[SHORT ONLY] Internal Bar Strength (IBS) Mean Reversion Strategy█ STRATEGY DESCRIPTION
The "Internal Bar Strength (IBS) Strategy" is a mean-reversion strategy designed to identify trading opportunities based on the closing price's position within the daily price range. It enters a short position when the IBS indicates overbought conditions and exits when the IBS reaches oversold levels. This strategy is Short-Only and was designed to be used on the Daily timeframe for Stocks and ETFs.
█ WHAT IS INTERNAL BAR STRENGTH (IBS)?
Internal Bar Strength (IBS) measures where the closing price falls within the high-low range of a bar. It is calculated as:
IBS = (Close - Low) / (High - Low)
- Low IBS (≤ 0.2) : Indicates the close is near the bar's low, suggesting oversold conditions.
- High IBS (≥ 0.8) : Indicates the close is near the bar's high, suggesting overbought conditions.
█ SIGNAL GENERATION
1. SHORT ENTRY
A Short Signal is triggered when:
The IBS value rises to or above the Upper Threshold (default: 0.9).
The Closing price is greater than the previous bars High (close>high ).
The signal occurs within the specified time window (between `Start Time` and `End Time`).
2. EXIT CONDITION
An exit Signal is generated when the IBS value drops to or below the Lower Threshold (default: 0.3). This prompts the strategy to exit the position.
█ ADDITIONAL SETTINGS
Upper Threshold: The IBS level at which the strategy enters trades. Default is 0.9.
Lower Threshold: The IBS level at which the strategy exits short positions. Default is 0.3.
Start Time and End Time: The time window during which the strategy is allowed to execute trades.
█ PERFORMANCE OVERVIEW
This strategy is designed for Stocks and ETFs markets and performs best when prices frequently revert to the mean.
The strategy can be optimized further using additional conditions such as using volume or volatility filters.
It is sensitive to extreme IBS values, which help identify potential reversals.
Backtesting results should be analyzed to optimize the Upper/Lower Thresholds for specific instruments and market conditions.
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BullDozz Fibo ZigZagFibo ZigZag - Advanced Fibonacci Retracement Tool 🔥
📌 Overview
The Fibo ZigZag indicator is a powerful tool for trend structure analysis using the ZigZag pattern and Fibonacci retracement levels. It automatically identifies swing highs & lows, draws ZigZag lines, and overlays Fibonacci levels with price labels at the right end for better readability.
This indicator is designed for traders who use price action, trend reversal strategies, and support/resistance analysis.
🛠 Features
✅ Automatic ZigZag detection with customizable depth, deviation, and backstep
✅ Fibonacci retracement levels (0%, 23.6%, 38.2%, 50%, 61.8%, 100%, 161.8%, 261.8%, 423.6%)
✅ Price labels at Fibonacci levels (placed at the right end of the levels)
✅ Alerts for new swing highs & lows
✅ Customizable line colors, text colors, and label sizes
✅ Lightweight and optimized for fast performance
📊 How It Works
1️⃣ The script detects ZigZag structure points based on price swings
2️⃣ It connects recent highs & lows with a ZigZag line
3️⃣ Fibonacci retracement levels are calculated and drawn between the last two significant swing points
4️⃣ Each Fibo level is labeled with its percentage & exact price, placed at the right end for clarity
5️⃣ Alerts trigger automatically when a new swing high or low is detected
⚙ Customization Options
🔹 ZigZag Settings: Adjust Depth, Deviation, BackStep, and Leg length
🔹 Fibonacci Levels: Modify line colors, label text colors, and visibility
🔹 Alerts: Enable/disable trend change alerts
📈 Best Use Cases
🚀 Identifying Trend Reversals – Detect key turning points using Fibonacci levels
📉 Support & Resistance Trading – Use retracement levels as entry/exit points
📊 Swing Trading & Scalping – Combine ZigZag with price action for effective strategies
🔔 Alert-Based Trading – Get notified when new swing highs/lows form
🚀 How to Use
📌 Add the indicator to your chart
📌 Adjust the settings to match your trading strategy
📌 Use the Fibonacci levels & ZigZag lines to analyze trend direction & key price zones
📌 Wait for alerts or manually enter trades based on price reaction to Fibo levels
📢 Final Thoughts
The Fibo ZigZag is an essential tool for traders who rely on price action, trend reversals, and Fibonacci levels. Whether you're a beginner or a pro, this indicator helps you spot high-probability trading opportunities with ease.
⚡ Try it now & enhance your trading strategy! 🚀
💬 Let us know your feedback & suggestions in the comments! Happy trading! 📊🔥
My auto dual avwap with Auto swing low/pivot low finderWelcome to My Auto Dual AVWAP with Auto Swing Low/Pivot Low Finder – an open-source TradingView indicator designed to enhance your technical analysis toolbox. This indicator is published under the Mozilla Public License 2.0 and is available for anyone to study, modify, and distribute.
Key Features
Auto Pivot/Swing Low Finder:
In addition to VWAP lines, the indicator incorporates an automatic detection mechanism for swing lows/pivot lows. This feature assists in identifying potential support areas and price reversals, further enhancing your trading strategy.
Dual VWAP Calculation with high/low range:
The indicator calculates two separate volume-weighted average price (VWAP) lines based on different price inputs (low and high prices) and defined time sessions. This allows traders to gain a more nuanced view of market activity during specific trading periods.
Customizable Time Sessions:
You can specify distinct start and end times for each VWAP calculation session. This flexibility helps you align the indicator with your preferred trading hours or market sessions, making it adaptable to various time zones and trading styles.
Easy to Customize:
With clear code structure and detailed comments, the script is designed to be accessible even for traders who want to customize or extend its functionality. Whether you're a seasoned coder or just starting out, the code is written with transparency in mind.
How It Works
Session Initialization:
The script sets up two distinct time sessions using user-defined start and end times. For each session, it detects the beginning of the trading period to reset cumulative values.
Cumulative Calculations:
During each session, the indicator accumulates the product of price and volume as well as the total volume. The VWAP is then computed as the ratio of these cumulative values.
Dual Data Sources:
Two separate data inputs (using low and high prices) are used to calculate two VWAP lines. This dual approach provides a broader perspective on market trends and can help in identifying dynamic support and resistance levels.
Visualization:
The calculated VWAP lines are plotted directly on your chart with distinct colors and thickness settings for easy visualization. This makes it simple to interpret the data at a glance.
Why Use This Indicator?
Whether you are a day trader, swing trader, or simply looking to refine your market analysis, My Auto Dual AVWAP with Auto Swing Low/Pivot Low Finder offers a robust set of features that can help you identify key price levels and improve your decision-making process. Its open-source nature invites collaboration and customization, ensuring that you can tailor it to fit your unique trading style.
Feel free to explore, modify, and share this indicator. Happy trading!
4-Year Cycles [jpkxyz]Overview of the Script
I wanted to write a script that encompasses the wide-spread macro fund manager investment thesis: "Crypto is simply and expression of macro." A thesis pioneered by the likes of Raoul Pal (EXPAAM) , Andreesen Horowitz (A16Z) , Joe McCann (ASYMETRIC) , Bob Loukas and many more.
Cycle Theory Background:
The 2007-2008 financial crisis transformed central bank monetary policy by introducing:
- Quantitative Easing (QE): Creating money to buy assets and inject liquidity
- Coordinated global monetary interventions
Proactive 4-year economic cycles characterised by:
- Expansionary periods (low rates, money creation)
- Followed by contraction/normalisation
Central banks now deliberately manipulate liquidity, interest rates, and asset prices to control economic cycles, using monetary policy as a precision tool rather than a blunt instrument.
Cycle Characteristics (based on historical cycles):
- A cycle has 4 seasons (Spring, Summer, Fall, Winter)
- Each season with a cycle lasts 365 days
- The Cycle Low happens towards the beginning of the Spring Season of each new cycle
- This is followed by a run up throughout the Spring and Summer Season
- The Cycle High happens towards the end of the Fall Season
- The Winter season is characterised by price corrections until establishing a new floor in the Spring of the next cycle
Key Functionalities
1. Cycle Tracking
- Divides market history into 4-year cycles (Spring, Summer, Fall, Winter)
- Starts tracking cycles from 2011 (first cycle after the 2007 crisis cycle)
- Identifies and marks cycle boundaries
2. Visualization
- Colors background based on current cycle season
- Draws lines connecting:
- Cycle highs and lows
- Inter-cycle price movements
- Adds labels showing:
- Percentage gains/losses between cycles
- Number of days between significant points
3. Customization Options
- Allows users to customize:
- Colors for each season
- Line and label colors
- Label size
- Background opacity
Detailed Mechanism
Cycle Identification
- Uses a modulo calculation to determine the current season in the 4-year cycle
- Preset boundary years include 2015, 2019, 2023, 2027
- Automatically tracks and marks cycle transitions
Price Analysis
- Tracks highest and lowest prices within each cycle
- Calculates percentage changes:
- Intra-cycle (low to high)
- Inter-cycle (previous high to current high/low)
Visualization Techniques
- Background color changes based on current cycle season
- Dashed and solid lines connect significant price points
- Labels provide quantitative insights about price movements
Unique Aspects
1. Predictive Cycle Framework: Provides a structured way to view market movements beyond traditional technical analysis
2. Seasonal Color Coding: Intuitive visual representation of market cycle stages
3. Comprehensive Price Tracking: Captures both intra-cycle and inter-cycle price dynamics
4. Highly Customizable: Users can adjust visual parameters to suit their preferences
Potential Use Cases
- Technical analysis for long-term investors
- Identifying market cycle patterns
- Understanding historical price movement rhythms
- Educational tool for market cycle theory
Limitations/Considerations
- Based on a predefined 4-year cycle model (Liquidity Cycles)
- Historic Cycle Structures are not an indication for future performance
- May not perfectly represent all market behavior
- Requires visual interpretation
This script is particularly interesting for investors who believe in cyclical market theories and want a visual, data-driven representation of market stages.
IU Opening range Breakout StrategyIU Opening Range Breakout Strategy
This Pine Script strategy is designed to capitalize on the breakout of the opening range, which is a popular trading approach. The strategy identifies the high and low prices of the opening session and takes trades based on price crossing these levels, with built-in risk management and trade limits for intraday trading.
Key Features:
1. Risk Management:
- Risk-to-Reward Ratio (RTR):
Set a customizable risk-to-reward ratio to calculate target prices based on stop-loss levels.
Default: 2:1
- Max Trades in a Day:
Specify the maximum number of trades allowed per day to avoid overtrading.
Default: 2 trades in a day.
- End-of-Day Close:
Automatically closes all open positions at a user-defined session end time to ensure no overnight exposure.
Default: 3:15 PM
2. Opening Range Identification
- Opening Range High and Low:
The script detects the high and low of the first trading session using Pine Script's session functions.
These levels are plotted as visual guides on the chart:
- High: Lime-colored circles.
- Low: Red-colored circles.
3. Trade Entry Logic
- Long Entry:
A long trade is triggered when the price closes above the opening range high.
- Entry condition: Crossover of the price above the opening range high.
-Short Entry:
A short trade is triggered when the price closes below the opening range low.
- Entry condition: Crossunder of the price below the opening range low.
Both entries are conditional on the absence of an existing position.
4. Stop Loss and Take Profit
- Long Position:
- Stop Loss: Previous candle's low.
- Take Profit: Calculated based on the RTR.
- **Short Position:**
- **Stop Loss:** Previous candle's high.
- **Take Profit:** Calculated based on the RTR.
The strategy plots these levels for visual reference:
- Stop Loss: Red dashed lines.
- Take Profit: Green dashed lines.
5. Visual Enhancements
-Trade Level Highlighting:
The script dynamically shades the areas between the entry price and SL/TP levels:
- Red shading for the stop-loss region.
- Green shading for the take-profit region.
- Entry Price Line:
A silver-colored line marks the average entry price for active trades.
How to Use:
1.Input Configuration:
Adjust the Risk-to-Reward ratio, max trades per day, and session end time to suit your trading preferences.
2.Visual Cues:
Use the opening range high/low lines and shading to identify potential breakout opportunities.
3.Execution:
The strategy will automatically enter and exit trades based on the conditions. Review the plotted SL and TP levels to monitor the risk-reward setup.
Important Notes:
- This strategy is designed for intraday trading and works best in markets with high volatility during the opening session.
- Backtest the strategy on your preferred market and timeframe to ensure compatibility.
- Proper risk management and position sizing are essential when using this strategy in live markets.
Bullish/Bearish Reversal Bars Indicator [Skyrexio]Introduction
Bullish/Bearish Reversal Bars Indicator leverages the combination of candlestick reversal bar pattern and the Williams Alligator indicator to help traders in understanding where there is a high probability of market reversal or correction. Indicator works for both bearish and bullish cases. It visualizes the bearish and bullish reversal bars with red and green dots and also plots the Alligator's lips to make it more convenient for traders to understand if price is above or below lips line (more information in "Methodology and it's justification" paragraph).
Features
Market Facilitation Index(MFI) filter: with the specified parameter in settings user can choose to filter bullish and bearish reversal bars which passed the MFI condition.
Awesome Oscillator(AO) filter: with the specified parameter in settings user can choose to filter bullish and bearish reversal bars which passed the AO condition.
Alerts: user can set up the alert and have notifications when bullish/bearish reversal bar has been printed.
Methodology and it's justification
In the script’s methodology, we apply the concepts of bullish and bearish reversal bars introduced by Bill Williams in his book Trading Chaos. So, what exactly is a bullish or bearish reversal bar? At its core, it’s a candlestick pattern. A bullish reversal bar is a bar that closes in its upper half, while a bearish reversal bar closes in its lower half.
Why is this type of bar significant? Let’s look at the bullish reversal bar as an example. When the price is trending upward, forming higher highs with each candle, and we suddenly see a bullish bar that makes a new high but ultimately closes in its lower half, it signals a shift in control. Bears have taken control toward the end of that candle's period, pushing the price back down. This can be interpreted as a sign of trend weakness and a potential reversal (or at least a correction).
An additional key point is that a reversal bar often indicates a possible end to the trend. Therefore, for a reversal bar to be valid, several preceding candles should show lower highs (for bullish bars) or higher lows (for bearish bars), reinforcing the likelihood of a trend change.
The second step on methodology is the location of the bar related to Williams Alligator. The Williams Alligator Indicator, developed by Bill Williams, is a technical analysis tool that helps traders identify trends and potential turning points in the market. It consists of three lines, often called the jaw, teeth, and lips of the alligator, each representing different moving averages:
Jaw (Blue Line): A slower moving average, typically a 13-period smoothed moving average shifted 8 bars into the future.
Teeth (Red Line): A medium moving average, typically an 8-period smoothed moving average shifted 5 bars into the future.
Lips (Green Line): A faster moving average, usually a 5-period smoothed moving average shifted 3 bars into the future.
When the three lines are spread out and moving in the same direction, it suggests a strong trend (the "alligator" is "awake and feeding"). When they intertwine, the indicator suggests that the market is moving sideways, or in a range, signaling a lack of clear trend (the "alligator" is "sleeping"). Traders use the Alligator Indicator to enter trades in trending markets and avoid trades in choppy, non-trending markets.
If bullish reversal bar's high is not below and bearish reversal bar's low is not above all three Alligator's lines (jaw, lips, teeth) they cannot be interpreted as these types of bars. It can be explained as following: if we are waiting for the bullish reversal bar it shall be reversal from downtrend. If price is not below all three lines it can't be interpret as the downtrend according to this method. The opposite is true for the bearish reversal bar.
All described above are obligatory conditions for reversal bar, now let's discuss two not obligatory conditions. The first one is Market Facilitation Index (MFI) restriction. Let's briefly look what is MFI. The Market Facilitation Index (MFI) is a technical indicator that measures the price movement per unit of volume, helping traders gauge the efficiency of price movement in relation to trading volume. Here's how you can calculate it:
MFI = (High−Low)/Volume
MFI can be used in combination with volume, so we can divide 4 states. Bill Williams introduced these to help traders interpret the interaction between volume and price movement. Here’s a quick summary:
Green Window (Increased MFI & Increased Volume): Indicates strong momentum with both price and volume increasing. Often a sign of trend continuation, as both buying and selling interest are rising.
Fake Window (Increased MFI & Decreased Volume): Shows that price is moving but with lower volume, suggesting weak support for the trend. This can signal a potential end of the current trend.
Squat Window (Decreased MFI & Increased Volume): Shows high volume but little price movement, indicating a tug-of-war between buyers and sellers. This often precedes a breakout as the pressure builds.
Fade Window (Decreased MFI & Decreased Volume): Indicates a lack of interest from both buyers and sellers, leading to lower momentum. This typically happens in range-bound markets and may signal consolidation before a new move.
For our purposes we are interested in squat bars. This is the sign that volume cannot move the price easily. This type of bar increases the probability of trend reversal. In this indicator we added to enable the MFI filter of reversal bars. If potential reversal bar or two preceding bars have squat state this bar can be interpret as a reversal one.
The second additional filter is Awesome Oscillator. The Awesome Oscillator (AO), developed by Bill Williams, is a momentum indicator that measures market momentum by comparing recent price action to a longer historical context. It helps traders identify potential trend reversals and the strength of trends. Formula:
AO = SMA5(Median Price) − SMA34(Median Price)
where:
Median Price = (High + Low) / 2
SMA5 = 5-period Simple Moving Average of the Median Price
SMA 34 = 34-period Simple Moving Average of the Median Price
If AO is decreasing momentum is bearish, if increasing - bullish. According to Bill Williams approach reversal bars are the potential trades against the trend. As a result we added second filter for bullish reversal bars AO shall be decreasing, for bearish increasing.
How to use indicator
Apply it to desired chart and time frame. It works on every time frame.
Setup the filters with the "Enable MFI" and "Enable AO" checkboxes in the settings. By default they are turned on.
Analyze the price action. Indicator plotted the white line, this is the lips of an Alligator. It will help you to understand how price is moving in comparison to lips line. Indicator will print the green dot and text "BULL" below it current bar is bullish reversal. It will print the red dot and text "BEAR" above it if current bar is interpreted by algorithm as a bearish reversal.
Set up the alerts if it's needed. Indicator has two custom alerts called "Bullish reversal bar has been printed" and "Bearish reversal bar has been printed"
Disclaimer:
Educational and informational tool reflecting Skyrex commitment to informed trading. Past performance does not guarantee future results. Test indicators before live implementation.
TechniTrend: Dynamic Local Fibonacci LevelsTechniTrend: Dynamic Local Fibonacci Levels
Description: The "Dynamic Local Fibonacci Levels" indicator dynamically displays Fibonacci levels only when the market is experiencing significant volatility. By detecting volatile price movements, this tool helps traders focus on Fibonacci retracement levels that are most relevant during high market activity, reducing noise from calm market periods.
Key Features:
Adaptive Fibonacci Levels: The indicator calculates and plots Fibonacci levels (from 0 to 1) only during periods of high volatility. This helps traders focus on actionable levels during significant price swings.
Customizable Chart Type: Users can choose between Candlestick charts (including shadows) or Line charts (excluding shadows) to determine the high and low price points for Fibonacci level calculations.
Volatility-Based Detection: The Average True Range (ATR) is used to detect significant volatility. Traders can adjust the ATR multiplier to fine-tune the sensitivity of the indicator to price movements.
Fully Customizable Fibonacci Levels: Traders can modify the default Fibonacci levels according to their preferences or trading strategies.
Real-Time Volatility Confirmation: Fibonacci levels are displayed only if the price range between the local high and low exceeds a user-defined volatility threshold, ensuring that these levels are only plotted when the market is truly volatile.
Customization Options:
Chart Type: Select between "Candles (Includes Shadows)" and "Line (Excludes Shadows)" for detecting price highs and lows.
Length for High/Low Detection: Choose the period for detecting the highest and lowest price in the given time frame.
ATR Multiplier for Volatility Detection: Adjust the sensitivity of the volatility threshold by setting the ATR multiplier.
Fibonacci Levels: Customize the specific Fibonacci levels to be displayed, from 0 to 1.
Usage Tips:
Focus on Key Levels During Volatility: This indicator is best suited for periods of high volatility. It can help traders identify potential support and resistance levels that may be more significant in turbulent markets.
Adjust ATR Multiplier: Depending on the asset you're trading, you might want to fine-tune the ATR multiplier to better suit the market conditions and volatility.
Recommended Settings:
ATR Multiplier: 1.5
Fibonacci Levels: Default levels set to 0.00, 0.114, 0.236, 0.382, 0.5, 0.618, 0.786, and 1.0
Length for High/Low Detection: 55
Use this indicator to detect key Fibonacci retracement levels in volatile market conditions and make more informed trading decisions based on price dynamics and volatility.
Sessions KillZones Library [TradingFinder]🔵 Introduction
"The Forex Trading Sessions" highlight the active periods across different markets where significant trading volume and influence on the forex market are evident. The primary trading sessions globally include the "Asian Session," "London Session," and "New York Session."
A "Kill Zone" refers to a segment within a session characterized by high trading volume and notably sharper price movements. Consequently, there's a higher probability of encountering price action setups within these zones. Traders capitalize on this phenomenon in pursuit of more successful trading outcomes.
If you aim to integrate sessions or kill zones into your indicators or strategies, utilizing this library can amplify the precision and efficiency of your Python script development.
🔵 How to Use
First, you can add the library to your code as shown in the example below:
import TFlab/SessionAndKillZoneLibrary_TradingFinder/1
🟣 Parameters
SessionDetector(Session_Name, Session_Time, KillZone_Time, Session_Show, KillZone_Show, AreaUpdate, MoreInfo, Session_Color, Info_Color) =>
Parameters:
•Session_Name (string)
•Session_Time (string)
•KillZone_Time (string)
•Session_Show (bool)
•KillZone_Show (bool)
•AreaUpdate (string)
•MoreInfo (bool)
•Session_Color (color)
•Info_Color (color)
Session_Name : You must enter the session name in this parameter.
Session_Time : Enter here the start and end time of the session, which should be based on the UTC time zone.
KillZone_Time : Enter the start and end times of the kill zone, which should be based on the UTC time zone, here.
Session_Show : You can control whether or not to show the session using this entry. You must set true to display and false to not display.
KillZone_Show : Using this input you can control whether the kill zone is displayed or not. You must set true to display and false to not display.
AreaUpdate : If you want the session to be determined based on the time and high and low of the session itself, you must enter "Session" and if you want the area to be determined based on the time and high and low of the kill zone, you must enter "Kill Zone".
MoreInfo : If you want more information, you should set this entry to true, otherwise set to false. This information includes the number of candles in the area, the length of time in the area and the volume of transactions in the area.
Session_Color : Enter your desired color to display the session at this section. It is recommended to use bright and sharp colors.
Info_Color : Enter your desired color to display more information in this section.
🔵 Function Outputs
The outputs of this function are direct and indirect.
🟣 Indirect outputs
These outputs include session display, kill zone display, and time and volume information of session or kill zone.
🟣 Direct outputs
There are 8 direct outputs, which are:
Session Time : If the Session is active, it outputs 1, and if the Session is inactive, it outputs 0.
Kill Zone Time : If the Kill Zone is active, it outputs 1, and if the Kill Zone is inactive, it outputs 0.
Open : Session opening price.
High : The highest price of the session.
Low : The lowest price of the session.
Close : The last price of the session.
Low Touch Alert : If "Area Update" is in "Kill Zone" mode, if the price reaches the lowest price of the kill zone in the same session after the end of the kill zone, this output will be true. You can use this output to create an alert.
High Touch Alert : If "Area Update" is in "Kill Zone" mode, if the price reaches the highest price of the kill zone in the same session after the end of the kill zone, this output will be true. You can use this output to create an alert.
Important : To use "Open", "High", "Low" and "Close", "Area Update" must be in "Session" mode.
MultiWAPThe VWAP tracks the average price, giving weight to each candle based upon its' relative volume.
In other words, high-volume candles move the VWAP faster than low-volume candles.
On a good day, market maker:
-Buys the dip
-Pumps past resistance, causing bullish FOMO
-Sells into the bullish FOMO, causing bearish FOMO
-Buys the dip (rinse and repeat)
By default, MultiWAP begins at the first visible bar.
Range low/high - tracks the most recent high/low
Upper VWAP - tracks retail's average buy price (MM is selling)
Lower VWAP - tracks MM's average buy price (MM is buying)
If price closes below the lower VWAP or the range low, the lower VWAP and range low are reset.
If price closes above the upper VWAP or the range high, the upper VWAP and range high are reset.
Resets are indicated by the dots. Resetting either VWAP moves it close to last price, making it easy to breach again.
A down-trend that lasts many bars will produce a string of green dots. When the accumulation phase ends, price pulls away from the lower VWAP, so it stops resetting. The ABSENCE of green dots tells you that we're in the markup phase/up-trend.
An up-trend that lasts many bars will produce a string of red dots. When the distribution phase ends, price pulls away from the upper VWAP, so it stops resetting. The ABSENCE of red dots tells you that we're in the markdown phase/down-trend.
By default, the net result is two VWAP's that automatically anchor themselves to the most recent, significant, and visible, high and low.
Usage:
For any timeframe, I recommend starting zoomed way out. Find the last green dot and drop an "Anchored VWAP" there. Now, zoom in until that candle is no longer visible. Find the last green dot and drop an anchored VWAP there. Continue doing so until you notice the lower VWAP getting reset to basically the same place.
This works the same, in reverse, during down-trends.
Support and Resistance ZoneSupport and Resistance Zone Indicator :
Introduction :
The purpose of this indicator is to identify the chart symbol's main supports and resistances. It displays these key zones, which are very important psychological points for traders. Since support and resistance are not very precise levels, the indicator displays them as zones.
Pivots :
Pivots are a key concept in identifying support and resistance. The indicator uses two types of pivot:
Pivot high : This is a high point that has not been reached by a user-defined number of candles on either the left and right of this candle. The " left pivot leg " is the number of candles before this pivot point that have not reached the realized high, and the " right pivot leg " is the number of candles after this pivot point that have not reached this high. If these two conditions are met, the pivot point is considered a turning point, and resistance is probably the cause.
Pivot low : This is a low point that has not been reached by a user-defined number of candles on either the left or right. The " left pivot leg " is the number of candles before this pivot point that have not reached the candle low, and the " right pivot leg " is the number of candles after this pivot point that have not reached this low. If these two conditions are met, the pivot point is considered a turning point, and support is probably the cause.
Support/Resistance area :
If a pivot point has been identified, the indicator considers it a resistance if it's a pivot high, or a support if it's a pivot low. To define the support or resistance zone, we'll use the ATR (Average True Range), an indicator that measures asset volatility. We'll take the ATR of the candle for which the pivot was spotted, and use it as the width of the support or resistance zone. Thus the upper line of support/resistance is at pivot+atr/2 and the lower line is at pivot-atr/2 . The greater the volatility, the larger the zone.
New Support/Resistance :
If a new pivot has been identified, but the level of this pivot lies between the lower line and the upper line of the previous support or resistance, the indicator considers this to be the same support or resistance as before. In this case, no new support or resistance is created. The pivot must be outside the area of the previous support or resistance to be validated.
Anticipated Support/Resistance :
This indicator also allows early detection of support or resistance. To do this, the value of the right pivot legs will be shortened in order to find these areas more quickly. The support or resistance will then be considered anticipated and may disappear at any time if the high/low is reached. On the other hand, if the high/low is not reached, and a number of candles equal to the " Right Pivot Legs" parameter has elapsed since the detection of this anticipated support/resistance, it will be considered validated and will integrate the other supports/resistances of the chart.
Extended supports/resistances :
For a more optimal view, the indicator allows the user to choose the number of last support or resistance levels to be extended to the last candle. This must be specified in the indicator parameters.
Parameters :
Pivot Legs : Determine the left and right legs of the pivot i.e the number of candle before and after the pivot that doesn’t reach pivot point. The pivot is validated only if this two conditions are verified.
Extend Last Supports : Number of supports to extend to the last bar
Extend Last Resistances : Number of resistances to extend to the last bar
Show Support/Resistance Anticipated : If yes, will find anticipated support and resistance
Right Pivot Legs for Anticipation : Determine the right legs of pivots to find faster a support or a resistance.
Conclusion :
This indicator plot support and resistance zones based on pivot. The width of support and resistance zones are calculated with ATR. Possibility to find anticipated support and resistance in order to have more timeliness informations.
Enjoy the indicator and don’t forget to take the trade ;)
The Flash-Strategy with Minervini Stage Analysis QualifierThe Flash-Strategy (Momentum-RSI, EMA-crossover, ATR) with Minervini Stage Analysis Qualifier
Introduction
Welcome to a comprehensive guide on a cutting-edge trading strategy I've developed, designed for the modern trader seeking an edge in today's dynamic markets. This strategy, which I've honed through my years of experience in the trading arena, stands out for its unique blend of technical analysis and market intuition, tailored specifically for use on the TradingView platform.
As a trader with a deep passion for the financial markets, my journey began several years ago, driven by a relentless pursuit of a trading methodology that is both effective and adaptable. My background in trading spans various market conditions and asset classes, providing me with a rich tapestry of experiences from which to draw. This strategy is the culmination of that journey, embodying the lessons learned and insights gained along the way.
The cornerstone of this strategy lies in its ability to generate precise long signals in a Stage 2 uptrend and equally accurate short signals in a Stage 4 downtrend. This approach is rooted in the principles of trend following and momentum trading, harnessing the power of key indicators such as the Momentum-RSI, EMA Crossover, and Average True Range (ATR). What sets this strategy apart is its meticulous design, which allows it to adapt to the ever-changing market conditions, providing traders with a robust tool for navigating both bullish and bearish scenarios.
This strategy was born out of a desire to create a trading system that is not only highly effective in identifying potential trade setups but also straightforward enough to be implemented by traders of varying skill levels. It's a reflection of my belief that successful trading hinges on clarity, precision, and disciplined execution. Whether you are a seasoned trader or just beginning your journey, this guide aims to provide you with a comprehensive understanding of how to harness the full potential of this strategy in your trading endeavors.
In the following sections, we will delve deeper into the mechanics of the strategy, its implementation, and how to make the most out of its features. Join me as we explore the nuances of a strategy that is designed to elevate your trading to the next level.
Stage-Specific Signal Generation
A distinctive feature of this trading strategy is its focus on generating long signals exclusively during Stage 2 uptrends and short signals during Stage 4 downtrends. This approach is based on the widely recognized market cycle theory, which divides the market into four stages: Stage 1 (accumulation), Stage 2 (uptrend), Stage 3 (distribution), and Stage 4 (downtrend). By aligning the signal generation with these specific stages, the strategy aims to capitalize on the most dynamic and clear-cut market movements, thereby enhancing the potential for profitable trades.
1. Long Signals in Stage 2 Uptrends
• Characteristics of Stage 2: Stage 2 is characterized by a strong uptrend, where prices are consistently rising. This stage typically follows a period of accumulation (Stage 1) and is marked by increased investor interest and bullish sentiment in the market.
• Criteria for Long Signal Generation: Long signals are generated during this stage when the technical indicators align with the characteristics of a Stage 2 uptrend.
• Rationale for Stage-Specific Signals: By focusing on Stage 2 for long trades, the strategy seeks to enter positions during the phase of strong upward momentum, thus riding the wave of rising prices and investor optimism. This stage-specific approach minimizes exposure to less predictable market phases, like the consolidation in Stage 1 or the indecision in Stage 3.
2. Short Signals in Stage 4 Downtrends
• Characteristics of Stage 4: Stage 4 is identified by a pronounced downtrend, with declining prices indicating prevailing bearish sentiment. This stage typically follows the distribution phase (Stage 3) and is characterized by increasing selling pressure.
• Criteria for Short Signal Generation: Short signals are generated in this stage when the indicators reflect a strong bearish trend.
• Rationale for Stage-Specific Signals: Targeting Stage 4 for shorting capitalizes on the market's downward momentum. This tactic aligns with the natural market cycle, allowing traders to exploit the downward price movements effectively. By doing so, the strategy avoids the potential pitfalls of shorting during the early or late stages of the market cycle, where trends are less defined and more susceptible to reversals.
In conclusion, the strategy’s emphasis on stage-specific signal generation is a testament to its sophisticated understanding of market dynamics. By tailoring the long and short signals to Stages 2 and 4, respectively, it leverages the most compelling phases of the market cycle, offering traders a clear and structured approach to aligning their trades with dominant market trends.
Strategy Overview
At the heart of this trading strategy is a philosophy centered around capturing market momentum and trend efficiency. The core objective is to identify and capitalize on clear uptrends and downtrends, thereby allowing traders to position themselves in sync with the market's prevailing direction. This approach is grounded in the belief that aligning trades with these dominant market forces can lead to more consistent and profitable outcomes.
The strategy is built on three foundational components, each playing a critical role in the decision-making process:
1. Momentum-RSI (Relative Strength Index): The Momentum-RSI is a pivotal element of this strategy. It's an enhanced version of the traditional RSI, fine-tuned to better capture the strength and velocity of market trends. By measuring the speed and change of price movements, the Momentum-RSI provides invaluable insights into whether a market is potentially overbought or oversold, suggesting possible entry and exit points. This indicator is especially effective in filtering out noise and focusing on substantial market moves.
2. EMA (Exponential Moving Average) Crossover: The EMA Crossover is a crucial component for trend identification. This strategy employs two EMAs with different timeframes to determine the market trend. When the shorter-term EMA crosses above the longer-term EMA, it signals an emerging uptrend, suggesting a potential long entry. Conversely, a crossover below indicates a possible downtrend, hinting at a short entry opportunity. This simple yet powerful tool is key in confirming trend directions and timing market entries.
3. ATR (Average True Range): The ATR is instrumental in assessing market volatility. This indicator helps in understanding the average range of price movements over a given period, thus providing a sense of how much a market might move on a typical day. In this strategy, the ATR is used to adjust stop-loss levels and to gauge the potential risk and reward of trades. It allows for more informed decisions by aligning trade management techniques with the current volatility conditions.
The synergy of these three components – the Momentum-RSI, EMA Crossover, and ATR – creates a robust framework for this trading strategy. By combining momentum analysis, trend identification, and volatility assessment, the strategy offers a comprehensive approach to navigating the markets. Whether it's capturing a strong trend in its early stages or identifying a potential reversal, this strategy aims to provide traders with the tools and insights needed to make well-informed, strategically sound trading decisions.
Detailed Component Analysis
The efficacy of this trading strategy hinges on the synergistic functioning of its three key components: the Momentum-RSI, EMA Crossover, and Average True Range (ATR). Each component brings a unique perspective to the strategy, contributing to a well-rounded approach to market analysis.
1. Momentum-RSI (Relative Strength Index)
• Definition and Function: The Momentum-RSI is a modified version of the classic Relative Strength Index. While the traditional RSI measures the velocity and magnitude of directional price movements, the Momentum-RSI amplifies aspects that reflect trend strength and momentum.
• Significance in Identifying Trend Strength: This indicator excels in identifying the strength behind a market's move. A high Momentum-RSI value typically indicates strong bullish momentum, suggesting the potential continuation of an uptrend. Conversely, a low Momentum-RSI value signals strong bearish momentum, possibly indicative of an ongoing downtrend.
• Application in Strategy: In this strategy, the Momentum-RSI is used to gauge the underlying strength of market trends. It helps in filtering out minor fluctuations and focusing on significant movements, providing a clearer picture of the market's true momentum.
2. EMA (Exponential Moving Average) Crossover
• Definition and Function: The EMA Crossover component utilizes two exponential moving averages of different timeframes. Unlike simple moving averages, EMAs give more weight to recent prices, making them more responsive to new information.
• Contribution to Market Direction: The interaction between the short-term and long-term EMAs is key to determining market direction. A crossover of the shorter EMA above the longer EMA is an indicator of an emerging uptrend, while a crossover below signals a developing downtrend.
• Application in Strategy: The EMA Crossover serves as a trend confirmation tool. It provides a clear, visual representation of the market's direction, aiding in the decision-making process for entering long or short positions. This component ensures that trades are aligned with the prevailing market trend, a crucial factor for the success of the strategy.
3. ATR (Average True Range)
• Definition and Function: The ATR is an indicator that measures market volatility by calculating the average range between the high and low prices over a specified period.
• Role in Assessing Market Volatility: The ATR provides insights into the typical market movement within a given timeframe, offering a measure of the market's volatility. Higher ATR values indicate increased volatility, while lower values suggest a calmer market environment.
• Application in Strategy: Within this strategy, the ATR is instrumental in tailoring risk management techniques, particularly in setting stop-loss levels. By accounting for the market's volatility, the ATR ensures that stop-loss orders are placed at levels that are neither too tight (risking premature exits) nor too loose (exposing to excessive risk).
In summary, the combination of Momentum-RSI, EMA Crossover, and ATR in this trading strategy provides a comprehensive toolkit for market analysis. The Momentum-RSI identifies the strength of market trends, the EMA Crossover confirms the market direction, and the ATR guides in risk management by assessing volatility. Together, these components form the backbone of a strategy designed to navigate the complexities of the financial markets effectively.
1. Signal Generation Process
• Combining Indicators: The strategy operates by synthesizing signals from the Momentum-RSI, EMA Crossover, and ATR indicators. Each indicator serves a specific purpose: the Momentum-RSI gauges trend momentum, the EMA Crossover identifies the trend direction, and the ATR assesses the market’s volatility.
• Criteria for Signal Validation: For a signal to be considered valid, it must meet specific criteria set by each of the three indicators. This multi-layered approach ensures that signals are not only based on one aspect of market behavior but are a result of a comprehensive analysis.
2. Conditions for Long Positions
• Uptrend Confirmation: A long position signal is generated when the shorter-term EMA crosses above the longer-term EMA, indicating an uptrend.
• Momentum-RSI Alignment: Alongside the EMA crossover, the Momentum-RSI should indicate strong bullish momentum. This is typically represented by the Momentum-RSI being at a high level, confirming the strength of the uptrend.
• ATR Consideration: The ATR is used to fine-tune the entry point and set an appropriate stop-loss level. In a low volatility scenario, as indicated by the ATR, the stop-loss can be set tighter, closer to the entry point.
3. Conditions for Short Positions
• Downtrend Confirmation: Conversely, a short position signal is indicated when the shorter-term EMA crosses below the longer-term EMA, signaling a downtrend.
• Momentum-RSI Confirmation: The Momentum-RSI should reflect strong bearish momentum, usually seen when the Momentum-RSI is at a low level. This confirms the bearish strength of the market.
• ATR Application: The ATR again plays a role in determining the stop-loss level for the short position. Higher volatility, as indicated by a higher ATR, would warrant a wider stop-loss to accommodate larger market swings.
By adhering to these mechanics, the strategy aims to ensure that each trade is entered with a high probability of success, aligning with the market’s current momentum and trend. The integration of these indicators allows for a holistic market analysis, providing traders with clear and actionable signals for both entering and exiting trades.
Customizable Parameters in the Strategy
Flexibility and adaptability are key features of this trading strategy, achieved through a range of customizable parameters. These parameters allow traders to tailor the strategy to their individual trading style, risk tolerance, and specific market conditions. By adjusting these parameters, users can fine-tune the strategy to optimize its performance and align it with their unique trading objectives. Below are the primary parameters that can be customized within the strategy:
1. Momentum-RSI Settings
• Period: The lookback period for the Momentum-RSI can be adjusted. A shorter period makes the indicator more sensitive to recent price changes, while a longer period smoothens the RSI line, offering a broader view of the momentum.
• Overbought/Oversold Thresholds: Users can set their own overbought and oversold levels, which can help in identifying extreme market conditions more precisely according to their trading approach.
2. EMA Crossover Settings
• Timeframes for EMAs: The strategy uses two EMAs with different timeframes. Traders can modify these timeframes, choosing shorter periods for a more responsive approach or longer periods for a more conservative one.
• Source Data: The choice of price data (close, open, high, low) used in calculating the EMAs can be varied depending on the trader’s preference.
3. ATR Settings
• Lookback Period: Adjusting the lookback period for the ATR impacts how the indicator measures volatility. A longer period may provide a more stable but less responsive measure, while a shorter period offers quicker but potentially more erratic readings.
• Multiplier for Stop-Loss Calculation: This parameter allows traders to set how aggressively or conservatively they want their stop-loss to be in relation to the ATR value.
Here are the standard settings:
Renko StrategyRENKO STRATEGY
CAUTION : This strategy must be applied to a candlestick chart (not a Renko chart).
INTRODUCTION :
The Traditional Renko chart has been reproduced and is plotted according to the evolution of the price. It will enable us to receive buy or sell signals and follow major trends. This is a medium/long term strategy and depends a lot on the box size chosen in the parameters. There's also a money management method allowing us to reinvest part of the profits or reduce the size of orders in the event of substantial losses.
RENKO CHART :
Renko chart construction methodology :
The user must first choose the box size. The minimum is 0.00001 and there is no maximum. The default is 10. The user must then choose the source that will define the data on which the calculations will be based (high, low, open, close). By default, close is selected. The first candle on the chart is used to draw the first box with its high and low.
Each time the price changes by the amount of the box size relative to the high or low of the last box, a new box is added above or below the previous one. If price variations are less than the box size, the same box is added next to the previous one. If price variations are N (integer number) times greater than box size, N boxes are added above or below the previous one. Each box added above the previous one is a green box, while each box added below the previous one is a red box.
Conditions for drawing a green box above the previous one :
(source - high_of_the_last_box) / box_size > 1
Condition for drawing a red box below the previous one :
(low_of_the_last_box - source) / box_size > 1
If neither condition is triggered, the same box is drawn next to the previous one.
Example :
The last candle has drawn a box with low 12 and high 14. The box size is therefore 2. The strategy will look at the value of the close each time a candle ends. The current candle closes with a close equal to 15.5. As the variation from the previous high is only 1.5 (which is less than the box size), the same box is added next to the previous one. The next candle closes at 16.2. The price variation is therefore 2.2 compared with the previous high. We can now add a new green box just above the previous one, with a low of 14 and a high of 16. The same process applies if the candle's close is at least one box size below the low of the last box. In this case, a new red box is placed below the previous one.
PARAMETERS :
Source : Allows you to specify which data will be taken into account by the strategy when performing calculations. The default is close.
Box size : Size of Renko graph boxes. This is a very important parameter to choose carefully, as it has a strong impact on the strategy's performance. Defaults to 10.
Fixed Ratio : This is the amount of gain or loss at which the order quantity is changed. The default is 400, meaning that for each $400 gain or loss, the order size is increased or decreased by a user-selected amount.
Increasing Order Amount : This is the amount to be added to or subtracted from orders when the fixed ratio is reached. The default is $200, which means that for every $400 gain, $200 is reinvested in the strategy. On the other hand, for every $400 loss, the order size is reduced by $200.
Initial capital : $1000
Fees : Interactive Broker fees apply to this strategy. They are set at 0.18% of the trade value.
Slippage : 3 ticks or $0.03 per trade. Corresponds to the latency time between the moment the signal is received and the moment the order is executed by the broker.
Important : A bot has been used to test all possible box sizes to find out which one generates the highest return on BITSTAMP:LTCUSD while limiting the drawdown. This strategy is the most optimal with a box size equal to 5.08 in 8h timeframe.
BUY AND SHORT SIGNALS :
As the aim of this strategy is to follow major trends based on price movements, we need to be on the right side of price fluctuation. We trade every box reversal, i.e. we are LONG when the boxes are green indicating an uptrend and SHORT when they are red indicating a downtrend.
RISK MANAGEMENT :
This strategy can incur losses. The size of the box is decisive, as it is used to plot the RENKO chart and thus trigger buy or sell signals. It's also what allows us to manage risk. For every trade, we risk a maximum amount equal to 2 times the size of the box, i.e. :(5.08*2*nb_contract)/trade_value.
MONEY MANAGEMENT :
The fixed ratio method has been used to manage our gains and losses. For each gain of an amount equal to the value of the fixed ratio, we increase the order size by a value defined by the user in the "Increasing order amount" parameter. Similarly, each time we lose an amount equal to the value of the fixed ratio, we decrease the order size by the same user-defined value. This strategy not only increases our performance, but also our drawdown.
Enjoy the strategy and don't forget to take the trade :)
GT-FibThis code is declaring the script as an indicator named "GT-Fib" to be plotted on the main chart. The maximum number of lines it can create is limited to 500.
The indicator calculates Fibo using trend breaks. If the trend is not broken and the old trend continues, Fibo continues. However, sometimes you will witness that it does not draw Fibo. Indicates that there is no trend break yet. If current Fibo levels are behind us, it may be wise to wait for a trend change. For trend breaks, I partially benefited from the Lux team's trend lines with break indicator. For your information...
Settings:
A set of user inputs is defined to allow customization. These include lookback period, coefficient, calculation method, and an option to enable/disable backpainting. These inputs help the trader to adapt the script to different market conditions or trading strategies.
Style:
Colors and visual styles for the indicator are defined here, such as the colors for uptrends and downtrends.
Variables Initialization:
Various variables are initialized here. This section prepares the script for further calculations. Key concepts include the initialization of upper and lower boundaries, pivot highs (ph), pivot lows (pl), and a few other variables to track peaks and troughs for trendlines.
Trendline Peaks and Troughs:
The script identifies pivot highs and lows. Whenever a pivot high/low is found, it updates the trendline_top and trendline_bottom respectively.
Calculation Method:
Based on the user's choice, the script calculates a "cycle" value using one of three methods: ATR, Stdev, or Linreg.
Extended Lines:
These are dashed lines that get drawn when a pivot high or pivot low is identified. These lines can be used to visualize potential support or resistance areas.
plotFibRetracement Function:
This function is designed to draw Fibonacci retracement levels between the identified trendline top and bottom. The Fibonacci levels provide potential support and resistance levels that traders often use to make trading decisions.
Plotting Fibonacci using Trendline Peaks and Troughs:
If both trendline_top and trendline_bottom are not 'na' (not available), the script will draw the Fibonacci retracement using the defined function.
How to Use:
The script identifies and displays potential support and resistance zones using Fibonacci retracement levels based on the trendline peaks and troughs. Here's a suggested way to use it:
Adjust Settings: Depending on the instrument you're trading and the timeframe, you might want to adjust the lookback period, coefficient, and calculation method to fine-tune the script to your needs.
Identify Trends: Observe where the pivot highs and lows are formed. The presence of consecutive pivot highs or pivot lows can indicate a prevailing trend.
Use Fibonacci Levels: The Fibonacci retracement levels can act as potential support and resistance. For instance:
During an uptrend, if prices retract and approach a Fibonacci level, it might act as a support level where price could bounce back.
During a downtrend, Fibonacci levels might act as resistance where price could reverse downwards.
Combine with Other Indicators: For a more comprehensive analysis and to increase the reliability of trading signals, you can use this script in conjunction with other technical indicators.
Remember, like all trading tools and techniques, this script should be used in conjunction with proper risk management. It's also a good idea to test any strategy or tool in a demo environment before applying it to a live account.
[blackcat] L2 Market Facilitation IndexThe Market Facilitation Index (MFI) is a technical indicator that measures the ease with which the market is able to move based on the volume traded. It was developed by Dr. Bill Williams as part of his trading system.
The MFI is calculated by taking into account the difference between the current typical price (average of high, low, and close) and the previous typical price, multiplied by the volume. This difference is then divided by the sum of volume over a specified period.
The MFI helps traders to identify periods of high or low market facilitation. High MFI values indicate that the market is facilitating trade and moving with ease, suggesting increased activity and potential trading opportunities. Conversely, low MFI values suggest a lack of market facilitation, indicating decreased activity and potential consolidation or sideways movement.
Traders can use the MFI in conjunction with other technical indicators and price analysis techniques to make informed trading decisions. It can be used to confirm trends, identify potential reversals, and assess the strength of market movements.
The Market Facilitation Index provides valuable insights into market dynamics, as it focuses on the relationship between price movement and trading volume. By incorporating volume data into its calculations, the MFI captures the impact of volume on market activity.
This indicator is particularly useful in identifying periods of market consolidation or range-bound trading. When the MFI shows low values, it suggests that market participants are hesitant and there may be a lack of clear trends. Traders can interpret this as a potential signal to avoid entering new positions or to tighten their stop-loss levels.
Conversely, when the MFI indicates high values, it signifies that the market is experiencing high levels of activity and price movement. This can be an indication of a strong trend, and traders may look for opportunities to enter positions in line with the prevailing market direction.
In addition to identifying market trends and potential reversals, the MFI can also help traders gauge the strength of price movements. By comparing the MFI values during different price swings or trends, traders can assess whether the market is experiencing increasing or decreasing levels of facilitation. This information can be valuable in determining the overall momentum and sustainability of a trend.
It's important to note that while the Market Facilitation Index can be a useful tool in technical analysis, it should not be used in isolation. Like any indicator, it has its limitations and may not always accurately reflect market conditions. Therefore, it is advisable to combine the MFI with other technical indicators, chart patterns, and fundamental analysis to gain a more comprehensive understanding of the market.
In conclusion, the Market Facilitation Index is a powerful technical indicator that measures the ease with which the market is able to move based on trading volume. It helps traders identify periods of high or low market facilitation, confirm trends, identify potential reversals, and assess the strength of market movements. However, it should be used in conjunction with other analysis methods for comprehensive market evaluation.
MonkeyblackmailThis script consists of several sections. test it and tell me your concerns. a lot of more works will be done
Volume Accumulation : The first part of the script checks for a new 5-minute interval and accumulates the volume of the current interval. It separates the volume into buying volume and selling volume based on whether the closing price is closer to the high or low of the bar.
Volume Normalization and Pressure Calculation : The script then normalizes the volume with a 20-period EMA, and calculates buying pressure, selling pressure, and total pressure. These calculations provide insight into the underlying demand (buying pressure) and supply (selling pressure) conditions in the market.
RSI Calculation and Overbought/Oversold Conditions : The script calculates the RSI (Relative Strength Index) and checks whether it is in an overbought (RSI > 70) or oversold (RSI < 30) state. The RSI is a momentum indicator, providing insights into the speed and change of price movements.
Volume Condition Check and Wondertrend Indicator : The script checks if the volume is high for the past five bars. If it is, it applies the Wondertrend Indicator, which uses a combination of the Parabolic SAR (Stop and Reverse) and Keltner Channel to identify potential trends in the market.
Swing High/Low and Fibonacci Retracement : The script identifies swing high and swing low points using a specified pivot length. Then, it draws Fibonacci retracement levels between these swing high and swing low points.
he monkeyblackmail script works well in the 5 minutes chart and combines several elements of technical analysis, including volume analysis, momentum indicators, trend-following indicators, volatility channels, and Fibonacci retracements. It aims to provide a comprehensive view of the market condition, highlighting key levels and potential trends in an easily understandable format. Don’t be too quick to start trading with it, first study how it work and you will blackmail the market.
Logarithmic VolatilityIntroducing the Logarithmic Volatility Indicator , an innovative trading indicator designed especially for trading in low volatility markets. This powerful indicator is aimed at traders of all levels, from beginners to experts, and is based on fundamental concepts of mathematics and statistics applied to the financial market. Its main objective is to provide you with a better understanding of price movements and help you make more accurate investment decisions, especially in low volatility environments.
The purpose of this indicator is to find a volatility estimator that depends on the difference between High and Low, taking into account that this measure is directly proportional to volatility. A first result was obtained by Parkinson (1980) which was later improved by Garman and Klass (1980), who improved the estimator by obtaining one of minimum variance. It is the simplified version (and recommended by them) of the Garman and Klass estimator that is used to calculate the daily volatility of the asset.
The Logarithmic Volatility Indicator is a unique smoothing indicator that uses logarithms and volatility calculation of the opening, high, low and closing prices. It combines these elements to obtain an accurate representation of market volatility in situations where volatility is low.
Features
This indicator has several outstanding features designed to enhance your trading analysis in low volatility environments:
• Intraday Volatility Calculation: This innovative feature allows you to view market volatility levels in real time, providing a clear view of market fluctuations even when volatility is low.
• EMA (Exponential Moving Average) Multi Length: The indicator incorporates three different EMA lengths (Fast, Medium and Slow). This gives you a deeper and more detailed analysis of market volatility, allowing you to detect subtle changes in volatility and make more accurate predictions.
• Visual color change: The indicator uses a color change between green and red to facilitate quick interpretation of the market. Green indicates a decrease in volatility, while red indicates an increase in volatility. This feature helps you quickly identify changes in market dynamics even in periods of low volatility.
• Histogram display: In addition to the colors, the indicator can also be displayed as a histogram. This intuitive representation allows you to visually observe changes in volatility over time and detect emerging patterns or trends in markets with low volatility.
Settings
The Logarithmic Volatility Indicator allows you to customize various settings to suit your specific trading needs:
• Slow EMA length: you can select the length of the slow exponential moving average according to your preferences and trading strategies.
• Fast EMA length: Similarly, you can choose the length of the fast exponential moving average to suit your trading style.
• Average EMA length: In addition to the two EMA lengths above, this indicator offers a third EMA length for even more detailed analysis. This additional feature is especially useful when trading in markets with low volatility, as it allows you to capture subtle changes in market dynamics.
Trading
The Logarithmic Volatility Indicator is designed not only to provide you with essential information about market volatility, but also to give you clear indications on when to trade. Here's how you can use the indicator's colors to guide your trading decisions:
- Long Trading: When the fast EMA has a smaller value than the slow EMA, the indicator will change to green. This is a signal to enter a long trade. That is, you can consider buying at this point, as an increase in price is anticipated due to decreasing volatility. With volatility declining, there is a greater likelihood that the price will continue in the current direction rather than fluctuate erratically.
- b]Short Trading: On the other hand, when the fast EMA has a higher value than the slow EMA, the indicator will turn red. This is a signal to enter a short trade. In other words, you may consider selling at this point, as a decline in price is anticipated due to rising volatility. With volatility on the rise, there is a greater risk of steeper price fluctuations.
It is important to remember that, as with any indicator, the Logarithmic Volatility Indicator does not guarantee 100% success. You should always use this indicator in combination with other analytical tools and good risk management. This tool provides you with an overview of market volatility and can help you identify trading opportunities in low volatility markets, but the final decision on when and how to trade should always be based on your own analysis and judgment.
In conclusion, the Logarithmic Volatility Indicator is an essential trading tool that every trader should have in their arsenal, especially when facing low volatility markets. With its accurate volatility calculation and easy-to-understand visualization, it will help you improve your trading decisions and maximize your profits even in situations where price movements are less pronounced. Try it today and take advantage of its efficiency in low volatility environments!
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Presentamos el Indicador de Volatilidad Logarítmica , un innovador indicador de trading diseñado especialmente para operar en mercados con baja volatilidad. Este poderoso indicador está dirigido a traders de todos los niveles, desde principiantes hasta expertos, y se basa en conceptos fundamentales de matemáticas y estadísticas aplicadas al mercado financiero. Su objetivo principal es proporcionarte una mejor comprensión de los movimientos de precios y ayudarte a tomar decisiones de inversión más precisas, especialmente en entornos de baja volatilidad.
Con este indicador se pretende encontrar un estimador de la volatilidad que dependa de la diferencia entre el High y el Low, teniendo en cuenta que esta medida es directamente proporcional a la volatilidad. Un primer resultado fue obtenido por Parkinson (1980) que posteriormente fue mejorado por Garman y Klass (1980), que mejoraron el estimador obteniendo uno de varianza mínima. Es la versión simplificada (y recomendada por ellos mismos) del estimador de Garman y Klass la que se utiliza para calcular la volatilidad diaria del activo.
El Indicador de Volatilidad Logarítmica es un indicador de suavizado único que utiliza logaritmos y el cálculo de la volatilidad de los precios de apertura, máximo, mínimo y cierre. Combina estos elementos para obtener una representación precisa de la volatilidad del mercado en situaciones donde la volatilidad es baja.
Características
Este indicador cuenta con varias características sobresalientes diseñadas para mejorar tu análisis de trading en entornos de baja volatilidad:
• Cálculo de la volatilidad intradía: Esta función innovadora te permite ver los niveles de volatilidad del mercado en tiempo real, lo que brinda una visión clara de las fluctuaciones del mercado incluso cuando la volatilidad es baja.
• EMA (Exponential Moving Average) Multi Longitud: El indicador incorpora tres longitudes diferentes de EMA (Rápida, Media y Lenta). Esto te proporciona un análisis más profundo y detallado de la volatilidad del mercado, permitiéndote detectar cambios sutiles en la volatilidad y realizar predicciones más precisas.
• Cambio de color visual: El indicador utiliza un cambio de color entre verde y rojo para facilitar la interpretación rápida del mercado. El verde indica una disminución de la volatilidad, mientras que el rojo indica un aumento de la volatilidad. Esta característica te ayuda a identificar rápidamente cambios en la dinámica del mercado incluso en períodos de baja volatilidad.
• Visualización Histograma: Además de los colores, el indicador también se puede visualizar como un histograma. Esta representación intuitiva te permite observar de manera visual los cambios en la volatilidad a lo largo del tiempo y detectar patrones o tendencias emergentes en mercados con baja volatilidad.
Ajustes
El Indicador de Volatilidad Logarítmica te permite personalizar varios ajustes para adaptarlos a tus necesidades de trading específicas:
• Longitud de EMA lenta: Puedes seleccionar la longitud de la media móvil exponencial lenta según tus preferencias y estrategias de trading.
• Longitud de EMA rápida: De manera similar, puedes elegir la longitud de la media móvil exponencial rápida para ajustarla a tu estilo de trading.
• Longitud de EMA media: Además de las dos longitudes de EMA anteriores, este indicador ofrece una tercera longitud de EMA para un análisis aún más detallado. Esta característica adicional es especialmente útil cuando operas en mercados con baja volatilidad, ya que te permite capturar cambios sutiles en la dinámica del mercado.
Operativa
El Indicador de Volatilidad Logarítmica está diseñado no solo para brindarte información esencial sobre la volatilidad del mercado, sino también para ofrecerte indicaciones claras sobre cuándo operar. Aquí te explicamos cómo puedes utilizar los colores del indicador para guiar tus decisiones de trading:
• Operativa en Largo: Cuando la EMA rápida tiene un valor más pequeño que la EMA lenta, el indicador cambiará a color verde. Esta es una señal para entrar en una operación en largo. Es decir, puedes considerar comprar en este punto, ya que se anticipa un aumento en el precio debido a la disminución de la volatilidad. Con la volatilidad en descenso, existe una mayor probabilidad de que el precio continúe en la dirección actual en lugar de fluctuar erráticamente.
• Operativa en Corto: Por otro lado, cuando la EMA rápida tiene un valor mayor que la EMA lenta, el indicador se tornará rojo. Esta es una señal para entrar en una operación en corto. En otras palabras, puedes considerar vender en este punto, ya que se anticipa una disminución en el precio debido al aumento de la volatilidad. Con la volatilidad en ascenso, existe un mayor riesgo de fluctuaciones de precio más pronunciadas.
Es importante recordar que, como con cualquier indicador, el Indicador de Volatilidad Logarítmica no garantiza un éxito del 100%. Siempre debes usar este indicador en combinación con otras herramientas de análisis y una buena gestión de riesgos. Esta herramienta te proporciona una visión general de la volatilidad del mercado y puede ayudarte a identificar oportunidades de trading en mercados con baja volatilidad, pero la decisión final de cuándo y cómo operar siempre deberá basarse en tu propio análisis y juicio.
En conclusión, el Indicador de Volatilidad Logarítmica es una herramienta de trading esencial que todo trader debe tener en su arsenal, especialmente cuando se enfrenta a mercados con baja volatilidad. Con su cálculo preciso de la volatilidad y su visualización fácil de entender, te ayudará a mejorar tus decisiones de trading y a maximizar tus ganancias incluso en situaciones donde los movimientos de precios son menos pronunciados. ¡Pruébalo hoy mismo y aprovecha su eficiencia en entornos de baja volatilidad!
Candle Combo ScreenerThe Candle Combo Screener allows you to see candlestick combinations for up to 5 different tickers at the same time . If one of the candle combination is detected the corresponding cell will be highlighted to alert you.
Candle Combinations Detected
Bullish Kicker
Bullish & Bearish Oops Reversals
Open Equals High / Low
Inside Day
Select any 5 tickers. Colors and table settings are fully customizable to fit your style.
Bullish Kicker
The opening price of the current candle gaps up above the body of the prior day's candle AND the prior day's candle close was less than the open.
Oops Reversals
Bullish: Price opens below the prior day’s low and closes above.
Bearish: Price opens above the prior day's high and closes below.
Open Equals High / Low
The current candles opening price is equal to either the high or low of the day.
Inside Day
The current candles high and low are contained within the prior day's high and low.
Opening Hour/Closing Hour Indices Statistics: high/low times; 5mVery specific indicator designed for 5min timeframe, to show the statistical timings of the highs and lows of Opening hour (9:30-10am) and Closing hour (3pm-4pm) NY time
~~Shown here on SPX 5min chart. Works all variants of the US indices. SPX and SPY typically show more days of history (non-extended session =>> more bars).
//Purpose:
-To get statistics on the timings of the high and low of the opening hour and the high & low of the closing hour.
//Design & Limitations:
- Designed for the 5minute chart ONLY . Need a sweet spot of 'bucket' size for the statistics: to allow meaningful comparison between times.
-Will also display on 1min chart but NOT the statistics panel, only the realtime data (today's opening hour/ closing hour timings).
-Can be slow to load depending on server load at the time. This is becasue of the multiple usage of looping array functions. Please be patient when loading or changing settings.
//User inputs:
-Standard formatting options: highlight color, table text color. Toggle on/off independently
-Decimal % percision (default = 0, i.e. 23%. If set to 1 => 22.8%)
-Show statistics: Show Opening hour statistics, Show Closing hour statistics
//Notes:
-Days of history shown at top of table; this is the size of the dataset. i.e. 254 here (254 trading days) =>> 254 opening hour highs, 254 closing hour lows etc.
--to illustrate with the above: 18% of those 254 closing hour highs occured on the 15:00 5min candle (i.e. between 15:00 and 15:05).
-SPY or SPX offer the largest history/dataset (circa 254 trading days).
-Note that the final timing in each hour is 10:25am and 15:55pm respectively: this is because the 10:25am 5min candle essentially ends at 10:30am =>> we properly captures the opening hour this way
-Pro+ users will get less data history than Premium users (half as much, due to 10k vs 20k bars history limit).
Market Sessions - By LeviathanA simple indicator to help you keep track of 4 market sessions (default: Tokyo, London, New York, Sydney) in 4 different visual forms (boxes, timeline, zones, colored candles) with many other useful tools.
You can choose between 4 different market sessions. The default ones are Tokyo, London, New York and Sydney but you can easily customize the times, names and colors to make the script plot any session you need. Sessions can be viewed in 4 different ways: boxes, zones, timelines, or just colored candles, all with customizable appearances. You can make your chart cleaner by merging sessions overlaps, choosing a custom lookback period and also picking between various additional settings such as viewing session High/Low or Open/Close change in % or pips, hiding weekends, viewing the Open/Close Line to identify session’s direction and 0.5 level to see session’s “Equilibrium” and much more. More updates with interesting tools will be added in the future.
Note: The script will plot the correct default Tokyo, London, New York and Sydney sessions automatically, your chart/Tradingview app timezone does not matter! If you wish to tweak the open/close times of sessions, just make sure you input them in UTC (but even this can be changed later in the settings)
Settings Overview
SESSIONS
- You can show/hide Tokyo Session, rename it, change the color and set up start/end time.
- You can show/hide London Session, rename it, change the color and set up start/end time.
- You can show/hide New York Session, rename it, change the color and set up start/end time.
- You can show/hide Sydney Session, rename it, change the color and set up start/end time.
* Keep in mind that you can fully change and customize these sessions and therefore create any other sessions or a zone you wish to display.
ADDITIONAL TOOLS AND SETTINGS
1. “Change (Pips)” - this will add the pip distance between Session High and Session Low or the pip distance between Session Open and Session Close to the session label.
2. “Change (%)” - this will add the percentage distance between Session High and Session Low or the percentage distance between Session Open and Session Close to the session label.
3. “Merge Overlaps” - this will merge the overlapping sessions and show only one at a time (end of Tokyo is moved to start of London, the end of London is moved to the start of New York, end of New York is moved to start of Sydney and end of Sydney is moved to start of Tokyo).
4. “Hide Weekends” - this will prevent the script from plotting sessions over the weekend when the markets are closed.
5. “Open/Close Line” - this will draw a line from the session open to the session close (or current price, if session is ongoing).
6. “Session 0.5 Level” - this will draw a horizontal line halfway between the session’s high and the session’s low.
7. “Color Candles” - this will color the bars/candlesticks with the color of the session in which they occurred.
8. Display Type” - Choose between three different ways of session visualization (Boxes, Zones and Candles).
9. “Lookback (Days)” - this input tells the script to only draw sessions for X days back (1 = one day).
10. “Change (%/Pips) Source) - this is where you choose the source of “Change (Pips)” and ”Change (%) ” labels. Picking “Session High/Low” will show you the change between Session High and Session Low and picking “Session Open/Close” will show you the change between Session Open and Session Close.
11. “Input Timezone” - this defines the timezone of the session start/end inputs (you don’t have to change this unless you know what you’re doing)
Make sure to read future update logs to keep track of the most recent additions and settings of this script.
Box generation code inspired by Jos(TradingCode), session box visuals inspired by @boitoki's FX Market Sessions
VXD SupercycleVXD is a brand new indicator and still developing. to minimize stop losses and overcome sideways market conditions, Higher Timeframe are recommended
Trend lines
-using Rolling VWAP as trend line to determined if Volume related to a certain price.
-you can switch RVWAP to EMA in the setting
ATR
-trailing 12*ATR and 2.4 Mutiplier
Pivot point and Rejected Block
Pivot show last High and low of a price in past bars
Rejected Block show when that High or Low price are important level to determined if it's Hidden Divergence or Divergence
Symbols on chart show Premium and Discount Prices
X-Cross - show potential reversal trend with weak volume .
O-circle - show potential reversal trend with strong volume .
Setting
Momentum: RSI = 25 , RSI MA = 14
Trend: Rolling VWAP and ATR and Subhag
Trailing STOP: ATR 12 x 2.4
Highlight Bars color when volume is above SMA 6
SMA200 act as TP Line
Risk:Reward Calculation
if Buy your Stoploss will be previous Pivot low
if Sell your Stoploss will be previous Pivot high and will be calculated form there, then show TP in Orange color line
VXD เป็นระบบเทรดที่ผมทดลองเอาหลาย ๆ ไอเดีย ทั้งจาก Youtube facebook และกลุ่มคนต่าง ๆ มารวบรวมไว้ แล้วตกผลึกขึ้นมาเป็นระบบนี้ ใน Timeframe ใหญ่ ๆ สามารถลากได้ทั้ง Cycle กันเลย
Trend lines
-ใช้ Rolling VWAP ของแอพ Tradingview (สามารถตั้งแค่าเป็น EMA ได้)
ATR
-ใช้ค่า ATR 12 Mutiplier 2.4
Pivot point and Rejected Block
Pivot โชว์เส้น High low และมีผลกับออเดอร์ หากแท่งเทียนปิดทะลุเส้นนี้
Rejected Block วาดแนวรับ-ต้าน อัตโนมัติ ใช้ประกอบ RSI ว่ามี Divergence หรือไม่
สัญลักษณ์ต่าง ๆ
X-Cross - แท่งกลืนกิน วอลุ่มน้อย
O-circle - แท่งกลืนกิน มีวอลุ่ม
Setting
Momentum: RSI = 25 , RSI MA = 14
Trend: Rolling VWAP and ATR and Subhag
Trailing STOP: ATR 12 x 2.4
Highlight Bars color when volume is above SMA 6
SMA200 act as TP Line
Risk:Reward Calculation
หาก Buy จุด SL จะอยู่ที่ Pivot low
หาก Sell จุด SL จะอยู่ที่ Pivot high และระบบจะคำนวณจากตรงนั้น จากนั้นแสดงเป็นเส้น TP สีส้ม
This Strategy Combined the following indicators and conditioning by me
ATR , RSI , EMA , SMA
Rolling VWAP - /script/ZU2UUu9T-Rolling-VWAP/
Regression Lines - Subhag form Subhag Ghosh /script/LHHBVpQu-Subhag-Ghosh-Algo-Version-for-banknifty/
Rejection Block , Pivots , High Volume Bars and PPDD form Super OrderBlock / FVG / BoS Tools by makuchaku & eFe /script/aZACDmTC-Super-OrderBlock-FVG-BoS-Tools-by-makuchaku-eFe/
ขอให้รวยครับ.
[TTI] All-time-high (ATH), (ATL), 52 week high and low Dots––––History & Credit
I wanted to show our community the idea that stocks that make All Time High are likely to continue making ATHs for some time. It goes contrary to the idea "buy cheap sell high". Actually, in the real market leaders the stocks that make 100+% return are just getting started on returns to few THOUSAND percent. I have used code from QuantNovad scrip in this one too. So thanks to him as well, since it speeded writing it from scratch!
–––––What it does
The script paints dots and shows stats.
The dots are 4 types:
🟢 = Every time a new ATH is achieved, a green dot paints above the bar
🟣 = Every time a new 52week High is achieved, a purple dot paints above the bar
🟡 = Every time a new ATL is achieved, a yellow dot paints below the bar
🟠 = Every time a new 52week Low is achieved, a orange dot paints below the bar
Stats =
Show in a box in the bottom right corner of the screen. How many times has this stock achieved:
👉 ATHs
👉 52WK High
👉 ATLs
👉 52WK LOW
–––––How to use it
This is really an illustrative script to get the idea of the methodology "buy high sell higher', that we teach as momentum traders.
Some notable examples to check are:
HOOD
MSFT
TSLA
AAPL
See the stock dynamics and understand that bottom fishing doesn't result in stocks making massive moves.
Strategy Template - V2This is an educational script created to demonstrate few basic building blocks of a trend based strategy and how to achieve different entry and exit types. My initial intention was to create a comprehensive strategy template which covers all the aspects of strategy. But, ended up creating fully fledged strategy based on trend following.
This is an enhancement on Strategy-Template But this script is comparitively more complex. Hence I decided to create new version instead of updating the existing one.
Lets dive deep.
SIMPLE COMPONENTS OF TREND FOLLOWING STRATEGY
TREND BIAS - This defines the direction of trend. Idea is not to trade against the trend direction. If the bias is bullish, look for long opportunities and if bias is bearish, look for short opportunities. Stay out of the market when the bias is neutral.
Often, trend bias is determined based on longer timeframe conditions. Example - 200 Moving Average, Higher timeframe moving averages, Higher timeframe high-lows etc. can be used for determining the trend bias.
In this script, I am using Weekly donchian channels combined with daily donchian channels to define trend bias.
Long Bias - 40 Day donchian channel sits completely in upper portion of 40 Week dochnial channel.
Short Bias - 40 Day donchian channel sits completely in lower portion of 40 Week donchian channel.
ENTRY CONDITION - Entry signals are generated only in the direction of bias. Hence, when in LongBias, we only get Long signals and when in short bias, we only get short signals.
In our case, when in Long Bias - if price hits 40 day high for the first time, this creates our long entry signal. Similarly when in Short Bias , price hitting 40 day low will create signal for going short. Since we do not take trades opposite to trend, no entry conditions are formed when price hits 40 day high in Short Bias or 40 day low in Long Bias.
EXIT CONDITION - Exit conditions are formed when we get signals of trend failure.
In our case, when in long trade, price hitting 40 day low creates exit signal. Similarly when in short trade price hitting 40 day high creates exit signal for short trade.
DIFFERENT TYPES OF ENTRY AND EXIT
In this script, I have tried to demonstrate different entry and exit types.
Entry types
Market - Enter immediately when entry signal is received. That is, in this case when price crossover over high in long bias and crosses under low in short bias
Stop - This method includes estimating at what level new highs are made and creating a stop buy order at that level. This way, we do not miss if the break out is stronger. But, susciptible to fail during fakeouts.
Limit - This method includes executing a limit order to buy at lower price or sell at higher price. In trend following methods, downside of limit order is when there is genuine breakout, these limit orders may not hit and during trend failures the limit orders are likely to hit and go straight to stop.
Stop-Limit - this is same as stop order but will also place a limit condition to avoid buying on overextended breakout or with lots of slippage.
Exit types
Market - whether to keep the existing trade running or whether to close it is determined after close of each bar and exit orders are executed manually upon receiving exit signal.
Stop - We place stop loss orders beforehand when there is a trade in place. This can help in avoiding big movements against trade within bar. But, this may also stop on false signals or fakeouts.
Take profit
Stop - No take profits are configured.
Target - 30% of the positions are closed when take profit levels are hit. Take profit levels are defined by risk reward.
USING THE CODE AS TEMPLATE
As mentioned earlier, I intended to create a fully fledged strategy template. But, ended up creating a fully fledged stratgy. However, you can take some part of this code and use it to start your own strategy. Will explain what all things can be adopted without worrying about the strategy implementation within
Strategy definition : This can be copied as is and just change the title of strategy. This defines some of the commonly used parameters of strategy which can help with close to realistic backtesting results for your coded strategy and comparison with buy and hold.
Generic Strategy Parameters : The parameter which defines controlling alllowed trade direction and trading window are present here. This again can be copied as is and variable inDateRange can be directly used in entry conditions.
Generic Methods : f_getMovingAverage and f_secureSecurity are handy and can be used as is. atr method provideded by pine gives you ATR based on RMA. If you want SMA or any other moving average based ATR, you can use the method f_getCustomAtr
Trade Statements : This section has all types of trading instructions which includes market/stop/limit/stop-limit type of entries and exits and take profit statements. You can adopt the type of entry you are interested in and change when condition to suit your strategy.
Trade conditions and levels : This section is required. But, cannot be copied. All the trade logic goes here which also sets parameters which are used in when of Trade Statements.
Hope this helps.
Efficiency Ratio (Market Noise) by Alejandro PThis is an indicator based on the Efficiency Ratio by Perry Kaufman. Like Price Density, which we have published previously, Perry Kaufman's Efficiency Ratio is a quantifiable method of measuring market noise.
This version of the indicator includes a feature to make the values of the indicator change based on thresholds to easier visualize different market conditions. Additionally there is a directional feature which factors in the direction of the price moves.
We can use the Efficiency Ratio to set rules and only trade particular systems when noise is at an appropriate level. For example, if noise is high then we would want to avoid trend following strategies and instead trade mean-reversion strategies, and vice-versa when the opposite is true.
The Efficiency Ratio can also be used to match assets to strategies. Some assets will be naturally more noisy than others and therefore we might have a principle where we only trade those noisy assets with our mean reversion strategies and the more quiet assets with trend following strategies.
Calculation:
Efficiency Ratio = Absolute net change in close price / absolute sum of the individual close price changes
The numerator looks at the absolute close change in price. It subtracts the starting close price in the period from the final close price in the period. The denominator compares the close price of one bar to the close price of the previous bar, this is performed for each of the successive bars in the whole period and then the value is summed. The absolute price is used because there are positive and negative values because each bar may close above or below the previous bar close.
The Efficiency Ratio provides an opposite interpretation of market noise compared to Price Density. With Price Density high values = high noise and low values = low noise. With the Efficiency Ratio high values = low noise and low values = high noise.
Comparing Price Density to Perry Kaufman's Efficiency Ratio:
Similarities
Both use the sum of the individual bar moves
- Price Density - High - Low
- Efficiency Ratio - Close to Close
Differences
Price Density uses the full price range (to determine the height of the box)
Efficiency Ratio uses the net close price change over the period
The interpretation of the values is the reverse for each
Full credits to the source of the above information and interpretation.
