This indicator is standard deviation bands using a live analysis adaptation of Richard Arms' Volume Adjusted Moving Average as their basis. VAMA utilizes a period length that is based on volume increments rather than time.
• SampleN - N volume bars used as sample to calculate average volume , 0 equals all bars.
• VAMA Source - Price used for volume weighted calculations.
• VAMA Length - Specified number of volume ratio buckets to be reached.
• VAMA VI Fct - Size of volume ratio buckets.
• VAMA Strict - Must meet desired volume requirements, even if number of bars has to exceed VAMA Length to do it.
• STDV Factor - Standard Deviation multiplier.
• STDV Length - Standard Deviation period.
• Brightness - Color opaqueness for the band fills.
Please see previous published example here for more details on VAMA's usage and inability to redraw the past on time based charts.
NOTICE: This is an example script and not meant to be used as an actual strategy. By using this script or any portion thereof, you acknowledge that you have read and understood that this is for research purposes only and I am not responsible for any financial losses you may incur by using this script!
เอกสารเผยแพร่
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Updated for Pine Script v5.
เอกสารเผยแพร่
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Revision 1
Added inline settings for choosing band colors and opacity.
@dwallen, thanks for your interest and inquiry. Prior to Pine v5 the color choices could be made in Settings:Style tab, so they were not originally needed in Settings:Inputs tab. When I recently updated the script for Pine v5 this functionality was lost and it was an oversight on my part not to add them to Settings:Inputs tab. Appreciate you bringing this to my attention. I just published an update to restore this ability.
Yelian
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Interesting script. What sample size do you recommend for more robust statistical significance?
allanster
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@Yelian, as a rule I never give trading advice. In the script I set the defaults for VAMA to settings that the originator discussed publicly, but since this is a hybrid indicator there is no authoritative source to reference for optimal settings when utilizing VAMA as the average for Bollinger Bands. Both John Bollinger and Richard Arms seem to generally prefer using higher timeframes.
Yelian
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@allanster, Hello and thank you for getting back to me! I wasn't seeking trading advice I was just wondering if there was an empirically tested and verifiable sample size. Something along the lines of 'well we back tested n=300 n=200 n=100 and n=60 and n=60 was statistically superior in our sampling methodology' and I could then take that number for what it is (a statistical anomaly) and treat it accordingly. I was seeking a number and not an actionable strategy, my apologies if I did not make myself clear. Thanks again you for your reply and happy new year! :)
allanster
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@Yelian, I paired the combination simply out of curiosity of seeing how they would behave together and thought the results looked interesting enough to warrant publishing, but unfortunately I have not as of yet found the time to do any sort of walk forward analysis or optimization. Hope you have a Happy New Year as well!
ForexMonkey1
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The divergence on this is very great, a low vol moves out of the band and I smell opportunity.
allanster
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@ForexMonkey1, interesting, thanks for sharing your observation!
Thanks a lot for this!