12/26-IT strategyBase of this Strategy is crossover of 12EMA on 26EMA.
Also multiple other criteria has to meet for buy signal, Criterias mentioned below
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There two entry option to select. Either one or both can be selected:
1. Only 12/26 Cross over
a. 12/26 crossover.
b. RSI (14) value to be between a range (RSI is inbuilt, but lower and upper range can be defined in settings)
c. MACD (12, 26) to be positive and above signal line (this is inbuilt)
2. Recent 12/26 Cross over and closing above pivot point(resistance)
a. 12/26 crossover has to be recent, CrossOverLookbackCandles value will look for crossover in # previous candles..
b. RSI (14) value to be between a range (RSI is inbuilt, but lower and upper range can be defined in settings)
c. MACD (12, 26) to be positive and above signal line (this is inbuilt)
d. closing above resistance line
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For Exit we have three options. you can select any SL as per your need, multiple SLs can also be selected
1. Trailing Stop Loss.
Source for TSL is adjustable(open, close, high or low), also you have to mention % below your source TSL has to be placed.
Once closing is below TSL, exit will be triggered.
2. Closing below 7SMA
After 7SMA SL is enabled, 7SMA will be plotted on chart and exit signal will be triggered when closing is below 7SMA.
Choose this option for LESS risk and rewards
3. 12/26 Crossdown
Once 12EMA crossdown below 26EMA, exit will be triggered.
Choose this option for HIGH risk and rewards
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Resistance line is plotted based on left and right candles, if 10(can be changed) is used for both left and right, indicator will look for 10 candles in left and 10 candles in right and if both left and right candle are lower then a line is plotted.
Source has to be selected (close or high)
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Qty mentioned in Buy trigger will be based on BUYVALUE entered
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Multiple Target option is available, if first target is matched how much percentage of qty to be sold can be defined.
If you wish to have only one Target, then exit qty in first target must be 100
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TheMas7er scalp (US equity) 5min [promuckaj]This indicator was created according to TheMas7er's trading setup, that he reveal after 18 years of working in the industry. Claims is that this setup should give you good probability to predict the price movement for US equity.
This trading setup is only for New York equity trading session from 09:30 until 4pm. The market in which you should use it are the S&P 500 , Dow Jones, and Nasdaq. Perhaps it will work on some other but for those are good according to tests. It should not used on days with high-impact news, like CPI , FOMC, NFP and so on. The model can still work there but the probability on these days is way lower.
What is the base of this indicator, it marks what is called "The Defining Range"("DR"). This defining range is from 09:30am until 10:30am New York local time, it takes those 12 candles in the 5min chart. Indicator will mark the high and low of this range, including wicks. This will help you to already know at 10:30am, with possible good probability the high or low of the day.
There is also the "Implied Defining Range"("iDR") lines inside the "DR" range, which mark the highest body and the lowest body in the "DR" range.
*The rules (it is very simple to follow):
Chart must be set in 5min timeframe.
At 10:30am you still don't know which one will be the real high or low of the day, but only one will be true.
If price is closing on 5min chart above the "DR" it should give you good probability that the low of the "DR" is the low of the day, and vice versa - if price is closing below the "DR" it should give you good probability that the high of the "DR" is the high of the day.
"iDR" gives you an early indication about what high or low of the day should be. If price is closing above "iDR" you will have an early indication that the low of the "DR" should be the low of the day, and vice versa.
Note that about closing means really closing above or below, not just wicks.
Now, after this you can realize the magnitude of possibility.
You can use any entry model you prefer to trade, it doesn't matter if you use ICT concepts, smart money concepts, volume profile , eliot waves, braking the structure concept or whatever. There are so many possibilities for trading within this rule.
Enjoy!
Session candles & reversals / quantifytools— Overview
Like traditional candles, session based candles are a visualization of open, high, low and close values, but based on session time periods instead of typical timeframes such as daily or weekly. Session candles are formed by fetching price at session start (open), highest price during session (high), lowest price during session (low) and price at session end (close). On top of candles, session based moving average is formed and session reversals detected. Session reversals are also backtested, using win rate and magnitude metrics to better understand what to expect from session reversals and which ones have historically performed the best.
By default, following session time periods are used:
Session #1: London (08:00 - 17:00, UTC)
Session #2: New York (13:00 - 22:00, UTC)
Session #3: Sydney (21:00 - 06:00, UTC)
Session #4: Tokyo (00:00 - 09:00, UTC)
Session time periods can be changed via input menu.
— Reversals
Session reversals are patterns that show a rapid change in direction during session. These formations are more familiarly known as wicks or engulfing candles. Following criteria must be met to qualify as a session reversal:
Wick up:
Lower high, lower low, close >= 65% of session range (0% being the very low, 100% being the very high) and open >= 40% of session range.
Wick down:
Higher high, higher low, close <= 35% of session range and open <= 60% of session range.
Engulfing up:
Higher high, lower low, close >= 65% of session range.
Engulfing down:
Higher high, lower low, close <= 35% of session range.
Session reversals are always based on prior corresponding session , e.g. to qualify as a NY session engulfing up, NY session must have a higher high and lower low relative to prior NY session , not just any session that has taken place in between. Session reversals should be viewed the same way wicks/engulfing formations are viewed on traditional timeframe based candles. Essentially, wick reversals (light green/red labels) tell you most of the motion during session was reversed. Engulfing reversals (dark green/red labels) on the other hand tell you all of the motion was reversed and new direction set.
— Backtesting
Session reversals are backtested using win rate and magnitude metrics. A session reversal is considered successful when next corresponding session closes higher/lower than session reversal close . Win rate is formed by dividing successful session reversal count with total reversal count, e.g. 5 successful reversals up / 10 reversals up total = 50% win rate. Win rate tells us what are the odds (historically) of session reversal producing a clean supporting move that was persistent enough to close that way too.
When a session reversal is successful, its magnitude is measured using percentage increase/decrease from session reversal close to next corresponding session high/low . If NY session closes higher than prior NY session that was a reversal up, the percentage increase from prior session close (reversal close) to current session high is measured. If NY session closes lower than prior NY session that was a reversal down, the percentage decrease from prior session close to current session low is measured.
Average magnitude is formed by dividing all percentage increases/decreases with total reversal count, e.g. 10 total reversals up with 1% increase each -> 10% net increase from all reversals -> 10% total increase / 10 total reversals up = 1% average magnitude. Magnitude metric supports win rate by indicating the depth of successful session reversal moves.
To better understand the backtesting calculations and more importantly to verify their validity, backtesting visuals for each session can be plotted on the chart:
All backtesting results are shown in the backtesting panel on top right corner, with highest win rates and magnitude metrics for both reversals up and down marked separately. Note that past performance is not a guarantee of future performance and session reversals as they are should not be viewed as a complete strategy for long/short plays. Always make sure reversal count is sufficient to draw reliable conclusions of performance.
— Session moving average
Users can form a session based moving average with their preferred smoothing method (SMA , EMA , HMA , WMA , RMA) and length, as well as choose which sessions to include in the moving average. For example, a moving average based on New York and Tokyo sessions can be formed, leaving London and Sydney completely out of the calculation.
— Visuals
By default, script hides your candles/bars, although in the case of candles borders will still be visible. Switching to bars/line will make your regular chart visuals 100% hidden. This setting can be turned off via input menu. As some sessions overlap, each session candle can be separately offsetted forward, clearing the overlaps. Users can also choose which session candles to show/hide.
Session periods can be highlighted on the chart as a background color, applicable to only session candles that are activated. By default, session reversals are referred to as L (London), N (New York), S (Sydney) and T (Tokyo) in both reversal labels and backtesting table. By toggling on "Numerize sessions", these will be replaced with 1, 2, 3 and 4. This will be helpful when using a custom session that isn't any of the above.
Visual settings example:
Session candles are plotted in two formats, using boxes and lines as well as plotcandle() function. Session candles constructed using boxes and lines will be clear and much easier on the eyes, but will apply only to first 500 bars due to Tradingview related limitations. Rest of the session candles go back indefinitely, but won't be as clean:
All colors can be customized via input menu.
— Timeframe & session time period considerations
As a rule of thumb, session candles should be used on timeframes at or below 1H, as higher timeframes might not match with session period start/end, leading to incorrect plots. Using 1 hour timeframe will bring optimal results as greatest amount historical data is available without sacrificing accuracy of OHLC values. If you are using a custom session that is not based on hourly period (e.g. 08:00 - 15:00 vs. 08.00 - 15.15) make sure you are using a timeframe that allows correct plots.
Session time periods applied by default are rough estimates and might be out of bounds on some charts, like NYSE listed equities. This is rarely a problem on assets that have extensive trading hours, like futures or cryptocurrency. If a session is out of bounds (asset isn't traded during the set session time period) the script won't plot given session candle and its backtesting metrics will be NA. This can be fixed by changing the session time periods to match with given asset trading hours, although you will have to consider whether or not this defeats the purpose of having candles based on sessions.
— Practical guide
Whether based on traditional timeframes or sessions, reversals should always be considered as only one piece of evidence of price turning. Never react to them without considering other factors that might support the thesis, such as levels and multi-timeframe analysis. In short, same basic charting principles apply with session candles that apply with normal candles. Use discretion.
Example #1 : Focusing efforts on session reversals at distinct support/resistance levels
A reversal against a level holds more value than a reversal by itself, as you know it's a placement where liquidity can be expected. A reversal serves as a confirming reaction for this expectation.
Example #2 : Focusing efforts on highest performing reversals and avoiding poorly performing ones
As you have data backed evidence of session reversal performance, it makes sense to focus your efforts on the ones that perform best. If some session reversal is clearly performing poorly, you would want to avoid it, since there's nothing backing up its validity.
Example #3 : Reversal clusters
Two is better than one, three is better than two and so on. If there are rapid changes in direction within multiple sessions consecutively, there's heavier evidence of a dynamic shift in price. In such case, it makes sense to hold more confidence in price halting/turning.
Traders Reality MainThis indicator serves as the Tradingview equivalent of an MT4 indicator suite.
It differentiates from existing TV indicators in its style and total feature set (most notably PVSRA and PVSRA Override)
It was originally designed for forex markets, and it will work for crypto as well, but it has not been tested on stocks.
List of features:
PVSRA Candles
Market boxes (NY/JP/ HK /UK/ FR and Brinks Boxes)
5/13/50/200/800 EMAs (cloud for 50EMA)
Pivot points (S/M/R 1,2,3; PP )
Yesterday and Last Week price range
Average Daily Range (Weekly and Monthly as well)
Daily Open
PVSRA Override
Psychological High/Low
Vector Candle Zones
All of these are configurable in the indicator settings.
Usage instructions:
PVSRA Candle colors meaning:
Green (bull) and red (bear): Candles with volume >= 200% of the average volume of the 10 previous chart candles, and candles where the product of candle spread x candle volume is >= the highest for the 10 previous chart time candles.
Blue (bull) and blue-violet (bear): Candles with volume >= 150% of the average volume of the 10 previous chart candles
PVSRA Override
In order to get reliable bar coloring, we need accurate data. If you're on a chart with low volume on some obscure exchange, you may want to use another exchanges datafeed for the symbol you are on to calculate the PVSRA bar colors with. This lets you do exactly that. By default it's off, but you can turn it on and use INDEX:BTCUSD, or really any other chart you want. You can combine charts too, e.g. use BINANCE:BTCUSDT+COINBASE:BTCUSD.
PVSRA Alerts
Alerts can be made for PVSRA "vector"/"climax" candles:
1. Create Alert (Clock with + sign)
2. Set Condition: "Traders Reality",
3. Select "Alert on Vector Candle",
4. Set it to Once per Bar,
5. choose your notification options.
Market boxes
The market boxes times are configurable and will change depending on the exchange timezone. I recommend to pick your main exchange/chart and adjust the times so that they are correct. Technically you will need to shift the time from the exchanges' timezone to GMT . Default values should be good for UTC based exchanges in current US+UK summer time.
Psychological High/Low
Configurable for Crypto or Forex - draws the perceived Psychological High/Low ranges for the week. Can display historical values too.
Vector Candle Zones
displays unrecovered liquidity left behind on unrecovered vectors. Configurable to take into account candle bodies or candles and wicks.
Recommended additional Tradingview indicator(s):
- TDI - Goldminds, Edited for Market Makers Method by Jakub Donovan
Footnotes
The code was originally by plasmapug, continued development (with permission) is now done by infernix and peshocore and xtech5192 in collaboration with TradersReality.
If you have suggestions or questions, you can message me or leave a comment.
Traders_Reality_LibLibrary "Traders_Reality_Lib"
This library contains common elements used in Traders Reality scripts
calcPvsra(pvsraVolume, pvsraHigh, pvsraLow, pvsraClose, pvsraOpen, redVectorColor, greenVectorColor, violetVectorColor, blueVectorColor, darkGreyCandleColor, lightGrayCandleColor)
calculate the pvsra candle color and return the color as well as an alert if a vector candle has apperared.
Situation "Climax"
Bars with volume >= 200% of the average volume of the 10 previous chart TFs, or bars
where the product of candle spread x candle volume is >= the highest for the 10 previous
chart time TFs.
Default Colors: Bull bars are green and bear bars are red.
Situation "Volume Rising Above Average"
Bars with volume >= 150% of the average volume of the 10 previous chart TFs.
Default Colors: Bull bars are blue and bear are violet.
Parameters:
pvsraVolume : the instrument volume series (obtained from request.sequrity)
pvsraHigh : the instrument high series (obtained from request.sequrity)
pvsraLow : the instrument low series (obtained from request.sequrity)
pvsraClose : the instrument close series (obtained from request.sequrity)
pvsraOpen : the instrument open series (obtained from request.sequrity)
redVectorColor : red vector candle color
greenVectorColor : green vector candle color
violetVectorColor : violet/pink vector candle color
blueVectorColor : blue vector candle color
darkGreyCandleColor : regular volume candle down candle color - not a vector
lightGrayCandleColor : regular volume candle up candle color - not a vector
@return
adr(length, barsBack)
Parameters:
length : how many elements of the series to calculate on
barsBack : starting possition for the length calculation - current bar or some other value eg last bar
@return adr the adr for the specified lenght
adrHigh(adr, fromDo)
Calculate the ADR high given an ADR
Parameters:
adr : the adr
fromDo : boolean flag, if false calculate traditional adr from high low of today, if true calcualte from exchange midnight
@return adrHigh the position of the adr high in price
adrLow(adr, fromDo)
Parameters:
adr : the adr
fromDo : boolean flag, if false calculate traditional adr from high low of today, if true calcualte from exchange midnight
@return adrLow the position of the adr low in price
splitSessionString(sessXTime)
given a session in the format 0000-0100:23456 split out the hours and minutes
Parameters:
sessXTime : the session time string usually in the format 0000-0100:23456
@return
calcSessionStartEnd(sessXTime, gmt)
calculate the start and end timestamps of the session
Parameters:
sessXTime : the session time string usually in the format 0000-0100:23456
gmt : the gmt offset string usually in the format GMT+1 or GMT+2 etc
@return
drawOpenRange(sessXTime, sessXcol, showOrX, gmt)
draw open range for a session
Parameters:
sessXTime : session string in the format 0000-0100:23456
sessXcol : the color to be used for the opening range box shading
showOrX : boolean flag to toggle displaying the opening range
gmt : the gmt offset string usually in the format GMT+1 or GMT+2 etc
@return void
drawSessionHiLo(sessXTime, show_rectangleX, show_labelX, sessXcolLabel, sessXLabel, gmt, sessionLineStyle)
Parameters:
sessXTime : session string in the format 0000-0100:23456
show_rectangleX : show the session high and low lines
show_labelX : show the session label
sessXcolLabel : the color to be used for the hi/low lines and label
sessXLabel : the session label text
gmt : the gmt offset string usually in the format GMT+1 or GMT+2 etc
sessionLineStyle : the line stile for the session high low lines
@return void
calcDst()
calculate market session dst on/off flags
@return indicating if DST is on or off for a particular region
timestampPreviousDayOfWeek(previousDayOfWeek, hourOfDay, gmtOffset, oneWeekMillis)
Timestamp any of the 6 previous days in the week (such as last Wednesday at 21 hours GMT)
Parameters:
previousDayOfWeek : Monday or Satruday
hourOfDay : the hour of the day when psy calc is to start
gmtOffset : the gmt offset string usually in the format GMT+1 or GMT+2 etc
oneWeekMillis : the amount if time for a week in milliseconds
@return the timestamp of the psy level calculation start time
getdayOpen()
get the daily open - basically exchange midnight
@return the daily open value which is float price
newBar(res)
new_bar: check if we're on a new bar within the session in a given resolution
Parameters:
res : the desired resolution
@return true/false is a new bar for the session has started
toPips(val)
to_pips Convert value to pips
Parameters:
val : the value to convert to pips
@return the value in pips
rLabel(ry, rtext, rstyle, rcolor, valid, labelXOffset)
a function that draws a right aligned lable for a series during the current bar
Parameters:
ry : series float the y coordinate of the lable
rtext : the text of the label
rstyle : the style for the lable
rcolor : the color for the label
valid : a boolean flag that allows for turning on or off a lable
labelXOffset : how much to offset the label from the current position
rLabelOffset(ry, rtext, rstyle, rcolor, valid, labelXOffset)
a function that draws a right aligned lable for a series during the current bar
Parameters:
ry : series float the y coordinate of the lable
rtext : the text of the label
rstyle : the style for the lable
rcolor : the color for the label
valid : a boolean flag that allows for turning on or off a lable
labelXOffset : how much to offset the label from the current position
rLabelLastBar(ry, rtext, rstyle, rcolor, valid, labelXOffset)
a function that draws a right aligned lable for a series only on the last bar
Parameters:
ry : series float the y coordinate of the lable
rtext : the text of the label
rstyle : the style for the lable
rcolor : the color for the label
valid : a boolean flag that allows for turning on or off a lable
labelXOffset : how much to offset the label from the current position
drawLine(xSeries, res, tag, xColor, xStyle, xWidth, xExtend, isLabelValid, labelXOffset, validTimeFrame)
a function that draws a line and a label for a series
Parameters:
xSeries : series float the y coordinate of the line/label
res : the desired resolution controlling when a new line will start
tag : the text for the lable
xColor : the color for the label
xStyle : the style for the line
xWidth : the width of the line
xExtend : extend the line
isLabelValid : a boolean flag that allows for turning on or off a label
labelXOffset : how much to offset the label from the current position
validTimeFrame : a boolean flag that allows for turning on or off a line drawn
drawLineDO(xSeries, res, tag, xColor, xStyle, xWidth, xExtend, isLabelValid, labelXOffset, validTimeFrame)
a function that draws a line and a label for the daily open series
Parameters:
xSeries : series float the y coordinate of the line/label
res : the desired resolution controlling when a new line will start
tag : the text for the lable
xColor : the color for the label
xStyle : the style for the line
xWidth : the width of the line
xExtend : extend the line
isLabelValid : a boolean flag that allows for turning on or off a label
labelXOffset : how much to offset the label from the current position
validTimeFrame : a boolean flag that allows for turning on or off a line drawn
drawPivot(pivotLevel, res, tag, pivotColor, pivotLabelColor, pivotStyle, pivotWidth, pivotExtend, isLabelValid, validTimeFrame, levelStart, pivotLabelXOffset)
draw a pivot line - the line starts one day into the past
Parameters:
pivotLevel : series of the pivot point
res : the desired resolution
tag : the text to appear
pivotColor : the color of the line
pivotLabelColor : the color of the label
pivotStyle : the line style
pivotWidth : the line width
pivotExtend : extend the line
isLabelValid : boolean param allows to turn label on and off
validTimeFrame : only draw the line and label at a valid timeframe
levelStart : basically when to start drawing the levels
pivotLabelXOffset : how much to offset the label from its current postion
@return the pivot line series
getPvsraFlagByColor(pvsraColor, redVectorColor, greenVectorColor, violetVectorColor, blueVectorColor, lightGrayCandleColor)
convert the pvsra color to an internal code
Parameters:
pvsraColor : the calculated pvsra color
redVectorColor : the user defined red vector color
greenVectorColor : the user defined green vector color
violetVectorColor : the user defined violet vector color
blueVectorColor : the user defined blue vector color
lightGrayCandleColor : the user defined regular up candle color
@return pvsra internal code
updateZones(pvsra, direction, boxArr, maxlevels, pvsraHigh, pvsraLow, pvsraOpen, pvsraClose, transperancy, zoneupdatetype, zonecolor, zonetype, borderwidth, coloroverride, redVectorColor, greenVectorColor, violetVectorColor, blueVectorColor, lightGrayCandleColor)
a function that draws the unrecovered vector candle zones
Parameters:
pvsra : internal code
direction : above or below the current pa
boxArr : the array containing the boxes that need to be updated
maxlevels : the maximum number of boxes to draw
pvsraHigh : the pvsra high value series
pvsraLow : the pvsra low value series
pvsraOpen : the pvsra open value series
pvsraClose : the pvsra close value series
transperancy : the transparencfy of the vecor candle zones
zoneupdatetype : the zone update type
zonecolor : the zone color if overriden
zonetype : the zone type
borderwidth : the width of the border
coloroverride : if the color overriden
redVectorColor : the user defined red vector color
greenVectorColor : the user defined green vector color
violetVectorColor : the user defined violet vector color
blueVectorColor : the user defined blue vector color
lightGrayCandleColor : the user defined regular up candle color
cleanarr(arr)
clean an array from na values
Parameters:
arr : the array to clean
@return if the array was cleaned
calcPsyLevels(oneWeekMillis, showPsylevels, psyType, sydDST)
calculate the psy levels
4 hour res based on how mt4 does it
mt4 code
int Li_4 = iBarShift(NULL, PERIOD_H4, iTime(NULL, PERIOD_W1, Li_0)) - 2 - Offset;
ObjectCreate("PsychHi", OBJ_TREND, 0, Time , iHigh(NULL, PERIOD_H4, iHighest(NULL, PERIOD_H4, MODE_HIGH, 2, Li_4)), iTime(NULL, PERIOD_W1, 0), iHigh(NULL, PERIOD_H4,
iHighest(NULL, PERIOD_H4, MODE_HIGH, 2, Li_4)));
so basically because the session is 8 hours and we are looking at a 4 hour resolution we only need to take the highest high an lowest low of 2 bars
we use the gmt offset to adjust the 0000-0800 session to Sydney open which is at 2100 during dst and at 2200 otherwize. (dst - spring foward, fall back)
keep in mind sydney is in the souther hemisphere so dst is oposite of when london and new york go into dst
Parameters:
oneWeekMillis : a constant value
showPsylevels : should psy levels be calculated
psyType : the type of Psylevels - crypto or forex
sydDST : is Sydney in DST
@return
Mega Pendulum IndicatorThe MPI (Mega Pendulum Indicator) is a fusion between the Pendulum Indicator and the Swing Indicator and is used with specific trading rules.
The MPI is a semi-bounded oscillator comprised of two lines. The first bounded line is the Pendulum Indicator which oscillates between 0 and 100 but generally oscillates between 20 and 80. The second semi-bounded line is the Swing Indicator which generally oscillates between -10 and 10.
The conditions for trading the Mega Pendulum Indicator are as follows:
* Buy: Whenever the Pendulum indicator crosses over its signal line (a 5-period moving average) and at the same time, the Swing Indicator must cross over -10 after having been below it.
* Sell: Whenever the Pendulum indicator crosses below its signal line (a 5-period moving average) and at the same time, the Swing Indicator must cross under -10 after having been above it.
Stochastic of Two-Pole SuperSmoother [Loxx]Stochastic of Two-Pole SuperSmoother is a Stochastic Indicator that takes as input Two-Pole SuperSmoother of price. Includes gradient coloring and Discontinued Signal Lines signals with alerts.
What is Ehlers ; Two-Pole Super Smoother?
From "Cycle Analytics for Traders Advanced Technical Trading Concepts" by John F. Ehlers
A SuperSmoother filter is used anytime a moving average of any type would otherwise be used, with the result that the SuperSmoother filter output would have substantially less lag for an equivalent amount of smoothing produced by the moving average. For example, a five-bar SMA has a cutoff period of approximately 10 bars and has two bars of lag. A SuperSmoother filter with a cutoff period of 10 bars has a lag a half bar larger than the two-pole modified Butterworth filter.Therefore, such a SuperSmoother filter has a maximum lag of approximately 1.5 bars and even less lag into the attenuation band of the filter. The differential in lag between moving average and SuperSmoother filter outputs becomes even larger when the cutoff periods are larger.
Market data contain noise, and removal of noise is the reason for using smoothing filters. In fact, market data contain several kinds of noise. I’ll group one kind of noise as systemic, caused by the random events of trades being exercised. A second kind of noise is aliasing noise, caused by the use of sampled data. Aliasing noise is the dominant term in the data for shorter cycle periods.
It is easy to think of market data as being a continuous waveform, but it is not. Using the closing price as representative for that bar constitutes one sample point. It doesn’t matter if you are using an average of the high and low instead of the close, you are still getting one sample per bar. Since sampled data is being used, there are some dSP aspects that must be considered. For example, the shortest analysis period that is possible (without aliasing)2 is a two-bar cycle.This is called the Nyquist frequency, 0.5 cycles per sample.A perfect two-bar sine wave cycle sampled at the peaks becomes a square wave due to sampling. However, sampling at the cycle peaks can- not be guaranteed, and the interference between the sampling frequency and the data frequency creates the aliasing noise.The noise is reduced as the data period is longer. For example, a four-bar cycle means there are four samples per cycle. Because there are more samples, the sampled data are a better replica of the sine wave component. The replica is better yet for an eight-bar data component.The improved fidelity of the sampled data means the aliasing noise is reduced at longer and longer cycle periods.The rate of reduction is 6 dB per octave. My experience is that the systemic noise rarely is more than 10 dB below the level of cyclic information, so that we create two conditions for effective smoothing of aliasing noise:
1. It is difficult to use cycle periods shorter that two octaves below the Nyquist frequency.That is, an eight-bar cycle component has a quantization noise level 12 dB below the noise level at the Nyquist frequency. longer cycle components therefore have a systemic noise level that exceeds the aliasing noise level.
2. A smoothing filter should have sufficient selectivity to reduce aliasing noise below the systemic noise level. Since aliasing noise increases at the rate of 6 dB per octave above a selected filter cutoff frequency and since the SuperSmoother attenuation rate is 12 dB per octave, the Super- Smoother filter is an effective tool to virtually eliminate aliasing noise in the output signal.
What are DSL Discontinued Signal Line?
A lot of indicators are using signal lines in order to determine the trend (or some desired state of the indicator) easier. The idea of the signal line is easy : comparing the value to it's smoothed (slightly lagging) state, the idea of current momentum/state is made.
Discontinued signal line is inheriting that simple signal line idea and it is extending it : instead of having one signal line, more lines depending on the current value of the indicator.
"Signal" line is calculated the following way :
When a certain level is crossed into the desired direction, the EMA of that value is calculated for the desired signal line
When that level is crossed into the opposite direction, the previous "signal" line value is simply "inherited" and it becomes a kind of a level
This way it becomes a combination of signal lines and levels that are trying to combine both the good from both methods.
In simple terms, DSL uses the concept of a signal line and betters it by inheriting the previous signal line's value & makes it a level.
Included:
Bar coloring
Alerts
Signals
Loxx's Expanded Source Types
Adaptive Two-Pole Super Smoother Entropy MACD [Loxx]Adaptive Two-Pole Super Smoother Entropy (Math) MACD is an Ehlers Two-Pole Super Smoother that is transformed into an MACD oscillator using entropy mathematics. Signals are generated using Discontinued Signal Lines.
What is Ehlers; Two-Pole Super Smoother?
From "Cycle Analytics for Traders Advanced Technical Trading Concepts" by John F. Ehlers
A SuperSmoother filter is used anytime a moving average of any type would otherwise be used, with the result that the SuperSmoother filter output would have substantially less lag for an equivalent amount of smoothing produced by the moving average. For example, a five-bar SMA has a cutoff period of approximately 10 bars and has two bars of lag. A SuperSmoother filter with a cutoff period of 10 bars has a lag a half bar larger than the two-pole modified Butterworth filter.Therefore, such a SuperSmoother filter has a maximum lag of approximately 1.5 bars and even less lag into the attenuation band of the filter. The differential in lag between moving average and SuperSmoother filter outputs becomes even larger when the cutoff periods are larger.
Market data contain noise, and removal of noise is the reason for using smoothing filters. In fact, market data contain several kinds of noise. I’ll group one kind of noise as systemic, caused by the random events of trades being exercised. A second kind of noise is aliasing noise, caused by the use of sampled data. Aliasing noise is the dominant term in the data for shorter cycle periods.
It is easy to think of market data as being a continuous waveform, but it is not. Using the closing price as representative for that bar constitutes one sample point. It doesn’t matter if you are using an average of the high and low instead of the close, you are still getting one sample per bar. Since sampled data is being used, there are some dSP aspects that must be considered. For example, the shortest analysis period that is possible (without aliasing)2 is a two-bar cycle.This is called the Nyquist frequency, 0.5 cycles per sample.A perfect two-bar sine wave cycle sampled at the peaks becomes a square wave due to sampling. However, sampling at the cycle peaks can- not be guaranteed, and the interference between the sampling frequency and the data frequency creates the aliasing noise.The noise is reduced as the data period is longer. For example, a four-bar cycle means there are four samples per cycle. Because there are more samples, the sampled data are a better replica of the sine wave component. The replica is better yet for an eight-bar data component.The improved fidelity of the sampled data means the aliasing noise is reduced at longer and longer cycle periods.The rate of reduction is 6 dB per octave. My experience is that the systemic noise rarely is more than 10 dB below the level of cyclic information, so that we create two conditions for effective smoothing of aliasing noise:
1. It is difficult to use cycle periods shorter that two octaves below the Nyquist frequency.That is, an eight-bar cycle component has a quantization noise level 12 dB below the noise level at the Nyquist frequency. longer cycle components therefore have a systemic noise level that exceeds the aliasing noise level.
2. A smoothing filter should have sufficient selectivity to reduce aliasing noise below the systemic noise level. Since aliasing noise increases at the rate of 6 dB per octave above a selected filter cutoff frequency and since the SuperSmoother attenuation rate is 12 dB per octave, the Super- Smoother filter is an effective tool to virtually eliminate aliasing noise in the output signal.
What are DSL Discontinued Signal Line?
A lot of indicators are using signal lines in order to determine the trend (or some desired state of the indicator) easier. The idea of the signal line is easy : comparing the value to it's smoothed (slightly lagging) state, the idea of current momentum/state is made.
Discontinued signal line is inheriting that simple signal line idea and it is extending it : instead of having one signal line, more lines depending on the current value of the indicator.
"Signal" line is calculated the following way :
When a certain level is crossed into the desired direction, the EMA of that value is calculated for the desired signal line
When that level is crossed into the opposite direction, the previous "signal" line value is simply "inherited" and it becomes a kind of a level
This way it becomes a combination of signal lines and levels that are trying to combine both the good from both methods.
In simple terms, DSL uses the concept of a signal line and betters it by inheriting the previous signal line's value & makes it a level.
Included:
Bar coloring
Alerts
Signals
Loxx's Expanded Source Types
STD/Clutter-Filtered, Variety FIR Filters [Loxx]STD/Clutter-Filtered, Variety FIR Filters is a FIR filter explorer. The following FIR Digital Filters are included.
Rectangular - simple moving average
Hanning
Hamming
Blackman
Blackman/Harris
Linear weighted
Triangular
There are 10s of windowing functions like the ones listed above. This indicator will be updated over time as I create more windowing functions in Pine.
Uniform/Rectangular Window
The uniform window (also called the rectangular window) is a time window with unity amplitude for all time samples and has the same effect as not applying a window.
Use this window when leakage is not a concern, such as observing an entire transient signal.
The uniform window has a rectangular shape and does not attenuate any portion of the time record. It weights all parts of the time record equally. Because the uniform window does not force the signal to appear periodic in the time record, it is generally used only with functions that are already periodic within a time record, such as transients and bursts.
The uniform window is sometimes called a transient or boxcar window.
For sine waves that are exactly periodic within a time record, using the uniform window allows you to measure the amplitude exactly (to within hardware specifications) from the Spectrum trace.
Hanning Window
The Hanning window attenuates the input signal at both ends of the time record to zero. This forces the signal to appear periodic. The Hanning window offers good frequency resolution at the expense of some amplitude accuracy.
This window is typically used for broadband signals such as random noise. This window should not be used for burst or chirp source types or other strictly periodic signals. The Hanning window is sometimes called the Hann window or random window.
Hamming Window
Computers can't do computations with an infinite number of data points, so all signals are "cut off" at either end. This causes the ripple on either side of the peak that you see. The hamming window reduces this ripple, giving you a more accurate idea of the original signal's frequency spectrum.
Blackman
The Blackman window is a taper formed by using the first three terms of a summation of cosines. It was designed to have close to the minimal leakage possible. It is close to optimal, only slightly worse than a Kaiser window.
Blackman-Harris
This is the original "Minimum 4-sample Blackman-Harris" window, as given in the classic window paper by Fredric Harris "On the Use of Windows for Harmonic Analysis with the Discrete Fourier Transform", Proceedings of the IEEE, vol 66, no. 1, pp. 51-83, January 1978. The maximum side-lobe level is -92.00974072 dB.
Linear Weighted
A Weighted Moving Average puts more weight on recent data and less on past data. This is done by multiplying each bar’s price by a weighting factor. Because of its unique calculation, WMA will follow prices more closely than a corresponding Simple Moving Average.
Triangular Weighted
Triangular windowing is known for very smooth results. The weights in the triangular moving average are adding more weight to central values of the averaged data. Hence the coefficients are specifically distributed. Some of the examples that can give a clear picture of the coefficients progression:
period 1 : 1
period 2 : 1 1
period 3 : 1 2 1
period 4 : 1 2 2 1
period 5 : 1 2 3 2 1
period 6 : 1 2 3 3 2 1
period 7 : 1 2 3 4 3 2 1
period 8 : 1 2 3 4 4 3 2 1
Read here to read about how each of these filters compare with each other: Windowing
What is a Finite Impulse Response Filter?
In signal processing, a finite impulse response (FIR) filter is a filter whose impulse response (or response to any finite length input) is of finite duration, because it settles to zero in finite time. This is in contrast to infinite impulse response (IIR) filters, which may have internal feedback and may continue to respond indefinitely (usually decaying).
The impulse response (that is, the output in response to a Kronecker delta input) of an Nth-order discrete-time FIR filter lasts exactly {\displaystyle N+1}N+1 samples (from first nonzero element through last nonzero element) before it then settles to zero.
FIR filters can be discrete-time or continuous-time, and digital or analog.
A FIR filter is (similar to, or) just a weighted moving average filter, where (unlike a typical equally weighted moving average filter) the weights of each delay tap are not constrained to be identical or even of the same sign. By changing various values in the array of weights (the impulse response, or time shifted and sampled version of the same), the frequency response of a FIR filter can be completely changed.
An FIR filter simply CONVOLVES the input time series (price data) with its IMPULSE RESPONSE. The impulse response is just a set of weights (or "coefficients") that multiply each data point. Then you just add up all the products and divide by the sum of the weights and that is it; e.g., for a 10-bar SMA you just add up 10 bars of price data (each multiplied by 1) and divide by 10. For a weighted-MA you add up the product of the price data with triangular-number weights and divide by the total weight.
Ultra Low Lag Moving Average's weights are designed to have MAXIMUM possible smoothing and MINIMUM possible lag compatible with as-flat-as-possible phase response.
What is a Clutter Filter?
For our purposes here, this is a filter that compares the slope of the trading filter output to a threshold to determine whether to shift trends. If the slope is up but the slope doesn't exceed the threshold, then the color is gray and this indicates a chop zone. If the slope is down but the slope doesn't exceed the threshold, then the color is gray and this indicates a chop zone. Alternatively if either up or down slope exceeds the threshold then the trend turns green for up and red for down. Fro demonstration purposes, an EMA is used as the moving average. This acts to reduce the noise in the signal.
Included
Bar coloring
Loxx's Expanded Source Types
Signals
Alerts
Related Indicators
STD/Clutter-Filtered, Kaiser Window FIR Digital Filter
STD- and Clutter-Filtered, Non-Lag Moving Average
Clutter-Filtered, D-Lag Reducer, Spec. Ops FIR Filter
STD-Filtered, Ultra Low Lag Moving Average
[Old] TL with K/K and CustomizationThe old version of Trap Light before the most recent update. In order to facilitate the table functionality that is currently available for Trap Light, I had to make some values that are used in calculations hard-coded. By request, I'm quickly making this version available.
Trap Light
Description
Trap Light is an indicator that uses the K value of the Stochastic RSI to indicate potential long or short entries. It was designed to operate like a traffic stop light that is displayed near the current candle so that you don't have to look away from the candlesticks while trading.
Kriss/Kross is simply a cross over/under strategy that utilizes the 10 EMA and the 50 EMA .
Signals and Available Alerts:
1. Max Sell (Red Sell Label)
When K is equal to 100.00.
This is the strongest sell signal, remember that you only need to make sure that the trend is reversing before you make an entry, because several of these signals can appear in a row if a strong trend hasn't yet reversed.
2. Sell (Red Sell Label)
When K is equal to or greater than 99.50.
A sell signal.
3. Close to Sell (Red Down Arrow)
When K is equal to or greater than 95.00.
A sell signal may be produced soon.
4. Not Ready (Yellow Circle)
When K is less than 95 and greater than 5.00.
This indicates that neither a sell nor buy signal are close to being produced.
5. Close to Buy (Green Up Arrow)
When K is equal to or less than 5.00.
A buy signal may be produced soon.
6. Buy (Green Buy Label)
When K is equal to or less than 0.50 and greater than 0.00.
A buy signal.
7. Max Buy (Green Buy Label)
When K is equal to 0.00.
Strongest buy signal, remember to make sure that the trend is reversing before making an entry.
8. Kriss (Buy)
A buy signal when the 10 EMA (Blue) crosses above the 50 EMA (Yellow). This is also illustrated by the triggering candle being colored blue.
9. Kross (Sell)
A sell signal when the 10 EMA (Blue) crosses below the 50 EMA (Yellow). This is also illustrated by the triggering candle being colored yellow.
Customization of many different options is available, and the code is open-source for your reference, etc.
Remember to do you own due diligence and feel free to leave a comment with questions, etc.
Ehlers Two-Pole Predictor [Loxx]Ehlers Two-Pole Predictor is a new indicator by John Ehlers . The translation of this indicator into PineScript™ is a collaborative effort between @cheatcountry and I.
The following is an excerpt from "PREDICTION" , by John Ehlers
Niels Bohr said “Prediction is very difficult, especially if it’s about the future.”. Actually, prediction is pretty easy in the context of technical analysis . All you have to do is to assume the market will behave in the immediate future just as it has behaved in the immediate past. In this article we will explore several different techniques that put the philosophy into practice.
LINEAR EXTRAPOLATION
Linear extrapolation takes the philosophical approach quite literally. Linear extrapolation simply takes the difference of the last two bars and adds that difference to the value of the last bar to form the prediction for the next bar. The prediction is extended further into the future by taking the last predicted value as real data and repeating the process of adding the most recent difference to it. The process can be repeated over and over to extend the prediction even further.
Linear extrapolation is an FIR filter, meaning it depends only on the data input rather than on a previously computed value. Since the output of an FIR filter depends only on delayed input data, the resulting lag is somewhat like the delay of water coming out the end of a hose after it supplied at the input. Linear extrapolation has a negative group delay at the longer cycle periods of the spectrum, which means water comes out the end of the hose before it is applied at the input. Of course the analogy breaks down, but it is fun to think of it that way. As shown in Figure 1, the actual group delay varies across the spectrum. For frequency components less than .167 (i.e. a period of 6 bars) the group delay is negative, meaning the filter is predictive. However, the filter has a positive group delay for cycle components whose periods are shorter than 6 bars.
Figure 1
Here’s the practical ramification of the group delay: Suppose we are projecting the prediction 5 bars into the future. This is fine as long as the market is continued to trend up in the same direction. But, when we get a reversal, the prediction continues upward for 5 bars after the reversal. That is, the prediction fails just when you need it the most. An interesting phenomenon is that, regardless of how far the extrapolation extends into the future, the prediction will always cross the signal at the same spot along the time axis. The result is that the prediction will have an overshoot. The amplitude of the overshoot is a function of how far the extrapolation has been carried into the future.
But the overshoot gives us an opportunity to make a useful prediction at the cyclic turning point of band limited signals (i.e. oscillators having a zero mean). If we reduce the overshoot by reducing the gain of the prediction, we then also move the crossing of the prediction and the original signal into the future. Since the group delay varies across the spectrum, the effect will be less effective for the shorter cycles in the data. Nonetheless, the technique is effective for both discretionary trading and automated trading in the majority of cases.
EXPLORING THE CODE
Before we predict, we need to create a band limited indicator from which to make the prediction. I have selected a “roofing filter” consisting of a High Pass Filter followed by a Low Pass Filter. The tunable parameter of the High Pass Filter is HPPeriod. Think of it as a “stone wall filter” where cycle period components longer than HPPeriod are completely rejected and cycle period components shorter than HPPeriod are passed without attenuation. If HPPeriod is set to be a large number (e.g. 250) the indicator will tend to look more like a trending indicator. If HPPeriod is set to be a smaller number (e.g. 20) the indicator will look more like a cycling indicator. The Low Pass Filter is a Hann Windowed FIR filter whose tunable parameter is LPPeriod. Think of it as a “stone wall filter” where cycle period components shorter than LPPeriod are completely rejected and cycle period components longer than LPPeriod are passed without attenuation. The purpose of the Low Pass filter is to smooth the signal. Thus, the combination of these two filters forms a “roofing filter”, named Filt, that passes spectrum components between LPPeriod and HPPeriod.
Since working into the future is not allowed in EasyLanguage variables, we need to convert the Filt variable to the data array XX. The data array is first filled with real data out to “Length”. I selected Length = 10 simply to have a convenient starting point for the prediction. The next block of code is the prediction into the future. It is easiest to understand if we consider the case where count = 0. Then, in English, the next value of the data array is equal to the current value of the data array plus the difference between the current value and the previous value. That makes the prediction one bar into the future. The process is repeated for each value of count until predictions up to 10 bars in the future are contained in the data array. Next, the selected prediction is converted from the data array to the variable “Prediction”. Filt is plotted in Red and Prediction is plotted in yellow.
The Predict Extrapolation indicator is shown below for the Emini S&P Futures contract using the default input parameters. Filt is plotted in red and Predict is plotted in yellow. The crossings of the Predict and Filt lines provide reliable buy and sell timing signals. There is some overshoot for the shorter cycle periods, for example in February and March 2021, but the only effect is a late timing signal. Further reducing the gain and/or reducing the BarsFwd inputs would provide better timing signals during this period.
Figure 2. Predict Extrapolation Provides Reliable Timing Signals
I have experimented with other FIR filters for predictions, but found none that had a significant advantage over linear extrapolation.
MESA
MESA is an acronym for Maximum Entropy Spectral Analysis. Conceptually, it removes spectral components until the residual is left with maximum entropy. It does this by forming an all-pole filter whose order is determined by the selected number of coefficients. It maximally addresses the data within the selected window and ignores all other data. Its resolution is determined only by the number of filter coefficients selected. Since the resulting filter is an IIR filter, a prediction can be formed simply by convolving the filter coefficients with the data. MESA is one of the few, if not the only way to practically determine the coefficients of a higher order IIR filter. Discussion of MESA is beyond the scope of this article.
TWO POLE IIR FILTER
While the coefficients of a higher order IIR filter are difficult to compute without MESA, it is a relatively simple matter to compute the coefficients of a two pole IIR filter.
(Skip this paragraph if you don’t care about DSP) We can locate the conjugate pole positions parametrically in the Z plane in polar coordinates. Let the radius be QQ and the principal angle be 360 / P2Period. The first order component is 2*QQ*Cosine(360 / P2Period) and the second order component is just QQ2. Therefore, the transfer response becomes:
H(z) = 1 / (1 - 2*QQ*Cosine(360 / P2Period)*Z-1 + QQ2*Z-2)
By mixing notation we can easily convert the transfer response to code.
Output / Input = 1 / (1 - 2*QQ*Cosine(360 / P2Period)* + QQ2* )
Output - 2*QQ*Cosine(360 / P2Period)*Output + QQ2*Output = Input
Output = Input + 2*QQ*Cosine(360 / P2Period)*Output - QQ2*Output
The Two Pole Predictor starts by computing the same “roofing filter” design as described for the Linear Extrapolation Predictor. The HPPeriod and LPPeriod inputs adjust the roofing filter to obtain the desired appearance of an indicator. Since EasyLanguage variables cannot be extended into the future, the prediction process starts by loading the XX data array with indicator data up to the value of Length. I selected Length = 10 simply to have a convenient place from which to start the prediction. The coefficients are computed parametrically from the conjugate pole positions and are normalized to their sum so the IIR filter will have unity gain at zero frequency.
The prediction is formed by convolving the IIR filter coefficients with the historical data. It is easiest to see for the case where count = 0. This is the initial prediction. In this case the new value of the XX array is formed by successively summing the product of each filter coefficient with its respective historical data sample. This process is significantly different from linear extrapolation because second order curvature is introduced into the prediction rather than being strictly linear. Further, the prediction is adaptive to market conditions because the degree of curvature depends on recent historical data. The prediction in the data array is converted to a variable by selecting the BarsFwd value. The prediction is then plotted in yellow, and is compared to the indicator plotted in red.
The Predict 2 Pole indicator is shown above being applied to the Emini S&P Futures contract for most of 2021. The default parameters for the roofing filter and predictor were used. By comparison to the Linear Extrapolation prediction of Figure 2, the Predict 2 Pole indicator has a more consistent prediction. For example, there is little or no overshoot in February or March while still giving good predictions in April and May.
Input parameters can be varied to adjust the appearance of the prediction. You will find that the indicator is relatively insensitive to the BarsFwd input. The P2Period parameter primarily controls the gain of the prediction and the QQ parameter primarily controls the amount of prediction lead during trending sections of the indicator.
TAKEAWAYS
1. A more or less universal band limited “roofing filter” indicator was used to demonstrate the predictors. The HPPeriod input parameter is used to control whether the indicator looks more like a trend indicator or more like a cycle indicator. The LPPeriod input parameter is used to control the smoothness of the indicator.
2. A linear extrapolation predictor is formed by adding the difference of the two most recent data bars to the value of the last data bar. The result is considered to be a real data point and the process is repeated to extend the prediction into the future. This is an FIR filter having a one bar negative group delay at zero frequency, but the group delay is not constant across the spectrum. This variable group delay causes the linear extrapolation prediction to be inconsistent across a range of market conditions.
3. The degree of prediction by linear extrapolation can be controlled by varying the gain of the prediction to reduce the overshoot to be about the same amplitude as the peak swing of the indicator.
4. I was unable to experimentally derive a higher order FIR filter predictor that had advantages over the simple linear extrapolation predictor.
5. A Two Pole IIR predictor can be created by parametrically locating the conjugate pole positions.
6. The Two Pole predictor is a second order filter, which allows curvature into the prediction, thus mitigating overshoot. Further, the curvature is adaptive because the prediction depends on previously computed prediction values.
7. The Two Pole predictor is more consistent over a range of market conditions.
ADDITIONS
Loxx's Expanded source types:
Library for expanded source types:
Explanation for expanded source types:
Three different signal types: 1) Prediction/Filter crosses; 2) Prediction middle crosses; and, 3) Filter middle crosses.
Bar coloring to color trend.
Signals, both Long and Short.
Alerts, both Long and Short.
Dynamic Relative StrengthMainly this indicator is a Relative strength indicator which tells us about the strength of a scrip as compared to an index . That is it outperforming the index or underperforming . Outperformance signifies Strength and Under performance signifies Weakness .Inspired from Bharat trader's Relative Strength of a stock , but changing the period for all time frames is a hassle so i have set 10 period for Monthly and 52 period for Weekly. As for monthly we need around 10 months data or we can use 12 as 1 year has 12 months but 10 works best . used 52 period for Weekly time frame because there are 52 weeks in a year. These values are by default dynamically applied to the indicator when weekly or monthly timeframes are chosen . Daily Period can be chosen as per anyone's need . As can be seen in provided screenshot , that the stock has recently started gaining strength on weekly a compared to Small cap100 index . So we can conclude that it has more strength than the overall index it is representing so more chances of outperformance will be there.
Close v Open Moving Averages Strategy (Variable) [divonn1994]This is a simple moving average based strategy that works well with a few different coin pairings. It takes the moving average 'opening' price and plots it, then takes the moving average 'closing' price and plots it, and then decides to enter a 'long' position or exit it based on whether the two lines have crossed each other. The reasoning is that it 'enters' a position when the average closing price is increasing. This could indicate upwards momentum in prices in the future. It then exits the position when the average closing price is decreasing. This could indicate downwards momentum in prices in the future. This is only speculative, though, but sometimes it can be a very good indicator/strategy to predict future action.
What I've found is that there are a lot of coins that respond very well when the appropriate combination of: 1) type of moving average is chosen (EMA, SMA, RMA, WMA or VWMA) & 2) number of previous bars averaged (typically 10 - 250 bars) are chosen.
Depending on the coin.. each combination of MA and Number of Bars averaged can have completely different levels of success.
Example of Usage:
An example would be that the VWMA works well for BTCUSD (BitStamp), but it has different successfulness based on the time frame. For the 12 hour bar timeframe, with the 66 bar average with the VWMA I found the most success. The next best successful combo I've found is for the 1 Day bar timeframe with the 35 bar average with the VWMA.. They both have a moving average that records about a month, but each have a different successfulness. Below are a few pair combos I think are noticeable because of the net profit, but there are also have a lot of potential coins with different combos:
It's interesting to see the strategy tester change as you change the settings. The below pairs are just some of the most interesting examples I've found, but there might be other combos I haven't even tried on different coin pairs..
Some strategy settings:
BTCUSD (BitStamp) 12 Hr Timeframe : 66 bars, VWMA=> 10,387x net profit
BTCUSD (BitStamp) 1 Day Timeframe : 35 bars, VWMA=> 7,805x net profit
BNBUSD (Binance) 12 Hr Timeframe : 27 bars, VWMA => 15,484x net profit
ETHUSD (BitStamp) 16 Hr Timeframe : 60 bars, SMA => 5,498x net profit
XRPUSD (BitStamp) 16 Hr Timeframe : 33 bars, SMA => 10,178x net profit
I only chose these coin/combos because of their insane net profit factors. There are far more coins with lower net profits but more reliable trade histories.
Also, usually when I want to see which of these strategies might work for a coin pairing I will check between the different Moving Average types, for example the EMA or the SMA, then I also check between the moving average lengths (the number of bars calculated) to see which is most profitable over time.
Features:
-You can choose your preferred moving average: SMA, EMA, WMA, RMA & VWMA.
-You can also adjust the previous number of calculated bars for each moving average.
-I made the background color Green when you're currently in a long position and Red when not. I made it so you can see when you'd be actively in a trade or not. The Red and Green background colors can be toggled on/off in order to see other indicators more clearly overlayed in the chart, or if you prefer a cleaner look on your charts.
-I also have a plot of the Open moving average and Close moving average together. The Opening moving average is Purple, the Closing moving average is White. White on top is a sign of a potential upswing and purple on top is a sign of a potential downswing. I've made this also able to be toggled on/off.
Please, comment interesting pairs below that you've found for everyone :) thank you!
I will post more pairs with my favorite settings as well. I'll also be considering the quality of the trades.. for example: net profit, total trades, percent profitable, profit factor, trade window and max drawdown.
*if anyone can figure out how to change the date range, I woul really appreciate the help. It confuses me -_- *
Pips-Stepped, Adaptive-ER DSEMA w/ DSL [Loxx]Pips-Stepped, Adaptive-ER DSEMA w/ DSL is an Efficiency-Ratio-Adaptive, Double-Smoothed EMA with Pips Stepping and Discontinued Signal Lines. This combination reduces noise and improves signal quality.
What is Double Smoothed Exponential Moving Average (DSEMA) ?
The Double Smoothed Exponential Moving Average is a lot less laggy compared to a traditional EMA . It's also considered a leading indicator compared to the EMA , and is best utilized whenever smoothness and speed of reaction to market changes are required.
What is the efficiency ratio?
In statistical terms, the Efficiency Ratio tells us the fractal efficiency of price changes. ER fluctuates between 1 and 0, but these extremes are the exception, not the norm. ER would be 1 if prices moved up 10 consecutive periods or down 10 consecutive periods. ER would be zero if price is unchanged over the 10 periods.
Included:
Bar coloring
Signals
Alerts
EMA and FEMA Signal/ DSL smoothing
Loxx's Expanded Source Types
10yr, 20yr, 30yr Averages: Month/Month % Change; SeasonalityCalculates 10yr, 20yr and 30yr averages for month/month % change
~shows seasonal tendencies in assets (best in commodities). In above chart: August is a seasonally bullish month for Gold: All the averages agree. And January is the most seasonally bullish month.
~averages represent current month/previous month. i.e. Jan22 average % change represents whole of jan22 / whole of dec21
~designed for daily timeframe only: I found calling monthly data too buggy to work with, and I thought weekly basis may be less precise (though it would certainly reduce calculation time!)
~choose input year, and see the previous 10yrs of monthly % change readings, and previous 10yrs Average, 20yr Average, 30yr Average for the respective month. Labels table is always anchored to input year.
~user inputs: colors | label sizes | decimal places | source expression for averages | year | show/hide various sections
~multi-yr averges always print, i.e if only 10yrs history => 10yr Av = 20yr Av = 30yr Av. 'History Available' label helps here.
Based on my previously publised script: "Month/Month Percentage % Change, Historical; Seasonal Tendency"
Publishing this as seperate indicator because:
~significantly slower to load (around 13 seconds)
~non-premium users may not have the historical bars available to use 20yr or 30yr averages =>> prefer the lite/speedier version
~~tips~~
~after loading, touch the new right scale; then can drag the table as you like and seperate it from price chart
##Debugging/tweaking##
Comment-in the block at the end:
~test/verifify specific array elements elements.
~see the script calculation/load time
~~other ideas ~~
~could tweak the array.slice values in lines 313 - 355 to show the last 3 consecutive 10yr averages instead (i.e. change 0, 10 | 0,20 | 0, 30 to 0, 10 | 10, 20 | 20,30)
~add 40yr average by adding another block to each of the array functions, and tweaking the respective labels after line 313 (though this would likely add another 5 seconds to the load time)
~use alternative method for getting obtaining multi-year values from individual month elements. I used array.avg. You could try array.median, array.mode, array.variance, array.max, array.min (lines 313-355)
Month/Month Percentage % Change, Historical; Seasonal TendencyTable of monthly % changes in Average Price over the last 10 years (or the 10 yrs prior to input year).
Useful for gauging seasonal tendencies of an asset; backtesting monthly volatility and bullish/bearish tendency.
~~User Inputs~~
Choose measure of average: sma(close), sma(ohlc4), vwap(close), vwma(close).
Show last 10yrs, with 10yr average % change, or to just show single year.
Chose input year; with the indicator auto calculating the prior 10 years.
Choose color for labels and size for labels; choose +Ve value color and -Ve value color.
Set 'Daily bars in month': 21 for Forex/Commodities/Indices; 30 for Crypto.
Set precision: decimal places
~~notes~~
-designed for use on Daily timeframe (tradingview is buggy on monthly timeframe calculations, and less precise on weekly timeframe calculations).
-where Current month of year has not occurred yet, will print 9yr average.
-calculates the average change of displayed month compared to the previous month: i.e. Jan22 value represents whole of Jan22 compared to whole of Dec21.
-table displays on the chart over the input year; so for ES, with 2010 selected; shows values from 2001-2010, displaying across 2010-2011 on the chart.
-plots on seperate right hand side scale, so can be shrunk and dragged vertically.
-thanks to @gabx11 for the suggestion which inspired me to write this
RSI Trend Heatmap in Multi TimeframesRSI Trend Heatmap in Multi Timeframes
Description
Sometimes you want to look at the RSI Trend across multiple time frames.
You have to waste time browsing through them.
So we've put together every time frame you want to see in one indicator.
We have 10 layers of RSI Trend heatmap available for you.
You can set the timeframe as you want on the Settings page.
Description of Parameter RSI Setting ** You can change it by setting.
RSI Trend Length : (Default 50)
Source : (Default close)
RSI Sideways Length : (Default 2 = RSI between 48 .. 52)
Description of Parameter RSI Timeframe ** You can change it by setting.
""=None,
"M"=1Month, "2W"=2Weeks, "W"=1Week,
"3D"=3Days, "2D"=2Days, "D"=1Day,
"720"=12Hours, "480"=4Hours, "240"=4Hours, "180"=3Hours, "120"=2Hours,
"60"=60Minutes, "30"=30Minutes, "15"=15Minutes, "5"=5Minutes, "1"=1Minute
Default Configurate of RSI Timeframe (for a time frame of 1 hour to 1 day)
"W"= Timeframe 1 month shown in line 90-100 --> Represent Long Trend of RSI
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"D2"= Timeframe 2 days shown in line 70-80 --> Represent Trend of RSI
"D"= Timeframe 1 day shown in line 60-70 --> Represent Trend of RSI
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"240"= Timeframe 3 hours shown in line 40-50 --> Represent Signal Up/Signal Down/Divergence of RSI
"120"= Timeframe 2 hours shown in line 30-40 --> Represent Signal Up/Signal Down/Divergence of RSI
"60"= Timeframe 1 hour shown in line 20-30 --> Represent Signal Up/Signal Down/Divergence of RSI
"30"= Timeframe 30 minutes shown in line 10-20 --> Represent Signal Up/Signal Down/Divergence of RSI
"15"= Timeframe 15 minutes shown in line 00-10 --> Represent Signal Up/Signal Down/Divergence of RSI
Description of Colors
Dark Bule = Extreme Uptrend / Overbought / Bull Market (RSI > 67)
Light Bule = Uptrend (RSI between 50-52 .. 67)
Yellow = Sideways Trend / Trend Reversal (RSI between 48 .. 52) ** You can change it by setting.
Light Red = Downtrend (RSI between 33 .. 48-50)
Dark Red = Extreme Downtrend / Oversold / Bear Market (RSI < 33)
How to use
1. You must first know what the main trend of the RSI is (look at the 60-80 line). If it is red, it is a downtrend. and if it's blue shows that it is an uptrend
2. Throughout the period of the main trend There will always be a reversal of the sub-trend. (Can see from the 0-50 line), but eventually will return to follow the main trend.
3. Unless the sub trend persists for a long time until the main trend changes.
DSS of Advanced Kaufman AMA [Loxx]DSS of Advanced Kaufman AMA is a double smoothed stochastic oscillator using a Kaufman adaptive moving average with the option of using the Jurik Fractal Dimension Adaptive calculation. This helps smooth the stochastic oscillator thereby making it easier to identify reversals and trends.
What is the double smoothed stochastic?
The Double Smoothed Stochastic indicator was created by William Blau. It applies Exponential Moving Averages (EMAs) of two different periods to a standard Stochastic %K. The components that construct the Stochastic Oscillator are first smoothed with the two EMAs. Then, the smoothed components are plugged into the standard Stochastic formula to calculate the indicator.
What is KAMA?
Developed by Perry Kaufman, Kaufman's Adaptive Moving Average (KAMA) is a moving average designed to account for market noise or volatility . KAMA will closely follow prices when the price swings are relatively small and the noise is low. KAMA will adjust when the price swings widen and follow prices from a greater distance. This trend-following indicator can be used to identify the overall trend, time turning points and filter price movements.
What is the efficiency ratio?
In statistical terms, the Efficiency Ratio tells us the fractal efficiency of price changes. ER fluctuates between 1 and 0, but these extremes are the exception, not the norm. ER would be 1 if prices moved up 10 consecutive periods or down 10 consecutive periods. ER would be zero if price is unchanged over the 10 periods.
What is Jurik Fractal Dimension?
There is a weak and a strong way to measure the random quality of a time series.
The weak way is to use the random walk index ( RWI ). You can download it from the Omega web site. It makes the assumption that the market is moving randomly with an average distance D per move and proposes an amount the market should have changed over N bars of time. If the market has traveled less, then the action is considered random, otherwise it's considered trending.
The problem with this method is that taking the average distance is valid for a Normal (Gaussian) distribution of price activity. However, price action is rarely Normal, with large price jumps occuring much more frequently than a Normal distribution would expect. Consequently, big jumps throw the RWI way off, producing invalid results.
The strong way is to not make any assumption regarding the distribution of price changes and, instead, measure the fractal dimension of the time series. Fractal Dimension requires a lot of data to be accurate. If you are trading 30 minute bars, use a multi-chart where this indicator is running on 5 minute bars and you are trading on 30 minute bars.
Included
-Toggle bar colors on/offf
Bollinger CloudsThis indicator plots Bollinger Bands for your current timeframe (e.g 5 minutes) and also plots the Bollinger Bands for a higher timeframe (15 minutes for 5 minute timeframe). Then the gaps between the current and higher timeframe upper and lower bands is filled to create clouds which can be used as entry zones. Like Bollinger Bands, this indicator shouldn't be solely used for entries, use it in conjunction with other indicators.
Bollinger Band Timeframes
Current / Higher
1 minute / 5 minutes
3 minutes / 10 minutes
5 minutes / 15 minutes
10 minutes / 30 minutes
15 minutes / 1 hour
30 minutes / 2 hours
45 minutes / 1.5 hours
1 hour / 4 hours
2 hours / 8 hours
2.5 hours / 10 hours
4 hours / 1 Day
1 Day / 3 Days
3 Days / 9 Days
5 Days / 2 Weeks
1 Week / 1 Month
Ichimoku Kinko HyoThis indicator is adding to the original indicator Ichimoku Cloud some visual informations.
Be aware of settings that are by default 10, 30, 60, while in the original indicator, default settings are 9, 26, 52. These are commonly consider like "crypto settings".
Tenkan = blue line
Kijun = orange line
SSB = red line
This indicator display three categories of signals that are given by the Ichimoku indicator:
- tenkan / kijun crosses ;
- breaks of mid prices for the different time horizon ;
- bar coloring depending of the trend
Let's review more in deep each of these elements.
Tenkan / Kijun crosses
When the tenkan crossover the kijun, this is called gold cross and it's display by a green triangle at the bottom of the chart.
When the tenkan crossunder the kijun, this is called death cross and it's display by a red triangle at the top of the chart.
I advise to not enter long or short only on this signal because it can be fake, especially during ranges.
To confirm the signal, we need to wait for a movement of the kijun in the same side of the cross. See first arrow on the chart.
Breaks of mid prices
Ichimoku is composed of three han-le lines that displays mid-price of the last candles depending on the settings (10, 30, 60).
Tenkan show us the mid-price of the last 10 candles (short term)
Kijun show us the mid-price of the last 30 candles (mid term)
SSB show us the mid-price of the last 60 candles (long term)
Break of tenkan by the price is the first signal that Ichimoku gives us before a reversal of the trend. This signal is display by a blue triangle.
Then, happened the break of kijun line follow by the break of the SSB. These are display respectively by an orange triangle and a red triangle.
Same advise, don't enter long or short only on break of these lines.
However, tenkan and kijun breaks can be used as exit point.
Bar coloring
The bar coloring display the strength of the trend:
- green candle: strong bullish trend - this happen when the current price is above tenkan, kijun and SSB ;
- blue candle: potential starting of a bullish trend - this happen when the current price is above tenkan and kijun but below the SSB ;
- no colored candle: no trend, market is in a range - this happen when the current price is above tenkan and below kijun and SSB or when the current price is below tenkan and above kijun and SSB ;
- orange candle: potential starting of a bearish trend - this happen when the current price is below tenkan and kijun but above SSB ;
- red candle: strong bearish trend - this happen when the current price is below tenkan, kijun and SSB
How to use to enter / exit trades
First of all, we need confirmations to enter in the side of the trend.
The first signal that the indicator gives us is the break of tenkan, follow by the break of kijun. Candles becomes blue / orange depending of the side.
Then, we wait for a cross of tenkan and kijun. This cross has to be confirmed by a movement of kijun. A flat kijun tell us this is a fake cross.
When the movement of kijun happened in the same side of the cross it is possible to enter a trade if you are aggresive.
Otherwise, you can wait for the third signal to take place: break of SSB, candle become green / red, depending on the side.
You can then enter a trade.
Then hold the position and wait to exit for break of tenkan or kijun, depending on your horizon (short / mid term).
If you have other questions or some features that are missing, pm me. Thanks.
Parabolic SAR of KAMA [Loxx]Parabolic SAR of KAMA attempts to reduce noise and volatility from regular Parabolic SAR in order to derive more accurate trends. In addition, and to further reduce noise and enhance trend identification, PSAR of KAMA includes two calculations of efficiency ratio: 1) price change adjusted for the daily volatility; or, 2) Jurik Fractal Dimension Adaptive (explained below)
What is PSAR?
The parabolic SAR indicator, developed by J. Wells Wilder, is used by traders to determine trend direction and potential reversals in price. The indicator uses a trailing stop and reverse method called "SAR," or stop and reverse, to identify suitable exit and entry points. Traders also refer to the indicator as to the parabolic stop and reverse, parabolic SAR, or PSAR.
What is KAMA?
Developed by Perry Kaufman, Kaufman's Adaptive Moving Average (KAMA) is a moving average designed to account for market noise or volatility. KAMA will closely follow prices when the price swings are relatively small and the noise is low. KAMA will adjust when the price swings widen and follow prices from a greater distance. This trend-following indicator can be used to identify the overall trend, time turning points and filter price movements.
What is the efficiency ratio?
In statistical terms, the Efficiency Ratio tells us the fractal efficiency of price changes. ER fluctuates between 1 and 0, but these extremes are the exception, not the norm. ER would be 1 if prices moved up 10 consecutive periods or down 10 consecutive periods. ER would be zero if price is unchanged over the 10 periods.
What is Jurik Fractal Dimension?
There is a weak and a strong way to measure the random quality of a time series.
The weak way is to use the random walk index (RWI). You can download it from the Omega web site. It makes the assumption that the market is moving randomly with an average distance D per move and proposes an amount the market should have changed over N bars of time. If the market has traveled less, then the action is considered random, otherwise it's considered trending.
The problem with this method is that taking the average distance is valid for a Normal (Gaussian) distribution of price activity. However, price action is rarely Normal, with large price jumps occuring much more frequently than a Normal distribution would expect. Consequently, big jumps throw the RWI way off, producing invalid results.
The strong way is to not make any assumption regarding the distribution of price changes and, instead, measure the fractal dimension of the time series. Fractal Dimension requires a lot of data to be accurate. If you are trading 30 minute bars, use a multi-chart where this indicator is running on 5 minute bars and you are trading on 30 minute bars.
Conclusion from the combined efforts explained above:
-PSAR is a tool that identifies trends
-To reduce noise and identify trends during periods of low volatility, we calculate a PSAR on KAMA
-To enhance noise and reduction and trend identification, we attempt to derive an efficiency ratio that is less reliant on a Normal (Gaussian) distribution of price
Included:
-Customization of all variables
-Select from two different ER calculation styles
-Multiple timeframe enabled
BB + RSI double strategy developeI'm Korean, and it may not be enough to explain this script in English. I feel sorry for the users of TradingView for this lack of English skills. If you are Korean, please return it to the translator using Papago. It will be a useful manual for you.
This script referenced Chartart's Double Strategy. But there are some changes in his script.
0. Basically, when you break through the top or bottom of the 100th period balliser band and come back into the band, you track the overbuying and overselling of the RSI to determine your position entry. The order is triggered only when both conditions are satisfied at the same time. However, only one condition applies to clearing the position. This is because it is most effective in reducing risk and increasing assets in terms of profit and loss.
1. This script is optimized for 15 minutes of bitcoin futures chart and API via webbook alert. By default, 10x leverage usage and 10 pyramids are applied.
2. Setting a chart period other than 15 minutes will not guarantee sufficient effectiveness. It can also be applied to Ethereum , but it is not recommended to apply to other symbols.
3. I added Enable Date Filter because Chartart's script could not apply the strategy to the user's desired period. This feature allows you to set a period of time when you do not want to use the strategy. You can also uncheck it if you don't want to fully use this feature. Please remember that it is an exclusion period, not a usage period. With this feature, we can see the effectiveness of the strategy from a point in time, not from the entire period. You can also clearly differentiate the effectiveness of the strategy from the point you use it.
4. You can also stop using strategies at certain times of the day when you don't want to apply them. This works similarly to the Enalbe Date Filter described above. This allows you to sleep comfortably even if you don't fully trust this strategy.
5. The period, overbuying, and overselling figures of RSI can be set individually. For example, when you take a long position, you can set the RSI to a period of 7, and at the same time, the RSI entering the short position can be set to a period of 14. You can also set the base figures for overbuying and overselling to levels that you think are reasonable. This figure works in conjunction with the Bollinger Band and affects position entry when it is crossed or returned.
6. Based on API futures trading, basic Sleepy and commission are applied. This is geared towards market price transactions. This makes your revenue look more reasonable.
Thank you very much, Chartart. You are a genius.
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저는 한국인이고, 영어로 이 스크립트를 설명하는 것이 어렵기 때문에 설명이 부족할 수 있습니다. 이런 영어 능력 부족에 대해서 TradingView 사용자들에게 미안하게 생각합니다. 만약 당신이 한국인이라면 파파고를 사용하여 번역기에 돌려주십시오. 당신에게 유익한 설명서가 될 것입니다.
이 스크립트는 Chart art의 Double Strategy를 참조했습니다. 그러나 그의 스크립트에서 달라진 점이 몇 가지 있습니다.
0. 기본적으로 100기간의 볼린져밴드의 상단 또는 하단을 돌파한 뒤 다시 밴드 안으로 들어올 때 RSI의 과매수, 과매도를 추적하여 포지션 진입을 결정합니다. 두 가지 조건이 동시에 만족되어야만 주문이 트리거 됩니다. 그러나 포지션을 청산하는 것에는 볼린져밴드 하나의 조건만 적용합니다. 여러가지 테스트를 거친 결과 이것이 손익 면에서 가장 효과적으로 리스크를 줄이고 자산을 늘리는 것에 효율적이기 때문입니다.
1. 이 스크립트는 15분의 비트코인 선물 차트와 webhook alert을 통한 API에 최적화되어 있습니다. 기본적으로 10배의 레버리지 사용과 10개의 피라미딩이 적용되어 있습니다.
2. 15분 외에 다른 차트 기간을 설정한다면 충분한 효과를 보장할 수 없습니다. 또한 이더리움에도 적용할 수 있지만, 그 외에 다른 심볼에는 적용하지 않는 것을 권장합니다.
3. Chart art의 스크립트는 전략을 사용자가 원하는 기간에 적용할 수 없었기 때문에, 저는 Enable Date Filter를 추가하였습니다. 이 기능을 통해 전략 사용을 원하지 않는 기간을 설정할 수 있습니다. 또한 이 기능을 완전히 사용하고싶지 않다면 체크를 해제할 수 있습니다. 사용 기간이 아닌 제외 기간인 점을 상기하시길 바랍니다. 이 기능을 통해 우리는 전체 기간이 아닌 가까운 특정 시점부터의 전략 적용 효과를 확인할 수 있습니다. 또한 사용자가 전략을 사용한 시점부터의 효과를 명백히 구분할 수 있습니다.
4. 또한 사용자가 적용을 원하지 않는 하루 중의 특정 시간대에 전략 사용을 멈출 수도 있습니다. 이는 위에 설명한 Enalbe Date Filter와 유사하게 작동합니다. 이를 통해 당신이 온전히 이 전략을 신뢰하지 못하여도 당신은 마음 편하게 잠에 들 수 있습니다.
5. RSI의 기간 및 과매수, 과매도 수치를 개별적으로 설정할 수 있습니다. 예를 들어 당신이 롱 포지션을 취할 때에는 RSI를 7의 기간으로 설정할 수 있고, 동시에 숏 포지션을 진입하는 RSI는 14의 기간으로 설정될 수 있습니다. 또한 과매수 및 과매도의 기준 수치를 당신이 합리적이라고 생각하는 수준으로 설정할 수 있습니다. 이 수치는 볼린져밴드와 함께 작동하여 그것을 넘어서거나 다시 되돌아올 때 포지션 진입에 영향을 미칩니다.
6. API 선물거래를 기준으로 하여 기본적인 슬리피지와 커미션이 적용되어있습니다. 이는 시장가 거래에 맞춰져 있습니다. 이는 당신의 수익을 좀 더 합리적인 수치로 보일 수 있게 합니다.
Chartart에게 특별히 감사합니다. 당신은 천재입니다.
honest personal libraryLibrary "honestpersonallibrary"
thestratnumber() this will return the number 1,2 or 3 using the logic from Rob Smiths #thestrat which uses these type of bars for setups
getBodySize() Gets the current candle's body size (in POINTS, divide by 10 to get pips)
Returns: The current candle's body size in POINTS
getTopWickSize() Gets the current candle's top wick size (in POINTS, divide by 10 to get pips)
Returns: The current candle's top wick size in POINTS
getBottomWickSize() Gets the current candle's bottom wick size (in POINTS, divide by 10 to get pips)
Returns: The current candle's bottom wick size in POINTS
getBodyPercent() Gets the current candle's body size as a percentage of its entire size including its wicks
Returns: The current candle's body size percentage
strictBearPinBar(float, float) This it to find pinbars with a very long wick compared to the body that are bearish
Parameters:
float : minTopMulitplier (default=4) The minimum number of times that the top wick has to be bigger than the candle body size
float : maxBottomMultiplier (default=2) The maximum number of times that the bottom wick can be bigger than the candle body size
Returns: a bool function true if current candle is withing the parameters
strictBullPinBar(float, float) This it to find pinbars with a very long wick compared to the body that are bearish
Parameters:
float : minTopMulitplier (default=4) The minimum number of times that the top wick has to be bigger than the candle body size
float : maxBottomMultiplier (default=2) The maximum number of times that the bottom wick can be bigger than the candle body size
Returns: a bool function true if current candle is withing the parameters
