OPEN-SOURCE SCRIPT
Aggiornato Enhanced Augmented Dickey-Fuller Test | Seww
This indicator expands and enhances the Enhanced Augmented Dickey-Fuller (ADF) Test 📈 to provide smoothing, visual, and normilization options. It’s designed to identify mean-reverting 🔁 or trending 📉📈 behavior in price movements.
With customizable settings and clear visuals, it’s a practical tool for traders using quantitative strategies or as a score ranging from -1 to +1 in your systems.
Key Features ⚡
🛠️ General ADF Settings:
📊 Price Source: Analyze any price data (e.g., close, open, high, low).
🔄 Lookback Length: Control the test window size.
🔧 Maximum Lag: Account for serial correlation with adjustable lag.
✅ Confidence Levels: Choose 90%, 95%, or 99% for statistical testing.
🧩 Enhanced ADF Settings:
🎚️ Normalization: Rescales ADF values between -1 and 1 for easy comparison.
🟢 Smoothing: Apply Hull MA to make trends more visually interpretable.
🔧 Threshold: Define the cutoff for trending vs. mean-reverting behavior.
🎨 Visual Settings:
🌈 Custom Colors: Define colors for trending (green) and mean-reverting (red) regimes.
📝 Table Summary: Display test statistics and results directly on the chart.
Displays critical values and thresholds for reference.
Color-coded backgrounds distinguish between regimes.
Colors:
🟢 Trending: Green candles and background.
🔴 Mean-Reverting: Red candles and background.
The code is open-source for anybody wanting to use for their own purposes.
With customizable settings and clear visuals, it’s a practical tool for traders using quantitative strategies or as a score ranging from -1 to +1 in your systems.
Key Features ⚡
🛠️ General ADF Settings:
📊 Price Source: Analyze any price data (e.g., close, open, high, low).
🔄 Lookback Length: Control the test window size.
🔧 Maximum Lag: Account for serial correlation with adjustable lag.
✅ Confidence Levels: Choose 90%, 95%, or 99% for statistical testing.
🧩 Enhanced ADF Settings:
🎚️ Normalization: Rescales ADF values between -1 and 1 for easy comparison.
🟢 Smoothing: Apply Hull MA to make trends more visually interpretable.
🔧 Threshold: Define the cutoff for trending vs. mean-reverting behavior.
🎨 Visual Settings:
🌈 Custom Colors: Define colors for trending (green) and mean-reverting (red) regimes.
📝 Table Summary: Display test statistics and results directly on the chart.
Displays critical values and thresholds for reference.
Color-coded backgrounds distinguish between regimes.
Colors:
🟢 Trending: Green candles and background.
🔴 Mean-Reverting: Red candles and background.
The code is open-source for anybody wanting to use for their own purposes.
Note di rilascio
This indicator expands and enhances the Enhanced Augmented Dickey-Fuller (ADF) Test 📈 to provide smoothing, visual, and normilization options. It’s designed to identify mean-reverting 🔁 or trending 📉📈 behavior in price movements.With customizable settings and clear visuals, it’s a practical tool for traders using quantitative strategies or as a score ranging from -1 to +1 in your systems.
Key Features ⚡
🛠️ General ADF Settings:
📊 Price Source: Analyze any price data (e.g., close, open, high, low).
🔄 Lookback Length: Control the test window size.
🔧 Maximum Lag: Account for serial correlation with adjustable lag.
✅ Confidence Levels: Choose 90%, 95%, or 99% for statistical testing.
🧩 Enhanced ADF Settings:
🎚️ Normalization: Rescales ADF values between -1 and 1 for easy comparison.
🟢 Smoothing: Apply Hull MA to make trends more visually interpretable.
🔧 Threshold: Define the cutoff for trending vs. mean-reverting behavior.
🎨 Visual Settings:
🌈 Custom Colors: Define colors for trending (green) and mean-reverting (red) regimes.
📝 Table Summary: Display test statistics and results directly on the chart.
Displays critical values and thresholds for reference.
Color-coded backgrounds distinguish between regimes.
Colors:
🟢 Trending: Green candles and background.
🔴 Mean-Reverting: Red candles and background.
The code is open-source for anybody wanting to use it for their coding.
Note di rilascio
Added customizable normilazation lookback period.
Script open-source
In pieno spirito TradingView, l'autore di questo script lo ha pubblicato open-source, in modo che i trader possano comprenderlo e verificarlo. Un saluto all'autore! È possibile utilizzarlo gratuitamente, ma il riutilizzo di questo codice in una pubblicazione è regolato dal nostro Regolamento. Per aggiungerlo al grafico, mettilo tra i preferiti.
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Declinazione di responsabilità
Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.