TDV Indicator

27 giu 2022

This indicator measures the volatility of an asset based on the price distance from the baseline used in my TDR indicator. IT calculates the average distance the price will move from the baseline and shows a visual representation of that data. If the scatterplot is white, the price is within the average, if it turns yellow, the price is above the average. This can be used to determine if the price action is over extended.

11 ago 2022

Note di rilascio

Display the current risk level on the bottom right of the chart.

15 mar 2024

Note di rilascio

Added an Upper and Lower limit for the TDV value and display the value on the indicator. Upper and Lower limit can be set in the options. The upper and lower limits displayed in Blue give an indication as to when the volatility of the assets is close to the limit and a correction in the volatility can be expected in that range.

3 giorni fa

Note di rilascio

TDR Risk Engine
Overview:
The TDR Risk Engine is a powerful market risk and momentum visualization tool. It provides two advanced risk models—TDV Extreme and PPO—to help traders identify high and low risk zones, potential market extremes, and optimal trade timing. The indicator is designed for use on any asset or timeframe and is highly customizable.

Key Features
Dual Risk Engines:

TDV Extreme:
Measures price distance from a Donchian channel baseline (default 50-period).
Tracks rolling averages and extreme breaches to dynamically identify high and low risk zones.
Visualizes “extreme” and “above average” conditions with color-coded plots.
Adaptive rolling windows based on timeframe or user input.
PPO (Percentage Price Oscillator):
Uses Laguerre-smoothed PPO percent ranks to gauge momentum extremes.
Combines top and bottom PPO percent ranks for a composite risk score.
Highlights overbought/oversold conditions and momentum shifts.

Visual Risk Zones:
Color-coded scatter plots for easy identification of average, above average, near extreme, and extreme risk conditions.
Optional plot lines for high/low limits and above-average thresholds.

Alerts:
Get notified when price or PPO enters high or low extreme zones.
Customizable Settings:

Switch between TDV Extreme and PPO engines.
Adjust rolling window and extreme lookback periods.
Toggle display of high/low limits and above-average thresholds.

How It Works
TDV Extreme Mode:
Calculates the percentage distance of price from the Donchian baseline.
Tracks rolling averages for both positive and negative distances.
Identifies and records “extreme” breaches, dynamically updating high/low limits.
Color codes each bar based on its risk state (average, above average, near extreme, extreme).

PPO Mode:
Applies Laguerre smoothing to the average price (hl2) with short (0.4) and long (0.8) factors.
Calculates PPO top and bottom percent ranks over a configurable window.
Sums the ranks for a composite risk score, highlighting extremes at ±85 and above-average at ±65.

Visuals
Scatter Plot:
White: Average risk
Orange: Above average
Green: Near extreme
Blue: Extreme
Red: Sustained extreme (hit count exceeds average)

Limit Lines:
Blue: High/Low extreme limits
Orange: Above average thresholds
White: PPO high/low limits (in PPO mode)

Alerts
TDV Extreme:
Alerts when price breaches high or low extreme limits.

PPO:
Alerts when PPO sum exceeds ±85.

Best Practices
Use as a risk filter for entries/exits in your trading system.
Combine with trend or momentum indicators for confirmation.
Adjust rolling window and lookback for your asset and timeframe.