Modified Signal to Noise Ratio (SNR) - Ehlers
This is my "Modified Signal to Noise Ratio" (SNR) indicator using Pine Script version 4.0, freely available to ALL! While creating my "Enhanced Instantaneous Cycle Period" detector, within the same document entitled "SIGNAL ANALYSIS CONCEPTS" written by Dr. John Ehlers, there was code for a signal to noise indicator. So, I adapted it to Pine Script v4.0.
Notice: Consider this to be experimental, but it may come in handy for a few traders who figure out how to use it.
Overviewing it's display on multiple assets with the "Original" formulation, I noticed the "Signal to Noise Ratio" looked commonly hunky-dory all too often except for on a few occasions. You will see that displayed above in the upper indicator and notice how smooth it is. Hmm... The original formulation utilizes three EMAs, and I pondered if that was providing too much smoothing and additional lag. I figured I would try another filter in it's place that may be favorable, and the results seemed more likely as I originally expected, for the most part.
Displayed above, the second indicator from the top, is the "Modified Formulation" that is selectable in the indicator "Settings". You will notice on the left, the highlighting is revealing itself while encountering volatile areas of the assets price. When I encounter this, I switch to a lower time frame to see in more detail what is transpiring. The signal to noise ratio may have a better appearance after doing so. On the 1 second time frame, many assets look like a trading nightmare and that is reflected in the SNR indicator. While on the 30 second time frame, many price fluctuations often look reasonable, but this depends always on the asset too. The point is, if there is an abundance of yellow and/or especially red across the indicator, it may be a good time to consider switching time frames. Some assets are just highly volatile and that's just the way it is. I provided a range smoothing control for ONLY the modified formulation in the indicator "Settings" to attempt to mitigate a choppy SNR signal, but that typically has minimal effect. Setting it too low just makes the SNR worse.
How is the highlighting set up? Yellow is cautionary and red is worst case signal to noise. Keep in mind the scale is ranged in decibels. Anything below 6 decibels in red, below the red dotted line, is an indication of high noise detection. Below the yellow line of 10dB is definitely a cautionary zone down to 6dB. Ideally, above 12dB is ordinarily a signal that may be worth analyzing. The red and yellow dotted lines are adjustable in "Settings" too, and I provided three types of highlighting selectable in the indicator "Settings".
I sourced my "Simple Sine Wave Generator" to the signal to noise indicator, and the signal to noise ratio is upwards towards an astounding 90dB signal to noise on both SNR formulations. 90dB is a SUPERB signal level to pump through a loudspeaker without any audible "noise" to hear, FYI. If only the stock market gave signals like my "Simple Sine Wave Generator"...
I hope that explains how this indicator may be used with the potential to assist you with finding a suitable time frame for trading on certain assets.
Features List Includes:
I.P.O.C.S.(Initial Public Offering Clean Start) Technology
Enable/disable dark background for enhanced visibility
"Source" selection with multiple time frame adjustments
"SNR Formulation" adjustment
"Smooth Range" tweak
Threshold adjustments
"Highlighting Methods" selection
The comments section below is solely just for commenting and other remarks, ideas, compliments, etc... regarding only this indicator, not others. If you do have any general questions or comments regarding this indicator, I will consider your inquiries, thoughts, and ideas presented below in the comments section, when time provides it. As always, "Like" it if you simply just like it with a proper thumbs up, and also return to my scripts list occasionally for additional postings. Have a profitable future everyone!
Notice: Consider this to be experimental, but it may come in handy for a few traders who figure out how to use it.
Overviewing it's display on multiple assets with the "Original" formulation, I noticed the "Signal to Noise Ratio" looked commonly hunky-dory all too often except for on a few occasions. You will see that displayed above in the upper indicator and notice how smooth it is. Hmm... The original formulation utilizes three EMAs, and I pondered if that was providing too much smoothing and additional lag. I figured I would try another filter in it's place that may be favorable, and the results seemed more likely as I originally expected, for the most part.
Displayed above, the second indicator from the top, is the "Modified Formulation" that is selectable in the indicator "Settings". You will notice on the left, the highlighting is revealing itself while encountering volatile areas of the assets price. When I encounter this, I switch to a lower time frame to see in more detail what is transpiring. The signal to noise ratio may have a better appearance after doing so. On the 1 second time frame, many assets look like a trading nightmare and that is reflected in the SNR indicator. While on the 30 second time frame, many price fluctuations often look reasonable, but this depends always on the asset too. The point is, if there is an abundance of yellow and/or especially red across the indicator, it may be a good time to consider switching time frames. Some assets are just highly volatile and that's just the way it is. I provided a range smoothing control for ONLY the modified formulation in the indicator "Settings" to attempt to mitigate a choppy SNR signal, but that typically has minimal effect. Setting it too low just makes the SNR worse.
How is the highlighting set up? Yellow is cautionary and red is worst case signal to noise. Keep in mind the scale is ranged in decibels. Anything below 6 decibels in red, below the red dotted line, is an indication of high noise detection. Below the yellow line of 10dB is definitely a cautionary zone down to 6dB. Ideally, above 12dB is ordinarily a signal that may be worth analyzing. The red and yellow dotted lines are adjustable in "Settings" too, and I provided three types of highlighting selectable in the indicator "Settings".
I sourced my "Simple Sine Wave Generator" to the signal to noise indicator, and the signal to noise ratio is upwards towards an astounding 90dB signal to noise on both SNR formulations. 90dB is a SUPERB signal level to pump through a loudspeaker without any audible "noise" to hear, FYI. If only the stock market gave signals like my "Simple Sine Wave Generator"...
I hope that explains how this indicator may be used with the potential to assist you with finding a suitable time frame for trading on certain assets.
Features List Includes:
I.P.O.C.S.(Initial Public Offering Clean Start) Technology
Enable/disable dark background for enhanced visibility
"Source" selection with multiple time frame adjustments
"SNR Formulation" adjustment
"Smooth Range" tweak
Threshold adjustments
"Highlighting Methods" selection
The comments section below is solely just for commenting and other remarks, ideas, compliments, etc... regarding only this indicator, not others. If you do have any general questions or comments regarding this indicator, I will consider your inquiries, thoughts, and ideas presented below in the comments section, when time provides it. As always, "Like" it if you simply just like it with a proper thumbs up, and also return to my scripts list occasionally for additional postings. Have a profitable future everyone!
Note di rilascio:
Provided titles for levels at the request of another member to accommodate user alert setup capabilities for this indicator. Also performed subtle refactoring along with code cleanup.