Open Interest Profile (OI)- By LeviathanThis script implements the concept of Open Interest Profile, which can help you analyze the activity of traders and identify the price levels where they are opening/closing their positions. This data can serve as a confluence for finding the areas of support and resistance , targets and placing stop losses. OI profiles can be viewed in the ranges of days, weeks, months, Tokyo sessions, London sessions and New York sessions.
A short introduction to Open Interest
Open Interest is a metric that measures the total amount of open derivatives contracts in a specific market at a given time. A valid contract is formed by both a buyer who opens a long position and a seller who opens a short position. This means that OI represents the total value of all open longs and all open shorts, divided by two. For example, if Open Interest is showing a value of $1B, it means that there is $1B worth of long and $1B worth of short contracts currently open/unsettled in a given market.
OI increasing = new long and short contracts are entering the market
OI decreasing = long and short contracts are exiting the market
OI unchanged = the net amount of positions remains the same (no new entries/exits or just a transfer of contracts occurring)
About this indicator
*This script is basically a modified version of my previous "Market Sessions and Volume Profile by @LeviathanCapital" indicator but this time, profiles are generated from Tradingview Open Interest data instead of volume (+ some other changes).
The usual representation of OI shows Open Interest value and its change based on time (for a particular day, time frame or each given candle). This indicator takes the data and plots it in a way where you can see the OI activity (change in OI) based on price levels. To put it simply, instead of observing WHEN (time) positions are entering/exiting the market, you can now see WHERE (price) positions are entering/exiting the market. This is the same concept as when it comes to Volume and Volume profile and therefore, similar strategies and ways of understanding the given data can be applied here. You can even combine the two to gain an edge (eg. high OI increase + Volume Profile showing dominant market selling = possible aggressive shorts taking place)
Green nodes = OI increase
Red nodes = OI decrease
A cluster of large green nodes can be used for support and resistance levels (*trapped traders theory) or targets (lots of liquidations and stop losses above/below), OI Profile gaps can present an objective for the price to fill them (liquidity gaps, imbalances, inefficiencies, etc), and more.
Indicator settings
1. Session/Lookback - Choose the range from where the OI Profile will be generated
2. OI Profile Mode - Mode 1 (shows only OI increase), Mode 2 (shows both OI increase and decrease), Mode 3 (shows OI decrease on left side and OI increase on the right side).
3. Show OI Value Area - Shows the area where most OI activity took place (useful as a range or S/R level )
4. Show Session Box - Shows the box around chosen sessions/lookback
5. Show Profile - Show/hide OI Profile
6. Show Current Session - Show/hide the ongoing session
7. Show Session Labels - Show/hide the text labels for each session
8. Resolution - The higher the value, the more refined a profile is, but fewer profiles are shown on the chart
9. OI Value Area % - Choose the percentage of VA (same as in Volume Profile's VA)
10. Smooth OI Data - Useful for assets that have very large spikes in OI over large bars, helps create better profiles
11. OI Increase - Pick the color of OI increase nodes in the profile
12. OI Decrease - Pick the color of OI decrease nodes in the profile
13. Value Area Box - Pick the color of the Value Area Box
14. Session Box Thickness - Pick the thickness of the lines surrounding the chosen sessions
Advice
The indicator calculates the profile based on candles - the more candles you can show, the better profile will be formed. This means that it's best to view most sessions on timeframes like 15min or lower. The only exception is the Monthly profile, where timeframes above 15min should be used. Just take a few minutes and switch between timeframes and sessions and you will figure out the optimal settings.
This is the first version of Open Interest Profile script so please understand that it will be improved in future updates.
Thank you for your support.
** Some profile generation elements are inspired by @LonesomeTheBlue's volume profile script
Cerca negli script per "gaps"
ATR Table 2.0ATR Table 2.0
This script was created in order to display a table that "calculates" how far the price can go on the current day .
The script is a table with 3 lines that calculates:
First Line - Day TR: The True Range of the current day ( - , including an Opening GAP if it exists);
Second Line - 10 Day ATR: The Average True Range of the asset (including Opening GAPs) for the last 10 days;
Third LIne - Range Consumed: How much of the 10 Day ATR it was consumed on the current day.
Example of how to use the information on the table and the understanding of it's purpose:
1) Supose you are day trading an asset that, during the last 10 days, have moved around $1.00 a day - This is the 10 Day ATR.
2) On this day, after 2 hours of the opening market, the price have already moved $0.50 (supose that it has moved $0.30 up and $0.35 down from the close of the prior day and the price is now near the close of the prior day).
3) In this situation, knowing that the price often moves around $1.00 a day, and knowing that it already moved $0.65 ($0.30 up and $0.35 down based on the close of the prior day), you may pay attention when the price breaksthrough the max or the min of the day, cause it can still move $0.35 in that direction ($1.00 - $0.65).
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ATR Table 2.0
Esse script foi criado para disponibilizar uma tabela que "calcula" quanto o preço pode andar ainda no dia em questão .
O script é uma tabela com 3 linhas que calcula:
Primeira Linha - TR do Dia: O Range Verdadeira do dia em questão ( - , incluindo GAP de Abertura se for o caso);
Segunda Linha - ATR de 10 Dias: A média do Range Verdadeira do ativo (incluindo GAPs de abertura) dos últimos 10 dias;
Terceira Linha - Range Consumido: O quanto do ATR de 10dias já foi consumido no dia em questão.
Exemplo de como usar essa informação na tabela e o entendimento do seu propósito:
1) Suponha que você está realizando day trade de um ativo que, durante os últimos 10 dias, se move em torno de $1.00 por dia. Esse é o ATR de 10 dias.
2) Nesse dia, após 2 horas da abertura do pregão, o preço já se moveu $.050 (suponhamos que ele tenha se moveu $0.30 para cima e $0.35 para baixo a partir do fechamento do dia anterior e agora o preço está próximo do fechamento do dia anterior).
3) Nessa situação, sabendo que o preço se move por volta de $1.00 por dia, e sabendo que ele já se moveu $0.65 ($0.30 pra cima e $0.35 pra baixo a partir do fechamento do dia anterior), você deve se atentar para quando o preço romper a máxima ou a mínima do dia, pois ele pode se mover ainda $.035 na direção do rompimento ($1.00 - $0.65).
Improved Chaikin Money FlowChaikin Money Flow is a well-known Indicator for gauging buying/selling pressure. Marc Chaikin intended this to be used on the daily timeframe to capture the behavior of price action at or near the daily close when larger-scale actors influence the market. The calculation is straight forward as described within the built-in TradingView "CMF" indicator:
1. Period Money Flow Multiplier = ((Close - Low) - (High - Close)) /(High - Low)
2. Period Money Flow Volume = Period Money Flow Multiplier x Volume for the Period
3. Chaikin Money Flow = 21 Period Sum of Money Flow Volume / 21 Period Sum of Volume
There is, however, a problem with this algorithm: it does not account for daily gaps in price action. This leads to the indicator sometimes moving out-of-sync with price action and/or an under-emphasis of the magnitude change of the indicator relative to the change in price action. This is a significant problem for someone trying to read divergences against an underlying.
Note: I have never seen a published attempt to improve this indicator which is why I decided that there had to be a way to do it.
In order to mitigate this issue, I have taken the basic script provided by TradingView and made a key modification. If the open of a candle is outside the range of the previous candle, then the close of the previous candle is used as the "high" for the current candle (in the case of a gap down) or the "low" for the current candle (in the case of a gap up). However, if the close of the current candle exceeds the previous close, highs and lows for the current candle are calculated as normal. I believe this accounts for gaps in price action without significantly altering the original intent of the indicator.
I have made four other minor tweaks:
1. Default style is color coded area above and below the Zero Line
2. Range scaled to +/-100 instead of +/-1 (displays better on graph)
3. Set timeframe to Daily (as that is the timeframe for which this indicator was intended by Chaikin)
4. Length defaults to 21 (which is what Chaikin uses)
Bodies X Wix Version of Smart Money Tools by makuchaku & eFeThis is the same Script as Super Fair Value Gaps / FVG /BoS / by makuchaku & eFe. Mine Should Default to Large Text instead of small. The Super Order Blocks I believe was meant to for you to find one of the many Smart Money tools such as turn on the Fair Value gap but leave the others off, or Turn on where the Break of Structure and leave the others off. The reason I believe this is because the default values for each of the structures were default colored (green for positive and red for negative) for all.
Mine has a different Color for every possible structure. As long as you can read with the larger text that I added, then you can create your own boxes positive for break of structure, rejection block, order blocks and fair value gaps for any time frame. The reason I did that is because There's only certain things I believe I will need to mark for myself in each time frame, and then from there You can stretch iyour own box out further in time because if price touches a fair value gap for example, the fair value gap should conyinue in time until at least 2 candles have filed the Fair valu gap going both directions. That's truly when the fair value gap should is mitigated and will from off the chart. However, If I knew How to add the code for that, I would.
Additionally, I have the Max Boxes per chart, so you should have the ability to see every OB, FVG,RJB, & BoS on the chart
I tried my hardest to create a colored border that was different from the box. But the way the original was coded was almost impossible to do. Because they defined each of the structures (FVG, OB, BoS, RJB) outer levels, when the outer levels connect via math in the code, then it joins all the outside lines for a rectangle. When creating a box, the coloe will always be the same as the border unfortunately. (Unless I replan this from the beginning)
I also Changed the default labels for reach structure from a hard to read gray to a white that pops out.
Also, chart indicators are a little large as well. Such as the cross, sideways cross, The green Triangle, and the white Diamond. You'll get used to it or you can change it as well.
Creating videos for students, you need something they can see.
So, I just wanted to ensure everything was a little more unique and easily usable when showing this to my students when I send them private videos for our weekly lessons. I'm trying to learn how to use the IPFS for THAT, (which i see has invaded PineScript) Hope this indicator helps.
If you're to borrow this, Just make sure you keep the authors in the name makuchaku & efe
PivotsSimply plots pivots found on any timeframe based on length specified.
Supports other timeframes, you choose to display gaps or not, with gaps on the labels may disappear so keep that in mind.
Gapgap indicator
True type:
The gap formed between the closing price of the last bar on Friday of the "current" chart period and the opening price of Monday of the "current" chart period
Fix type :
Displays the "daily" gap between Friday's close and Monday's open in "any" chart period
Intution type :
Any gaps are marked
(Not recommended to use in small cycles. There will be a lot of gaps due to the small transaction volume)
Library CommonLibrary "LibraryCommon"
A collection of custom tools & utility functions commonly used with my scripts
@description TODO: add library description here
getDecimals() Calculates how many decimals are on the quote price of the current market
Returns: The current decimal places on the market quote price
truncate(float, float) Truncates (cuts) excess decimal places
Parameters:
float : number The number to truncate
float : decimalPlaces (default=2) The number of decimal places to truncate to
Returns: The given number truncated to the given decimalPlaces
toWhole(float) Converts pips into whole numbers
Parameters:
float : number The pip number to convert into a whole number
Returns: The converted number
toPips(float) Converts whole numbers back into pips
Parameters:
float : number The whole number to convert into pips
Returns: The converted number
getPctChange(float, float, int) Gets the percentage change between 2 float values over a given lookback period
Parameters:
float : value1 The first value to reference
float : value2 The second value to reference
int : lookback The lookback period to analyze
av_getPositionSize(float, float, float, float) Calculates OANDA forex position size for AutoView based on the given parameters
Parameters:
float : balance The account balance to use
float : risk The risk percentage amount (as a whole number - eg. 1 = 1% risk)
float : stopPoints The stop loss distance in POINTS (not pips)
float : conversionRate The conversion rate of our account balance currency
Returns: The calculated position size (in units - only compatible with OANDA)
bullFib(priceLow, priceHigh, fibRatio) Calculates a bullish fibonacci value
Parameters:
priceLow : The lowest price point
priceHigh : The highest price point
fibRatio : The fibonacci % ratio to calculate
Returns: The fibonacci value of the given ratio between the two price points
bearFib(priceLow, priceHigh, fibRatio) Calculates a bearish fibonacci value
Parameters:
priceLow : The lowest price point
priceHigh : The highest price point
fibRatio : The fibonacci % ratio to calculate
Returns: The fibonacci value of the given ratio between the two price points
getMA(int, string) Gets a Moving Average based on type (MUST BE CALLED ON EVERY CALCULATION)
Parameters:
int : length The MA period
string : maType The type of MA
Returns: A moving average with the given parameters
getEAP(float) Performs EAP stop loss size calculation (eg. ATR >= 20.0 and ATR < 30, returns 20)
Parameters:
float : atr The given ATR to base the EAP SL calculation on
Returns: The EAP SL converted ATR size
getEAP2(float) Performs secondary EAP stop loss size calculation (eg. ATR < 40, add 5 pips, ATR between 40-50, add 10 pips etc)
Parameters:
float : atr The given ATR to base the EAP SL calculation on
Returns: The EAP SL converted ATR size
barsAboveMA(int, float) Counts how many candles are above the MA
Parameters:
int : lookback The lookback period to look back over
float : ma The moving average to check
Returns: The bar count of how many recent bars are above the MA
barsBelowMA(int, float) Counts how many candles are below the MA
Parameters:
int : lookback The lookback period to look back over
float : ma The moving average to reference
Returns: The bar count of how many recent bars are below the EMA
barsCrossedMA(int, float) Counts how many times the EMA was crossed recently
Parameters:
int : lookback The lookback period to look back over
float : ma The moving average to reference
Returns: The bar count of how many times price recently crossed the EMA
getPullbackBarCount(int, int) Counts how many green & red bars have printed recently (ie. pullback count)
Parameters:
int : lookback The lookback period to look back over
int : direction The color of the bar to count (1 = Green, -1 = Red)
Returns: The bar count of how many candles have retraced over the given lookback & direction
getBodySize() Gets the current candle's body size (in POINTS, divide by 10 to get pips)
Returns: The current candle's body size in POINTS
getTopWickSize() Gets the current candle's top wick size (in POINTS, divide by 10 to get pips)
Returns: The current candle's top wick size in POINTS
getBottomWickSize() Gets the current candle's bottom wick size (in POINTS, divide by 10 to get pips)
Returns: The current candle's bottom wick size in POINTS
getBodyPercent() Gets the current candle's body size as a percentage of its entire size including its wicks
Returns: The current candle's body size percentage
isHammer(float, bool) Checks if the current bar is a hammer candle based on the given parameters
Parameters:
float : fib (default=0.382) The fib to base candle body on
bool : colorMatch (default=false) Does the candle need to be green? (true/false)
Returns: A boolean - true if the current bar matches the requirements of a hammer candle
isStar(float, bool) Checks if the current bar is a shooting star candle based on the given parameters
Parameters:
float : fib (default=0.382) The fib to base candle body on
bool : colorMatch (default=false) Does the candle need to be red? (true/false)
Returns: A boolean - true if the current bar matches the requirements of a shooting star candle
isDoji(float, bool) Checks if the current bar is a doji candle based on the given parameters
Parameters:
float : wickSize (default=2) The maximum top wick size compared to the bottom (and vice versa)
bool : bodySize (default=0.05) The maximum body size as a percentage compared to the entire candle size
Returns: A boolean - true if the current bar matches the requirements of a doji candle
isBullishEC(float, float, bool) Checks if the current bar is a bullish engulfing candle
Parameters:
float : allowance (default=0) How many POINTS to allow the open to be off by (useful for markets with micro gaps)
float : rejectionWickSize (default=disabled) The maximum rejection wick size compared to the body as a percentage
bool : engulfWick (default=false) Does the engulfing candle require the wick to be engulfed as well?
Returns: A boolean - true if the current bar matches the requirements of a bullish engulfing candle
isBearishEC(float, float, bool) Checks if the current bar is a bearish engulfing candle
Parameters:
float : allowance (default=0) How many POINTS to allow the open to be off by (useful for markets with micro gaps)
float : rejectionWickSize (default=disabled) The maximum rejection wick size compared to the body as a percentage
bool : engulfWick (default=false) Does the engulfing candle require the wick to be engulfed as well?
Returns: A boolean - true if the current bar matches the requirements of a bearish engulfing candle
isInsideBar() Detects inside bars
Returns: Returns true if the current bar is an inside bar
isOutsideBar() Detects outside bars
Returns: Returns true if the current bar is an outside bar
barInSession(string, bool) Determines if the current price bar falls inside the specified session
Parameters:
string : sess The session to check
bool : useFilter (default=true) Whether or not to actually use this filter
Returns: A boolean - true if the current bar falls within the given time session
barOutSession(string, bool) Determines if the current price bar falls outside the specified session
Parameters:
string : sess The session to check
bool : useFilter (default=true) Whether or not to actually use this filter
Returns: A boolean - true if the current bar falls outside the given time session
dateFilter(int, int) Determines if this bar's time falls within date filter range
Parameters:
int : startTime The UNIX date timestamp to begin searching from
int : endTime the UNIX date timestamp to stop searching from
Returns: A boolean - true if the current bar falls within the given dates
dayFilter(bool, bool, bool, bool, bool, bool, bool) Checks if the current bar's day is in the list of given days to analyze
Parameters:
bool : monday Should the script analyze this day? (true/false)
bool : tuesday Should the script analyze this day? (true/false)
bool : wednesday Should the script analyze this day? (true/false)
bool : thursday Should the script analyze this day? (true/false)
bool : friday Should the script analyze this day? (true/false)
bool : saturday Should the script analyze this day? (true/false)
bool : sunday Should the script analyze this day? (true/false)
Returns: A boolean - true if the current bar's day is one of the given days
atrFilter()
fillCell()
AbdulLibraryLibrary "AbdulLibrary"
The library consists of three sections:
Technical Analysis Functions - A collection of tools commonly used by day traders
Trading Setup Filters Functions - A number of filters that help day traders to screen trading signals
Candlestick Pattern Detection Functions - To detect different candlestick patterns that are used in day trading setups
Note that this would have been possible without the help of @ZenAndTheArtOfTrading as I build-up this library after completing his pine script mastery course so big thanks to him
The content of the library are:-
fibLevels(preDayClose, preDayHigh, preDayLow) Calculates Daily Pivot Point and Fibonacci Key Levels
Parameters:
preDayClose : The previous day candle close
preDayHigh : The previous day candle high
preDayLow : The previous day candle low
Returns: Returns Daily Pivot Point and Fibonacci Key Levels as a tuple
bullishFib(canHigh, canLow, fibLevel) Calculates Fibonacci Levels in Bullish move
Parameters:
canHigh : The high of the move
canLow : The low of the move
fibLevel : The Fib level as % you want to calculate
Returns: Returns The Fib level for the Bullish move
bearishFib(canHigh, canLow, fibLevel) Calculates Fibonacci Levels in Bearish move
Parameters:
canHigh : The high of the move
canLow : The low of the move
fibLevel : The Fib level as % you want to calculate
Returns: Returns The Fib level for the Bearish move
getCandleSize() Calculates the size of candle (high - low) in points
Returns: Returns candle size in points
getCandleBodySize() Calculates the size of candle (close - open) in points
Returns: Returns candle body size in points
getHighWickSize() Calculates the high wick size of candle in points
Returns: Returns The high wick size of candle in points
getLowWickSize() Calculates the low wick size of candle in points
Returns: Returns The low wick size of candle in points
getBodyPercentage() Calculates the candle body size as % of overall candle size
Returns: Returns The candle body size as % of overall candle size
isSwingHigh(period) Checks if the price has created new swing high over a period of time
Parameters:
period : The lookback time we want to check for swing high
Returns: Returns True if the current candle or the previous candle is a swing high
isSwingLow(period) Checks if the price has created new swing low over a period of time
Parameters:
period : The lookback time we want to check for swing low
Returns: Returns True if the current candle or the previous candle is a swing low
isDojiSwingHigh(period) Checks if a doji is a swing high over a period of time
Parameters:
period : The lookback time we want to check for swing high
Returns: Returns True if the doji is a swing high
isDojiSwingLow(period) Checks if a doji is a swing low over a period of time
Parameters:
period : The lookback time we want to check for swing low
Returns: Returns True if the doji is a swing low
isBigBody(atrFilter, atr, candleBodySize, multiplier) Checks if a candle has big body compared to ATR
Parameters:
atrFilter : Check if user wants to use ATR to filter candle-setup signals
atr : The ATR value to be used to compare candle body size
candleBodySize : The candle body size
multiplier : The multiplier to be used to compare candle body size
Returns: Returns Boolean true if the candle setup is big
isSmallBody(atrFilter, atr, candleBodySize, multiplier) Checks if a candle has small body compared to ATR
Parameters:
atrFilter : Check if user wants to use ATR to filter candle-setup signals
atr : The ATR value to be used to compare candle body size
candleBodySize : The candle body size
multiplier : The multiplier to be used to compare candle body size
Returns: Returns Boolean true if the candle setup is small
isHammer(fibLevel, colorMatch) Checks if a candle is a hammer based on user input parameters and candle conditions
Parameters:
fibLevel : Fib level to base candle body on
colorMatch : Checks if user needs for the candel to be green
Returns: Returns Boolean - True if the candle setup is hammer
isShootingStar(fibLevel, colorMatch) Checks if a candle is a shooting star based on user input parameters and candle conditions
Parameters:
fibLevel : Fib level to base candle body on
colorMatch : Checks if user needs for the candel to be red
Returns: Returns Boolean - True if the candle setup is star
isBullEngCan(allowance, period) Check if a candle is a bullish engulfing candle
Parameters:
allowance : How many points the candle open is allowed to be off (To allow for gaps)
period : The lookback period for swing low check
Returns: Boolean - True only if the candle is a bullish engulfing candle
isBearEngCan(allowance, period) Check if a candle is a bearish engulfing candle
Parameters:
allowance : How many points the candle open is allowed to be off (To allow for gaps)
period : The lookback period for swing high check
Returns: Boolean - True only if the candle is a bearish engulfing candle
isBullDoji(maxSize, wickLimit, colorFilter) Check if a candle is a bullish doji candle
Parameters:
maxSize : Maximum candle body size as % of total candle size to be considered as doji
wickLimit : Maximum wick size of one wick compared to the other wick
colorFilter : Checks if the doji is green
Returns: Boolean - True if the candle is a bullish doji
isBearDoji(maxSize, wickLimit, colorFilter) Check if a candle is a bearish doji candle
Parameters:
maxSize : Maximum candle body size as % of total candle size to be considered as doji
wickLimit : Maximum wick size of one wick compared to the other wick
colorFilter : Checks if the doji is red
Returns: Boolean - True if the candle is a bearish doji
isBullOutBar() Check if a candle is a bullish outside bar
Returns: Boolean - True if the candle is a bullish outside bar
isInsideBar() Check if a candle is an inside bar
Returns: Returns Boolean - True if a candle is an inside bar
BE_CustomFx_LibraryLibrary "BE_CustomFx_Library"
A handful collection of regular functions, Custom Tools & Utility Functions could be used in regular Scripts. hope these functions can be understood by a non programmer like me too.
G_TextValOfNumber(ValueToConvert, RequiredDecimalPlaces, BeginingChar, EndChar) Function to return the String Value of Number with decimal precision with the prefix and suffix characters provided
Parameters:
ValueToConvert : = Number to Convert
RequiredDecimalPlaces : = No of Decimal values Required. supports to a max of 5 decimals else defaults to 2
BeginingChar : = Prefix character which is needed.
EndChar : = Suffix character which is needed.
Returns: Returns Out put with formated value of Given Number for the specified deicimal values with Prefix and suffix string
G_TradableValue(ValueToConvert, NeedCustomization, RequiredDecimalPlaces) Function to return the Tradable Value of Number
Parameters:
ValueToConvert : = Number to Convert
NeedCustomization : = set to 1 if you want to customize the decimal percision values. default is No customization needed, which provides output equalent to round_to_mintick
RequiredDecimalPlaces : = if NeedCustomization is set to 1 mention the decimal percision value required. max supported decimal is 5 else defaults to 2
Returns: Returns Out put with formated value of Given Number
G_TxtSizeForLables(SizeValue) Function to Get size Value for text values used in Lables
Parameters:
SizeValue : = auto, tiny, small, normal, large, huge. specify either of these values or default value Normal will be displayed as output
Returns: Returns Respective Text size
G_Reg_LineType(LineType) Function to Get Line Style Value for text values used in Lines
Parameters:
LineType : = 'solid (─)', 'dotted (┈)', 'dashed (╌)', 'arrow left (←)', 'arrow right (→)', 'arrows both (↔)' or default line style 'dotted (┈)' will be the output
Returns: Returns Respective Line style
G_ShapeTypeForLables(ShapeType) Function to Get Shape Style Value for text values used in plot shapes
Parameters:
ShapeType : = 'XCross', 'Cross', 'Triangle Up', 'Triangle Down', 'Flag', 'Circle','Arrow Up', 'Arrow Down','Lable Up', 'Lable Down' or default shpae style Triangle Up will be the output
Returns: Returns Respective Shape style
G_Indicator_Val(string, float, int, int) Gets Output of the technical analyis indicator which has length Parameter. RSI, ATR, EMA, SMA, HMA, WMA, VWMA, 'CMO', 'MOM', 'ROC','VWAP'
Parameters:
string : IndicatorName to be specified
float : SrcVal for the TA indicator default is close
int : Length for the TA indicator
int : DecimalValue optional to specify if required formatted output with decimal percision
Returns: Value with the given parameters
G_CandleInfo(string, bool, float, bool) function to get Candle Informarion such as both wicksize, top wick size , bottom wick size, full candle size and body size in default points
Parameters:
string : WhatCandleInfo, string input with either of these options "Wick" , "TWick" , "BWick" , "Candle", "Body" , "BearfbVal", "BullfbVal" , "CandleOpen" ,"CandleClose", "CandleHigh" , "CandleLow", "BodyPct"
bool : RepaintingVersion, set to true if required data on the realtime bar else default is set to false
float : FibValueOfCandle, set the fibo value to extract fibvalue of the candle else default is set to 38.2%
bool : AccountforGaps, set to true if required data on considering the gap between previous and current bar else default is set to false
Returns: Returns Respective values for the candles
G_BullBearBarCount(int, int) Counts how many green & red bars have printed recently (ie. pullback count)
Parameters:
int : HowManyCandlesToCheck The lookback period to look back over
int : BullBear The color of the bar to count (1 = Bull, -1 = Bear), Open = close candles are ignored
Returns: The bar count of how many candles have retraced over the given lookback with specific candles
BarToStartYourCalculation(Int) function to get candle co-ordinate in order to use it further for calculating your analysis work . "Heart full Thanks to 3 Pine motivators (LonesomeTheBlue, Myank & Sriki) who helped me cracking this logic"
Parameters:
Int : SelectedCandleNumber (default=450) How many candles you would need to anlysie in your script from the right.
Returns: A boolean - output is returned to say the starting point and continue to diplay true for the future candles
isHammer(float, bool, bool) Checks if the current bar is a hammer candle based on the given parameters
Parameters:
float : fib (default=0.382) The fib to base candle body on
bool : colorMatch (default=false) Does the candle need to be green? (true/false)
bool : NeedRepainting (default=false) Specify True if you need them to calculate on the realtime bars
Returns: A boolean - true if the current bar matches the requirements of a hammer candle
isStar(float, bool, bool) Checks if the current bar is a shooting star candle based on the given parameters
Parameters:
float : fib (default=0.382) The fib to base candle body on
bool : colorMatch (default=false) Does the candle need to be red? (true/false)
bool : NeedRepainting (default=false) Specify True if you need them to calculate on the realtime bars
Returns: A boolean - true if the current bar matches the requirements of a shooting star candle
isDoji(float, float, bool) Checks if the current bar is a doji candle based on the given parameters
Parameters:
float : _wickSize (default=1.5 times) The maximum allowed times can be top wick size compared to the bottom (and vice versa)
float : _bodySize (default= 5 percent to be mentioned as 0.05) The maximum body size as a percentage compared to the entire candle size
bool : NeedRepainting (default=false) Specify true if you need them to calculate on the realtime bars
Returns: A boolean - true if the current bar matches the requirements of a doji candle
isBullishEC(float, float, bool, bool) Checks if the current bar is a bullish engulfing candle
Parameters:
float : _allowance (default=0) How many POINTS to allow the open to be off by (useful for markets with micro gaps)
float : _rejectionWickSize (default=disabled) The maximum rejection wick size compared to the body as a percentage
bool : _engulfWick (default=false) Does the engulfing candle require the wick to be engulfed as well?
bool : NeedRepainting (default=false) Specify True if you need them to calculate on the realtime bars
Returns: A boolean - true if the current bar matches the requirements of a bullish engulfing candle
isBearishEC(float, float, bool, bool) Checks if the current bar is a bearish engulfing candle
Parameters:
float : _allowance (default=0) How many POINTS to allow the open to be off by (useful for markets with micro gaps)
float : _rejectionWickSize (default=disabled) The maximum rejection wick size compared to the body as a percentage
bool : _engulfWick (default=false) Does the engulfing candle require the wick to be engulfed as well?
bool : NeedRepainting (default=false) Specify True if you need them to calculate on the realtime bars
Returns: A boolean - true if the current bar matches the requirements of a bearish engulfing candle
Plot_TrendLineAtDegree(float, float, int, string, bool) helps you to plot the Trendlines based on the specified angle at the defined price to bar ratio
Parameters:
float : Degree (default=14) angle at which Trendline to be plot
float : price2bar_ratio (default=1e-10) The maximum rejection wick size compared to the body as a percentage
int : Bars2Plot (default=6) Does the engulfing candle require the wick to be engulfed as well?
string : LineStyle = 'solid (─)', 'dotted (┈)', 'dashed (╌)', 'arrow left (←)', 'arrow right (→)', 'arrows both (↔)' or default line style 'dotted (┈)' will be the output
bool : PlotOnOpen_Close (default=false) Specify True if you need them to calculate on the Open\Close Values
Returns: plot the Trendlines based on the specified angle at the defined price to bar ratio
Gap Absorption StrategyLike the nature, markets don't like the void, and this is something we can take advantage of by trading gaps on some markets.
This technique is well known, so I wanted to write a tiny script based on this strategy to get a bit more comfortable with it.
IMPORTANT: Default parameters wont give you good trades on every markets, you need to modify these parameters to see which proportions correspond to the stock you're trading.
This script triggers signals on predefined variation of a stock price after a gap, and allows its user to configure TP and SL prices corresponding to a specific percentage of this gap movement.
Note: We can observe that opening gaps are often the most interesting.
Options
Trigger: the price variation you want to trigger on (in % of the price)
Stop Loss : in % of the gap
Take profit : in % of the gap
A small table is displayed in the top right corner of the chart to give you TP/SL/Signal prices for each opportunity
SL (red line) and TP (green line) are also displayed on the chart when a signal is triggered
Information concerning the current opportunity is given at the bottom of the chart
Note: This script is based on the Gap-Size-Indicator that I published a few weeks ago.
LeoLibraryLibrary "LeoLibrary"
A collection of custom tools & utility functions commonly used with my scripts
getDecimals() Calculates how many decimals are on the quote price of the current market
Returns: The current decimal places on the market quote price
truncate(float, float) Truncates (cuts) excess decimal places
Parameters:
float : _number The number to truncate
float : _decimalPlaces (default=2) The number of decimal places to truncate to
Returns: The given _number truncated to the given _decimalPlaces
toWhole(float) Converts pips into whole numbers
Parameters:
float : _number The pip number to convert into a whole number
Returns: The converted number
toPips(float) Converts whole numbers back into pips
Parameters:
float : _number The whole number to convert into pips
Returns: The converted number
av_getPositionSize(float, float, float, float) Calculates OANDA forex position size for AutoView based on the given parameters
Parameters:
float : _balance The account balance to use
float : _risk The risk percentage amount (as a whole number - eg. 1 = 1% risk)
float : _stopPoints The stop loss distance in POINTS (not pips)
float : _conversionRate The conversion rate of our account balance currency
Returns: The calculated position size (in units - only compatible with OANDA)
getMA(int, string) Gets a Moving Average based on type
Parameters:
int : _length The MA period
string : _maType The type of MA
Returns: A moving average with the given parameters
getEAP(float) Performs EAP stop loss size calculation (eg. ATR >= 20.0 and ATR < 30, returns 20)
Parameters:
float : _atr The given ATR to base the EAP SL calculation on
Returns: The EAP SL converted ATR size
barsAboveMA(int, float) Counts how many candles are above the MA
Parameters:
int : _lookback The lookback period to look back over
float : _ma The moving average to check
Returns: The bar count of how many recent bars are above the MA
barsBelowMA(int, float) Counts how many candles are below the MA
Parameters:
int : _lookback The lookback period to look back over
float : _ma The moving average to reference
Returns: The bar count of how many recent bars are below the EMA
barsCrossedMA(int, float) Counts how many times the EMA was crossed recently
Parameters:
int : _lookback The lookback period to look back over
float : _ma The moving average to reference
Returns: The bar count of how many times price recently crossed the EMA
getPullbackBarCount(int, int) Counts how many green & red bars have printed recently (ie. pullback count)
Parameters:
int : _lookback The lookback period to look back over
int : _direction The color of the bar to count (1 = Green, -1 = Red)
Returns: The bar count of how many candles have retraced over the given lookback & direction
getBodySize() Gets the current candle's body size (in POINTS, divide by 10 to get pips)
Returns: The current candle's body size in POINTS
getTopWickSize() Gets the current candle's top wick size (in POINTS, divide by 10 to get pips)
Returns: The current candle's top wick size in POINTS
getBottomWickSize() Gets the current candle's bottom wick size (in POINTS, divide by 10 to get pips)
Returns: The current candle's bottom wick size in POINTS
getBodyPercent() Gets the current candle's body size as a percentage of its entire size including its wicks
Returns: The current candle's body size percentage
isHammer(float, bool) Checks if the current bar is a hammer candle based on the given parameters
Parameters:
float : _fib (default=0.382) The fib to base candle body on
bool : _colorMatch (default=false) Does the candle need to be green? (true/false)
Returns: A boolean - true if the current bar matches the requirements of a hammer candle
isStar(float, bool) Checks if the current bar is a shooting star candle based on the given parameters
Parameters:
float : _fib (default=0.382) The fib to base candle body on
bool : _colorMatch (default=false) Does the candle need to be red? (true/false)
Returns: A boolean - true if the current bar matches the requirements of a shooting star candle
isDoji(float, bool) Checks if the current bar is a doji candle based on the given parameters
Parameters:
float : _wickSize (default=2) The maximum top wick size compared to the bottom (and vice versa)
bool : _bodySize (default=0.05) The maximum body size as a percentage compared to the entire candle size
Returns: A boolean - true if the current bar matches the requirements of a doji candle
isBullishEC(float, float, bool) Checks if the current bar is a bullish engulfing candle
Parameters:
float : _allowance (default=0) How many POINTS to allow the open to be off by (useful for markets with micro gaps)
float : _rejectionWickSize (default=disabled) The maximum rejection wick size compared to the body as a percentage
bool : _engulfWick (default=false) Does the engulfing candle require the wick to be engulfed as well?
Returns: A boolean - true if the current bar matches the requirements of a bullish engulfing candle
isBearishEC(float, float, bool) Checks if the current bar is a bearish engulfing candle
Parameters:
float : _allowance (default=0) How many POINTS to allow the open to be off by (useful for markets with micro gaps)
float : _rejectionWickSize (default=disabled) The maximum rejection wick size compared to the body as a percentage
bool : _engulfWick (default=false) Does the engulfing candle require the wick to be engulfed as well?
Returns: A boolean - true if the current bar matches the requirements of a bearish engulfing candle
timeFilter(string, bool) Determines if the current price bar falls inside the specified session
Parameters:
string : _sess The session to check
bool : _useFilter (default=false) Whether or not to actually use this filter
Returns: A boolean - true if the current bar falls within the given time session
dateFilter(int, int) Determines if this bar's time falls within date filter range
Parameters:
int : _startTime The UNIX date timestamp to begin searching from
int : _endTime the UNIX date timestamp to stop searching from
Returns: A boolean - true if the current bar falls within the given dates
dayFilter(bool, bool, bool, bool, bool, bool, bool) Checks if the current bar's day is in the list of given days to analyze
Parameters:
bool : _monday Should the script analyze this day? (true/false)
bool : _tuesday Should the script analyze this day? (true/false)
bool : _wednesday Should the script analyze this day? (true/false)
bool : _thursday Should the script analyze this day? (true/false)
bool : _friday Should the script analyze this day? (true/false)
bool : _saturday Should the script analyze this day? (true/false)
bool : _sunday Should the script analyze this day? (true/false)
Returns: A boolean - true if the current bar's day is one of the given days
atrFilter(float, float) Checks the current bar's size against the given ATR and max size
Parameters:
float : _atr (default=ATR 14 period) The given ATR to check
float : _maxSize The maximum ATR multiplier of the current candle
Returns: A boolean - true if the current bar's size is less than or equal to _atr x _maxSize
fillCell(table, int, int, string, string, color, color) This updates the given table's cell with the given values
Parameters:
table : _table The table ID to update
int : _column The column to update
int : _row The row to update
string : _title The title of this cell
string : _value The value of this cell
color : _bgcolor The background color of this cell
color : _txtcolor The text color of this cell
Returns: A boolean - true if the current bar falls within the given dates
ZenLibraryLibrary "ZenLibrary"
A collection of custom tools & utility functions commonly used with my scripts.
getDecimals() Calculates how many decimals are on the quote price of the current market
Returns: The current decimal places on the market quote price
truncate(float, float) Truncates (cuts) excess decimal places
Parameters:
float : _number The number to truncate
float : _decimalPlaces (default=2) The number of decimal places to truncate to
Returns: The given _number truncated to the given _decimalPlaces
toWhole(float) Converts pips into whole numbers
Parameters:
float : _number The pip number to convert into a whole number
Returns: The converted number
toPips(float) Converts whole numbers back into pips
Parameters:
float : _number The whole number to convert into pips
Returns: The converted number
av_getPositionSize(float, float, float, float) Calculates OANDA forex position size for AutoView based on the given parameters
Parameters:
float : _balance The account balance to use
float : _risk The risk percentage amount (as a whole number - eg. 1 = 1% risk)
float : _stopPoints The stop loss distance in POINTS (not pips)
float : _conversionRate The conversion rate of our account balance currency
Returns: The calculated position size (in units - only compatible with OANDA)
getMA(int, string) Gets a Moving Average based on type
Parameters:
int : _length The MA period
string : _maType The type of MA
Returns: A moving average with the given parameters
getEAP(float) Performs EAP stop loss size calculation (eg. ATR >= 20.0 and ATR < 30, returns 20)
Parameters:
float : _atr The given ATR to base the EAP SL calculation on
Returns: The EAP SL converted ATR size
barsAboveMA(int, float) Counts how many candles are above the MA
Parameters:
int : _lookback The lookback period to look back over
float : _ma The moving average to check
Returns: The bar count of how many recent bars are above the MA
barsBelowMA(int, float) Counts how many candles are below the MA
Parameters:
int : _lookback The lookback period to look back over
float : _ma The moving average to reference
Returns: The bar count of how many recent bars are below the EMA
barsCrossedMA(int, float) Counts how many times the EMA was crossed recently
Parameters:
int : _lookback The lookback period to look back over
float : _ma The moving average to reference
Returns: The bar count of how many times price recently crossed the EMA
getPullbackBarCount(int, int) Counts how many green & red bars have printed recently (ie. pullback count)
Parameters:
int : _lookback The lookback period to look back over
int : _direction The color of the bar to count (1 = Green, -1 = Red)
Returns: The bar count of how many candles have retraced over the given lookback & direction
getBodySize() Gets the current candle's body size (in POINTS, divide by 10 to get pips)
Returns: The current candle's body size in POINTS
getTopWickSize() Gets the current candle's top wick size (in POINTS, divide by 10 to get pips)
Returns: The current candle's top wick size in POINTS
getBottomWickSize() Gets the current candle's bottom wick size (in POINTS, divide by 10 to get pips)
Returns: The current candle's bottom wick size in POINTS
getBodyPercent() Gets the current candle's body size as a percentage of its entire size including its wicks
Returns: The current candle's body size percentage
isHammer(float, bool) Checks if the current bar is a hammer candle based on the given parameters
Parameters:
float : _fib (default=0.382) The fib to base candle body on
bool : _colorMatch (default=false) Does the candle need to be green? (true/false)
Returns: A boolean - true if the current bar matches the requirements of a hammer candle
isStar(float, bool) Checks if the current bar is a shooting star candle based on the given parameters
Parameters:
float : _fib (default=0.382) The fib to base candle body on
bool : _colorMatch (default=false) Does the candle need to be red? (true/false)
Returns: A boolean - true if the current bar matches the requirements of a shooting star candle
isDoji(float, bool) Checks if the current bar is a doji candle based on the given parameters
Parameters:
float : _wickSize (default=2) The maximum top wick size compared to the bottom (and vice versa)
bool : _bodySize (default=0.05) The maximum body size as a percentage compared to the entire candle size
Returns: A boolean - true if the current bar matches the requirements of a doji candle
isBullishEC(float, float, bool) Checks if the current bar is a bullish engulfing candle
Parameters:
float : _allowance (default=0) How many POINTS to allow the open to be off by (useful for markets with micro gaps)
float : _rejectionWickSize (default=disabled) The maximum rejection wick size compared to the body as a percentage
bool : _engulfWick (default=false) Does the engulfing candle require the wick to be engulfed as well?
Returns: A boolean - true if the current bar matches the requirements of a bullish engulfing candle
isBearishEC(float, float, bool) Checks if the current bar is a bearish engulfing candle
Parameters:
float : _allowance (default=0) How many POINTS to allow the open to be off by (useful for markets with micro gaps)
float : _rejectionWickSize (default=disabled) The maximum rejection wick size compared to the body as a percentage
bool : _engulfWick (default=false) Does the engulfing candle require the wick to be engulfed as well?
Returns: A boolean - true if the current bar matches the requirements of a bearish engulfing candle
timeFilter(string, bool) Determines if the current price bar falls inside the specified session
Parameters:
string : _sess The session to check
bool : _useFilter (default=false) Whether or not to actually use this filter
Returns: A boolean - true if the current bar falls within the given time session
dateFilter(int, int) Determines if this bar's time falls within date filter range
Parameters:
int : _startTime The UNIX date timestamp to begin searching from
int : _endTime the UNIX date timestamp to stop searching from
Returns: A boolean - true if the current bar falls within the given dates
dayFilter(bool, bool, bool, bool, bool, bool, bool) Checks if the current bar's day is in the list of given days to analyze
Parameters:
bool : _monday Should the script analyze this day? (true/false)
bool : _tuesday Should the script analyze this day? (true/false)
bool : _wednesday Should the script analyze this day? (true/false)
bool : _thursday Should the script analyze this day? (true/false)
bool : _friday Should the script analyze this day? (true/false)
bool : _saturday Should the script analyze this day? (true/false)
bool : _sunday Should the script analyze this day? (true/false)
Returns: A boolean - true if the current bar's day is one of the given days
atrFilter(float, float) Checks the current bar's size against the given ATR and max size
Parameters:
float : _atr (default=ATR 14 period) The given ATR to check
float : _maxSize The maximum ATR multiplier of the current candle
Returns: A boolean - true if the current bar's size is less than or equal to _atr x _maxSize
fillCell(table, int, int, string, string, color, color) This updates the given table's cell with the given values
Parameters:
table : _table The table ID to update
int : _column The column to update
int : _row The row to update
string : _title The title of this cell
string : _value The value of this cell
color : _bgcolor The background color of this cell
color : _txtcolor The text color of this cell
Returns: A boolean - true if the current bar falls within the given dates
Volume X-ray [LucF]█ OVERVIEW
This tool analyzes the relative size of volume reported on intraday vs EOD (end of day) data feeds on historical bars. If you use volume data to make trading decisions, it can help you improve your understanding of its nature and quality, which is especially important if you trade on intraday timeframes.
I often mention, when discussing volume analysis, how it's important for traders to understand the volume data they are using: where it originates, what it includes and does not include. By helping you spot sizeable differences between volume reported on intraday and EOD data feeds for any given instrument, "Volume X-ray" can point you to instruments where you might want to research the causes of the difference.
█ CONCEPTS
The information used to build a chart's historical bars originates from data providers (exchanges, brokers, etc.) who often maintain distinct historical feeds for intraday and EOD timeframes. How volume data is assembled for intraday and EOD feeds varies with instruments, brokers and exchanges. Variations between the two feeds — or their absence — can be due to how instruments are traded in a particular sector and/or the volume reporting policy for the feeds you are using. Instruments from crypto and forex markets, for example, will often display similar volume on both feeds. Stocks will often display variations because block trades or other types of trades may not be included in their intraday volume data. Futures will also typically display variations. It is even possible that volume from different feeds may not be of the same nature, as you can get trade volume (market volume) on one feed and tick volume (transaction counts) on another. You will sometimes be able to find the details of what different feeds contain from the technical information provided by exchanges/brokers on their feeds. This is an example for the NASDAQ feeds . Once you determine which feeds you are using, you can look for the reporting specs for that feed. This is all research you will need to do on your own; "Volume X-ray" will not help you with that part.
You may elect to forego the deep dive in feed information and simply rely on the figure the indicator will calculate for the instruments you trade. One simple — and unproven — way to interpret "Volume X-ray" values is to infer that instruments with larger percentages of intraday/EOD volume ratios are more "democratic" because at intraday timeframes, you are seeing a greater proportion of the actual traded volume for the instrument. This could conceivably lead one to conclude that such volume data is more reliable than on an instrument where intraday volume accounts for only 3% of EOD volume, let's say.
Note that as intraday vs EOD variations exist for historical bars on some instruments, there will typically also be differences between the realtime feeds used on intraday vs 1D or greater timeframes for those same assets. Realtime reporting rules will often be different from historical feed reporting rules, so variations between realtime feeds will often be different from the variations between historical feeds for the same instrument. A deep dive in reporting rules will quickly reveal what a jungle they are for some instruments, yet it is the only way to really understand the volume information our charts display.
█ HOW TO USE IT
The script is very simple and has no inputs. Just add it to 1D charts and it will calculate the proportion of volume reported on the intraday feed over the EOD volume. The plots show the daily values for both volumes: the teal area is the EOD volume, the orange line is the intraday volume. A value representing the average, cumulative intraday/EOD volume percentage for the chart is displayed in the upper-right corner. Its background color changes with the percentage, with brightness levels proportional to the percentage for both the bull color (% >= 50) or the bear color (% < 50). When abnormal conditions are detected, such as missing volume of one kind or the other, a yellow background is used.
Daily and cumulative values are displayed in indicator values and the Data Window.
The indicator loads in a pane, but you can also use it in overlay mode by moving it on the chart with "Move to" in the script's "More" menu, and disabling the plot display from the "Settings/Style" tab.
█ LIMITATIONS
• The script will not run on timeframes >1D because it cannot produce useful values on them.
• The calculation of the cumulative average will vary on different intraday timeframes because of the varying number of days covered by the dataset.
Variations can also occur because of irregularities in reported volume data. That is the reason I recommend using it on 1D charts.
• The script only calculates on historical bars because in real time there is no distinction between intraday and EOD feeds.
• You will see plenty of special cases if you use the indicator on a variety of instruments:
• Some instruments have no intraday volume, while on others it's the opposite.
• Missing information will sometimes appear here and there on datasets.
• Some instruments have higher intraday than EOD volume.
Please do not ask me the reasons for these anomalies; it's your responsibility to find them. I supply a tool that will spot the anomalies for you — nothing more.
█ FOR PINE CODERS
• This script uses a little-known feature of request.security() , which allows us to specify `"1440"` for the `timeframe` argument.
When you do, data from the 1min intrabars of the historical intraday feed is aggregated over one day, as opposed to the usual EOD feed used with `"D"`.
• I use gaps on my request.security() calls. This is useful because at intraday timeframes I can cumulate non- na values only.
• I use fixnan() on some values. For those who don't know about it yet, it eliminates na values from a series, just like not using gaps will do in a request.security() call.
• I like how the new switch structure makes for more readable code than equivalent if structures.
• I wrote my script using the revised recommendations in the Style Guide from the Pine v5 User Manual.
• I use the new runtime.error() to throw an error when the script user tries to use a timeframe >1D.
Why? Because then, my request.security() calls would be returning values from the last 1D intrabar of the dilation of the, let's say, 1W chart bar.
This of course would be of no use whatsoever — and misleading. I encourage all Pine coders fetching HTF data to protect their script users in the same way.
As tool builders, it is our responsibility to shield unsuspecting users of our scripts from contexts where our calcs produce invalid results.
• While we're on the subject of accessing intrabar timeframes, I will add this to the intention of coders falling victim to what appears to be
a new misconception where the mere fact of using intrabar timeframes with request.security() is believed to provide some sort of edge.
This is a fallacy unless you are sending down functions specifically designed to mine values from request.security() 's intrabar context.
These coders do not seem to realize that:
• They are only retrieving information from the last intrabar of the chart bar.
• The already flawed behavior of their scripts on historical bars will not improve on realtime bars. It will actually worsen because in real time,
intrabars are not yet ordered sequentially as they are on historical bars.
• Alerts or strategy orders using intrabar information acquired through request.security() will be using flawed logic and data most of the time.
The situation reminds me of the mania where using Heikin-Ashi charts to backtest was all the rage because it produced magnificent — and flawed — results.
Trading is difficult enough when doing the right things; I hate to see traders infected by lethal beliefs.
Strive to sharpen your "herd immunity", as Lionel Shriver calls it. She also writes: "Be leery of orthodoxy. Hold back from shared cultural enthusiasms."
Be your own trader.
█ THANKS
This indicator would not exist without the invaluable insights from Tim, a member of the Pine team. Thanks Tim!
Gap RiderThis Indicator allows you to make statistics on the performance of any underlying on the days in which an opening gap occurs.
Specifically, the indicator was designed for "0 dte" options trades. In fact, it is possible to find parameters that give a good statistical advantage by opening a spread in the direction of the gap, creating a trade that has a risk-return ratio of 1: 1.
The indicator shows flags on the graph (green in case of gap up, red in case of gap down) and colored boxes (green in case the stock closed in the direction of the gap, red in case the stock closed in the opposite direction to the gap, yellow in the event that the stock closed at a distance that did not allow the spread in options to close in maximum loss or maximum profit, and therefore in breakeven)
The statistics panel, on the other hand, contains all the information necessary to search for parameters that give the trader a good statistical advantage.
In the settings you can filter the days of the week, only gap up or only gap down, ATR thresholds (volatility), points or minimum percentage for which a gap is taken into account, measure of the breakeven (which for options traders should represent the half the width of the spread to open), large gaps filter that takes into consideration only gaps that open out of range compared to the previous session. The Lookback parameter of course is used to set how many bars to take into account for the statistics.
Parameters and recommended strategy:
TODAY 31/08/2021 - Lookback 500 bars (2 years)
UNDERLYING: SPX
FILTERS: only Monday and Wednesday, only gap up, only gap> 0.01%
STRATEGY: exactly at opening, cover an ATM spread in the direction of the gap (example: gap up, I open a long call spread) that has the opening price as a break even, with a risk-return ratio of 1: 1 and leave it open until closing session, or set take profit at 90-95%. It is advisable to take into consideration the SPX statistics but to operate on the ES future so as to be able to open the spread a couple of minutes before the opening of the cash session and prevent the trade from "running away" due to too sudden movements of the opening. .
RESULTS:
124 Trade
70% profitable trades
30% losing trades
Max drawdown 3 trades
So assuming a spread on ES 10 points wide, each trade would gain or lose $ 250, applying the described strategy we would have in two years, investing only $ 250, a profit of $ 12500, with a max drawdown of $ 750. We would therefore have a profit of 5000%, or rather 2500% per year on the invested capital, with a drawdown of a much lower proportion of the profit ($ 750 compared to $ 6250 of annual profit).
The strategy is infinitely scalable by increasing the options contracts used and the impact of the commissions is almost zero.
MONEY MANAGEMENT: Example on a 50K account, with a spread that earns or loses $ 500, in two years it earns $ 25,000, therefore about 12500 per year, with a max drawdown of $ 1500, therefore 25% per year on the ENTIRE ACCOUNT with a maximum drawdown of 3%.
Note: the test was performed without a break even parameter, so the actual result will be more moderate, but of the same explosive nature.
** BUG STILL LOOKING FOR SOLUTION **
only in case the filters are set to take into account ONLY the gap down, the drawdown count in the statistics panel shows an incorrect result "
Repeated Median Regression ChannelThis script uses the Repeated Median (RM) estimator to construct a linear regression channel and thus offers an alternative to the available codes based on ordinary least squares.
The RM estimator is a robust linear regression algorithm. It was proposed by Siegel in 1982 (1) and has since found many applications in science and engineering for linear trend estimation and data filtering.
The key difference between RM and ordinary least squares methods is that the slope of the RM line is significantly less affected by data points that deviate strongly from the established trend. In statistics, these points are usually called outliers, while in the context of price data, they are associated with gaps, reversals, breaks from the trading range. Thus, robustness to outlier means that the nascent deviation from a predetermined trend will be more clearly seen in the RM regression compared to the least-squares estimate. For the same reason, the RM model is expected to better depict gaps and trend changes (2).
Input Description
Length : Determines the length of the regression line.
Channel Multiplier : Determines the channel width in units of root-mean-square deviation.
Show Channel : If switched off , only the (central) regression line is displayed.
Show Historical Broken Channel : If switched on , the channels that were broken in the past are displayed. Note that a certain historical broken channel is shown only when at least Length / 2 bars have passed since the last historical broken channel.
Print Slope : Displays the value of the current RM slope on the graph.
Method
Calculation of the RM regression line is done as follows (1,3):
For each sample point ( t (i), y (i)) with i = 1.. Length , the algorithm calculates the median of all the slopes of the lines connecting this point to the other Length -1 points.
The regression slope is defined as the median of the set of these median slopes.
The regression intercept is defined as the median of the set { y (i) – m * t (i)}.
Computational Time
The present implementation utilizes a brute-force algorithm for computing the RM-slope that takes O ( Length ^2) time. Therefore, the calculation of the historical broken channels might take a relatively long time (depending on the Length parameter). However, when the Show Historical Broken Channel option is off, only the real-time RM channel is calculated, and this is done quite fast.
References
1. A. F. Siegel (1982), Robust regression using repeated medians, Biometrika, 69 , 242–244.
2. P. L. Davies, R. Fried, and U. Gather (2004), Robust signal extraction for on-line monitoring data, Journal of Statistical Planning and Inference 122 , 65-78.
3. en.wikipedia.org
[BMAX] Averan BB(ENGLISH)
Averan is an indicator based on ADR, which shows the volatility of the market based on high-low prices on the selected timeframe. The difference between Averan and ATR is that Averan does not consider GAPs, so it basically consider the actual size of the candles.
This indicator also includes a standard deviation representation, the same as the top portion of the bollinger bands to present the variance of the volatility.
(PORTUGUÊS)
Averan é um indicador baseado no ADR, que apresenta a volatilidade do mercado baseado em máximas e mínimas do tempo gráfico escolhido. A diferença do Averan para o ATR é que o Averan não considera GAPs, portanto é basicamente calculado pelo real tamanho dos candles.
Este indicador também inclui a representação do desvio padrão, representado da mesma maneira que a banda superior do Bollinger Bands, apresentando portanto a variância da volatilidade.
scaled.orders [highwater]FOR EDUCATIONAL PURPOSES
There are multiple tools that allow you to place "scaled orders" on your exchange, namely Alertatron and Bybit Tools. This script is based on some Alertatron features, but you can use it for any grid like order placing strategy. Even if thats not your thing it's an example of how to use arrays in pinescript.
FROM PRICE - is the price to start your orders.
TO PRICE - is the price your orders will end.
SCALED TYPES :
LINEAR - will distribute orders evenly between from and to price.
EASE IN - will cluster orders closer to from price, then start to widen the gaps as you move closer to to price.
EASE OUT - will have wider gaps near from price, and start to cluster near to price.
EASE IN OUT - will cluster orders near both from price and to price.
COUNT - number of orders in each scaled order.
Awesome Oscillator_VTX
Abbreviations:
AO - Awesome Oscillator
AC - Accelerator Oscillator
TP - TimePeriod (1m,2m,5m,1h....)
TP Steps - 1m,3m,12m,1h,5h,D (This steps i use)
Use-case:
Awesome Oscillator best used to find Divergence/Convergence what results in Weakening of Momentum and Price reversals.
This script calculates and plots AO/AC with minute precision, removing GAPS when projecting Higher Period AO/AC.
So you can accommodate all important information on one chart with best precision.
Made for Intraday Perioads.
Best used for DayTrading, when you need to make quick and efficient decisions.
Calculation = Preferred resolution * Length / Present resolution.
As Additional Function, this Awesome Oscillator has AC built in.
Settings:
Resolution - Most used TP included, plus some exclusive paid plans (1m, 2m, 3m, 5m, 12m, 15m, 1h, 4h, 5h, Daily). Default set to 1h
Use AO - You can switch between EMA and SMA for FastMA/SlowMA calculation. Default set to EMA
FastMA - standard function. Default set to 5
SlowMA - standard function. Default set to 34
Signal Line - Plots MA to show Momentum. Uses EMA/SMA based on "Use AO" selection. Default set to 5
Use AC - You can switch between EMA and SMA for AC calculation. Default set to SMA
Offset - standard function. Default set to 0
Accelerator - AC length. Default set to 5
Source - standard function. Default set to hlc3
Why to use it ?
Yes, i know that variable TP is standard now in TradingView. But there are some limitations, especially for DayTraders.
Problem:
Imagine you are trading/scalping on 1m.. 5m.. 15.. charts and you want to see where are your on Higher TP.
-- You can change to 1h and check it, but you will loose the picture from smaller TP.
-- You can use Standard TP function, but your data will update every 15m, 1h (depends on TP). And in result you have Gaps between bars.
Solution:
This script help to solve this problem, by breaking information down to 1m and building from there.
So whatever Intraday TP you choose to trade, your AO/AC will be updated with minute precision.
Limitations:
Sadly nothing without limitations.
1. For Best performance use only Higher TP dividable By Yours (ex. You use 3m chart, then you can plot 12m, 15m, 1h / You use 5m chart, then you can plot 15m, 1h. 12m will already have 3m of information lost using 5m Chart )
Kicker ScannerThe kicker pattern is deemed to be one of the most reliable reversal patterns and usually signifies a dramatic change in the fundamentals of the company in question.
It is a 2-candle pattern, whereby there is a significant gap between the body of the most recent candle and the previous candle.
A bullish kicker is one in which the most recent candle is bullish, and the previous candle is bearish.
A bearish kicker is one in which the most recent candle is bearish, and the previous candle is bullish.
I notice this works best for stocks, as there are many gaps in a stock chart. Currencies have few gaps, and thus few kickers.
From within the settings, you can set the minimum permitted gap between the two candles, specified in price, accurate to 6 decimal places; 0.000001.
Line breakI decided to help TradingView programmers and wrote code that converts a standard candles / bars to a line break chart. The built-in linebreak() and security() functions for constructing a Linear Break chart are bad, the chart is not built correctly, and does not correspond to the Line Breakout chart built into TradingView. I’m talking about simulating the Linear Break lines using the plotcandle() annotation, because these are the same candles without shadows. When you try to use the market simulator, when the gaps are turned on in the security() function, nothing is added to the chart, and when turned off, a completely different line break chart is drawn. Do not try to write strategies based on the built-in linebreak() function! The developers write in the manual: "Please note that you cannot plot Line Break boxes from Pine script exactly as they look. You can only get a series of numbers similar to OHLC values for Line Break charts and use them in your algorithms." However, it is possible to build a “Linear Breakthrough” chart exactly like the “Linear Breakthrough" chart built into TradingView. Personally, I had enough Pine Script functionality.
For a complete understanding of how such a graph is built, you can refer to Steve Nison's book “BEYOND JAPANESE CANDLES” and see the instructions for creating a “Three-Line Breakthrough” chart (the number of lines for a breakthrough is three):
Rule 1: if today's price is above the base price (closing the first candle), draw a white line from the base price to the new maximum price (before closing).
or Rule 2: if today's price is below the base price, draw a black line from the base price to the new low of prices (before closing).
Rule 3: if today's price is no different from the base, do not draw any line.
Rule 4: if today's price rises above the maximum of the first line, shift to the column to the right and draw a new white line from the previous maximum to the new maximum of prices.
Rule 5: if the price is below the low of the first line, move one column to the right and draw a new black line down from the previous low to the new low of prices.
Rule 6: if the price is kept in the range of the first line, nothing is applied to the chart.
Rule 7: if the market reaches a new maximum, surpassing the maximum of previous lines, move to the column to the right and draw a new white line up to a new maximum.
Rule 8: if today's price is below the low of previous lines (i.e. there is a new low), move to the right column and draw a new black line down to a new low.
Rule 9: if the price is in the range of the first two lines, nothing is applied to the chart.
Rule 10: if there is a series of three white lines, a new white line is drawn when a new maximum is reached (even if it is only one tick higher than the old one). Under the same conditions, for drawing a black reversal line, the price should fall below the minimum of the series of the last three white lines. Such a black line is called a black reversal line. It runs from the base of the highest white line to a new low of price.
Rule 11: if there is a series of three black lines, a new black line is drawn when a new minimum is reached. Under the same conditions, for drawing a white line, called a white reversal line, the price must exceed the maximum of the previous three black lines. This line is drawn from the top of the lowest black line to a new high of the price.
So, the script was not small, but the idea is extremely simple: if you need to break n lines to build a line, then among these n lines (or less, if this is the beginning of the chart), the maximum or minimum of closures and openings will be searched. If the current candles closed above or below these highs or lows, then a new line is added to the chart on the current candles (trend or breakout). According to my observations, this script draws a chart that is completely identical to the Line Breakout chart built into TradingView, but of course with gaps, as there is time in the candles / bar chart. I stuffed all the logic into a wrapper in the form of the get_linebreak() function, which returns a tuple of OHLC values. And these series with the help of the plotcandle() annotation can be converted to the "Linear Breakthrough" chart. I also want to note that with a large number of candles on the chart, outrages about the buffer size uncertainty are heard from the TradingView black box. Because of this, in the annotation study() set the value to the max_bars_back parameter.
In general, use it (for example, to write strategies)!
GAP DETECTORGAP DETECTOR is an indicator displaying price gaps that have never been completely filled (only gaps >= 5 pips are considered).
Each gap is defined by two lines (the lower and upper bound of the gap), and a label giving information on its price range
#Parameters:
length: the number of candles being considered in the indicator (max is 3000).
width: the width of the gap lines.
[PX] VWAP Gap LevelHello guys,
another day, another method for detecting support and resistance level. This time it's all about the VWAP and daily gaps it might produce.
How does it work?
The indicator detects when a new daily candle begins and the VWAP makes a big move in either direction. Often it produces a gap and this is where the support or resistance level will be plotted. The idea behind it is, that those gaps get filled at some point in time. You can control how big a VWAP movement ("gap") has to be with the "VWAP Movement %" -setting. Also, you can adjust the style of the level.
If you find this indicator useful, please leave a "like" and hit that "follow" button :)
Have fun and happy trading :)))
Volume Profile Free Ultra SLI (100 Levels Value Area VWAP) - RRBVolume Profile Free Ultra SLI by RagingRocketBull 2019
Version 1.0
This indicator calculates Volume Profile for a given range and shows it as a histogram consisting of 100 horizontal bars.
This is basically the MAX SLI version with +50 more Pinescript v4 line objects added as levels.
It can also show Point of Control (POC), Developing POC, Value Area/VWAP StdDev High/Low as dynamically moving levels.
Free accounts can't access Standard TradingView Volume Profile, hence this indicator.
There are several versions: Free Pro, Free MAX SLI, Free Ultra SLI, Free History. This is the Free Ultra SLI version. The Differences are listed below:
- Free Pro: 25 levels, +Developing POC, Value Area/VWAP High/Low Levels, Above/Below Area Dimming
- Free MAX SLI: 50 levels, 2x SLI modes for Buy/Sell or even higher res 150 levels
- Free Ultra SLI: 100 levels, packed to the limit, 2x SLI modes for Buy/Sell or even higher res 300 levels
- Free History: auto highest/lowest, historic poc/va levels for each session
Features:
- High-Res Volume Profile with up to 100 levels (line implementation)
- 2x SLI modes for even higher res: 300 levels with 3x vertical SLI, 100 buy/sell levels with 2x horiz SLI
- Calculate Volume Profile on full history
- POC, Developing POC Levels
- Buy/Sell/Total volume modes
- Side Cover
- Value Area, VAH/VAL dynamic levels
- VWAP High/Low dynamic levels with Source, Length, StdDev as params
- Show/Hide all levels
- Dim Non Value Area Zones
- Custom Range with Highlighting
- 3 Anchor points for Volume Profile
- Flip Levels Horizontally
- Adjustable width, offset and spacing of levels
- Custom Color for POC/VA/VWAP levels, Transparency for buy/sell levels
WARNING:
- Compilation Time: 1 min 20 sec
Usage:
- specify max_level/min_level/spacing (required)
- select range (start_bar, range length), confirm with range highlighting
- select volume type: Buy/Sell/Total
- select mode Value Area/VWAP to show corresponding levels
- flip/select anchor point to position the buy/sell levels
- use Horiz Buy/Sell SLI mode with 100 or Vertical SLI with 300 levels if needed
- use POC/Developing POC/VA/VWAP High/Low as S/R levels. Usually daily values from 1-3 days back are used as levels for the current day.
SLI:
use SLI modes to extend the functionality of the indicator:
- Horiz Buy/Sell 2x SLI lets you view 100 Buy/Sell Levels at the same time
- Vertical Max_Vol 3x SLI lets you increase the resolution to 300 levels
- you need at least 2 instances of the indicator attached to the same chart for SLI to work
1) Enable Horiz SLI:
- attach 2 indicator instances to the chart
- make sure all instances have the same min_level/max_level/range/spacing settings
- select volume type for each instance: you can have a buy/sell or buy/total or sell/total SLI. Make sure your buy volume instance is the last attached to be displayed on top of sell/total instances without overlapping.
- set buy_sell_sli_mode to true for indicator instances with volume_type = buy/sell, for type total this is optional.
- this basically tells the script to calculate % lengths based on total volume instead of individual buy/sell volumes and use ext offset for sell levels
- Sell Offset is calculated relative to Buy Offset to stack/extend sell after buy. Buy Offset = Zero - Buy Length. Sell Offset = Buy Offset - Sell Length = Zero - Buy Length - Sell Length
- there are no master/slave instances in this mode, all indicators are equal, poc/va levels are not affected and can work independently, i.e. one instance can show va levels, another - vwap.
2) Enable Vertical SLI:
- attach the first instance and evaluate the full range to roughly determine where is the highest max_vol/poc level i.e. 0..20000, poc is in the bottom half (third, middle etc) or
- add more instances and split the full vertical range between them, i.e. set min_level/max_level of each corresponding instance to 0..10000, 10000..20000 etc
- make sure all instances have the same range/spacing settings
- an instance with a subrange containing the poc level of the full range is now your master instance (bottom half). All other instances are slaves, their levels will be calculated based on the max_vol/poc of the master instance instead of local values
- set show_max_vol_sli to true for the master instance. for slave instances this is optional and can be used to check if master/slave max_vol values match and slave can read the master's value. This simply plots the max_vol value
- you can also attach all instances and set show_max_vol_sli to true in all of them - the instance with the largest max_vol should become the master
Auto/Manual Ext Max_Vol Modes:
- for auto vertical max_vol SLI mode set max_vol_sli_src in all slave instances to the max_vol of the master indicator: "VolumeProfileFree_MAX_RRB: Max Volume for Vertical SLI Mode". It can be tricky with 2+ instances
- in case auto SLI mode doesn't work - assign max_vol_sli_ext in all slave instances the max_vol value of the master indicator manually and repeat on each change
- manual override max_vol_sli_ext has higher priority than auto max_vol_sli_src when both values are assigned, when they are 0 and close respectively - SLI is disabled
- master/slave max_vol values must match on each bar at all times to maintain proper level scale, otherwise slave's levels will look larger than they should relative to the master's levels.
- Max_vol (red) is the last param in the long list of indicator outputs
- the only true max_vol/poc in this SLI mode is the master's max_vol/poc. All poc/va levels in slaves will be irrelevant and are disabled automatically. Slaves can only show VWAP levels.
- VA Levels of the master instance in this SLI mode are calculated based on the subrange, not the whole range and may be inaccurate. Cross check with the full range.
WARNING!
- auto mode max_vol_sli_src is experimental and may not work as expected
- you can only assign auto mode max_vol_sli_src = max_vol once due to some bug with unhandled exception/buffer overflow in Tradingview. Seems that you can clear the value only by removing the indicator instance
- sometimes you may see a "study in error state" error when attempting to set it back to close. Remove indicator/Reload chart and start from scratch
- volume profile may not finish to redraw and freeze in an ugly shape after an UI parameter change when max_vol_sli_src is assigned a max_vol value. Assign it to close - VP should redraw properly, but it may not clear the assigned max_vol value
- you can't seem to be able to assign a proper auto max_vol value to the 3rd slave instance
- 2x Vertical SLI works and tested in both auto/manual, 3x SLI - only manual seems to work (you can have a mixed mode: 2nd instance - auto, 3rd - manual)
Notes:
- This code uses Pinescript v3 compatibility framework
- This code is 20x-30x faster (main for cycle is removed) especially on lower tfs with long history - only 4-5 sec load/redraw time vs 30-60 sec of the old Pro versions
- Instead of repeatedly calculating the total sum of volumes for the whole range on each bar, vol sums are now increased on each bar and passed to the next in the range making it a per range vs per bar calculation that reduces time dramatically
- 100 levels consist of 50 main plot levels and 50 line objects used as alternate levels, differences are:
- line objects are always shown on top of other objects, such as plot levels, zero line and side cover, it's not possible to cover/move them below.
- all line objects have variable lengths, use actual x,y coords and don't need side cover, while all plot levels have a fixed length of 100 bars, use offset and require cover.
- all key properties of line objects, such as x,y coords, color can be modified, objects can be moved/deleted, while this is not possible for static plot levels.
- large width values cause line objects to expand only up/down from center while their length remains the same and stays within the level's start/end points similar to an area style.
- large width values make plot levels expand in all directions (both h/v), beyond level start/end points, sometimes overlapping zero line, making them an inaccurate % length representation, as opposed to line objects/plot levels with area style.
- large width values translate into different widths on screen for line objects and plot levels.
- you can't compensate for this unwanted horiz width expansion of plot levels because width uses its own units, that don't translate into bars/pixels.
- line objects are visible only when num_levels > 50, plot levels are used otherwise
- Since line objects are lines, plot levels also use style line because other style implementations will break the symmetry/spacing between levels.
- if you don't see a volume profile check range settings: min_level/max_level and spacing, set spacing to 0 (or adjust accordingly based on the symbol's precision, i.e. 0.00001)
- you can view either of Buy/Sell/Total volumes, but you can't display Buy/Sell levels at the same time using a single instance (this would 2x reduce the number of levels). Use 2 indicator instances in horiz buy/sell sli mode for that.
- Volume Profile/Value Area are calculated for a given range and updated on each bar. Each level has a fixed length. Offsets control visible level parts. Side Cover hides the invisible parts.
- Custom Color for POC/VA/VWAP levels - UI Style color/transparency can only change shape's color and doesn't affect textcolor, hence this additional option
- Custom Width - UI Style supports only width <= 4, hence this additional option
- POC is visible in both modes. In VWAP mode Developing POC becomes VWAP, VA High and Low => VWAP High and Low correspondingly to minimize the number of plot outputs
- You can't change buy/sell level colors from input (only transparency) - this requires 2x plot outputs => 2x reduces the number of levels to fit the max 64 limit. That's why 2 additional plots are used to dim the non Value Area zones
- You can change level transparency of line objects. Due to Pinescript limitations, only discrete values are supported.
- Inverse transp correlation creates the necessary illusion of "covered" line objects, although they are shown on top of the cover all the time
- If custom lines_transp is set the illusion will break because transp range can't be skewed easily (i.e. transp 0..100 is always mapped to 100..0 and can't be mapped to 50..0)
- transparency can applied to lines dynamically but nva top zone can't be completely removed because plot/mixed type of levels are still used when num_levels < 50 and require cover
- transparency can't be applied to plot levels dynamically from script this can be done only once from UI, and you can't change plot color for the past length bars
- All buy/sell volume lengths are calculated as % of a fixed base width = 100 bars (100%). You can't set show_last from input to change it
- Range selection/Anchoring is not accurate on charts with time gaps since you can only anchor from a point in the future and measure distance in time periods, not actual bars, and there's no way of knowing the number of future gaps in advance.
- Adjust Width for Log Scale mode now also works on high precision charts with small prices (i.e. 0.00001)
- in Adjust Width for Log Scale mode Level1 width extremes can be capped using max deviation (when level1 = 0, shift = 0 width becomes infinite)
- There's no such thing as buy/sell volume, there's just volume, but for the purposes of the Volume Profile method, assume: bull candle = buy volume, bear candle = sell volume
P.S. I am your grandfather, Luke! Now, join the Dark Side in your father's steps or be destroyed! Once more the Sith will rule the Galaxy, and we shall have peace...
