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Hybrid Triple Exponential Smoothing🙏🏻 TV, I present you HTES aka Hybrid Triple Exponential Smoothing, designed by Holt & Winters in the US, assembled by me in Saint P. I apply exponential smoothing individually to the data itself, then to residuals from the fitted values, and lastly to one-point forecast (OPF) errors, hence 'hybrid'. At the same time, the method is a closed-form solution and purely online, no need to make any recalculations & optimize anything, so the method is O(1). ^^ historical OPFs and one-point forecasting interval plotted instead of fitted values and prediction interval Before the How-to, first let me tell you some non-obvious things about Triple Exponential smoothing (and about Exponential Smoothing in general) that not many catch. Expo smoothing seems very straightforward and obvious, but if you look deeper... 1) The whole point of exponential smoothing is its incremental/online nature, and its O(1) algorithm complexity, making it dope for high-frequency streaming data that is also univariate and has no weights. Consequently: - Any hybrid models that involve expo smoothing and any type of ML models like gradient boosting applied to residuals rarely make much sense business-wise: if you have resources to boost the residuals, you prolly have resources to use something instead of expo smoothing; - It also concerns the fashion of using optimizers to pick smoothing parameters; honestly, if you use this approach, you have to retrain on each datapoint, which is crazy in a streaming context. If you're not in a streaming context, why expo smoothing? What makes more sense is either picking smoothing parameters once, guided by exogenous info, or using dynamic ones calculated in a minimalistic and elegant way (more on that in further drops). 2) No matter how 'right' you choose the smoothing parameters, all the resulting components (level, trend, seasonal) are not pure; each of them contains a bit of info from the other components, this is just how non-sequential expo smoothing works. You gotta know this if you wanna use expo smoothing to decompose your time series into separate components. The only pure component there, lol, is the residuals; 3) Given what I've just said, treating the level (that does contain trend and seasonal components partially) as the resulting fit is a mistake. The resulting fit is level (l) + trend (b) + seasonal (s). And from this fit, you calculate residuals; 4) The residuals component is not some kind of bad thing; it is simply the component that contains info you consciously decide not to include in your model for whatever reason; 5) Forecasting Errors and Residuals from fitted values are 2 different things. The former are deltas between the forecasts you've made and actual values you've observed, the latter are simply differences between actual datapoints and in-sample fitted values; 6) Residuals are used for in-sample prediction intervals, errors for out-of-sample forecasting intervals; 7) Choosing between single, double, or triple expo smoothing should not be based exclusively on the nature of your data, but on what you need to do as well. For example: - If you have trending seasonal data and you wanna do forecasting exclusively within the expo smoothing framework, then yes, you need Triple Exponential Smoothing; - If you wanna use prediction intervals for generating trend-trading signals and you disregard seasonality, then you need single (simple) expo smoothing, even on trending data. Otherwise, the trend component will be included in your model's fitted values → prediction intervals. 8) Kind of not non-obvious, but when you put one smoothing parameter to zero, you basically disregard this component. E.g., in triple expo smoothing, when you put gamma and beta to zero, you basically end up with single exponential smoothing. ^^ data smoothing, beta and gamma zeroed out, forecasting steps = 0 About the implementation * I use a simple power transform that results in a log transform with lambda = 0 instead of the mainstream-used transformers (if you put lambda on 2 in Box-Cox, you won't get a power of 2 transform) * Separate set of smoothing parameters for data, residuals, and errors smoothing * Separate band multipliers for residuals and errors * Both typical error and typical residuals get multiplied by math.sqrt(math.pi / 2) in order to approach standard deviation so you can ~use Z values and get more or less corresponding probabilities * In script settings → style, you can switch on/off plotting of many things that get calculated internally: - You can visualize separate components (just remember they are not pure); - You can switch off fit and switch on OPF plotting; - You can plot residuals and their exponentially smoothed typical value to pick the smoothing parameters for both data and residuals; - Or you might plot errors and play with data smoothing parameters to minimize them (consult SAE aka Sum of Absolute Errors plot); ^^ nuff said More ideas on how to use the thing 1) Use Double Exponential Smoothing (data gamma = 0) to detrend your time series for further processing (Fourier likes at least weakly stationary data); 2) Put single expo smoothing on your strategy/subaccount equity chart (data alpha = data beta = 0), set prediction interval deviation multiplier to 1, run your strat live on simulator, start executing on real market when equity on simulator hits upper deviation (prediction interval), stop trading if equity hits lower deviation on simulator. Basically, let the strat always run on simulator, but send real orders to a real market when the strat is successful on your simulator; 3) Set up the model to minimize one-point forecasting errors, put error forecasting steps to 1, now you're doing nowcasting; 4) Forecast noisy trending sine waves for fun. ^^ nuff said 2 All Good TV ∞
Indicatore Pine Script®
di gorx1
5
Double RSI + BBRSI stands for Relative Strength Index. Bollinger Bands stands for a channel open by standard deviation values plotting upper, lower lines. Double RSI with Bollinger bands adapted Bollinger bands to RSI not using overlay mode. It tries to filter fake signals while giving more good signals according to volatility even below overbought areas or above oversold areas. This way you can use greater values for RSI, like 25 and 100, increasing smoothness with less market noise. We added an extra gap spacer to smooth Bollinger bands while widening the channel with a lower multiplier. I found better results when Fast RSI crosses back into Bollinger bands channel. You can play with the following settings: • Source Close is the most used • Fast RSI length Default to 25 • Slow RSI length Default to 100 • RSI Smoothing To filter out some graphic noise • RSI Overbought, Oversold Regular overbought, oversold lines handled by a single value. For 70/30, set it to 20 although with longer RSI something around 15 is enough. • Bollinger Spacer Ads thickness to the channel with lower multiplier • Bollinger Length Regular Bollinger length applied to slow RSI • Bollinger Multiplier Regular Bollinger multiplier applied to slow RSI Disclaimer: For study purposes only, trading without a good risk management can be regrettable, do your own research, always add confirmations, use it as is, at your own risk.
Indicatore Pine Script®
di xvelox_
2
two BollingersThe Double Bollinger Band consists of an average and two Bollingers and two backgrounds, each of which has separate settings and can be approved more strongly for trades. Moves and vice versa. With the price chart coming out of the second band, the price is much more likely to move in the same direction. To use this feature, we had to use two Bollinger indicators with different settings at the same time, but we no longer need to do this with the Double Bollinger . Its main use is crypto, but it can be used in all markets
Indicatore Pine Script®
di Ehsan_Haghi
double Bollinger BandsThe Double Bollinger Band consists of an average and two Bollingers and two backgrounds, each of which has separate settings and can be approved more strongly for trades. Moves and vice versa. With the price chart coming out of the second band, the price is much more likely to move in the same direction. To use this feature, we had to use two Bollinger indicators with different settings at the same time, but we no longer need to do this with the Double Bollinger. Its main use is crypto, but it can be used in all markets
Indicatore Pine Script®
di Ehsan_Haghi
Double RSI FilterI've seen several youtubers using 2 RSI's on top of one another to filter trades for their strategies. I figured I would just code it up as an all-in-one indicator for people who have the basic package. This way they have an extra slot for another indicator if they need one and also for convenience. Longs only when RSI 1 is above RSI 2 and shorts only when opposite. The arrows show where crosses of the RSI's occur. Let me know if there is something else like this where it would just be very convenient to have 2 indicators on one window or other such things and I'll see if I can do something for you guys in my spare time. I'm just an amateur coder, but learning as I do more of these for people. Thank you! Hope this helps someone! :)
Indicatore Pine Script®
di Zen_Forex_
1
[SK] Double MACDThe Double MACD indicator is precisely two different MACD indicators plotted on the same axis for precise visual correlation between each other. This correlation provides more information than a single regular MACD by allowing you to compare the signals of a shorter timeframe to the default or longer timeframe, showing the strength of the change in momentum and the peak of the momentum between both configurations. The indicator has cloud options by default if you toggle on the MACD / Signal lines for better readability. The cloud will change color to the line on top of it's set. This is to help you not get lost in the 4 different lines. Customize the indicator to your preference and make it your own If you'd like a candle like visualization, change the short MACD plot style to a histogram. For a beautiful double bars style, select bars on both configurations and set the transparency to 30 - 40 For a dynamic moving average style, go with the line plot style ( default ) All MACD/Signal lines are toggled off by default, toggle them on in the inputs section. On the styles panel, you can turn off the cloud fills or the lines. Change all the colors you'd like!
Indicatore Pine Script®
di sirkriz
9
DPD INDICATOR (DEMA PRICE DİFFERENCE PERCENTAGE )I use DEMA and Price difference in many strategies and and trade. Finally , ı wanted to build an indicator for relation between them. It calculates the percentage of difference between price and dema and estimates deviation from the main trend. Formula = (price-dema)/price*100 There is some parameters; DEMA Length is length of dema , ı think 50 is good enough, there is upper and lower band for DPD Score . You can change it based on volatilities of your pairs to find an optima. and use it to be sure about your entry point. I will developed and combine DPD with some other indicators and build strategies with it. You can be part of that , I am waiting for your feedback. Stay in Touch :)
Indicatore Pine Script®
di ridvansozen1
4
Double EMAThis indicator drops to EMA on your chart. by default it's using different number of bars to calculate the short and long range indicators per time frame. This system is wildly used by professionals to avoid false reading on market's trend and better make decisions. Remember, the crossing of these two indicators should not be used for getting a signal. Instead, you can look into long indicator to see the global market's trend and look at short indicator if the market is reversing the direction of trend to avoid false signals by other systems you may use. There is also an input and when you check mark the check box, you can tweak the numbers and the two custom numbers will totally override the default ones to make it suite your needs.
Indicatore Pine Script®
di CAB_Member
Triangular Moving AverageThe TRIMA is simply the SMA of the SMA -- a double-smoothed simple moving average . The end effect of the double smoothing is that greater weight is placed on values near the middle of the lookback period. It therefore reacts relatively slowly to price changes compared to most moving averages . But why would I want more lag? One potential use of this moving average that I've found is that it can allow price to run for a bit after crossing the TRIMA before catching up and creating an opposing signal. It therefore creates the chance for the price to "run its course" so to speak, which can make whipsaw signals less common.
Indicatore Pine Script®
di JacobAmos
3
Double HullMA CrossThe Hull Moving Average (HMA), developed by Alan Hull, is an extremely fast and smooth moving average. In fact, the HMA almost eliminates lag altogether and manages to improve smoothing at the same time. The Hull Moving Average solves the dilemma of making a moving average more responsive to current price activity whilst maintaining curve smoothness. (hoping in less false signals). indicator doubles the input value to make the second HullMA value, then marks the crossover
Indicatore Pine Script®
di SeaSide420
5