OPEN-SOURCE SCRIPT
TF_VXMV Active Trend Following
TF_VXMV Active Trend Following Algorithm
// Version 1.1
// Date : 26. June 2023
// (28/06/2023) Update 1.1 : added crypto as input.
// Scope:
// - can be used for Stocks, Futures, Indices, Bonds, ETFs, Forex
// Features:
// - the algorithm adjusts the stop-loss multiplier according to the market cap of the security (stocks only)
// - furthermore the multiplier gets adjusted by the VIX regime that is currently prevailing (high vol-> increased multiplier)
// - all multipliers have default values prescribed that are derived from benchmark calibration back-tests, they can be
// manually adjusted in TradingView indicator settings.
//
// The original algorithm is based on Wilders Trend Following algorithm.
// Details can be found in his book, or better in the two papers that were published on the indicator, which can be found here
// (1) researchgate.net/publication/342170423_TREND_TRADING_EXPLAINED
// (2) researchgate.net/publication/342640349_THE_PHILOSOPHY_OF_TREND_FOLLOWING
//
// Copyright ©TradeFlags, Andreas Aigner 2023
// For implementation of this algorithm into your own application please contact me.
// Version 1.1
// Date : 26. June 2023
// (28/06/2023) Update 1.1 : added crypto as input.
// Scope:
// - can be used for Stocks, Futures, Indices, Bonds, ETFs, Forex
// Features:
// - the algorithm adjusts the stop-loss multiplier according to the market cap of the security (stocks only)
// - furthermore the multiplier gets adjusted by the VIX regime that is currently prevailing (high vol-> increased multiplier)
// - all multipliers have default values prescribed that are derived from benchmark calibration back-tests, they can be
// manually adjusted in TradingView indicator settings.
//
// The original algorithm is based on Wilders Trend Following algorithm.
// Details can be found in his book, or better in the two papers that were published on the indicator, which can be found here
// (1) researchgate.net/publication/342170423_TREND_TRADING_EXPLAINED
// (2) researchgate.net/publication/342640349_THE_PHILOSOPHY_OF_TREND_FOLLOWING
//
// Copyright ©TradeFlags, Andreas Aigner 2023
// For implementation of this algorithm into your own application please contact me.
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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