miss out on the 5 biggest green bars... so many more variables that you would need to take into account to develop a true edge from this idea. But, the bottom line fact (which is what I like about this) is that we can take this data and say with a certain level of confidence that on the SPX you have a 20% better shot at making money (otherwise stated there's a 60/40 chance) if you open a LONG trade at the beginning of a 4h candle than if you open a short. That's useful information. One could argue that it's not a complete strategy in and of itself (although I bet it could be with a couple of additional parameters). But I can tell you, based on the 4h candles in the 2020 rally if you open a short, the deck is stacked against you from this perspective. And we can actually somewhat demonstrate this to be true for our dataset because we can look at the price history and see who likely made more money. The SPX is up 1000pts off the bottom. So, thus far, for this dataset, it rings true; Bulls have been doing way better in the latter part of 2020 than the bears. Conclusion Predictive systems with a small number of variables tend to be more robust than a system with many variables when applied to a complex system. I may keep updating this script if people like it and determine aspects like population vs sample size, confidence intervals, volatility, and exclusion of outliers. For now, this is just an opening foray into the basic idea of how we can establish an edge in the markets. It really can be this simple. Thanks for Reading.
Pine Script® göstergesi
kurtsmock tarafından
9
Cross Asset VolatilityThis script brings together a number of volatility indexes from the CBOE in one space making it easier to use rather than adding a number of different securities to one chart. One could create a template with these securities attached, but sometimes, you don't want to switch charts, for whatever reason, and adding an indicator for is quick and simple. One note is that due some securities exhibit much larger volatility than others (i.e. oil vs bonds) and it can be difficult to see clearly those securities whose volatilities are low, and hence we have added the ability to calculate the values as a Log value to make the indicator more readable. Another way to do this is to change the Y-axis on the chart to Logarithmic while leaving the indicator at its default settings (i.e. the checkbox for using Log calculations remains unchecked).
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MCAP_FX tarafından
WMA/LSMA - Simplified CalculationsLots of moving averages are based on a weighted sum, the most common ones being the simple (arithmetic) and linearly weighted moving average. The problems with the weighted sum approach is that when your moving average is a FIR filter then the number of operations increase with higher values of length, and when the weights are based on a complex calculation this number of operations can increase drastically! For the common technical analyst the calculation time of moving averages can be an insignificant factor, even more when using higher time frames, however its always a good practice to seek better performances. The SMA has already a calculation where the number of operations is independent of its length, as such it can be easy to do the same for the linearly weighted moving average (WMA). This post will describe the process toward calculating a simple and efficient WMA which will then be used to provide an efficient calculation of the least squares moving average (LSMA). Carving Impulses Responses Remember that impulses responses fully describe the properties of moving averages, the impulse response of the WMA is a linearly decreasing function, so we'll try to calculate it without using a weighted sum. We first need to use a cumulative sum, the cumulative sum can be described as a summation from the first element of a series to the n th element of the series, where n is the current bar number, one could say that this operation is actually super inefficient, however this is not the case, as a cumulative sum can be calculated recursively as follows: y = y + x The cumulative sum can be described as an amplifier and posses the following impulse response: Once the cumulative sum receive the impulse signal as input the result will always be equal to 1. This will form the basis of our simplified calculation, all we need to do transform this response into a linearly decreasing one. The full process is as follows: Get the impulse response of the cumulative sum Subtract this response from a linearly increasing impulse response of size length Normalize the result such that the sum of the resulting response is equal to 1 We need a linearly increasing response of size length , this can be done by using a running sum of the original cumulative sum response, however we must make sure that the value of this response is 0 when the one of the cumulative sum is first equal to 1. Because the resulting response as a maximum value of length we need to multiply our cumulative sum response with length , then we proceed to subtraction. Finally we need to normalize the result, the sum of a linear sequence of values starting at 1 and ending at n is given by the explicit formula : n(n+1)/2 , which in our case give length*(length+1)/2 , we divide our previous response with this result and we end up with the impulse response of a WMA. This process can be graphically described as follows: We can then replace the impulse function by the closing price in order to get the WMA of the closing price. Advantages And Disadvantages The big advantage of this calculation is its efficiency, in its non functional form (you can see it in the code) the calculation of the WMA only require 9 operations regardless of the value of length against length*2 + 4 for the weighted sum approach, as such both methods are equally efficient in terms of operations as long as the length of a standard WMA is inferior to 3, which is ridiculous, as such our approach is more appropriate. Another advantage is that Pinescript does not allow for series as length arguments in the WMA function, however here we can have a variable length for the WMA. Of course there are disadvantages to this approach, in terms of code we require more variables for the non functional form, which create a lengthier scripts. Another disadvantage is that we can be prone to rounding errors due to the cumulative sum, however they shouldn't be significants in our case. Getting The Least Squares Moving Average The LSMA is one of my favorite moving averages, and it can derived from a linear combination between the WMA and SMA described as follows : 3WMA - 2SMA. Since we proposed an alternative calculation of the WMA we can then calculate the LSMA without even using the SMA, why ? because the SMA can be calculated by computing the changes over length period of the cumulative sum of an input, this result is then divided by length . Remember that the impulse response of a cumulative sum is just a rectangular function, all we need is to truncate it such that only length values of the response are equal to 1, this is done thanks to the change function in Pine. In Summary A more efficient calculations for both the WMA and LSMA have been presented, while this on itself isn't super important you have learned what is the process toward calculating a filter without relying on a weighted sum. This calculation will soon be included in the Pinecoders script allowing series as length argument. Thank you for reading, your interest is always appreciated !
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alexgrover tarafından
13
Filter Information Box - PineCoders FAQWhen designing filters it can be interesting to have information about their characteristics, which can be obtained from the set of filter coefficients (weights). The following script analyzes the impulse response of a filter in order to return the following information: Lag Smoothness via the Herfindahl index Percentage Overshoot Percentage Of Positive Weights The script also attempts to determine the type of the analyzed filter, and will issue warnings when the filter shows signs of unwanted behavior. DISPLAYED INFORMATION AND METHODS The script displays one box on the chart containing two sections. The filter metrics section displays the following information: - Lag : Measured in bars and calculated from the convolution between the filter's impulse response and a linearly increasing sequence of value 0,1,2,3... . This sequence resets when the impulse response crosses under/over 0. - Herfindahl index : A measure of the filter's smoothness described by Valeriy Zakamulin. The Herfindahl index measures the concentration of the filter weights by summing the squared filter weights, with lower values suggesting a smoother filter. With normalized weights the minimum value of the Herfindahl index for low-pass filters is 1/N where N is the filter length. - Percentage Overshoot : Defined as the maximum value of the filter step response, minus 1 multiplied by 100. Larger values suggest higher overshoots. - Percentage Positive Weights : Percentage of filter weights greater than 0. Each of these calculations is based on the filter's impulse response, with the impulse position controlled by the Impulse Position setting (its default is 1000). Make sure the number of inputs the filter uses is smaller than Impulse Position and that the number of bars on the chart is also greater than Impulse Position . In order for these metrics to be as accurate as possible, make sure the filter weights add up to 1 for low-pass and band-stop filters, and 0 for high-pass and band-pass filters. The comments section displays information related to the type of filter analyzed. The detection algorithm is based on the metrics described above. The script can detect the following type of filters: All-Pass Low-Pass High-Pass Band-Pass Band-Stop It is assumed that the user is analyzing one of these types of filters. The comments box also displays various warnings. For example, a warning will be displayed when a low-pass/band-stop filter has a non-unity pass-band, and another is displayed if the filter overshoot is considered too important. HOW TO SET THE SCRIPT UP In order to use this script, the user must first enter the filter settings in the section provided for this purpose in the top section of the script. The filter to be analyzed must then be entered into the: f(input) function, where `input` is the filter's input source. By default, this function is a simple moving average of period length . Be sure to remove it. If, for example, we wanted to analyze a Blackman filter, we would enter the following: f(input)=> pi = 3.14159,sum = 0.,sumw = 0. for i = 0 to length-1 k = i/length w = 0.42 - 0.5 * cos(2 * pi * k) + 0.08 * cos(4 * pi * k) sumw := sumw + w sum := sum + w*input sum/sumw EXAMPLES In this section we will look at the information given by the script using various filters. The first filter we will showcase is the linearly weighted moving average (WMA) of period 9. As we can see, its lag is 2.6667, which is indeed correct as the closed form of the lag of the WMA is equal to (period-1)/3 , which for period 9 gives (9-1)/3 which is approximately equal to 2.6667. The WMA does not have overshoots, this is shown by the the percentage overshoot value being equal to 0%. Finally, the percentage of positive weights is 100%, as the WMA does not possess negative weights. Lets now analyze the Hull moving average of period 9. This moving average aims to provide a low-lag response. Here we can see how the lag is way lower than that of the WMA. We can also see that the Herfindahl index is higher which indicates the WMA is smoother than the HMA. In order to reduce lag the HMA use negative weights, here 55% (as there are 45% of positive ones). The use of negative weights creates overshoots, we can see with the percentage overshoot being 26.6667%. The WMA and HMA are both low-pass filters. In both cases the script correctly detected this information. Let's now analyze a simple high-pass filter, calculated as follows: input - ‎sma(input,length) Most weights of a high-pass filters are negative, which is why the lag value is negative. This would suggest the indicator is able to predict future input values, which of course is not possible. In the case of high-pass filters, the Herfindahl index is greater than 0.5 and converges toward 1, with higher values of length . The comment box correctly detected the type of filter we were using. Let's now test the script using the simple center of gravity bandpass filter calculated as follows: ‎wma(input,length) - ‎sma(input,length) The script correctly detected the type of filter we are using. Another type of filter that the script can detect is band-stop filters. A simple band-stop filter can be made as follows: input - (‎wma(input,length) - ‎sma(input,length)) The script correctly detect the type of filter. Like high-pass filters the Herfindahl index is greater than 0.5 and converges toward 1, with greater values of length . Finally the script can detect all-pass filters, which are filters that do not change the frequency content of the input. WARNING COMMENTS The script can give warning when certain filter characteristics are detected. One of them is non-unity pass-band for low-pass filters. This warning comment is displayed when the weights of the filter do not add up to 1. As an example, let's use the following function as a filter: sum(input,length) Here the filter pass-band has non unity, and the sum of the weights is equal to length . Therefore the script would display the following comments: We can also see how the metrics go wild (note that no filter type is detected, as the detected filter could be of the wrong type). The comment mentioning the detection of high overshoot appears when the percentage overshoot is greater than 50%. For example if we use the following filter: 5*wma(input,length) - 4*sma(input,length) The script would display the following comment: We can indeed see high overshoots from the filter: @alexgrover for PineCoders Look first. Then leap.
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PineCoders tarafından
19
Gap Filling Strategy Gaps are market prices structures that appear frequently in the stock market, and can be detected when the opening price is different from the previous closing price, this is why gaps are also called "opening price jumps". While gaps can occur frequently, some of them are more significant than others, and can be observed when looking at a long term chart. The following strategy is based on the exploitation of significant gaps occurring during a new session, and posses various options that can return a wide variety of results. Type Of Gaps And Occurence I'am not a professional when it comes to gaps, but as you know the stock market close for the day, however it is still possible to place orders, your broker will hold them until the market open back. Once the market reopen the broker execute the pending orders, and when many orders where pending the market register really high volume and the price might differ from the precedent close. Gaps are generally broken down into four types: Common : Gaps occurring within a certain price range, mostly occurs during ranging markets. Break Away : Gaps breaking a support and resistance, making a new higher high/lower low. Runaway : Gaps occurring within a trend, followed by a continuation of the trend. Exhaustion : Gaps occurring at the end of a trend, followed by a reversal. As said before, some gaps are more significant than others, the significance of a gap can be determined by comparing the opening price with the previous high/low price and by looking at volume. Significant up gaps will have an opening price greater than the previous high, while significant down gap will have an opening price lower than the previous low with both high volume accompanying them. After a gap, when the price go back to the point previous to the gap we say that it has been "filled", this characteristic is what will be exploited in this strategy. Strategy Rules & Logic In this strategy, the significance of a gap is determined by the position of the opening price relative to the previous high/low and make sure the bar following the gap don't fill it. When the setting invert is set to false the strategy interpret the detected gaps as being exhaustion gaps, therefore when an up gap occur a short position is opened, when a down gap occur a long position is opened. When invert is set to true gaps are considered to be runaway or break away gaps, therefore the contrary positions are opened. Positions are exited when the gap has been filled, which in the chart is show'n when the price cross the red level who act as either a take profit (invert = false) or as a stop loss (invert = true). There are various closing conditions available that the user can select from the "close when" setting. New Session : This option close all previous positions when the market is in a new session. New Gap : This option close all previous position when a new gap has been detected. Reverse Position : This option close all previous position when a contrary position to the current one is opened. This option would reduce the number of trades. Testing On Some Stocks The analysis will be tested in different tech stocks with a main TF of 15 minutes with no spread and commissions applied. Default settings will be used. We'll be making our first analysis using AMD, who has recently formed a full reverse HS pattern, where the neckline has been crossed by the price. (by the way i have a bad feeling about it, hey ! feeling filling ! Lame jokes!) Profit: $ -12.22 Trades: 272 Profitability: 65.07 % We can see negative results, with an heavily decreasing balance. Using invert would return positive results. We will now test the strategy on NVDA, the company is one of the biggest when it comes to the Gpu market. Profit: $ -215.54 Trades: 297 Profitability: 60.27 % Not better, using invert would of course create better results. Like AMD the balance is heavily decreasing. Finally we will test the strategy on Seagate technology, a company mostly known for their mechanical hard drives. Profit: $ -4.32 Trades: 261 Profitability: 65.9 % Here the balance does not appear so heavily decreasing and even managed to reach back the initial balance before going down again. Summary A strategy based on gap filling has been briefly introduced and tested with 3 tech stocks. The results show that using invert option might be better. The advantage of this strategy against ones using technical indicators is that this one does not heavily depend on user settings, which make it way more efficient, this a big advantage of patterns based strategies. Thx to LucF for helping with the "process_orders_on_close" element, since i had to use closing price i had to remove it tho, was afraid results would differ even more from a more realistic backtest. And thx for those who continuously support me, more cool stuff is coming up. Thx for reading and i hope you'll have learned something new today !
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alexgrover tarafından
11
ZLMA - Low-Lag Moving Average Based On An Alternative SMA DesignThere can be many ways to make a simple moving average, you can either sum the current and the n-1 previous data points and divide the result by n , or you can do it more efficiently by first taking the cumulative sum of your data points, and subtracting the current cumulative sum result with the cumulative sum results n bars ago, then divide the result by n . This can be described by the following formulas: a(t) = a(t-1) + price(t) b(t) = (a(t) - a(t-n))/n This method is the one used in order to allow the user to use a series as SMA period, more info here: Today we use this design in order to provide a pretty efficient low-lag moving average where the amount of lag of the moving average can be increased/decreased by the user. THE INDICATOR length control the period of the moving average, with larger value of length returning larger filtering amount. The lag setting in the other hand control the amount of lag of the moving average, with larger value of lag returning a moving average with less lag. The lag setting can't be lower than 1 or greater than 2, but values lower than 1 and greater than 0 would just return a moving average with larger filtering amount while values greater than 2 would create crazy wild overshoots. In blue lag = 1.8, in red lag = 1.4, when lag = 1 the moving average is equal to a simple moving average of period length. Remember that larger values of lag will return greater over/undershoots. Approximate amplitude response of the moving average, like all low-lag moving averages you can see frequencies amplified (the ones on the left greater than 1) . SUMMARY We proposed a low-lag moving average based on the cumulative/change SMA design where the lag of the moving average can be controlled by the user. There are tons of low-lag moving averages already, and they don't necessarily provide different results from each others, however this one is still relatively interesting as you can switch from a simple MA from a low-lagging one, other indicators are ready using this design and will be posted soon.
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alexgrover tarafından
10
Ultimate Momentum IndicatorThis is an indicator I've been playing with for a while, based on my previous MACD w/ RSI Warning indicator. This one takes it a step further, including information from MACD, RSI, ADX, and Parabolic SAR. These four indicators are represented in this indicator as follows: MACD: The histogram itself is a normal MACD histogram. Nothing strange about it, and you can adjust the settings for it just as you would a normal MACD. RSI: Any time the RSI is outside of normal ranges (which can be adjusted in the settings), the bar on the histogram will turn amber to warn you. The actual RSI value is also shown in a label to the left side of the indicator. ADX: Crosses are drawn along the 0 line to indicate ADX. Blue means the ADX is below the trending level (adjustable in the settings), and orange means it is above that level. Darker colors indicate the ADX has gone up since the previous bar, while lighter colors indicate it has gone down. The actual ADX value is also shown in the label to the left side of the indicator. Parabolic SAR: At the outside point of each bar in the histogram, a colored dot is drawn. If the dot is green, the Parabolic SAR (settings adjustable) is currently below the closing price. If the dot is red, the SAR is above the closing price. I must stress that this indicator is not a replacement for any one of the indicators it includes, as it's really only pulling small bits of information from each. The point of this indicator is to give a cohesive picture of momentum at a quick glance. I encourage you to continue to use the normal versions of whichever of the basic indicators you already use, especially if those indicators are a key part of your strategy. This indicator is designed purely as a way to get a bird's eye view of the momentum. Pretty much every normally adjustable value can be adjusted in the settings for each of the base indicators. You can also set: The RSI warning levels (30 and 70 by default) The ADX Crossover, i.e. the point at which you consider the ADX value to indicate a strong trend (25 by default) The offset for the label which shows the actual RSI & ADX values (109 by default, which happens to line up with my chart layout--yours will almost certainly need to be different to look clean) All of the colors, naturally As always, I am open to suggestions on how I might make the indicator look cleaner, or even other indicators I might try to include in the data this indicator produces. My choice of indicators to base this one from is entirely based on the ones I use and know, but I'm sure there are other great indicators that may improve this combination indicator even more!
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JoshJaySalazar tarafından
8
BEST Engulfing + Breakout StrategyHello traders This is a simple algorithm for a Tradingview strategy tracking a convergence of 2 unrelated indicators. Convergence is the solution to my trading problems. It's a puzzle with infinite possibilities and only a few working combinations. Here's one that I like - Engulfing pattern - Price vs Moving average for detecting a breakout Definition Take out the notebooks :) and some coffee (good for focus). I'm bullish in coffee The engulfing pattern is a two-candle reversal pattern. The second candle completely ‘engulfs’ the real body of the first one, without regard to the length of the tail shadows. The bullish Engulfing pattern appears in a downtrend and is a combination of one red candle followed by a larger green candle The bearish Engulfing pattern appears in a downtrend and is a combination of one green candle followed by a larger red candle Example: imgur.com We're bored sir... what's the point of all this? In summary, an engulfing is a pattern to track reversals. (the whole TradingView audience stands up now giving a standing ovation) Adding the Price vs Moving average filters allows to track reversals with momentums (half of the audience collapsed because this is too awesome) Ok sir... you picked up my interest I included some cool backtest filters: - date range filtering - flexible take profit in USD value (plotted in blue) - flexible stop loss in USD value (plotted in red) All the best Dave
Pine Script® stratejisi
Daveatt tarafından
21
Store several numbers in a stringA method to store a bunch of numbers in one string. Using my method of translating a string to a number, we can put several values in one string and then pop them up when we need. To store the values I use a semicolon as a separator, so the format of the string is next one: NUMBER:NUMBER:NUMBER:NUMBER I don't see any useful application of this method (maybe, to pass some additional info to the script in one string), but maybe it'll be helpful to someone.
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MichelT tarafından
9
$0 Monthly Weekly & Daily OHLC Viewer Visualizer of current or previous month(s), week(s) & days ranges Purpose: View last Monthly, Weekly, Daily, and/or a custom time interval OHLC, i.e. previously closed/confirmed or the ongoing higher time interval ranges Main configurations available: - 2 main reporting modes: View the current/ongoing M/W/D candles' OHLC (live, repaints) or report OHLC of last closed ones, i.e. previous Montly, Weekly and/or Daily - View only latest Monthly, Weekly and/or Daily OHLC (lines) or all past ones (~channel) - Set your own time interval for its price range(s) to be reported, e.g. last quarter '3M', 12H '720', or hide it - View one specific day of the week OHLC reported all over the week Graphic/visual configuration: - Show the High & Low levels or not - Show the Open & close levels or not - Display a background color between top & down or lines only - Change the background color depending if is/was rising or falling price - Highlight the top & down breaches of higher timeframe resolution candles: Daily breaching last Weekly range, and/or the Weekly the Monthly one - Colors & styling can be edited from the indicator's styling configuration panel Depending on its expected usage, those configurations enable to: - Consider previously closed candles OLHC as reference top & down ranges (support & resistance, breaches) - Review chart's current candles evolution within their higher time interval / candle (M/W/D) - Consider specific week days' range as a reference for the week trend - Have a general overview of the market evolution trends Default config is to view current candles evolving within their higher time interval / candle, while reporting last previously closed M+W is a preferred usage. Play with the config settings to find your setup. View ongoing M+W+D OHLC with dynamic background color: View previously closed M+W+D OHLC: View closed H&L for M+W+D, latest only: View Mondays' OHLC: Feedback & support welcome.
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Jabba01 tarafından
27
FALSE BREAKOUT NO PROBLEM !! CHK TWIN MOV AVG SEGREGATED RIBBON PROBLEM DEFINITION 1 : To Avoid False Breakouts PROBLEM DEFINITION 2 : To Ascertain if the trend has changed when a Stock opens with a Gap up or Gap Down ## PROBABLE SOLUTION : Use a Moving Average with lot of latency ## PROBLEM WITH ABOVE SOLUTION : Misses on lot of trades, Late exits leads to drain on winning trades S O L U T I O N An Indicator which plots two different types of Moving Averages at the same time For the MA length 5-100 a fast plot of choice For the MA Length 110-200 a plot with a lag to ascertain the trend And then ONE LAST MAN STANDING with even bigger MA length for a lagging indicator to save the day This indicator gives one 9X9 = 81 Permutation Combinations to look at the markets One can devise strategies basis if one particular MA Type has crossed another MA Type Feel free to post the strategies you have come out with! //// CREDITS AND ACKNOWLEDGEMENTS ////////////////////////////////////////////////////////////////// Following contributors helped the author :: Credits to Neobutane for his Multiple Type Mov. Avg. Guppy at ...... hxxps://www.tradingview.c0m/script/UQAv1U0c-MA-Study-Different-Types-and-More-NeoButane/ Credits to Jose5770 for sharing Jurik MA code at ..... hxxps://www.tradingview.c0m/script/uqYvkHna-Trend-Direction-Force-Index/ Appreciate and Thank You for sharing your work. ////////////////////////////////////////////////////////////////////////////////////////////////////// P.S You might notice in the code that the few plots are skipped. It is done to fasten the indicator without compromising on the functionality
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Chakku tarafından
7
Murreys Math Lines Box OR Ratio PivotsI'm publishing my second script, though nothing extraordinary, I believe there is user group for Murry Math indies and the only "proper one" (According to my usage) I found was of RicardoSantos, here is the link : He developed that script in 2014 and it is in need of update to Pine V4 and I'm doing the needful as its user. All the updates from my end are listed below: 1. Updated to Pine V4 2. Automatic octave selection 3. In auto mode one can switch octave 4. This script is color coded with intention of use on dark theme, one can change the colors to use it on white background with simple few clicks as pinelines have been used Other thing I want to add is that usage of this is not very clear to many users, so I'll do little explaining here; Lets start with what is Octave? Octave is basically distance between square of two whole numbers, this is hard-fast method to calculate, Murry has made it far more complicated to use practically. In mathematical formula terms it could be something like this for script trading at 11890 (CMP) Step 1: Square Root of CMP i.e Square Root of 11890 = 109.041 = Rounded to 109 Step 2: You can either take one whole number higher or lower than 109, which is 108 or 110. We will take 108 Step 3: Square of 108 = 11664 and Square of 109 = 11881 Step 4: Octave => Distance between (Lowlevel) 11664 and (Higherlevel) 11881 I've automated it so you don't need to calculate, but there is also manual entry possible if you want to calculate octaves yourself, there are different ways to calculate and some like to just take High and Low's of the day or week or month, whatever you like. When I used it I did it strictly this way, so automation is based on it. This is very subjective matter so don't ask to change the calculation of this, if I started doing that every second person would ask me to modify it to different calculation..and thats...just not possible to do. This is output for calculation we just did above This is octave shift option (Which basically shifts to next whole number square in above calculation) Normal nomenclature on octaves and important color codes +2/8: Extreme overbought = Blue Color and solid line +1/8: OverBought 8/8: Hardest line to rise above (overbought) = White Color and solid line 7/8: Fast reverse line (weak) 6/8: Pivot reverse line = Yellow Color and solid line 5/8: Upper trading range ---------------------------------------- 4/8: Major reversal line = Green Color and solid line ---------------------------------------- 3/8: Lower trading range 2/8: Pivot reverse line = Blue Color and solid line 1/8: Fast reverse line (weak) 0/8: Hardest line to fall below (oversold) = White Color and solid line -1/8: Oversold -2/8: Extreme Oversold = Yellow Color and solid line Other lines that I've not mentioned color codes for are minor and are usually plotted in dotted format. Resources on complete technique to trade and importance of levels (highly recommended to read carefully before trading), if you don't know how to get this for free don't worry you can just google Murrey math and you will find it somewhere, its just that it would be in little scattered manner. www.scribd.com Enjoy!
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Pratik_4Clover tarafından
14
Quadratic Least Squares Moving Average - Smoothing + Forecast Introduction Technical analysis make often uses of classical statistical procedures, one of them being regression analysis, and since fitting polynomial functions that minimize the sum of squares can be achieved with the use of the mean, variance, covariance...etc, technical analyst only needed to replace the mean in all those calculations with a moving average, we then end up with a low lag filter called least squares moving average (lsma) . The least squares moving average could be classified as a rolling linear regression, altho this sound really bad it is useful to understand the relationship of both methods, both have the same form, that is ax + b , where a and b are coefficients of the model. However in a simple linear regression a and b are constant, while the lsma use variables instead. In a simple lsma we model the relationship of the closing price (dependent variable) with a linear sequence (independent variable), therefore x = 1,2,3,4..etc. However we can use polynomial of higher degrees to model such relationship, this is required if we want more reactivity. Therefore we can use a quadratic form, that is ax^2 + bx + c , where a,b and c are variables. This is the quadratic least squares moving average (qlsma), a not so official term, but we'll stick with it because it still represent the aim of the filter quite well. In this indicator i make the calculations of the qlsma less troublesome, therefore one might understand how it would work, note that in general the coefficients of a polynomial regression model are found using matrix calculus. The Indicator A qlsma, unlike the classic lsma, will fit better to the price and will be more reactive, this is the advantage of using an higher degrees for its calculation, we can model more complex relationship. lsma in green, qlsma in red, with both length = 200 However the over/under shoots are greater, i'll explain why in the next sections, but this is one of the drawbacks of using higher degrees. The indicator allow to forecast future values, the ahead period of the forecast is determined by the forecast setting. The value for this setting should be lower than length, else the forecasts can easily over/under shoot which heavily damage the forecast. In order to get a view on how well the forecast is performing you can check the option "Show past predicted values". Of course understanding the logic behind the forecast is important, in short regressions models best fit a certain curve to the data, this curve can be a line (linear regression), a parabola (quadratic regression) and so on, the type of curve is determined by the degree of the polynomial used, here 2, which is a parabola. Lets use a linear regression model as example : ax + b where x is a linear sequence 1,2,3...and a/b are constants. Our goal is to find the values for a and b that minimize the sum of squares of the line with the dependent variable y, here the closing price, so our hypothesis is that : closing price = ax + b + ε where ε is white noise, a component that the model couldn't forecast. The forecast of the closing price 14 step ahead would be equal to : closing price 14 step aheads = a(x+14) + b Since x is a linear sequence we only need to sum it with the forecasting horizon period, the same is done here with : a*(n+forecast)^2 + b*(n + forecast) + c Note that the forecast proposed in the indicator is more for teaching purpose that anything else, this indicator can't possibly forecast future values, even on a meh rate. Low lag filters have been used to provide noise free crosses with slow moving average, a bad practice in my opinion due to the ability low lag filters have to overshoot/undershoot, more interesting use cases might be to use the qlsma as input for other indicators. On The Code Some of you might know that i posted a "quadratic regression" indicator long ago, the original calculations was coming from a forum, but because the calculation was ugly as hell as well as extra inefficient (dogfood level) i had to do something about it, the name was also terribly misleading. We can see in the code that we make heavy use of the variance and covariance, both estimated with : VAR(x) = SMA(x^2) - SMA(x)^2 COV(x,y) = SMA(xy) - SMA(x)SMA(y) Those elements are then combined, we can easily recognize the intercept element c , who don't change much from the classical lsma. As Digital Filter The frequency response of the qlsma is similar to the one of the lsma, those filters amplify certain frequencies in the passband, and have ripples in the stop band. There is something interesting about those filters, first using higher degrees allow to greater boost of the frequencies in the passband, which result in greater over/under shoots. Another funny thing is that the peak/valley of the ripples is equal the peak or valley in the ripples of another lsma of different degree. The transient response of those filters, that is impulse response, step response...etc is related to the degree of the polynomial used, therefore lets denote a lsma of degree p : lsma(p) , the impulse response of lsma(p) is a polynomial of degree p, and the step response is simple a polynomial of order p+1. This is why it was more interesting to estimate the qlsma using convolution, however we can no longer forecast future values. Conclusion I proposed a more usable quadratic least squares moving average, with more options, as well as a cleaner and more efficient code. The process of shrinking the original code is made easier when you know about the estimations of both variance and covariance. I hope the proposed indicator/calculation is useful. Thx for reading !
Pine Script® göstergesi
alexgrover tarafından
33
[BTX] Triple TRIX + MAsThis indicator suggest a strategy, which is quite similar to multiple MA or multiple RSI strategies. This indicator can be used for all timeframes, all markets. This indicator can help detect the market trend and momentum. Default values are TRIX - 6, 12, and 24 periods and MA(8) for each TRIX line. You can choose what type of MA to be used (EMA or SMA). How to exploit this indicator? - When all of the lower TRIXs are ABOVE the higher one: TRIX(6) is above TRIX(12), and TRIX(12) is above TRIX(24), there is a BULLISH market. - When all of the lower TRIXs are BELOW the higher one: TRIX(6) is below TRIX(12), and TRIX(12) is below TRIX(24), there is a BEARISH market. - A crossover of the lower TRIX to the higher one indicates a BUY signal. - A crossunder of the lower TRIX to the higher one indicates a SELL signal. - TRIX crossover the Zero line can be considered as a STRONG bullish signal. - TRIX crossunder the Zero line can be considered as a STRONG bearish signal. - The MA of TRIX acts as a confirmation, it can be used as SELL signals. - High slopes of TRIX lines can point out the high momentum of the current trend. - Divergence patterns can be used with this indicator. - And many more tricks.
Pine Script® göstergesi
Batrachotoxin tarafından
2
OVL_Kikoocycle Beta_Pine3This script use : - A custom Chande Kroll Stop for generate the channel - Some custom Parabolic S.A.R for generate cycles This script can be separated into 3 categories: - Channel Kroll generator : one layer for the actual interval and a layer for a Large Timeframe .(with ratio) - "Range" generator : one layer for actual Interval and a layer for a Large Timeframe.(with automique ratio) -Targets generator : one layer for actual interval with different trend. "Channel Kroll" : - I "hijack" the Chande Kroll Stop formula with custom parameters for generate this channel. Overall, it works like other types of channels like BB, etc... A midline and two borders. The thickness of the borders are relatively important here. A thick border shows some resistance of the area. And so the probability of seeing the market return to its first contact is stronger. While a very thin and vertical border would rather play the role of a breach, a bit like the idea of gaps. Often the market seems to want to go after several cycles. You can activate its Large TimeFrame version, its midline is strong and fine borders helps to judge the risk. SARget + "SAR Limited" : - (S.A.R + targets) The philosophy of this function is simple... When a small cycle is broken, it creates a mark on a higher cycle. So on until the SAR called "SAR Limited". For simplicity, imagine a fractal image but inverted ... Break the small figure, it will mark the larger figure at this time but to get there you still have to make the way to the small figure. Targets are : cross ("+") for fast targets(hidden by default because, theire work only on lower interval), squares (for medium trend), Xcross(for large trend) and red cross(they try to find a large contexte). When a target proc, it is for later (market need some cycles for going to, but it is relative to your interval). This gives you speculative goals. Why 2 targets for a same type and a triangle with a 90deg angle : This give a potential area for management.The triangle help to visualize the SAR and to juge the market reaction. You need to adapte your trade with that... Targets may be slightly too far because I am a bad coder... Currently the targets appear at the moment of rupture but it would be necessary to wait for the end of the breaking movement. Which can bring a positional error if the break is violent. RnG and LTF RnG : - Attempt to generate a Fibo range for each cycle and see interressing areas to enter or exit. This is played with the same philosophy as the Fibo extensions and retracement. When a new RnG is generated, do not rush. It appears showing 50/50 for both sides. When a new RnG is generated, do not rush. It appears showing 50/50 for both sides. As long as the market is out of the middle zone (the 3 lines) keep in mind the past RnG. When the market is out of range, you can use the FibRetracement tool for have extensions. One point at each end, as on the presentation graph. (Values 1.14, 1.272, 1.414, 1.618, 1.786, 2, 2.4 and 4 work well.) If too extrem you can active the LTF version. Never fomo a break, market like to pull a level... Observe and be patient. It's easier to use than to explain xD NB : Do not use the LTF as context. For this, it is better to look at a higher interval. I invite you to look in the style tab of the script and deselect the plots named UNCHECKEME, this will ease your browser.
Pine Script® göstergesi
Twigho tarafından
2
10/20 MA Cross-Over with Heikin-Ashi Signals by SchobbejakThe 10/20 MA Heikin-Ashi Strategy is the best I know. It's easy, it's elegant, it's effective. It's particularly effective in markets that trend on the daily. You may lose some money when markets are choppy, but your loss will be more than compensated when you're aboard during the big moves at the beginning of a trend or after retraces. There's that, and you nearly eliminate the risk of losing your profit in the long run. The results are good throughout most assets, and at their best when an asset is making new all-time highs. It uses two simple moving averages: the 10 MA (blue), and the 20 MA (red), together with heikin-ashi candles. Now here's the great thing. This script does not change your regular candles into heikin-ashi ones, which would have been annoying; instead, it subtly prints either a blue dot or a red square around your normal candles, indicating a heikin-ashi change from red to green, or from green to red, respectively. This way, you get both regular and heikin ashi "candles" on your chart. Here's how to use it. Go LONG in case of ALL of the below: 1) A blue dot appeared under the last daily candle (meaning the heikin-ashi is now "green"). 2) The blue MA-line is above the red MA-line. 3) Price has recently breached the blue MA-line upwards, and is now above. COVER when one or more of the above is no longer the case. This is very important. You want to keep your profit. Go SHORT in case of ALL of the below: 1) A red square appeared above the last daily candle (meaning the heikin-ashi is now "red"). 2) The red MA-line is above the blue MA-line. 3) Price has recently breached the blue MA-line downwards, and is now below. Again, COVER when one or more of the above is no longer the case. This is what gives you your edge. It's that easy. Now, why did I make the signal blue, and not green? Because blue looks much better with red than green does. It's my firm believe one does not become rich using ugly charts. Good luck trading. --You may tip me using bitcoin: bc1q9pc95v4kxh6rdxl737jg0j02dcxu23n5z78hq9 . Much appreciated!--
Pine Script® göstergesi
ScipioPro tarafından
41