Machine Learning: Optimal RSI [YinYangAlgorithms]This Indicator, will rate multiple different lengths of RSIs to determine which RSI to RSI MA cross produced the highest profit within the lookback span. This ‘Optimal RSI’ is then passed back, and if toggled will then be thrown into a Machine Learning calculation. You have the option to Filter RSI and RSI MA’s within the Machine Learning calculation. What this does is, only other Optimal RSI’s which are in the same bullish or bearish direction (is the RSI above or below the RSI MA) will be added to the calculation.
You can either (by default) use a Simple Average; which is essentially just a Mean of all the Optimal RSI’s with a length of Machine Learning. Or, you can opt to use a k-Nearest Neighbour (KNN) calculation which takes a Fast and Slow Speed. We essentially turn the Optimal RSI into a MA with different lengths and then compare the distance between the two within our KNN Function.
RSI may very well be one of the most used Indicators for identifying crucial Overbought and Oversold locations. Not only that but when it crosses its Moving Average (MA) line it may also indicate good locations to Buy and Sell. Many traders simply use the RSI with the standard length (14), however, does that mean this is the best length?
By using the length of the top performing RSI and then applying some Machine Learning logic to it, we hope to create what may be a more accurate, smooth, optimal, RSI.
Tutorial:
This is a pretty zoomed out Perspective of what the Indicator looks like with its default settings (except with Bollinger Bands and Signals disabled). If you look at the Tables above, you’ll notice, currently the Top Performing RSI Length is 13 with an Optimal Profit % of: 1.00054973. On its default settings, what it does is Scan X amount of RSI Lengths and checks for when the RSI and RSI MA cross each other. It then records the profitability of each cross to identify which length produced the overall highest crossing profitability. Whichever length produces the highest profit is then the RSI length that is used in the plots, until another length takes its place. This may result in what we deem to be the ‘Optimal RSI’ as it is an adaptive RSI which changes based on performance.
In our next example, we changed the ‘Optimal RSI Type’ from ‘All Crossings’ to ‘Extremity Crossings’. If you compare the last two examples to each other, you’ll notice some similarities, but overall they’re quite different. The reason why is, the Optimal RSI is calculated differently. When using ‘All Crossings’ everytime the RSI and RSI MA cross, we evaluate it for profit (short and long). However, with ‘Extremity Crossings’, we only evaluate it when the RSI crosses over the RSI MA and RSI <= 40 or RSI crosses under the RSI MA and RSI >= 60. We conclude the crossing when it crosses back on its opposite of the extremity, and that is how it finds its Optimal RSI.
The way we determine the Optimal RSI is crucial to calculating which length is currently optimal.
In this next example we have zoomed in a bit, and have the full default settings on. Now we have signals (which you can set alerts for), for when the RSI and RSI MA cross (green is bullish and red is bearish). We also have our Optimal RSI Bollinger Bands enabled here too. These bands allow you to see where there may be Support and Resistance within the RSI at levels that aren’t static; such as 30 and 70. The length the RSI Bollinger Bands use is the Optimal RSI Length, allowing it to likewise change in correlation to the Optimal RSI.
In the example above, we’ve zoomed out as far as the Optimal RSI Bollinger Bands go. You’ll notice, the Bollinger Bands may act as Support and Resistance locations within and outside of the RSI Mid zone (30-70). In the next example we will highlight these areas so they may be easier to see.
Circled above, you may see how many times the Optimal RSI faced Support and Resistance locations on the Bollinger Bands. These Bollinger Bands may give a second location for Support and Resistance. The key Support and Resistance may still be the 30/50/70, however the Bollinger Bands allows us to have a more adaptive, moving form of Support and Resistance. This helps to show where it may ‘bounce’ if it surpasses any of the static levels (30/50/70).
Due to the fact that this Indicator may take a long time to execute and it can throw errors for such, we have added a Setting called: Adjust Optimal RSI Lookback and RSI Count. This settings will automatically modify the Optimal RSI Lookback Length and the RSI Count based on the Time Frame you are on and the Bar Indexes that are within. For instance, if we switch to the 1 Hour Time Frame, it will adjust the length from 200->90 and RSI Count from 30->20. If this wasn’t adjusted, the Indicator would Timeout.
You may however, change the Setting ‘Adjust Optimal RSI Lookback and RSI Count’ to ‘Manual’ from ‘Auto’. This will give you control over the ‘Optimal RSI Lookback Length’ and ‘RSI Count’ within the Settings. Please note, it will likely take some “fine tuning” to find working settings without the Indicator timing out, but there are definitely times you can find better settings than our ‘Auto’ will create; especially on higher Time Frames. The Minimum our ‘Auto’ will create is:
Optimal RSI Lookback Length: 90
RSI Count: 20
The Maximum it will create is:
Optimal RSI Lookback Length: 200
RSI Count: 30
If there isn’t much bar index history, for instance, if you’re on the 1 Day and the pair is BTC/USDT you’ll get < 4000 Bar Indexes worth of data. For this reason it is possible to manually increase the settings to say:
Optimal RSI Lookback Length: 500
RSI Count: 50
But, please note, if you make it too high, it may also lead to inaccuracies.
We will conclude our Tutorial here, hopefully this has given you some insight as to how calculating our Optimal RSI and then using it within Machine Learning may create a more adaptive RSI.
Settings:
Optimal RSI:
Show Crossing Signals: Display signals where the RSI and RSI Cross.
Show Tables: Display Information Tables to show information like, Optimal RSI Length, Best Profit, New Optimal RSI Lookback Length and New RSI Count.
Show Bollinger Bands: Show RSI Bollinger Bands. These bands work like the TDI Indicator, except its length changes as it uses the current RSI Optimal Length.
Optimal RSI Type: This is how we calculate our Optimal RSI. Do we use all RSI and RSI MA Crossings or just when it crosses within the Extremities.
Adjust Optimal RSI Lookback and RSI Count: Auto means the script will automatically adjust the Optimal RSI Lookback Length and RSI Count based on the current Time Frame and Bar Index's on chart. This will attempt to stop the script from 'Taking too long to Execute'. Manual means you have full control of the Optimal RSI Lookback Length and RSI Count.
Optimal RSI Lookback Length: How far back are we looking to see which RSI length is optimal? Please note the more bars the lower this needs to be. For instance with BTC/USDT you can use 500 here on 1D but only 200 for 15 Minutes; otherwise it will timeout.
RSI Count: How many lengths are we checking? For instance, if our 'RSI Minimum Length' is 4 and this is 30, the valid RSI lengths we check is 4-34.
RSI Minimum Length: What is the RSI length we start our scans at? We are capped with RSI Count otherwise it will cause the Indicator to timeout, so we don't want to waste any processing power on irrelevant lengths.
RSI MA Length: What length are we using to calculate the optimal RSI cross' and likewise plot our RSI MA with?
Extremity Crossings RSI Backup Length: When there is no Optimal RSI (if using Extremity Crossings), which RSI should we use instead?
Machine Learning:
Use Rational Quadratics: Rationalizing our Close may be beneficial for usage within ML calculations.
Filter RSI and RSI MA: Should we filter the RSI's before usage in ML calculations? Essentially should we only use RSI data that are of the same type as our Optimal RSI? For instance if our Optimal RSI is Bullish (RSI > RSI MA), should we only use ML RSI's that are likewise bullish?
Machine Learning Type: Are we using a Simple ML Average, KNN Mean Average, KNN Exponential Average or None?
KNN Distance Type: We need to check if distance is within the KNN Min/Max distance, which distance checks are we using.
Machine Learning Length: How far back is our Machine Learning going to keep data for.
k-Nearest Neighbour (KNN) Length: How many k-Nearest Neighbours will we account for?
Fast ML Data Length: What is our Fast ML Length? This is used with our Slow Length to create our KNN Distance.
Slow ML Data Length: What is our Slow ML Length? This is used with our Fast Length to create our KNN Distance.
If you have any questions, comments, ideas or concerns please don't hesitate to contact us.
HAPPY TRADING!
Cerca negli script per "ai"
Machine Learning: SuperTrend Strategy TP/SL [YinYangAlgorithms]The SuperTrend is a very useful Indicator to display when trends have shifted based on the Average True Range (ATR). Its underlying ideology is to calculate the ATR using a fixed length and then multiply it by a factor to calculate the SuperTrend +/-. When the close crosses the SuperTrend it changes direction.
This Strategy features the Traditional SuperTrend Calculations with Machine Learning (ML) and Take Profit / Stop Loss applied to it. Using ML on the SuperTrend allows for the ability to sort data from previous SuperTrend calculations. We can filter the data so only previous SuperTrends that follow the same direction and are within the distance bounds of our k-Nearest Neighbour (KNN) will be added and then averaged. This average can either be achieved using a Mean or with an Exponential calculation which puts added weight on the initial source. Take Profits and Stop Losses are then added to the ML SuperTrend so it may capitalize on Momentum changes meanwhile remaining in the Trend during consolidation.
By applying Machine Learning logic and adding a Take Profit and Stop Loss to the Traditional SuperTrend, we may enhance its underlying calculations with potential to withhold the trend better. The main purpose of this Strategy is to minimize losses and false trend changes while maximizing gains. This may be achieved by quick reversals of trends where strategic small losses are taken before a large trend occurs with hopes of potentially occurring large gain. Due to this logic, the Win/Loss ratio of this Strategy may be quite poor as it may take many small marginal losses where there is consolidation. However, it may also take large gains and capitalize on strong momentum movements.
Tutorial:
In this example above, we can get an idea of what the default settings may achieve when there is momentum. It focuses on attempting to hit the Trailing Take Profit which moves in accord with the SuperTrend just with a multiplier added. When momentum occurs it helps push the SuperTrend within it, which on its own may act as a smaller Trailing Take Profit of its own accord.
We’ve highlighted some key points from the last example to better emphasize how it works. As you can see, the White Circle is where profit was taken from the ML SuperTrend simply from it attempting to switch to a Bullish (Buy) Trend. However, that was rejected almost immediately and we went back to our Bearish (Sell) Trend that ended up resulting in our Take Profit being hit (Yellow Circle). This Strategy aims to not only capitalize on the small profits from SuperTrend to SuperTrend but to also capitalize when the Momentum is so strong that the price moves X% away from the SuperTrend and is able to hit the Take Profit location. This Take Profit addition to this Strategy is crucial as momentum may change state shortly after such drastic price movements; and if we were to simply wait for it to come back to the SuperTrend, we may lose out on lots of potential profit.
If you refer to the Yellow Circle in this example, you’ll notice what was talked about in the Summary/Overview above. During periods of consolidation when there is little momentum and price movement and we don’t have any Stop Loss activated, you may see ‘Signal Flashing’. Signal Flashing is when there are Buy and Sell signals that keep switching back and forth. During this time you may be taking small losses. This is a normal part of this Strategy. When a signal has finally been confirmed by Momentum, is when this Strategy shines and may produce the profit you desire.
You may be wondering, what causes these jagged like patterns in the SuperTrend? It's due to the ML logic, and it may be a little confusing, but essentially what is happening is the Fast Moving SuperTrend and the Slow Moving SuperTrend are creating KNN Min and Max distances that are extreme due to (usually) parabolic movement. This causes fewer values to be added to and averaged within the ML and causes less smooth and more exponential drastic movements. This is completely normal, and one of the perks of using k-Nearest Neighbor for ML calculations. If you don’t know, the Min and Max Distance allowed is derived from the most recent(0 index of data array) to KNN Length. So only SuperTrend values that exhibit distances within these Min/Max will be allowed into the average.
Since the KNN ML logic can cause these exponential movements in the SuperTrend, they likewise affect its Take Profit. The Take Profit may benefit from this movement like displayed in the example above which helped it claim profit before then exhibiting upwards movement.
By default our Stop Loss Multiplier is kept quite low at 0.0000025. Keeping it low may help to reduce some Signal Flashing while not taking extra losses more so than not using it at all. However, if we increase it even more to say 0.005 like is shown in the example above. It can really help the trend keep momentum. Please note, although previous results don’t imply future results, at 0.0000025 Stop Loss we are currently exhibiting 69.27% profit while at 0.005 Stop Loss we are exhibiting 33.54% profit. This just goes to show that although there may be less Signal Flashing, it may not result in more profit.
We will conclude our Tutorial here. Hopefully this has given you some insight as to how Machine Learning, combined with Trailing Take Profit and Stop Loss may have positive effects on the SuperTrend when turned into a Strategy.
Settings:
SuperTrend:
ATR Length: ATR Length used to create the Original Supertrend.
Factor: Multiplier used to create the Original Supertrend.
Stop Loss Multiplier: 0 = Don't use Stop Loss. Stop loss can be useful for helping to prevent false signals but also may result in more loss when hit and less profit when switching trends.
Take Profit Multiplier: Take Profits can be useful within the Supertrend Strategy to stop the price reverting all the way to the Stop Loss once it's been profitable.
Machine Learning:
Only Factor Same Trend Direction: Very useful for ensuring that data used in KNN is not manipulated by different SuperTrend Directional data. Please note, it doesn't affect KNN Exponential.
Rationalized Source Type: Should we Rationalize only a specific source, All or None?
Machine Learning Type: Are we using a Simple ML Average, KNN Mean Average, KNN Exponential Average or None?
Machine Learning Smoothing Type: How should we smooth our Fast and Slow ML Datas to be used in our KNN Distance calculation? SMA, EMA or VWMA?
KNN Distance Type: We need to check if distance is within the KNN Min/Max distance, which distance checks are we using.
Machine Learning Length: How far back is our Machine Learning going to keep data for.
k-Nearest Neighbour (KNN) Length: How many k-Nearest Neighbours will we account for?
Fast ML Data Length: What is our Fast ML Length?? This is used with our Slow Length to create our KNN Distance.
Slow ML Data Length: What is our Slow ML Length?? This is used with our Fast Length to create our KNN Distance.
If you have any questions, comments, ideas or concerns please don't hesitate to contact us.
HAPPY TRADING!
Machine Learning using Neural Networks | EducationalThe script provided is a comprehensive illustration of how to implement and execute a simplistic Neural Network (NN) on TradingView using PineScript.
It encompasses the entire workflow from data input, weight initialization, implicit neuron calculation, feedforward computation, backpropagation for weight adjustments, generating predictions, to visualizing the Mean Squared Error (MSE) Loss Curve for monitoring the training phase.
In the visual example above, you can see that the prediction is not aligned with the actual value. This is intentional for demonstrative purposes, and by incrementing the Epochs or Learning Rate, you will see these two values converge as the accuracy increases.
Hyperparameters:
Learning Rate, Epochs, and the choice between Simple Backpropagation and a verbose version are declared as script inputs, allowing users to tailor the training process.
Initialization:
Random initialization of weight matrices (w1, w2) is performed to ensure asymmetry, promoting effective gradient updates. A seed is added for reproducibility.
Utility Functions:
Functions for matrix randomization, sigmoid activation, MSE loss calculation, data normalization, and standardization are defined to streamline the computation process.
Neural Network Computation:
The feedforward function computes the hidden and output layer values given the input.
Two variants of the backpropagation function are provided for weight adjustment, with one offering a more verbose step-by-step computation of gradients.
A wrapper train_nn function iterates through epochs, performing feedforward, loss computation, and backpropagation in each epoch while logging and collecting loss values.
Training Invocation:
The input data is prepared by normalizing it to a value between 0 and 1 using the maximum standardized value, and the training process is invoked only on the last confirmed bar to preserve computational resources.
Output Forecasting and Visualization:
Post training, the NN's output (predicted price) is computed, standardized and visualized alongside the actual price on the chart.
The MSE loss between the predicted and actual prices is visualized, providing insight into the prediction accuracy.
Optionally, the MSE Loss Curve is plotted on the chart, illustrating the loss trajectory through epochs, assisting in understanding the training performance.
Customizable Visualization:
Various inputs control visualization aspects like Chart Scaling, Chart Horizontal Offset, and Chart Vertical Offset, allowing users to adapt the visualization to their preference.
-------------------------------------------------------
The following is this Neural Network structure, consisting of one hidden layer, with two hidden neurons.
Through understanding the steps outlined in my code, one should be able to scale the NN in any way they like, such as changing the input / output data and layers to fit their strategy ideas.
Additionally, one could forgo the backpropagation function, and load their own trained weights into the w1 and w2 matrices, to have this code run purely for inference.
-------------------------------------------------------
While this demonstration does create a “prediction”, it is on historical data. The purpose here is educational, rather than providing a ready tool for non-programmer consumers.
Normally in Machine Learning projects, the training process would be split into two segments, the Training and the Validation parts. For the purpose of conveying the core concept in a concise and non-repetitive way, I have foregone the Validation part. However, it is merely the application of your trained network on new data (feedforward), and monitoring the loss curve.
Essentially, checking the accuracy on “unseen” data, while training it on “seen” data.
-------------------------------------------------------
I hope that this code will help developers create interesting machine learning applications within the Tradingview ecosystem.
Machine Learning: Donchian DCA Grid Strategy [YinYangAlgorithms]This strategy uses a Machine Learning approach on the Donchian Channels with a DCA and Grid purchase/sell Strategy. Not only that, but it uses a custom Bollinger calculation to determine its Basis which is used as a mild sell location. This strategy is a pure DCA strategy in the sense that no shorts are used and theoretically it can be used in webhooks on most exchanges as it’s only using Spot Orders. The idea behind this strategy is we utilize both the Highest Highs and Lowest Lows within a Machine Learning standpoint to create Buy and Sell zones. We then fraction these zones off into pieces to create Grids. This allows us to ‘micro’ purchase as it enters these zones and likewise ‘micro’ sell as it goes up into the upper (sell) zones.
You have the option to set how many grids are used, by default we use 100 with max 1000. These grids can be ‘stacked’ together if a single bar is to go through multiple at the same time. For instance, if a bar goes through 30 grids in one bar, it will have a buy/sell power of 30x. Stacking Grid Buy and (sometimes) Sells is a very crucial part of this strategy that allows it to purchase multitudes during crashes and capitalize on sales during massive pumps.
With the grids, you’ll notice there is a middle line within the upper and lower part that makes the grid. As a Purchase Type within our Settings this is identified as ‘Middle of Zone Purchase Amount In USDT’. The middle of the grid may act as the strongest grid location (aside from maybe the bottom). Therefore there is a specific purchase amount for this Grid location.
This DCA Strategy also features two other purchase methods. Most importantly is its ‘Purchase More’ type. Essentially it will attempt to purchase when the Highest High or Lowest Low moves outside of the Outer band. For instance, the Lowest Low becomes Lower or the Higher High becomes Higher. When this happens may be a good time to buy as it is featuring a new High or Low over an extended period.
The last but not least Purchase type within this Strategy is what we call a ‘Strong Buy’. The reason for this is its verified by the following:
The outer bounds have been pushed (what causes a ‘Purchase More’)
The Price has crossed over the EMA 21
It has been verified through MACD, RSI or MACD Historical (Delta) using Regular and Hidden Divergence (Note, only 1 of these verifications is required and it can be any).
By default we don’t have Purchase Amount for ‘Strong Buy’ set, but that doesn’t mean it can’t be viable, it simply means we have only seen a few pairs where it actually proved more profitable allocating money there rather than just increasing the purchase amount for ‘Purchase More’ or ‘Grids’.
Now that you understand where we BUY, we should discuss when we SELL.
This Strategy features 3 crucial sell locations, and we will discuss each individually as they are very important.
1. ‘Sell Some At’: Here there are 4 different options, by default its set to ‘Both’ but you can change it around if you want. Your options are:
‘Both’ - You will sell some at both locations. The amount sold is the % used at ‘Sell Some %’.
‘Basis Line’ - You will sell some when the price crosses over the Basis Line. The amount sold is the % used at ‘Sell Some %’.
‘Percent’ - You will sell some when the Close is >= X% between the Lower Inner and Upper Inner Zone.
‘None’ - This simply means don’t ever Sell Some.
2. Sell Grids. Sell Grids are exactly like purchase grids and feature the same amount of grids. You also have the ability to ‘Stack Grid Sells’, which basically means if a bar moves multiple grids, it will stack the amount % wise you will sell, rather than just selling the default amount. Sell Grids use a DCA logic but for selling, which we deem may help adjust risk/reward ratio for selling, especially if there is slow but consistent bullish movement. It causes these grids to constantly push up and therefore when the close is greater than them, accrue more profit.
3. Take Profit. Take profit occurs when the close first goes above the Take Profit location (Teal Line) and then Closes below it. When Take Profit occurs, ALL POSITIONS WILL BE SOLD. What may happen is the price enters the Sell Grid, doesn’t go all the way to the top ‘Exiting it’ and then crashes back down and closes below the Take Profit. Take Profit is a strong location which generally represents a strong profit location, and that a strong momentum has changed which may cause the price to revert back to the buy grid zone.
Keep in mind, if you have (by default) ‘Only Sell If Profit’ toggled, all sell locations will only create sell orders when it is profitable to do so. Just cause it may be a good time to sell, doesn’t mean based on your DCA it is. In our opinion, only selling when it is profitable to do so is a key part of the DCA purchase strategy.
You likewise have the ability to ‘Only Buy If Lower than DCA’, which is likewise by default. These two help keep the Yin and Yang by balancing each other out where you’re only purchasing and selling when it makes logical sense too, even if that involves ignoring a signal and waiting for a better opportunity.
Tutorial:
Like most of our Strategies, we try to capitalize on lower Time Frames, generally the 15 minutes so we may find optimal entry and exit locations while still maintaining a strong correlation to trend patterns.
First off, let’s discuss examples of how this Strategy works prior to applying Machine Learning (enabled by default).
In this example above we have disabled the showing of ‘Potential Buy and Sell Signals’ so as to declutter the example. In here you can see where actual trades had gone through for both buying and selling and get an idea of how the strategy works. We also have disabled Machine Learning for this example so you can see the hard lines created by the Donchian Channel. You can also see how the Basis line ‘white line’ may act as a good location to ‘Sell Some’ and that it moves quite irregularly compared to the Donchian Channel. This is due to the fact that it is based on two custom Bollinger Bands to create the basis line.
Here we zoomed out even further and moved back a bit to where there were dense clusters of buy and sell orders. Sometimes when the price is rather volatile you’ll see it ‘Ping Pong’ back and forth between the buy and sell zones quite quickly. This may be very good for your trades and profit as a whole, especially if ‘Only Buy If Lower Than DCA’ and ‘Only Sell If Profit’ are both enabled; as these toggles will ensure you are:
Always lowering your Average when buying
Always making profit when selling
By default 8% commission is added to the Strategy as well, to simulate the cost effects of if these trades were taking place on an actual exchange.
In this example we also turned on the visuals for our ‘Purchase More’ (orange line) and ‘Take Profit’ (teal line) locations. These are crucial locations. The Purchase More makes purchases when the bottom of the grid has been moved (may dictate strong price movement has occurred and may be potential for correction). Our Take Profit may help secure profit when a momentum change is happening and all of the Sell Grids weren’t able to be used.
In the example above we’ve enabled Buy and Sell Signals so that you can see where the Take Profit and Purchase More signals have occurred. The white circle demonstrates that not all of the Position Size was sold within the Sell Grids, and therefore it was ALL CLOSED when the price closed below the Take Profit Line (Teal).
Then, when the bottom of the Donchian Channel was pushed further down due to the close (within the yellow circle), a Purchase More Signal was triggered.
When the close keeps pushing the bottom of the Buy Grid lower, it can cause multiple Purchase More Signals to occur. This is normal and also a crucial part of this strategy to help lower your DCA. Please note, the Purchase More won’t trigger a Buy if the Close is greater than the DCA and you have ‘Only Purchase If Lower Than DCA’ activated.
By turning on Machine Learning (default settings) the Buy and Sell Grid Zones are smoothed out more. It may cause it to look quite a bit different. Machine Learning although it looks much worse, may help increase the profit this Strategy can produce. Previous results DO NOT mean future results, but in this example, prior to turning on Machine Learning it had produced 37% Profit in ~5 months and with Machine Learning activated it is now up to 57% Profit in ~5 months.
Machine Learning causes the Strategy to focus less on Grids and more on Purchase More when it comes to getting its entries. However, if you likewise attempt to focus on Purchase More within non Machine Learning, the locations are different and therefore the results may not be as profitable.
PLEASE NOTE:
By default this strategy uses 1,000,000 as its initial capital. The amount it purchases in its Settings is relevant to this Initial capital. Considering this is a DCA Strategy, we only want to ‘Micro’ Buy and ‘Micro’ Sell whenever conditions are met.
Therefore, if you increase the Initial Capital, you’ll likewise want to increase the Purchase Amounts within the Settings and Vice Versa. For instance, if you wish to set the Initial Capital to 10,000, you should likewise can the amounts in the Settings to 1% of what they are to account for this.
We may change the Purchase Amounts to be based on %’s in a later update if it is requested.
We will conclude this Tutorial here, hopefully you can see how a DCA Grid Purchase Model applied to Machine Learning Donchian Channels may be useful for making strategic purchases in low and high zones.
Settings:
Display Data:
Show Potential Buy Locations: These locations are where 'Potentially' orders can be placed. Placement of orders is dependant on if you have 'Only Buy If Lower Than DCA' toggled and the Price is lower than DCA. It also is effected by if you actually have any money left to purchase with; you can't buy if you have no money left!
Show Potential Sell Locations: These locations are where 'Potentially' orders will be sold. If 'Only Sell If Profit' is toggled, the sell will only happen if you'll make profit from it!
Show Grid Locations: Displaying won't affect your trades but it can be useful to see where trades will be placed, as well as which have gone through and which are left to be purchased. Max 100 Grids, but visuals will only be shown if its 20 or less.
Purchase Settings:
Only Buy if its lower than DCA: Generally speaking, we want to lower our Average, and therefore it makes sense to only buy when the close is lower than our current DCA and a Purchase Condition is met.
Compound Purchases: Compounding Purchases means reinvesting profit back into your trades right away. It drastically increases profits, but it also increases risk too. It will adjust your Purchase Amounts for the Purchase Type you have set at the same % rate of strategy initial_capital to the amounts you have set.
Adjust Purchase Amount Ratio to Maintain Risk level: By adjusting purchase levels we generally help maintain a safe risk level. Basically we generally want to reserve X amount of % for each purchase type being used and relocate money when there is too much in one type. This helps balance out purchase amounts and ensure the types selected have a correct ratio to ensure they can place the right amount of orders.
Stack Grid Buys: Stacking Buy Grids is when the Close crosses multiple Buy Grids within the same bar. Should we still only purchase the value of 1 Buy Grid OR stack the grid buys based on how many buy grids it went through.
Purchase Type: Where do you want to make Purchases? We recommend lowering your risk by combining All purchase types, but you may also customize your trading strategy however you wish.
Strong Buy Purchase Amount In USDT: How much do you want to purchase when the 'Strong Buy' signal appears? This signal only occurs after it has at least entered the Buy Zone and there have been other verifications saying it's now a good time to buy. Our Strong Buy Signal is a very strong indicator that a large price movement towards the Sell Zone will likely occur. It almost always results in it leaving the Buy Zone and usually will go to at least the White Basis line where you can 'Sell Some'.
Buy More Purchase Amount In USDT: How much should you purchase when the 'Purchase More' signal appears? This 'Purchase More' signal occurs when the lowest level of the Buy Zone moves lower. This is a great time to buy as you're buying the dip and generally there is a correction that will allow you to 'Sell Some' for some profit.
Amount of Grid Buy and Sells: How many Grid Purchases do you want to make? We recommend having it at the max of 10, as it will essentially get you a better Average Purchase Price, but you may adjust it to whatever you wish. This amount also only matters if your Purchase Type above incorporates Grid Purchases. Max 100 Grids, but visuals will only be shown if it's 20 or less.
Each Grid Purchase Amount In USDT: How much should you purchase after closing under a grid location? Keep in mind, if you have 10 grids and it goes through each, it will be this amount * 10. Grid purchasing is a great way to get a good entry, lower risk and also lower your average.
Middle Of Zone Purchase Amount In USDT: The Middle Of Zone is the strongest grid location within the Buy Zone. This is why we have a unique Purchase Amount for this Grid specifically. Please note you need to have 'Middle of Zone is a Grid' enabled for this Purchase Amount to be used.
Sell:
Only Sell if its Profit: There is a chance that during a dump, all your grid buys when through, and a few Purchase More Signals have appeared. You likely got a good entry. A Strong Buy may also appear before it starts to pump to the Sell Zone. The issue that may occur is your Average Purchase Price is greater than the 'Sell Some' price and/or the Grids in the Sell Zone and/or the Strong Sell Signal. When this happens, you can either take a loss and sell it, or you can hold on to it and wait for more purchase signals to therefore lower your average more so you can take profit at the next sell location. Please backtest this yourself within our YinYang Purchase Strategy on the pair and timeframe you are wanting to trade on. Please also note, that previous results will not always reflect future results. Please assess the risk yourself. Don't trade what you can't afford to lose. Sometimes it is better to strategically take a loss and continue on making profit than to stay in a bad trade for a long period of time.
Stack Grid Sells: Stacking Sell Grids is when the Close crosses multiple Sell Grids within the same bar. Should we still only sell the value of 1 Sell Grid OR stack the grid sells based on how many sell grids it went through.
Stop Loss Type: This is when the Close has pushed the Bottom of the Buy Grid More. Do we Stop Loss or Purchase More?? By default we recommend you stay true to the DCA part of this strategy by Purchasing More, but this is up to you.
Sell Some At: Where if selected should we 'Sell Some', this may be an important way to sell a little bit at a good time before the price may correct. Also, we don't want to sell too much incase it doesn't correct though, so its a 'Sell Some' location. Basis Line refers to our Moving Basis Line created from 2 Bollinger Bands and Percent refers to a Percent difference between the Lower Inner and Upper Inner bands.
Sell Some At Percent Amount: This refers to how much % between the Lower Inner and Upper Inner bands we should well at if we chose to 'Sell Some'.
Sell Some Min %: This refers to the Minimum amount between the Lower Inner band and Close that qualifies a 'Sell Some'. This acts as a failsafe so we don't 'Sell Some' for too little.
Sell % At Strong Sell Signal: How much do we sell at the 'Strong Sell' Signal? It may act as a strong location to sell, but likewise Grid Sells could be better.
Grid and Donchian Settings:
Donchian Channel Length: How far back are we looking back to determine our Donchian Channel.
Extra Outer Buy Width %: How much extra should we push the Outer Buy (Low) Width by?
Extra Inner Buy Width %: How much extra should we push the Inner Buy (Low) Width by?
Extra Inner Sell Width %: How much extra should we push the Inner Sell (High) Width by?
Extra Outer Sell Width %: How much extra should we push the Outer Sell (High) Width by?
Machine Learning:
Rationalized Source Type: Donchians usually use High/Low. What Source is our Rationalized Source using?
Machine Learning Type: Are we using a Simple ML Average, KNN Mean Average, KNN Exponential Average or None?
Machine Learning Length: How far back is our Machine Learning going to keep data for.
k-Nearest Neighbour (KNN) Length: How many k-Nearest Neighbours will we account for?
Fast ML Data Length: What is our Fast ML Length?? This is used with our Slow Length to create our KNN Distance.
Slow ML Data Length: What is our Slow ML Length?? This is used with our Fast Length to create our KNN Distance.
If you have any questions, comments, ideas or concerns please don't hesitate to contact us.
HAPPY TRADING!
Machine Learning: Trend Lines [YinYangAlgorithms]Trend lines have always been a key indicator that may help predict many different types of price movements. They have been well known to create different types of formations such as: Pennants, Channels, Flags and Wedges. The type of formation they create is based on how the formation was created and the angle it was created. For instance, if there was a strong price increase and then there is a Wedge where both end points meet, this is considered a Bull Pennant. The formations Trend Lines create may be powerful tools that can help predict current Support and Resistance and also Future Momentum changes. However, not all Trend Lines will create formations, and alone they may stand as strong Support and Resistance locations on the Vertical.
The purpose of this Indicator is to apply Machine Learning logic to a Traditional Trend Line Calculation, and therefore allowing a new approach to a modern indicator of high usage. The results of such are quite interesting and goes to show the impacts a simple KNN Machine Learning model can have on Traditional Indicators.
Tutorial:
There are a few different settings within this Indicator. Many will greatly impact the results and if any are changed, lots will need ‘Fine Tuning’. So let's discuss the main toggles that have great effects and what they do before discussing the lengths. Currently in this example above we have the Indicator at its Default Settings. In this example, you can see how the Trend Lines act as key Support and Resistance locations. Due note, Support and Resistance are a relative term, as is their color. What starts off as Support or Resistance may change when the price crosses over / under them.
In the example above we have zoomed in and circled locations that exhibited markers of Support and Resistance along the Trend Lines. These Trend Lines are all created using the Default Settings. As you can see from the example above; just because it is a Green Upwards Trend Line, doesn’t mean it’s a Support Line. Support and Resistance is always shifting on Trend Lines based on the prices location relative to them.
We won’t go through all the Formations Trend Lines make, but the example above, we can see the Trend Lines formed a Downward Channel. Channels are when there are two parallel downwards Trend Lines that are at a relatively similar angle. This means that they won’t ever meet. What may happen when the price is within these channels, is it may bounce between the upper and lower bounds. These Channels may drive the price upwards or downwards, depending on if it is in an Upwards or Downwards Channel.
If you refer to the example above, you’ll notice that the Trend Lines are formed like traditional Trend Lines. They don’t stem from current Highs and Lows but rather Machine Learning Highs and Lows. More often than not, the Machine Learning approach to Trend Lines cause their start point and angle to be quite different than a Traditional Trend Line. Due to this, it may help predict Support and Resistance locations at are more uncommon and therefore can be quite useful.
In the example above we have turned off the toggle in Settings ‘Use Exponential Data Average’. This Settings uses a custom Exponential Data Average of the KNN rather than simply averaging the KNN. By Default it is enabled, but as you can see when it is disabled it may create some pretty strong lasting Trend Lines. This is why we advise you ZOOM OUT AS FAR AS YOU CAN. Trend Lines are only displayed when you’ve zoomed out far enough that their Start Point is visible.
As you can see in this example above, there were 3 major Upward Trend Lines created in 2020 that have had a major impact on Support and Resistance Locations within the last year. Lets zoom in and get a closer look.
We have zoomed in for this example above, and circled some of the major Support and Resistance locations that these Upward Trend Lines may have had a major impact on.
Please note, these Machine Learning Trend Lines aren’t a ‘One Size Fits All’ kind of thing. They are completely customizable within the Settings, so that you can get a tailored experience based on what Pair and Time Frame you are trading on.
When any values are changed within the Settings, you’ll likely need to ‘Fine Tune’ the rest of the settings until your desired result is met. By default the modifiable lengths within the Settings are:
Machine Learning Length: 50
KNN Length:5
Fast ML Data Length: 5
Slow ML Data Length: 30
For example, let's toggle ‘Use Exponential Data Averages’ back on and change ‘Fast ML Data Length’ from 5 to 20 and ‘Slow ML Data Length’ from 30 to 50.
As you can in the example above, all of the lines have changed. Although there are still some strong Support Locations created by the Upwards Trend Lines.
We will conclude our Tutorial here. Hopefully you’ve learned how to use Machine Learning Trend Lines and will be able to now see some more unorthodox Support and Resistance locations on the Vertical.
Settings:
Use Machine Learning Sources: If disabled Traditional Trend line sources (High and Low) will be used rather than Rational Quadratics.
Use KNN Distance Sorting: You can disable this if you wish to not have the Machine Learning Data sorted using KNN. If disabled trend line logic will be Traditional.
Use Exponential Data Average: This Settings uses a custom Exponential Data Average of the KNN rather than simply averaging the KNN.
Machine Learning Length: How strong is our Machine Learning Memory? Please note, when this value is too high the data is almost 'too' much and can lead to poor results.
K-Nearest Neighbour (KNN) Length: How many K-Nearest Neighbours are allowed with our Distance Clustering? Please note, too high or too low may lead to poor results.
Fast ML Data Length: Fast and Slow speed needs to be adjusted properly to see results. 3/5/7 all seem to work well for Fast.
Slow ML Data Length: Fast and Slow speed needs to be adjusted properly to see results. 20 - 50 all seem to work well for Slow.
If you have any questions, comments, ideas or concerns please don't hesitate to contact us.
HAPPY TRADING!
Heatmap MACD Strategy - Pineconnector (Dynamic Alerts)Hello traders
This script is an upgrade of this template script.
Heatmap MACD Strategy
Pineconnector
Pineconnector is a trading bot software that forwards TradingView alerts to your Metatrader 4/5 for automating trading.
Many traders don't know how to dynamically create Pineconnector-compatible alerts using the data from their TradingView scripts.
Traders using trading bots want their alerts to reflect the stop-loss/take-profit/trailing-stop/stop-loss to breakeven options from your script and then create the orders accordingly.
This script showcases how to create Pineconnector alerts dynamically.
Pineconnector doesn't support alerts with multiple Take Profits.
As a workaround, for 2 TPs, I had to open two trades.
It's not optimal, as we end up paying more spreads for that extra trade - however, depending on your trading strategy, it may not be a big deal.
TradingView Alerts
1) You'll have to create one alert per asset X timeframe = 1 chart.
Example : 1 alert for EUR/USD on the 5 minutes chart, 1 alert for EUR/USD on the 15-minute chart (assuming you want your bot to trade the EUR/USD on the 5 and 15-minute timeframes)
2) For each alert, the alert message is pre-configured with the text below
{{strategy.order.alert_message}}
Please leave it as it is.
It's a TradingView native variable that will fetch the alert text messages built by the script.
3) Don't forget to set the webhook URL in the Notifications tab of the TradingView alerts UI.
EA configuration
The Pyramiding in the EA on Metatrader must be set to 2 if you want to trade with 2 TPs => as it's opening 2 trades.
If you only want 1 TP, set the EA Pyramiding to 1.
Regarding the other EA settings, please refer to the Pineconnector documentation on their website.
Logger
The Pineconnector commands are logged in the TradingView logger.
You'll find more information about it from this TradingView blog post
Important Notes
1) This multiple MACDs strategy doesn't matter much.
I could have selected any other indicator or concept for this script post.
I wanted to share an example of how you can quickly upgrade your strategy, making it compatible with Pineconnector.
2) The backtest results aren't relevant for this educational script publication.
I used realistic backtesting data but didn't look too much into optimizing the results, as this isn't the point of why I'm publishing this script.
3) This template is made to take 1 trade per direction at any given time.
Pyramiding is set to 1 on TradingView.
The strategy default settings are:
Initial Capital: 100000 USD
Position Size: 1 contract
Commission Percent: 0.075%
Slippage: 1 tick
No margin/leverage used
For example, those are realistic settings for trading CFD indices with low timeframes but not the best possible settings for all assets/timeframes.
Concept
The Heatmap MACD Strategy allows selecting one MACD in five different timeframes.
You'll get an exit signal whenever one of the 5 MACDs changes direction.
Then, the strategy re-enters whenever all the MACDs are in the same direction again.
It takes:
long trades when all the 5 MACD histograms are bullish
short trades when all the 5 MACD histograms are bearish
You can select the same timeframe multiple times if you don't need five timeframes.
For example, if you only need the 30min, the 1H, and 2H, you can set your timeframes as follow:
30m
30m
30m
1H
2H
Risk Management Features
All the features below are pips-based.
Stop-Loss
Trailing Stop-Loss
Stop-Loss to Breakeven after a certain amount of pips has been reached
Take Profit 1st level and closing X% of the trade
Take Profit 2nd level and close the remaining of the trade
Custom Exit
I added the option ON/OFF to close the opened trade whenever one of the MACD diverges with the others.
Help me help the community
If you see any issue when adding your strategy logic to that template regarding the orders fills on your Metatrader, please let me know in the comments.
I'll use your feedback to make this template more robust. :)
What's next?
I'll publish a more generic template built as a connector so you can connect any indicator to that Pineconnector template.
Then, I'll publish a template for Capitalise AI, ProfitView, AutoView, and Alertatron.
Thank you
Dave
Machine Learning: MFI Heat Map [YinYangAlgorithms]Overview:
MFI Heat Maps are a visually appealing way to display the values of 29 different MFIs at the same time while being able to make sense of it. Each plot within the Indicator represents a different MFI value. The higher you get up, the longer the length that was used for this MFI. This Indicator also features the use of Machine Learning to help balance the MFI levels. It doesn’t solely rely upon Machine Learning but instead incorporates a growing length MFI averaged with the Machine Learning MFI at any given index.
For instance, say we are calculating the 10th plot from the bottom, the MFI would be an average of:
MFI(source, 11)
Machine Learning MFI at Index of 10
We do it this way as they both help smooth each other out without relying solely on just one calculation method.
Due to plot limitations, you are capped at 28 Plot Amounts within this indicator, but that is still quite a bit of information you can glean from a Heat Map.
The Machine Learning used in this indicator is of the K-Nearest Neighbor (KNN). It uses a Fast and Slow MFI calculation then sorts through them over Machine Learning Length and calculates the differences between them. It then slices off KNN length to create our Max/Min Distances allotted. It adds the average between Fast and Slow MFIs to a Viable Distances array if their distances are within the KNN Min/Max distance. It then averages all distances in the Viable Distances array and returns the result.
The result of the KNN Function is saved to another ML Data array whose length is that of Plot Amount (Heat Map Size). This way each Index of the ML Data array can be indexed according to the Heat Map Size.
The Average of the ML Data array is the MFI line (white) that you’ll see plotted on the Indicator. There is also the SMA of the MFI Average (orange) which is likewise plotted. These plots allow you to visualize where the ML MFI is sitting and can potentially be useful for seeing when the MFI Average and SMA cross over and under each other.
We’ve heard many people talk highly of RSI, but sadly not too many even refer to MFI. MFI oftentimes may be overlooked, especially with new traders who may not even know what it is. Essentially MFI is an RSI but it also incorporates Volume into its calculations, which in our opinion leads to a more accurate reading; afterall, what is price movement without Volume.
Tutorial:
You may be thinking, this Indicator looks appealing to the eye, but how do I benefit from it trading wise?
Before we get into our visual examples, let's talk briefly about what makes Heat Maps in general a useful tool for trading. Heat Maps give us the ability to visualize and understand lots of data while removing the clutter. We can understand the data of 29 different MFIs without having to look at and decipher 29 different MFI plots. When you overlay too many MFI lines on top of each other, they can be very difficult to read and oftentimes end up actually hindering your Technical Analysis. For this reason, we have a simple solution to this problem; Heat Maps. This MFI Heat Map allows you to easily know (in a relative %) what the MFI level is for varying lengths. For Instance, the First (bottom) plot indexes an MFI of (K(0) (loop of Plot Amount) + Smoothing Length (default 1)) = 1. Since this is indexing (usually) a very low length, it will change much quicker. Whereas the Last (top) plot indexes an MFI of (K(27) (loop of Plot Amount) + Smoothing Length (default 1)) = 28. This is indexing a much higher length of MFI which results in the MFI the higher you go up in the Heat Map to move much slower.
Heat Maps give us the ability to see changes happening over multiple MFIs at the same time, which can be very useful for seeing shifts in MFI / Momentum. Remember, MFI incorporates Volume, so even if the price goes up a lot, if there was low volume, the MFI won’t move as much as an RSI would. However, likewise, if there is high volume but low price movement, the MFI will move slightly more than the RSI.
Heat Maps change color based on their MFI level. If the MFI is >= 90 it is HOT (red), if the MFI <= 9 it is COLD (teal, think of ICE). Green represents an MFI of 50-59 and Dark Blue represents an MFI of 40-49. Green and Dark blue are the most common colors as all the others are more ‘Extreme’ MFI levels.
Okay, time to get to the Examples :
Since there is so much going on in Heat Maps, we’ve decided to focus this tutorial to this specific area and talk about individual locations before talking about it as a whole.
If you refer to the example above where there are 2 white circles; these white circles are highlighting a key location you’ll be wanting to identify within your Heat Maps, many things are happening here:
The MFI crossed over the SMA (bullish).
The Heat Map started changing from mid/dark Blue (30-50 MFI) to Green (50-59 MFI) around the midline (the 50% dashed like).
The Lower levels of the Heat Map are turning Yellow/Orange/Red (60-100 MFI).
The Upper Levels of the Heat Map are still Light Blue - Green (10-50 MFI).
The 4 Key points above, all point towards potential Bullish Momentum changes. You’re likely wondering, but why? Let's discuss about each one in more specific detail:
1. The MFI crossed over the SMA (bullish): What this tells us is that the current MFI Average is now greater than its average over the last (default) 16 bars. This means there's been a large amount of Money Flow (Price and Volume) recently (subjectively based on the last (default) 16 average). This is one of the leading Bullish / Bearish signals you will see within this Indicator. You can enable Signals within the Settings and/or even add Alerts for when these crossings occur.
2. The Heat Map started changing from mid/dark Blue (30-50 MFI) to Green (50-59 MFI) around the midline (the 50% dashed like): This shows us that the index’s in the mid (if using all 28 heat map plots it would be at 14) has already received some of this momentum change. If you look at the second white circle (right), you’ll also notice the higher MFI plot indexes are also green. This is because since their length is long they still have some momentum and strength from the first white circle (left). Just because the first white circle failed in its bullish push, doesn’t mean it didn’t achieve momentum that would later on help to push the price up.
3. The Lower levels of the Heat Map are turning Yellow/Orange/Red (60-100 MFI): It occurred somewhat in the left white circle, but mainly in the right white circle. This shows us the MFI is very high on the lower lengths, this may lead to the current, middle and higher length MFIs following suit soon. Remember it has to work its way up, the higher levels can’t go red unless the lower levels go red first and the higher levels can also lag quite a bit behind and take awhile to catch up, this is normal, expected and meant to happen. Vice versa is also true with getting higher levels to go cold (light teal (think of ICE)).
4. The Upper Levels of the Heat Map are still Light Blue - Green (10-50 MFI): You might think at first that this is a bad thing, but it's not! Remember you want to be Fearful when others are Greedy and Greedy when others are Fearful! You don’t want to buy when the higher levels have a high MFI, you want to buy when you see the momentum pushing up in the lower MFI levels (getting yellow/orange/red in the low levels) while it is still Cold in the higher levels (BLUE OR GREEN, nothing higher than green as it is already slightly too high). There will be many times that it is Yellow or possibly Orange in the high levels and the bullish push still happens, but this is much more risky! The key to trading is to minimize risks while maximizing potential.
Hopefully now you’re getting an idea of how to spot potential bullish momentum changes, but what about bearish momentum changes? Technically they are the exact opposite, so we don’t need to go into as much detail, but lets still take a look at a few examples:
In the example above we marked the 3 times where it was displaying overly bullish characteristics. We marked the bullish momentum occurring with arrows. If you look closely at the start of the arrow to where it finishes, you’ll notice how the heat (HOT)(RED) works its way up from the lower levels to the higher levels. We then see the MFI to SMA cross under. In all 3 of these examples the heat made it all the way to the top of the chart. These are all very bearish signals that represent a bearish momentum movement that may occur soon.
Also, please note, the level the MFI is at DOES matter! That line isn’t there simply for you to see when there are crosses over and under. The MFI is considered to be Overbought when it is greater than 70 (the upper white dashed line, it is just formatted to be on a different scale cause there are 28 plots, but it represents 70). The MFI is considered to be Oversold when it is less than 30 (the lower white dashed line).
If we look to the left a little here where a big drop in price occurred shortly after our MFI and SMA crossed, would we have been able to identify it using the Heat Maps? Likely, No. There was some color change in the lower levels a few bars prior that went yellow/orange/red but before this cross happened they all went back to Dark Blue. In the middle section when the cross happened it was only Green and Yellow and in the upper section we are Blue. This would be a very risky trade to go on as the only real Bearish Indication was the MFI to SMA cross under. Remember, you want to reduce risk, you don’t want to simply trade on everytime the MFI and SMA cross each other or you’ll be getting yourself into many risky trades based on false signals.
Based on what you’ve learned above, can you see the signs that are indicating where this white circle may have potential for a bullish momentum change?
Now that we are more zoomed in, you may also be noticing there are colors to the price bars. This can be disabled in the settings, but just so you know what they mean, let’s zoom in a little more and talk about it.
We’ve condensed the Indicator a bit so you can see the bars better here. The colors that are displayed on these bars are the Heat Map value for your MFI (the white line in the Indicator). This way you can better see when the Price is Hot and Cold. As you may see while looking, the colors generally go from cold to hot when bullish momentum is happening and hot to cold when bearish momentum is happening. We don’t recommend solely looking at the bars as indicators to MFI momentum change, as seeing the Heat Map will give you much more data; however it can be nice to see the Heat Map projected on the bars rather than trying to eyeball it yourself or hover over each bar specifically to see their levels.
We will conclude our Tutorial here. Hopefully this has given you some insight to how useful Heat Maps can be and why it works well with a Machine Learning (KNN) Model applied to the MFI.
PLEASE NOTE: You can adjust the line width for the Heat Map within the settings. If you condense the Indicator a lot or have a small screen, likely use a length of 1-2. If you have it stretched out or a large screen, a length of 2-3 will work nice. You just don’t want to have the lines overlapping or it defeats the purpose of a Heat Map. Also, the bigger the linewidth, generally you’ll want to increase the Transparency within the Settings also as it can get quite bright and hurt your eyes over time.
Settings:
MFI:
Show MFI and SMA Crossing Signals: MFI and SMA Crossing is one of the leading Bullish and Bearish Signals in this Indicator. You can also add alerts for these signals.
Plot Amount: How many plots are used in this Heat Map. (2 - 28).
Source: The Source to use in all MFI calculations.
Smooth Initial MFI Length: How much to smooth the Fast and Slow MFI calculation by. 1 = No smoothing.
MFI SMA Length: What length we smooth the MFI Average over to get our MFI SMA.
Machine Learning:
Average MFI data by adding a lookback to the Source: While populating our Heat Map with the MFI's, should use use the Source each MFI Length increase or should we also lookback a Source each MFI Length Increase.
KNN Distance Requirement: To be a valid KNN, it needs to abide by a Distance calculation. Generally only Max is used, but you can change it if it suits your trading style better.
Machine Learning Length: How much ML data should we store? The longer the length generally the smoother the result; which may not be as accurate for something like a Heat Map, so keeping this relatively low may lead to more accurate results.
KNN Length: How many KNN are used in the slice to calculate max/min distance allowed.
Fast Length: Fast MFI length used in KNN to calculate distances by comparing its distance with the Slow MFI Length.
Slow Length: Slow MFI length used in KNN to calculate distances by comparing its distance with the Fast MFI Length.
Smoothing Length: When populating our Heat Map, at what length do we start our MFI calculations with (A Higher value with result in a slower and more smoothed MFI / Heat Map).
Colors:
Change Bar Color: Change bar colors to MFI Avg Color.
Heat Map Transparency: If there isn't any transparency it can be a little hard on the eyes. The Greater the Line Width, generally the more transparency you'll want for your eyes.
Line Width: Set how wide the Heat Map lines are
MFI 90-100 Color: Color when the MFI is between these levels.
MFI 80-89 Color: Color when the MFI is between these levels.
MFI 70-79 Color: Color when the MFI is between these levels.
MFI 60-69 Color: Color when the MFI is between these levels.
MFI 50-59 Color: Color when the MFI is between these levels.
MFI 40-49 Color: Color when the MFI is between these levels.
MFI 30-39 Color: Color when the MFI is between these levels.
MFI 20-29 Color: Color when the MFI is between these levels.
MFI 10-19 Color: Color when the MFI is between these levels.
MFI 0-100 Color: Color when the MFI is between these levels.
If you have any questions, comments, ideas or concerns please don't hesitate to contact us.
HAPPY TRADING!
[Excalibur] Ehlers AutoCorrelation Periodogram ModifiedKeep your coins folks, I don't need them, don't want them. If you wish be generous, I do hope that charitable peoples worldwide with surplus food stocks may consider stocking local food banks before stuffing monetary bank vaults, for the crusade of remedying the needs of less than fortunate children, parents, elderly, homeless veterans, and everyone else who deserves nutritional sustenance for the soul.
DEDICATION:
This script is dedicated to the memory of Nikolai Dmitriyevich Kondratiev (Никола́й Дми́триевич Кондра́тьев) as tribute for being a pioneering economist and statistician, paving the way for modern econometrics by advocation of rigorous and empirical methodologies. One of his most substantial contributions to the study of business cycle theory include a revolutionary hypothesis recognizing the existence of dynamic cycle-like phenomenon inherent to economies that are characterized by distinct phases of expansion, stagnation, recession and recovery, what we now know as "Kondratiev Waves" (K-waves). Kondratiev was one of the first economists to recognize the vital significance of applying quantitative analysis on empirical data to evaluate economic dynamics by means of statistical methods. His understanding was that conceptual models alone were insufficient to adequately interpret real-world economic conditions, and that sophisticated analysis was necessary to better comprehend the nature of trending/cycling economic behaviors. Additionally, he recognized prosperous economic cycles were predominantly driven by a combination of technological innovations and infrastructure investments that resulted in profound implications for economic growth and development.
I will mention this... nation's economies MUST be supported and defended to continuously evolve incrementally in order to flourish in perpetuity OR suffer through eras with lasting ramifications of societal stagnation and implosion.
Analogous to the realm of economics, aperiodic cycles/frequencies, both enduring and ephemeral, do exist in all facets of life, every second of every day. To name a few that any blind man can naturally see are: heartbeat (cardiac cycles), respiration rates, circadian rhythms of sleep, powerful magnetic solar cycles, seasonal cycles, lunar cycles, weather patterns, vegetative growth cycles, and ocean waves. Do not pretend for one second that these basic aforementioned examples do not affect business cycle fluctuations in minuscule and monumental ways hour to hour, day to day, season to season, year to year, and decade to decade in every nation on the planet. Kondratiev's original seminal theories in macroeconomics from nearly a century ago have proven remarkably prescient with many of his antiquated elementary observations/notions/hypotheses in macroeconomics being scholastically studied and topically researched further. Therefore, I am compelled to honor and recognize his statistical insight and foresight.
If only.. Kondratiev could hold a pocket sized computer in the cup of both hands bearing the TradingView logo and platform services, I truly believe he would be amazed in marvelous delight with a GARGANTUAN smile on his face.
INTRODUCTION:
Firstly, this is NOT technically speaking an indicator like most others. I would describe it as an advanced cycle period detector to obtain market data spectral estimates with low latency and moderate frequency resolution. Developers can take advantage of this detector by creating scripts that utilize a "Dominant Cycle Source" input to adaptively govern algorithms. Be forewarned, I would only recommend this for advanced developers, not novice code dabbling. Although, there is some Pine wizardry introduced here for novice Pine enthusiasts to witness and learn from. AI did describe the code into one super-crunched sentence as, "a rare feat of exceptionally formatted code masterfully balancing visual clarity, precision, and complexity to provide immense educational value for both programming newcomers and expert Pine coders alike."
Understand all of the above aforementioned? Buckle up and proceed for a lengthy read of verbose complexity...
This is my enhanced and heavily modified version of autocorrelation periodogram (ACP) for Pine Script v5.0. It was originally devised by the mathemagician John Ehlers for detecting dominant cycles (frequencies) in an asset's price action. I have been sitting on code similar to this for a long time, but I decided to unleash the advanced code with my fashion. Originally Ehlers released this with multiple versions, one in a 2016 TASC article and the other in his last published 2013 book "Cycle Analytics for Traders", chapter 8. He wasn't joking about "concepts of advanced technical trading" and ACP is nowhere near to his most intimidating and ingenious calculations in code. I will say the book goes into many finer details about the original periodogram, so if you wish to delve into even more elaborate info regarding Ehlers' original ACP form AND how you may adapt algorithms, you'll have to obtain one. Note to reader, comparing Ehlers' original code to my chimeric code embracing the "Power of Pine", you will notice they have little resemblance.
What you see is a new species of autocorrelation periodogram combining Ehlers' innovation with my fascinations of what ACP could be in a Pine package. One other intention of this script's code is to pay homage to Ehlers' lifelong works. Like Kondratiev, Ehlers is also a hardcore cycle enthusiast. I intend to carry on the fire Ehlers envisioned and I believe that is literally displayed here as a pleasant "fiery" example endowed with Pine. With that said, I tried to make the code as computationally efficient as possible, without going into dozens of more crazy lines of code to speed things up even more. There's also a few creative modifications I made by making alterations to the originating formulas that I felt were improvements, one of them being lag reduction. By recently questioning every single thing I thought I knew about ACP, combined with the accumulation of my current knowledge base, this is the innovative revision I came up with. I could have improved it more but decided not to mind thrash too many TV members, maybe later...
I am now confident Pine should have adequate overhead left over to attach various indicators to the dominant cycle via input.source(). TV, I apologize in advance if in the future a server cluster combusts into a raging inferno... Coders, be fully prepared to build entire algorithms from pure raw code, because not all of the built-in Pine functions fully support dynamic periods (e.g. length=ANYTHING). Many of them do, as this was requested and granted a while ago, but some functions are just inherently finicky due to implementation combinations and MUST be emulated via raw code. I would imagine some comprehensive library or numerous authored scripts have portions of raw code for Pine built-ins some where on TV if you look diligently enough.
Notice: Unfortunately, I will not provide any integration support into member's projects at all. I have my own projects that require way too much of my day already. While I was refactoring my life (forgoing many other "important" endeavors) in the early half of 2023, I primarily focused on this code over and over in my surplus time. During that same time I was working on other innovations that are far above and beyond what this code is. I hope you understand.
The best way programmatically may be to incorporate this code into your private Pine project directly, after brutal testing of course, but that may be too challenging for many in early development. Being able to see the periodogram is also beneficial, so input sourcing may be the "better" avenue to tether portions of the dominant cycle to algorithms. Unique indication being able to utilize the dominantCycle may be advantageous when tethering this script to those algorithms. The easiest way is to manually set your indicators to what ACP recognizes as the dominant cycle, but that's actually not considered dynamic real time adaption of an indicator. Different indicators may need a proportion of the dominantCycle, say half it's value, while others may need the full value of it. That's up to you to figure that out in practice. Sourcing one or more custom indicators dynamically to one detector's dominantCycle may require code like this: `int sourceDC = int(math.max(6, math.min(49, input.source(close, "Dominant Cycle Source"))))`. Keep in mind, some algos can use a float, while algos with a for loop require an integer.
I have witnessed a few attempts by talented TV members for a Pine based autocorrelation periodogram, but not in this caliber. Trust me, coding ACP is no ordinary task to accomplish in Pine and modifying it blessed with applicable improvements is even more challenging. For over 4 years, I have been slowly improving this code here and there randomly. It is beautiful just like a real flame, but... this one can still burn you! My mind was fried to charcoal black a few times wrestling with it in the distant past. My very first attempt at translating ACP was a month long endeavor because PSv3 simply didn't have arrays back then. Anyways, this is ACP with a newer engine, I hope you enjoy it. Any TV subscriber can utilize this code as they please. If you are capable of sufficiently using it properly, please use it wisely with intended good will. That is all I beg of you.
Lastly, you now see how I have rasterized my Pine with Ehlers' swami-like tech. Yep, this whole time I have been using hline() since PSv3, not plot(). Evidently, plot() still has a deficiency limited to only 32 plots when it comes to creating intense eye candy indicators, the last I checked. The use of hline() is the optimal choice for rasterizing Ehlers styled heatmaps. This does only contain two color schemes of the many I have formerly created, but that's all that is essentially needed for this gizmo. Anything else is generally for a spectacle or seeing how brutal Pine can be color treated. The real hurdle is being able to manipulate colors dynamically with Merlin like capabilities from multiple algo results. That's the true challenging part of these heatmap contraptions to obtain multi-colored "predator vision" level indication. You now have basic hline() food for thought empowerment to wield as you can imaginatively dream in Pine projects.
PERIODOGRAM UTILITY IN REAL WORLD SCENARIOS:
This code is a testament to the abilities that have yet to be fully realized with indication advancements. Periodograms, spectrograms, and heatmaps are a powerful tool with real-world applications in various fields such as financial markets, electrical engineering, astronomy, seismology, and neuro/medical applications. For instance, among these diverse fields, it may help traders and investors identify market cycles/periodicities in financial markets, support engineers in optimizing electrical or acoustic systems, aid astronomers in understanding celestial object attributes, assist seismologists with predicting earthquake risks, help medical researchers with neurological disorder identification, and detection of asymptomatic cardiovascular clotting in the vaxxed via full body thermography. In either field of study, technologies in likeness to periodograms may very well provide us with a better sliver of analysis beyond what was ever formerly invented. Periodograms can identify dominant cycles and frequency components in data, which may provide valuable insights and possibly provide better-informed decisions. By utilizing periodograms within aspects of market analytics, individuals and organizations can potentially refrain from making blinded decisions and leverage data-driven insights instead.
PERIODOGRAM INTERPRETATION:
The periodogram renders the power spectrum of a signal, with the y-axis representing the periodicity (frequencies/wavelengths) and the x-axis representing time. The y-axis is divided into periods, with each elevation representing a period. In this periodogram, the y-axis ranges from 6 at the very bottom to 49 at the top, with intermediate values in between, all indicating the power of the corresponding frequency component by color. The higher the position occurs on the y-axis, the longer the period or lower the frequency. The x-axis of the periodogram represents time and is divided into equal intervals, with each vertical column on the axis corresponding to the time interval when the signal was measured. The most recent values/colors are on the right side.
The intensity of the colors on the periodogram indicate the power level of the corresponding frequency or period. The fire color scheme is distinctly like the heat intensity from any casual flame witnessed in a small fire from a lighter, match, or camp fire. The most intense power would be indicated by the brightest of yellow, while the lowest power would be indicated by the darkest shade of red or just black. By analyzing the pattern of colors across different periods, one may gain insights into the dominant frequency components of the signal and visually identify recurring cycles/patterns of periodicity.
SETTINGS CONFIGURATIONS BRIEFLY EXPLAINED:
Source Options: These settings allow you to choose the data source for the analysis. Using the `Source` selection, you may tether to additional data streams (e.g. close, hlcc4, hl2), which also may include samples from any other indicator. For example, this could be my "Chirped Sine Wave Generator" script found in my member profile. By using the `SineWave` selection, you may analyze a theoretical sinusoidal wave with a user-defined period, something already incorporated into the code. The `SineWave` will be displayed over top of the periodogram.
Roofing Filter Options: These inputs control the range of the passband for ACP to analyze. Ehlers had two versions of his highpass filters for his releases, so I included an option for you to see the obvious difference when performing a comparison of both. You may choose between 1st and 2nd order high-pass filters.
Spectral Controls: These settings control the core functionality of the spectral analysis results. You can adjust the autocorrelation lag, adjust the level of smoothing for Fourier coefficients, and control the contrast/behavior of the heatmap displaying the power spectra. I provided two color schemes by checking or unchecking a checkbox.
Dominant Cycle Options: These settings allow you to customize the various types of dominant cycle values. You can choose between floating-point and integer values, and select the rounding method used to derive the final dominantCycle values. Also, you may control the level of smoothing applied to the dominant cycle values.
DOMINANT CYCLE VALUE SELECTIONS:
External to the acs() function, the code takes a dominant cycle value returned from acs() and changes its numeric form based on a specified type and form chosen within the indicator settings. The dominant cycle value can be represented as an integer or a decimal number, depending on the attached algorithm's requirements. For example, FIR filters will require an integer while many IIR filters can use a float. The float forms can be either rounded, smoothed, or floored. If the resulting value is desired to be an integer, it can be rounded up/down or just be in an integer form, depending on how your algorithm may utilize it.
AUTOCORRELATION SPECTRUM FUNCTION BASICALLY EXPLAINED:
In the beginning of the acs() code, the population of caches for precalculated angular frequency factors and smoothing coefficients occur. By precalculating these factors/coefs only once and then storing them in an array, the indicator can save time and computational resources when performing subsequent calculations that require them later.
In the following code block, the "Calculate AutoCorrelations" is calculated for each period within the passband width. The calculation involves numerous summations of values extracted from the roofing filter. Finally, a correlation values array is populated with the resulting values, which are normalized correlation coefficients.
Moving on to the next block of code, labeled "Decompose Fourier Components", Fourier decomposition is performed on the autocorrelation coefficients. It iterates this time through the applicable period range of 6 to 49, calculating the real and imaginary parts of the Fourier components. Frequencies 6 to 49 are the primary focus of interest for this periodogram. Using the precalculated angular frequency factors, the resulting real and imaginary parts are then utilized to calculate the spectral Fourier components, which are stored in an array for later use.
The next section of code smooths the noise ridden Fourier components between the periods of 6 and 49 with a selected filter. This species also employs numerous SuperSmoothers to condition noisy Fourier components. One of the big differences is Ehlers' versions used basic EMAs in this section of code. I decided to add SuperSmoothers.
The final sections of the acs() code determines the peak power component for normalization and then computes the dominant cycle period from the smoothed Fourier components. It first identifies a single spectral component with the highest power value and then assigns it as the peak power. Next, it normalizes the spectral components using the peak power value as a denominator. It then calculates the average dominant cycle period from the normalized spectral components using Ehlers' "Center of Gravity" calculation. Finally, the function returns the dominant cycle period along with the normalized spectral components for later external use to plot the periodogram.
POST SCRIPT:
Concluding, I have to acknowledge a newly found analyst for assistance that I couldn't receive from anywhere else. For one, Claude doesn't know much about Pine, is unfortunately color blind, and can't even see the Pine reference, but it was able to intuitively shred my code with laser precise realizations. Not only that, formulating and reformulating my description needed crucial finesse applied to it, and I couldn't have provided what you have read here without that artificial insight. Finding the right order of words to convey the complexity of ACP and the elaborate accompanying content was a daunting task. No code in my life has ever absorbed so much time and hard fricking work, than what you witness here, an ACP gem cut pristinely. I'm unveiling my version of ACP for an empowering cause, in the hopes a future global army of code wielders will tether it to highly functional computational contraptions they might possess. Here is ACP fully blessed poetically with the "Power of Pine" in sublime code. ENJOY!
Whale Trend AnalysisLarge entity and whales are always smart, they hide in the market to make money. Learning how they operate, we will become smarter. How to distinguish the structure of participants, find the large entities or giant whales, this is a difficult problem.
Indicators: Whale Trend Analysis , using AI algorithms to find them.
⏩Principle overview:
The core of Whale Trend Analysis is trading volume. By subdividing the cumulative value of trading volume in different periods and price, algorithm-weighted splitting is performed on ultra-large trading volume, large trading volume, medium trading volume and small trading volume to distinguish each magnitude is subdivided from the four dimensions of large entities, whales, large investors, and retail investors, effectively exploring the main trading entities.
⏩Usage：
4 characters:
· "Light blue column": represents the trading volume of large entities.
· "Red column": represents the trading volume of whales.
· "Green column": represents the trading volume of large investors.
· "Gray column": represents the trading volume of retail investors.
🧿Tip I:
Identify upside willingness. When the market is rising and the column representing large entities and whales appear, it means that the willingness to buy is strong, and the market is rising healthily at this time.
However, when the market continues to rise,but large entities and whales disappear, and only retail investors are trading intensively. At this time, we need to be vigilant. Large entities and whales may be quietly leaving the market, so don’t be cut off.
🧿Tip II：
Recognize bottom-buying sentiment. Most retail investors stop loss and leave the market at the end of the decline, which is the favorite scene of large entities and whales, because they can pick up a lot of cheap chips.
When falling, pay attention to their movements. If the blue and red column that represent large entities and whales appear frequently, it means that they are actively buying. It is possible that the downward momentum will weaken and usher in a short-term bottom.
🧿Tip III：
This indicator is an open indicator that describes the trading methods and participation time of participants at all levels. There are different forms of expression in fluctuation, trends, rises, and falls. It cannot be generalized, and must be analyzed with reference to the market sentiment at that time.
*The signals in the indicators are for reference only and not intended as investment advice. Past performance of a strategy is not indicative of future earnings results.
Advanced Optimized VSA - 15 MinThis script is written in Pine Script and is designed to be run on the TradingView trading platform. It is an advanced technical analysis indicator that utilizes various methods and indicators to generate trading signals based on a Volume Spread Analysis (VSA) approach.
Here's a detailed breakdown of its functionalities:
### Customizable Parameters:
1. `scoreLabel` and `TDLabel`: Customizable labels for score and trend direction.
2. `labelColorScore` and `labelColorTD`: Colors for the score and trend direction labels.
### Base Indicators and Variables:
1. `spread`: Calculates the difference between the high and low of a candle.
2. `emaVolume`: Exponential moving average of volume over a 21-period range.
3. `rsi14`: Relative Strength Index (RSI) over a 14-period range.
4. `sma200` and `ema50`: Simple moving average over a 200-period range and exponential moving average over a 50-period range, respectively.
5. `volatility`: Calculates the 14-period Average True Range (ATR) to determine volatility.
6. `trendDirection`: Establishes the trend direction based on the SMA200.
### Risk Management:
1. `atrValue`: Calculates the value of the ATR.
2. `stopLoss` and `takeProfit`: Calculates the stop-loss and take-profit levels based on the ATR.
### MACD:
Computes the MACD line, signal line, and histogram.
### Volume Analysis:
1. `weightedVol`: Weighted volume.
2. `forceFactor`: Measures the strength of price movement in relation to volume.
### Support and Resistance:
1. `support` and `resistance`: Calculates support and resistance levels based on the most recent 50 periods.
### Liquidity Check:
1. `isLiquid`: Checks if an asset is sufficiently liquid.
### Score Calculation:
Evaluates various factors such as price position relative to support/resistance levels, RSI, MACD, strength of movement, and volatility to generate a score.
### Criteria for Final Signals:
1. `isBullSpread` and `isBearSpread`: Generates a bullish or bearish signal based on various factors, including the score, trend direction, and liquidity.
### Notifications:
Generates alert conditions for bullish and bearish signals.
### Graphical Elements:
Displays various indicators and signals on the chart, including stop-loss, take-profit, SMA200, EMA50, and support and resistance lines.
### Debugging Labels:
Shows labels on the chart for score and trend direction.
The goal is to provide a comprehensive picture of the current asset, taking into consideration various factors and generating potentially profitable trading signals.
################################################################### ITALIANO ########################################################################################
##############################################################################################################################################################################################
Questo script è scritto in Pine Script e progettato per essere eseguito sulla piattaforma di trading TradingView. È un indicatore di analisi tecnica avanzata che utilizza diversi metodi e indicatori per generare segnali di trading basati su un approccio Volume Spread Analysis (VSA).
Ecco un riepilogo dettagliato delle funzionalità:
### Parametri personalizzabili:
1. `scoreLabel` e `TDLabel`: Etichette personalizzabili per i punteggi e la direzione del trend.
2. `labelColorScore` e `labelColorTD`: Colori delle etichette per punteggio e direzione del trend.
### Indicatori e variabili base:
1. `spread`: Calcola la differenza tra il massimo e il minimo di una candela.
2. `emaVolume`: Media mobile esponenziale del volume con un periodo di 21.
3. `rsi14`: RSI (Relative Strength Index) con un periodo di 14.
4. `sma200` e `ema50`: Media mobile semplice con un periodo di 200 e media mobile esponenziale con un periodo di 50, rispettivamente.
5. `volatility`: Calcola l'Average True Range (ATR) con un periodo di 14 per determinare la volatilità.
6. `trendDirection`: Stabilisce la direzione del trend basata sulla SMA200.
### Gestione del rischio:
1. `atrValue`: Calcola il valore dell'ATR.
2. `stopLoss` e `takeProfit`: Calcola i livelli di stop-loss e take-profit basati sull'ATR.
### MACD:
Calcola le linee MACD, segnale e l'istogramma.
### Analisi del volume:
1. `weightedVol`: Volume ponderato.
2. `forceFactor`: Misura la forza del movimento del prezzo in relazione al volume.
### Supporto e resistenza:
1. `support` e `resistance`: Calcola i livelli di supporto e resistenza basati sui 50 periodi più recenti.
### Verifica della liquidità:
1. `isLiquid`: Verifica se un asset è sufficientemente liquido.
### Calcolo del punteggio:
Valuta diversi fattori come la posizione del prezzo rispetto ai livelli di supporto/resistenza, RSI, MACD, forza del movimento e volatilità per generare un punteggio.
### Criteri per i segnali finali:
1. `isBullSpread` e `isBearSpread`: Genera un segnale rialzista o ribassista basato su vari fattori, incluso il punteggio, la direzione del trend e la liquidità.
### Notifiche:
Genera condizioni di allarme per segnali rialzisti e ribassisti.
### Elementi grafici:
Visualizza diversi indicatori e segnali sul grafico, inclusi stop-loss, take-profit, SMA200, EMA50, e linee di supporto e resistenza.
### Etichette di debug:
Mostra etichette sul grafico per il punteggio e la direzione del trend.
L'obiettivo è fornire un quadro completo dell'asset corrente, prendendo in considerazione diversi fattori e generando segnali di trading potenzialmente profittevoli.
Machine Learning Regression Trend [LuxAlgo]The Machine Learning Regression Trend tool uses random sample consensus (RANSAC) to fit and extrapolate a linear model by discarding potential outliers, resulting in a more robust fit.
🔶 USAGE
The proposed tool can be used like a regular linear regression, providing support/resistance as well as forecasting an estimated underlying trend.
Using RANSAC allows filtering out outliers from the input data of our final fit, by outliers we are referring to values deviating from the underlying trend whose influence on a fitted model is undesired. For financial prices and under the assumptions of segmented linear trends, these outliers can be caused by volatile moves and/or periodic variations within an underlying trend.
Adjusting the "Allowed Error" numerical setting will determine how sensitive the model is to outliers, with higher values returning a more sensitive model. The blue margin displayed shows the allowed error area.
The number of outliers in the calculation window (represented by red dots) can also be indicative of the amount of noise added to an underlying linear trend in the price, with more outliers suggesting more noise.
Compared to a regular linear regression which does not discriminate against any point in the calculation window, we see that the model using RANSAC is more conservative, giving more importance to detecting a higher number of inliners.
🔶 DETAILS
RANSAC is a general approach to fitting more robust models in the presence of outliers in a dataset and as such does not limit itself to a linear regression model.
This iterative approach can be summarized as follow for the case of our script:
Step 1: Obtain a subset of our dataset by randomly selecting 2 unique samples
Step 2: Fit a linear regression to our subset
Step 3: Get the error between the value within our dataset and the fitted model at time t , if the absolute error is lower than our tolerance threshold then that value is an inlier
Step 4: If the amount of detected inliers is greater than a user-set amount save the model
Repeat steps 1 to 4 until the set number of iterations is reached and use the model that maximizes the number of inliers
🔶 SETTINGS
Length: Calculation window of the linear regression.
Width: Linear regression channel width.
Source: Input data for the linear regression calculation.
🔹 RANSAC
Minimum Inliers: Minimum number of inliers required to return an appropriate model.
Allowed Error: Determine the tolerance threshold used to detect potential inliers. "Auto" will automatically determine the tolerance threshold and will allow the user to multiply it through the numerical input setting at the side. "Fixed" will use the user-set value as the tolerance threshold.
Maximum Iterations Steps: Maximum number of allowed iterations.
Pro Supertrend CalculatorThis indicator is an adapted version of Julien_Eche's 'Pro Momentum Calculator' tailored specifically for TradingView's 'Supertrend indicator'.
The "Pro Supertrend Calculator" indicator has been developed to provide traders with a data-driven perspective on price movements in financial markets. Its primary objective is to analyze historical price data and make probabilistic predictions about the future direction of price movements, specifically in terms of whether the next candlestick will be bullish (green) or bearish (red). Here's a deeper technical insight into how it accomplishes this task:
1. Supertrend Computation:
The indicator initiates by computing the Supertrend indicator, a sophisticated technical analysis tool. This calculation involves two essential parameters:
- ATR Length (Average True Range Length): This parameter determines the sensitivity of the Supertrend to price fluctuations.
- Factor: This multiplier plays a pivotal role in establishing the distance between the Supertrend line and prevailing market prices. A higher factor value results in a more significant separation.
2. Supertrend Visualization:
The Supertrend values derived from the calculation are meticulously plotted on the price chart, manifesting as two distinct lines:
- Green Line: This line represents the Supertrend when it indicates a bullish trend, signifying an anticipation of rising prices.
- Red Line: This line signifies the Supertrend in bearish market conditions, indicating an expectation of falling prices.
3. Consecutive Candle Analysis:
- The core function of the indicator revolves around tracking successive candlestick patterns concerning their relationship with the Supertrend line.
- To be included in the analysis, a candlestick must consistently close either above (green candles) or below (red candles) the Supertrend line for multiple consecutive periods.
4.Labeling and Enumeration:
- To communicate the count of consecutive candles displaying uniform trend behavior, the indicator meticulously applies labels to the price chart.
- The positioning of these labels varies based on the direction of the trend, residing either below (for bullish patterns) or above (for bearish patterns) the candlestick.
- The color scheme employed aligns with the color of the candle, using green labels for bullish candles and red labels for bearish ones.
5. Tabular Data Presentation:
- The indicator augments its graphical analysis with a customizable table prominently displayed on the chart. This table delivers comprehensive statistical insights.
- The tabular data comprises the following key elements for each consecutive period:
a. Consecutive Candles: A tally of the number of consecutive candles displaying identical trend characteristics.
b. Candles Above Supertrend: A count of candles that remained above the Supertrend during the sequential period.
3. Candles Below Supertrend: A count of candles that remained below the Supertrend during the sequential period.
4. Upcoming Green Candle: An estimation of the probability that the next candlestick will be bullish, grounded in historical data.
5. Upcoming Red Candle: An estimation of the probability that the next candlestick will be bearish, based on historical data.
6. Tailored Configuration:
To accommodate diverse trading strategies and preferences, the indicator offers extensive customization options. Traders can fine-tune parameters such as ATR length, factor, label and table placement, and table size to align with their unique trading approaches.
In summation, the "Pro Supertrend Calculator" indicator is an intricately designed tool that leverages the Supertrend indicator in conjunction with historical price data to furnish traders with an informed outlook on potential future price dynamics, with a particular emphasis on the likelihood of specific bullish or bearish candlestick patterns stemming from consecutive price behavior.
Pro Momentum CalculatorThe Pro Momentum Calculator Indicator is a tool for traders seeking to gauge market momentum and predict future price movements. It achieves this by counting consecutive candle periods above or below a chosen Simple Moving Average (SMA) and then providing a percentage-based probability for the direction of the next candle.
Here's how this principle works:
1. Counting Consecutive Periods: The indicator continuously tracks whether the closing prices of candles are either above or below the chosen SMA.
- When closing prices are above the SMA, it counts consecutive periods as "green" or indicating potential upward momentum.
- When closing prices are below the SMA, it counts consecutive periods as "red" or suggesting potential downward momentum.
2. Assessing Momentum: By monitoring these consecutive periods, the indicator assesses the strength and duration of the current market trend.
This is important information for traders looking to understand the market's behavior.
3. Predicting the Next Candle: Based on the historical data of consecutive green and red periods, the indicator calculates a percentage probability for the direction of the next candle:
- If there have been more consecutive green periods, it suggests a higher likelihood of the next candle being green (indicating a potential upward movement).
- If there have been more consecutive red periods, it suggests a higher likelihood of the next candle being red (indicating a potential downward movement).
The Pro Momentum Calculator indicator's versatility makes it suitable for a wide range of financial markets, including stocks, Forex, indices, commodities, cryptocurrencies...
Wick-to-Body Ratio Trend Forecast | Flux ChartsThe Wick-to-Body Ratio Trend Forecast Indicator aims to forecast potential movements following the last closed candle using the wick-to-body ratio. The script identifies those candles within the loopback period with a ratio matching that of the last closed candle and provides an analysis of their trends.
➡️ USAGE
Wick-to-body ratios can be used in many strategies. The most common use in stock trading is to discern bullish or bearish sentiment. This indicator extends candle ratios, revealing previous patterns that follow a candle with a similar ratio. The most basic use of this indicator is the single forecast line.
➡️ FORECASTING SYSTEM
This line displays a compilation of the averages of all the previous trends resulting from those historical candles with a matching ratio. It shows the average movements of the trends as well as the 'strength' of the trend. The 'strength' of the trend is a gradient that is blue when the trend deviates more from the average and red when it deviates less.
Chart: AMEX:SPY 30 min; Indicator Settings: Loopback 700, Previous Trends ON
The color-coded deviation is visible in this image of the indicator with the default settings (except for Forecast Lines > Previous Trends ), and the trend line grows bluer as the past patterns deviate more.
➡️ ADAPTIVE ACCEPTABLE RANGE
The algorithm looks back at every candle within the loopback period to find candles that match the last closed candle. The algorithm adaptively changes the acceptable range to which a candle can differ from the ratio of the last closed candle. The algorithm will never have more than 15 historical points used, as it will lower its sensitivity before it reaches that point.
Chart: BITSTAMP:BTCUSD 5 min; Indicator Settings: Loopback 700
Here is the BTC chart on 7/6/23 with default settings except for the loopback period at 700.
Chart: BITSTAMP:BTCUSD 5 min; Indicator Settings: Loopback 200
Here is the exact same chart with a loopback period of 200. While the first ratio for both is the same, a new ratio is revealed for the chart with a loopback of only 200 because the adaptive range is adjusted in the algorithm to find an acceptable number of reference points. Note the table in the top right however, while the algorithm adapts the acceptable range between the current ratio and historical ones to find reference points, there is a threshold at which candles will be considered too inaccurate to be considered. This prevents meaningless associations between candles due to a particularly rare ratio. This threshold can be adjusted in the settings through "Default Accuracy".
Order Block Scanner - Institutional ActivityIntroducing the Order Block Scanner: Unleash the Power of Institutional Insight!
Unlock a whole new realm of trading opportunities with the Order Block Scanner, your ultimate weapon in the dynamic world of financial markets. This cutting-edge indicator is meticulously designed to empower you with invaluable insights into potential Institutional and Hedge Funds activity like never before. Prepare to harness the intelligence that drives the giants of the industry and propel your trading success to new heights.
Institutional trading has long been veiled in secrecy, an exclusive realm accessible only to the chosen few. But with the Order Block Scanner, the doors to this realm swing open, inviting you to step inside and seize the advantage. Our revolutionary technology employs advanced algorithms to scan and analyze market data, pinpointing the telltale signs of institutional activity that can make or break your trades.
Imagine having the power to identify key levels where Institutional and Hedge Funds are initiating significant trades. With the Order Block Scanner, these hidden order blocks are unveiled, allowing you to ride the coattails of the market giants. This game-changing tool decodes their strategies, offering you a window into their actions and allowing you to align your trading decisions accordingly.
Forget the guesswork and uncertainty that plague so many traders. The Order Block Scanner empowers you with precision and clarity, helping you make informed decisions based on real-time data. Identify when the big players enter or exit the market, recognize their accumulation or distribution patterns, and position yourself for maximum profit potential.
Step into the realm of trading mastery and unleash your potential with the Order Block Scanner. Elevate your trading game, tap into the world of institutional trading, and take your profits to soaring heights. Don't let opportunity pass you by – invest in the Order Block Scanner today and embark on a thrilling journey toward trading success like never before.
The algorithm operates on data from Options and Darkpool markets, which is first exported to Quandl DB and then imported to TradingView using an API. The indicator also identifies patterns based on volume, volatility, and market movements, increasing the number of identified institutional activities on the markets.
Gamma Bands v. 7.0Gamma Bands are based on previous day data of base intrument, Volatility , Options flow (imported from external source Quandl via TradingView API as TV is not supporting Options as instruments) and few other additional factors to calculate intraday levels. Those levels in correlation with even pure Price Action works like a charm what is confirmed by big orders often placed exactly on those levels on Futures Contracts. We have levels +/- 0.25, 0.5 and 1.0 that are calculated from Pivot Point and are working like Support and Resistance. Higher the number of Gamma, stronger the level. Passing Gamma +1/-1 would be good entry point for trades as almost everytime it is equal to Trend Day. Levels are calculated by Machine Learning algorithm written in Python which downloads data from Options and Darkpool markets, process and calculate levels, export to Quandl and then in PineScript I import the data to indicator. Levels are refreshed each day and are valid for particular trading day.
There's possibility also to enable display of Initial Balance range (High and Low range of bars/candles from 1st hour of regular cash session). Breaking one of extremes of Initial Balance is very often driving sentiment for rest of the session.
Volatility Reversal Levels
They're calculated taking into account Options flow imported to TV (Strikes, Call/Put types & Expiration dates) in combination with Volatility, Volume flow. Based on that we calculate on daily basis Significant Close level and "Stop and Reversal level".
Very often reaching area close to those levels either trigger immediate reversal of previous trend or at least push price into consolidation range.
Fetch Buy And Hold StrategyThis script was created as an experiment using ChatGPT. I actually woudn't recommend using the ai program to help you with your Pinescripts, as it makes a fair amount of mistakes. It was a fun experiment however.
The script is a simple buy and hold tool. Here's what it does:
- Everytime the rsi enters below the set treshold, a counter increases.
- The second increase of the counter happens when the price goes above the treshold, and then dips below the treshold again.
- The program would fire off a buy signal when the counter hits the number 3.
- After the buy. the counter will reset.
Lets take a look at the following example where the rsi treshold is 30:
- So the rsi dips below 30 and the initial counter is set from 0 to 1.
- The price rises which brings the rsi back to 40.
- Then another dip happens and the rsi is now 25, increasing the counter from 1 two.
- Rsi now dips to 23 and nothing happens.
- Rsi goes back up to 31, and dips back to 28 which puts the counter at 3. A buy singal is now fired and the counter is set to 0.
[UPRIGHT Trading] Volatility Trend Filter (VTF) AlgoHello Traders,
As some of you know, I have had this in Beta for a long while now and it's finally time for a full release.
I originally designed this to be an Unreal Algo add-on to track & stay in the trade a little better, but the VTF Algo has become a full Algorithm and can be used standalone with supreme accuracy.
It's for beginners and advanced traders alike. I've made the settings very customizable, but also easy to just jump right in.
How it works:
It uses volatility , deviations, and tons of statistical calculations, confirmations, moving averages, and filters to bring you the most accurate Supply & Demand predictive algorithm possible. The VTF Algo will automatically normalize different volatility in any type of market to help avoid getting Chopped up and give a forward-looking approach to accurate Price Action and confirmation. It will automatically show support and resistance in real-time. The channel that The VTF Algo creates will help traders confirm whether they should stay in the trade or get out fast. As the green top grows it naturally acts as Supply and as the red bottom grows it acts as Demand, when one of them far exceeds the other the direction price will proceed to is clear to see.
Features:
-Easy-to-read Price Action & Trend channel.
-Exceptional Chop Filter (grayed center).
-Accurate Buy/Sell and Topline Continuation Signals.
-Rejection Signals.
-Multiple-Timeframe Customizable Trend Table. Showing Directional Arrows (see bottom right of picture).
-Bullish / Bearish Growing Blocks.
-Fully Customizable with Clean and Cleaner Mode.
The VTF Algo was made with all different types of traders in mind.
Some like things Ultra Crispy Clean:
Others like things a little more clean but can move their focus to where it's needed:
Lastly, there are those who don't mind things looking a little busy:
Topline Continuation Signals, Auto-Supply/Demand, and a Real-Time Multiple Timeframe Trend Table (in the bottom-right) corner:
Meshes perfectly as an Algo Add-on for Unreal Algo © (as originally designed) to enhance "The Simple Strat" © :
I tried to make everything as customizable as possible. So adding or removing or color-changing is super easy.
Happy Trading.
Cheers,
Mike
Any Oscillator Underlay [TTF]We are proud to release a new indicator that has been a while in the making - the Any Oscillator Underlay (AOU) !
Note: There is a lot to discuss regarding this indicator, including its intent and some of how it operates, so please be sure to read this entire description before using this indicator to help ensure you understand both the intent and some limitations with this tool.
Our intent for building this indicator was to accomplish the following:
Combine all of the oscillators that we like to use into a single indicator
Take up a bit less screen space for the underlay indicators for strategies that utilize multiple oscillators
Provide a tool for newer traders to be able to leverage multiple oscillators in a single indicator
Features:
Includes 8 separate, fully-functional indicators combined into one
Ability to easily enable/disable and configure each included indicator independently
Clearly named plots to support user customization of color and styling, as well as manual creation of alerts
Ability to customize sub-indicator title position and color
Ability to customize sub-indicator divider lines style and color
Indicators that are included in this initial release:
TSI
2x RSIs (dubbed the Twin RSI )
Stochastic RSI
Stochastic
Ultimate Oscillator
Awesome Oscillator
MACD
Outback RSI (Color-coding only)
Quick note on OB/OS:
Before we get into covering each included indicator, we first need to cover a core concept for how we're defining OB and OS levels. To help illustrate this, we will use the TSI as an example.
The TSI by default has a mid-point of 0 and a range of -100 to 100. As a result, a common practice is to place lines on the -30 and +30 levels to represent OS and OB zones, respectively. Most people tend to view these levels as distance from the edges/outer bounds or as absolute levels, but we feel a more way to frame the OB/OS concept is to instead define it as distance ("offset") from the mid-line. In keeping with the -30 and +30 levels in our example, the offset in this case would be "30".
Taking this a step further, let's say we decided we wanted an offset of 25. Since the mid-point is 0, we'd then calculate the OB level as 0 + 25 (+25), and the OS level as 0 - 25 (-25).
Now that we've covered the concept of how we approach defining OB and OS levels (based on offset/distance from the mid-line), and since we did apply some transformations, rescaling, and/or repositioning to all of the indicators noted above, we are going to discuss each component indicator to detail both how it was modified from the original to fit the stacked-indicator model, as well as the various major components that the indicator contains.
TSI:
This indicator contains the following major elements:
TSI and TSI Signal Line
Color-coded fill for the TSI/TSI Signal lines
Moving Average for the TSI
TSI Histogram
Mid-line and OB/OS lines
Default TSI fill color coding:
Green : TSI is above the signal line
Red : TSI is below the signal line
Note: The TSI traditionally has a range of -100 to +100 with a mid-point of 0 (range of 200). To fit into our stacking model, we first shrunk the range to 100 (-50 to +50 - cut it in half), then repositioned it to have a mid-point of 50. Since this is the "bottom" of our indicator-stack, no additional repositioning is necessary.
Twin RSI:
This indicator contains the following major elements:
Fast RSI (useful if you want to leverage 2x RSIs as it makes it easier to see the overlaps and crosses - can be disabled if desired)
Slow RSI (primary RSI)
Color-coded fill for the Fast/Slow RSI lines (if Fast RSI is enabled and configured)
Moving Average for the Slow RSI
Mid-line and OB/OS lines
Default Twin RSI fill color coding:
Dark Red : Fast RSI below Slow RSI and Slow RSI below Slow RSI MA
Light Red : Fast RSI below Slow RSI and Slow RSI above Slow RSI MA
Dark Green : Fast RSI above Slow RSI and Slow RSI below Slow RSI MA
Light Green : Fast RSI above Slow RSI and Slow RSI above Slow RSI MA
Note: The RSI naturally has a range of 0 to 100 with a mid-point of 50, so no rescaling or transformation is done on this indicator. The only manipulation done is to properly position it in the indicator-stack based on which other indicators are also enabled.
Stochastic and Stochastic RSI:
These indicators contain the following major elements:
Configurable lengths for the RSI (for the Stochastic RSI only), K, and D values
Configurable base price source
Mid-line and OB/OS lines
Note: The Stochastic and Stochastic RSI both have a normal range of 0 to 100 with a mid-point of 50, so no rescaling or transformations are done on either of these indicators. The only manipulation done is to properly position it in the indicator-stack based on which other indicators are also enabled.
Ultimate Oscillator (UO):
This indicator contains the following major elements:
Configurable lengths for the Fast, Middle, and Slow BP/TR components
Mid-line and OB/OS lines
Moving Average for the UO
Color-coded fill for the UO/UO MA lines (if UO MA is enabled and configured)
Default UO fill color coding:
Green : UO is above the moving average line
Red : UO is below the moving average line
Note: The UO naturally has a range of 0 to 100 with a mid-point of 50, so no rescaling or transformation is done on this indicator. The only manipulation done is to properly position it in the indicator-stack based on which other indicators are also enabled.
Awesome Oscillator (AO):
This indicator contains the following major elements:
Configurable lengths for the Fast and Slow moving averages used in the AO calculation
Configurable price source for the moving averages used in the AO calculation
Mid-line
Option to display the AO as a line or pseudo-histogram
Moving Average for the AO
Color-coded fill for the AO/AO MA lines (if AO MA is enabled and configured)
Default AO fill color coding (Note: Fill was disabled in the image above to improve clarity):
Green : AO is above the moving average line
Red : AO is below the moving average line
Note: The AO is technically has an infinite (unbound) range - -∞ to ∞ - and the effective range is bound to the underlying security price (e.g. BTC will have a wider range than SP500, and SP500 will have a wider range than EUR/USD). We employed some special techniques to rescale this indicator into our desired range of 100 (-50 to 50), and then repositioned it to have a midpoint of 50 (range of 0 to 100) to meet the constraints of our stacking model. We then do one final repositioning to place it in the correct position the indicator-stack based on which other indicators are also enabled. For more details on how we accomplished this, read our section "Binding Infinity" below.
MACD:
This indicator contains the following major elements:
Configurable lengths for the Fast and Slow moving averages used in the MACD calculation
Configurable price source for the moving averages used in the MACD calculation
Configurable length and calculation method for the MACD Signal Line calculation
Mid-line
Note: Like the AO, the MACD also technically has an infinite (unbound) range. We employed the same principles here as we did with the AO to rescale and reposition this indicator as well. For more details on how we accomplished this, read our section "Binding Infinity" below.
Outback RSI (ORSI):
This is a stripped-down version of the Outback RSI indicator (linked above) that only includes the color-coding background (suffice it to say that it was not technically feasible to attempt to rescale the other components in a way that could consistently be clearly seen on-chart). As this component is a bit of a niche/special-purpose sub-indicator, it is disabled by default, and we suggest it remain disabled unless you have some pre-defined strategy that leverages the color-coding element of the Outback RSI that you wish to use.
Binding Infinity - How We Incorporated the AO and MACD (Warning - Math Talk Ahead!)
Note: This applies only to the AO and MACD at time of original publication. If any other indicators are added in the future that also fall into the category of "binding an infinite-range oscillator", we will make that clear in the release notes when that new addition is published.
To help set the stage for this discussion, it's important to note that the broader challenge of "equalizing inputs" is nothing new. In fact, it's a key element in many of the most popular fields of data science, such as AI and Machine Learning. They need to take a diverse set of inputs with a wide variety of ranges and seemingly-random inputs (referred to as "features"), and build a mathematical or computational model in order to work. But, when the raw inputs can vary significantly from one another, there is an inherent need to do some pre-processing to those inputs so that one doesn't overwhelm another simply due to the difference in raw values between them. This is where feature scaling comes into play.
With this in mind, we implemented 2 of the most common methods of Feature Scaling - Min-Max Normalization (which we call "Normalization" in our settings), and Z-Score Normalization (which we call "Standardization" in our settings). Let's take a look at each of those methods as they have been implemented in this script.
Min-Max Normalization (Normalization)
This is one of the most common - and most basic - methods of feature scaling. The basic formula is: y = (x - min)/(max - min) - where x is the current data sample, min is the lowest value in the dataset, and max is the highest value in the dataset. In this transformation, the max would evaluate to 1, and the min would evaluate to 0, and any value in between the min and the max would evaluate somewhere between 0 and 1.
The key benefits of this method are:
It can be used to transform datasets of any range into a new dataset with a consistent and known range (0 to 1).
It has no dependency on the "shape" of the raw input dataset (i.e. does not assume the input dataset can be approximated to a normal distribution).
But there are a couple of "gotchas" with this technique...
First, it assumes the input dataset is complete, or an accurate representation of the population via random sampling. While in most situations this is a valid assumption, in trading indicators we don't really have that luxury as we're often limited in what sample data we can access (i.e. number of historical bars available).
Second, this method is highly sensitive to outliers. Since the crux of this transformation is based on the max-min to define the initial range, a single significant outlier can result in skewing the post-transformation dataset (i.e. major price movement as a reaction to a significant news event).
You can potentially mitigate those 2 "gotchas" by using a mechanism or technique to find and discard outliers (e.g. calculate the mean and standard deviation of the input dataset and discard any raw values more than 5 standard deviations from the mean), but if your most recent datapoint is an "outlier" as defined by that algorithm, processing it using the "scrubbed" dataset would result in that new datapoint being outside the intended range of 0 to 1 (e.g. if the new datapoint is greater than the "scrubbed" max, it's post-transformation value would be greater than 1). Even though this is a bit of an edge-case scenario, it is still sure to happen in live markets processing live data, so it's not an ideal solution in our opinion (which is why we chose not to attempt to discard outliers in this manner).
Z-Score Normalization (Standardization)
This method of rescaling is a bit more complex than the Min-Max Normalization method noted above, but it is also a widely used process. The basic formula is: y = (x – μ) / σ - where x is the current data sample, μ is the mean (average) of the input dataset, and σ is the standard deviation of the input dataset. While this transformation still results in a technically-infinite possible range, the output of this transformation has a 2 very significant properties - the mean (average) of the output dataset has a mean (μ) of 0 and a standard deviation (σ) of 1.
The key benefits of this method are:
As it's based on normalizing the mean and standard deviation of the input dataset instead of a linear range conversion, it is far less susceptible to outliers significantly affecting the result (and in fact has the effect of "squishing" outliers).
It can be used to accurately transform disparate sets of data into a similar range regardless of the original dataset's raw/actual range.
But there are a couple of "gotchas" with this technique as well...
First, it still technically does not do any form of range-binding, so it is still technically unbounded (range -∞ to ∞ with a mid-point of 0).
Second, it implicitly assumes that the raw input dataset to be transformed is normally distributed, which won't always be the case in financial markets.
The first "gotcha" is a bit of an annoyance, but isn't a huge issue as we can apply principles of normal distribution to conceptually limit the range by defining a fixed number of standard deviations from the mean. While this doesn't totally solve the "infinite range" problem (a strong enough sudden move can still break out of our "conceptual range" boundaries), the amount of movement needed to achieve that kind of impact will generally be pretty rare.
The bigger challenge is how to deal with the assumption of the input dataset being normally distributed. While most financial markets (and indicators) do tend towards a normal distribution, they are almost never going to match that distribution exactly. So let's dig a bit deeper into distributions are defined and how things like trending markets can affect them.
Skew (skewness): This is a measure of asymmetry of the bell curve, or put another way, how and in what way the bell curve is disfigured when comparing the 2 halves. The easiest way to visualize this is to draw an imaginary vertical line through the apex of the bell curve, then fold the curve in half along that line. If both halves are exactly the same, the skew is 0 (no skew/perfectly symmetrical) - which is what a normal distribution has (skew = 0). Most financial markets tend to have short, medium, and long-term trends, and these trends will cause the distribution curve to skew in one direction or another. Bullish markets tend to skew to the right (positive), and bearish markets to the left (negative).
Kurtosis: This is a measure of the "tail size" of the bell curve. Another way to state this could be how "flat" or "steep" the bell-shape is. If the bell is steep with a strong drop from the apex (like a steep cliff), it has low kurtosis. If the bell has a shallow, more sweeping drop from the apex (like a tall hill), is has high kurtosis. Translating this to financial markets, kurtosis is generally a metric of volatility as the bell shape is largely defined by the strength and frequency of outliers. This is effectively a measure of volatility - volatile markets tend to have a high level of kurtosis (>3), and stable/consolidating markets tend to have a low level of kurtosis (<3). A normal distribution (our reference), has a kurtosis value of 3.
So to try and bring all that back together, here's a quick recap of the Standardization rescaling method:
The Standardization method has an assumption of a normal distribution of input data by using the mean (average) and standard deviation to handle the transformation
Most financial markets do NOT have a normal distribution (as discussed above), and will have varying degrees of skew and kurtosis
Q: Why are we still favoring the Standardization method over the Normalization method, and how are we accounting for the innate skew and/or kurtosis inherent in most financial markets?
A: Well, since we're only trying to rescale oscillators that by-definition have a midpoint of 0, kurtosis isn't a major concern beyond the affect it has on the post-transformation scaling (specifically, the number of standard deviations from the mean we need to include in our "artificially-bound" range definition).
Q: So that answers the question about kurtosis, but what about skew?
A: So - for skew, the answer is in the formula - specifically the mean (average) element. The standard mean calculation assumes a complete dataset and therefore uses a standard (i.e. simple) average, but we're limited by the data history available to us. So we adapted the transformation formula to leverage a moving average that included a weighting element to it so that it favored recent datapoints more heavily than older ones. By making the average component more adaptive, we gained the effect of reducing the skew element by having the average itself be more responsive to recent movements, which significantly reduces the effect historical outliers have on the dataset as a whole. While this is certainly not a perfect solution, we've found that it serves the purpose of rescaling the MACD and AO to a far more well-defined range while still preserving the oscillator behavior and mid-line exceptionally well.
The most difficult parts to compensate for are periods where markets have low volatility for an extended period of time - to the point where the oscillators are hovering around the 0/midline (in the case of the AO), or when the oscillator and signal lines converge and remain close to each other (in the case of the MACD). It's during these periods where even our best attempt at ensuring accurate mirrored-behavior when compared to the original can still occasionally lead or lag by a candle.
Note: If this is a make-or-break situation for you or your strategy, then we recommend you do not use any of the included indicators that leverage this kind of bounding technique (the AO and MACD at time of publication) and instead use the Trandingview built-in versions!
We know this is a lot to read and digest, so please take your time and feel free to ask questions - we will do our best to answer! And as always, constructive feedback is always welcome!
Waves CorrectionsWave theory tool for tracking waves relations and their corrections. It filters out a sets of formations and count how often correction from them are reaching characteristic correction levels marked on the chart as CL1, CL2, CL3.
It supports 2 rulesets/wave variants:
Low - Based on more sensitive trend detection.
Medium - Based on less sensitive trend detection.
Script settings:
| SCANNER |
Trend type - Trend used by scanner to detect sets of waves.
L - Low
M - Medium
<= W1/W2 * 100% <= - Tresholds describing proportions between 1 and 2 wave in the set.
<= W3/W1 * 100% <= - Tresholds describing proportions between 3 and 1 wave in the set.
<= W3/W2 * 100% <= - Tresholds describing proportions between 3 and 2 wave in the set.
Show potencial areas - Showing underway sets
Show Arrows - Showing arrows with possible correction on underway set.
Correction from trend UP - Background and border colors for found sets in up trends
Correction from trend Down - Bakcground and border colors for found sets in down trends.
History - Showing sets in historic data.
Stats - Type of statistic table shown on the screen:
H - Hide
% - Statistics with normal font
%s - Statistics with small font
Wn n= - Picking how many waves are taken into account when calculating statistics .
| TREND VISUALIZATION |
Type - Trend visualization types:
H - Hidden
L - Low
M - Medium
B - Both
Alfred - AI assistant that informs about wave confirmation or trend changes (With "Both" type Alfred will monit only Medium wave).
Shadow - Showing second reprezentation of the trend with drawing with the use of minimal and maximal values. It's usefull to determine the delay between the peak and a wave change signal.
Low/Med Line width/color - Width/color of drawn line. Separate setting for Low and Medium trend type.
| IMPULS VISUALIZATION |
Impuls - Drawing impuls modes:
H - Hidden
F - First
S - Second
A - Auto
Impuls color - Color of the first bullish arrow.
Draw arrow - Drawing arrow at the end of the first bullish arrow.
Troubleshooting:
In case of any problems, send error details to the author of the script.
Relative Strength Index modifierJ'ai rajouter quelque ligne pour les ventes et achat pour notre stratégie
