Enhanced Economic Composite with Dynamic WeightEnhanced Economic Composite with Dynamic Weight
Overview of the Indicator :
The "Enhanced Economic Composite with Dynamic Weight" is a comprehensive tool that combines multiple economic indicators, technical signals, and dynamic weighting to provide insights into market and economic health. It adjusts based on current volatility and recession risk, offering a detailed view of market conditions.
What This Indicator Does :
Tracks Economic Health: Uses key economic and market indicators to assess overall market conditions.
Dynamic Weighting: Adjusts the importance of components like stock indices, gold, and bonds based on volatility (VIX) and yield curve inversion.
Technical Signals: Identifies market momentum shifts through key crossovers like the Golden Cross, Death Cross, Silver Cross, and Hospice Cross.
Recession Shading: Marks known recessions for historical context.
Economic Factors Considered :
TIP (Treasury Inflation-Protected Securities): Reflects inflation expectations.
Gold: A safe-haven asset, increases in weight during volatility or rising momentum.
US Dollar Index (DXY): Measures USD strength, fixed weight of 10%, smoothed with EMA.
Commodities (DBC): Indicates global demand; weight increases with momentum or volatility.
Volatility Index (VIX): Reflects market risk, inversely related to market confidence.
Stock Indices (S&P 500, DJIA, NASDAQ, Russell 2000): Represent market performance, with weights reduced during high volatility or negative yield spread.
Yield Spread (10Y - 2Y Treasuries): Predicts recessions; negative spread reduces stock weighting.
Credit Spread (HYG - TLT): Indicates market risk through corporate vs. government bond yields.
How and Why Factors are Weighted:
Stock Indices get more weight in stable markets (low VIX, positive yield spread), while safe-haven assets like gold and bonds gain weight in volatile markets or during yield curve inversions. This dynamic adjustment ensures the composite reflects current market sentiment.
Technical Signals:
Golden Cross: 50 EMA crossing above 200 SMA, signaling bullish momentum.
Death Cross: 50 EMA below 200 SMA, indicating bearish momentum.
Silver Cross: 21 EMA crossing above 50 EMA, plotted only if below the 200-day SMA, signaling potential upside in downtrend conditions.
Hospice Cross: 50 EMA crosses below 21 EMA, plotted only if 21 EMA is below 200 SMA, a leading bearish signal.
Recession Shading:
Recession periods like the Great Recession, Early 2000s Recession, and COVID-19 Recession are shaded to provide historical context.
Benefits of Using This Indicator:
Comprehensive Analysis: Combines economic fundamentals and technical analysis for a full market view.
Dynamic Risk Adjustment: Weights shift between growth and safe-haven assets based on volatility and recession risk.
Early Signals: The Silver Cross and Hospice Cross provide early warnings of potential market shifts.
Recession Forecasting: Helps predict downturns through the yield curve and recession indicators.
Who Can Benefit:
Traders: Identify market momentum shifts early through crossovers.
Long-term Investors: Use recession warnings and dynamic adjustments to protect portfolios.
Analysts: A holistic tool for analyzing both economic trends and market movements.
This indicator helps users navigate varying market conditions by dynamically adjusting based on economic factors and providing early technical signals for market momentum shifts.
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Nifty Dashboard//@version=5
//Author @GODvMarkets
indicator("GOD NSE Nifty Dashboard", "Nifty Dashboard")
i_timeframe = input.timeframe("D", "Timeframe")
// if not timeframe.isdaily
// runtime.error("Please switch timeframe to Daily")
i_text_size = input.string(size.auto, "Text Size", )
//-----------------------Functions-----------------------------------------------------
f_oi_buildup(price_chg_, oi_chg_) =>
switch
price_chg_ > 0 and oi_chg_ > 0 =>
price_chg_ > 0 and oi_chg_ < 0 =>
price_chg_ < 0 and oi_chg_ > 0 =>
price_chg_ < 0 and oi_chg_ < 0 =>
=>
f_color(val_) => val_ > 0 ? color.green : val_ < 0 ? color.red : color.gray
f_bg_color(val_) => val_ > 0 ? color.new(color.green,80) : val_ < 0 ? color.new(color.red,80) : color.new(color.black,80)
f_bg_color_price(val_) =>
fg_color_ = f_color(val_)
abs_val_ = math.abs(val_)
transp_ = switch
abs_val_ > .03 => 40
abs_val_ > .02 => 50
abs_val_ > .01 => 60
=> 80
color.new(fg_color_, transp_)
f_bg_color_oi(val_) =>
fg_color_ = f_color(val_)
abs_val_ = math.abs(val_)
transp_ = switch
abs_val_ > .10 => 40
abs_val_ > .05 => 50
abs_val_ > .025 => 60
=> 80
color.new(fg_color_, transp_)
f_day_of_week(time_=time) =>
switch dayofweek(time_)
1 => "Sun"
2 => "Mon"
3 => "Tue"
4 => "Wed"
5 => "Thu"
6 => "Fri"
7 => "Sat"
//-------------------------------------------------------------------------------------
var table table_ = table.new(position.middle_center, 22, 20, border_width = 1)
var cols_ = 0
var text_color_ = color.white
var bg_color_ = color.rgb(1, 5, 19)
f_symbol(idx_, symbol_) =>
symbol_nse_ = "NSE" + ":" + symbol_
fut_cur_ = "NSE" + ":" + symbol_ + "1!"
fut_next_ = "NSE" + ":" + symbol_ + "2!"
= request.security(symbol_nse_, i_timeframe, [close, close-close , close/close -1, volume], ignore_invalid_symbol = true, lookahead = barmerge.lookahead_on)
= request.security(fut_cur_, i_timeframe, , ignore_invalid_symbol = true, lookahead = barmerge.lookahead_on)
= request.security(fut_next_, i_timeframe, , ignore_invalid_symbol = true, lookahead = barmerge.lookahead_on)
= request.security(fut_cur_ + "_OI", i_timeframe, [close, close-close ], ignore_invalid_symbol = true, lookahead = barmerge.lookahead_on)
= request.security(fut_next_ + "_OI", i_timeframe, [close, close-close ], ignore_invalid_symbol = true, lookahead = barmerge.lookahead_on)
stk_vol_ = stk_vol_nse_
fut_vol_ = fut_cur_vol_ + fut_next_vol_
fut_oi_ = fut_cur_oi_ + fut_next_oi_
fut_oi_chg_ = fut_cur_oi_chg_ + fut_next_oi_chg_
fut_oi_chg_pct_ = fut_oi_chg_ / fut_oi_
fut_stk_vol_x_ = fut_vol_ / stk_vol_
fut_vol_oi_action_ = fut_vol_ / math.abs(fut_oi_chg_)
= f_oi_buildup(chg_pct_, fut_oi_chg_pct_)
close_color_ = fut_cur_close_ > fut_vwap_ ? color.green : fut_cur_close_ < fut_vwap_ ? color.red : text_color_
if barstate.isfirst
row_ = 0, col_ = 0
table.cell(table_, col_, row_, "Symbol", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "Close", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "VWAP", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "Pts", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "Stk Vol", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "Fut Vol", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "Fut/Stk Vol", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "OI Cur", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "OI Next", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "OI Cur Chg", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "OI Next Chg", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "COI ", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "COI Chg", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "Vol/OI Chg", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "COI Chg%", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "Pr.Chg%", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
table.cell(table_, col_, row_, "OI Buildup", text_color = text_color_, bgcolor = bg_color_, text_size = i_text_size), col_ += 1
cell_color_ = color.white
cell_bg_color_ = color.rgb(1, 7, 24)
if barstate.islast
row_ = idx_, col_ = 0
table.cell(table_, col_, row_, str.format("{0}", symbol_), text_color = f_color(chg_pct_), bgcolor = f_bg_color_price(chg_pct_), text_size = i_text_size, text_halign = text.align_left), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,#.00}", fut_cur_close_), text_color = close_color_, bgcolor = cell_bg_color_, text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,#.00}", fut_vwap_), text_color = cell_color_, bgcolor = cell_bg_color_, text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,0.00}", chg_pts_), text_color = cell_color_, bgcolor = cell_bg_color_, text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,#,###}", stk_vol_), text_color = cell_color_, bgcolor = cell_bg_color_, text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,#,###}", fut_vol_), text_color = cell_color_, bgcolor = cell_bg_color_, text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,0.00}", fut_stk_vol_x_), text_color = cell_color_, bgcolor = cell_bg_color_, text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,#,###}", fut_cur_oi_), text_color = cell_color_, bgcolor = cell_bg_color_, text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,#,###}", fut_next_oi_), text_color = cell_color_, bgcolor = cell_bg_color_, text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,#,###}", fut_cur_oi_chg_), text_color = f_color(fut_cur_oi_chg_), bgcolor = f_bg_color(fut_cur_oi_chg_), text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,#,###}", fut_next_oi_chg_), text_color = f_color(fut_next_oi_chg_), bgcolor = f_bg_color(fut_next_oi_chg_), text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,#,###}", fut_oi_), text_color = cell_color_, bgcolor = cell_bg_color_, text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,#,###}", fut_oi_chg_), text_color = f_color(fut_oi_chg_), bgcolor = f_bg_color(fut_oi_chg_), text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,0.00}", fut_vol_oi_action_), text_color = cell_color_, bgcolor = cell_bg_color_, text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,0.00%}", fut_oi_chg_pct_), text_color = f_color(fut_oi_chg_pct_), bgcolor = f_bg_color_oi(fut_oi_chg_pct_), text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0,number,0.00%}", chg_pct_), text_color = f_color(chg_pct_), bgcolor = f_bg_color_price(chg_pct_), text_size = i_text_size, text_halign = text.align_right), col_ += 1
table.cell(table_, col_, row_, str.format("{0}", oi_buildup_), text_color = oi_buildup_color_, bgcolor = color.new(oi_buildup_color_,80), text_size = i_text_size, text_halign = text.align_left), col_ += 1
idx_ = 1
f_symbol(idx_, "BANKNIFTY"), idx_ += 1
f_symbol(idx_, "NIFTY"), idx_ += 1
f_symbol(idx_, "CNXFINANCE"), idx_ += 1
f_symbol(idx_, "RELIANCE"), idx_ += 1
f_symbol(idx_, "HDFC"), idx_ += 1
f_symbol(idx_, "ITC"), idx_ += 1
f_symbol(idx_, "HINDUNILVR"), idx_ += 1
f_symbol(idx_, "INFY"), idx_ += 1
Interest Rate Trading (Manually Added Rate Decisions) [TANHEF]Interest Rate Trading: How Interest Rates Can Guide Your Next Move.
How were interest rate decisions added?
All interest rate decision dates were manually retrieved from the 'Record of Policy Actions' and 'Minutes of Actions' on the Federal Reserve's website due to inconsistent dates from other sources. These were manually added as Pine Script currently only identifies rate changes, not pauses.
█ Simple Explanation:
This script is designed for analyzing and backtesting trading strategies based on U.S. interest rate decisions which occur during Federal Open Market Committee (FOMC) meetings, to make trading decisions. No trading strategy is perfect, and it's important to understand that expectations won't always play out. The script leverages historical interest rate changes, including increases, decreases, and pauses, across multiple economic time periods from 1971 to the present. The tool integrates two key data sources for interest rates—USINTR and FEDFUNDS—to support decision-making around rate-based trades. The focus is on identifying opportunities and tracking trades driven by interest rate movements.
█ Interest Rate Decision Sources:
As noted above, each decision date has been manually added from the 'Record of Policy Actions' and 'Minutes of Actions' documents on the Federal Reserve's website. This includes +50 years of more than 600 rate decisions.
█ Interest Rate Data Sources:
USINTR: Reflects broader U.S. interest rate trends, including Treasury yields and various benchmarks. This is the preferred option as it corresponds well to the rate decision dates.
FEDFUNDS: Tracks the Federal Funds Rate, which is a more specific rate targeted by the Federal Reserve. This does not change on the exact same days as the rate decisions that occur at FOMC meetings.
█ Trade Criteria:
A variety of trading conditions are predefined to suit different trading strategies. These conditions include:
Increase/Decrease: Standard rate increases or decreases.
Double/Triple Increase/Decrease: A series of consecutive changes.
Aggressive Increase/Decrease: Rate changes that exceed recent movements.
Pause: Identification of no changes (pauses) between rate decisions, including double or triple pauses.
Complex Patterns: Combinations of pauses, increases, or decreases, such as "Pause after Increase" or "Pause or Increase."
█ Trade Execution and Exit:
The script allows automated trade execution based on selected criteria:
Auto-Entry: Option to enter trades automatically at the first valid period.
Max Trade Duration: Optional exit of trades after a specified number of bars (candles).
Pause Days: Minimum duration (in days) to validate rate pauses as entry conditions. This is especially useful for earlier periods (prior to the 2000s), where rate decisions often seemed random compared to the consistency we see today.
█ Visualization:
Several visual elements enhance the backtesting experience:
Time Period Highlighting: Economic time periods are visually segmented on the chart, each with a unique color. These periods include historical phases such as "Stagflation (1971-1982)" and "Post-Pandemic Recovery (2021-Present)".
Trade and Holding Results: Displays the profit and loss of trades and holding results directly on the chart.
Interest Rate Plot: Plots the interest rate movements on the chart, allowing for real-time tracking of rate changes.
Trade Status: Highlights active long or short positions on the chart.
█ Statistics and Criteria Display:
Stats Table: Summarizes trade results, including wins, losses, and draw percentages for both long and short trades.
Criteria Table: Lists the selected entry and exit criteria for both long and short positions.
█ Economic Time Periods:
The script organizes interest rate decisions into well-defined economic periods, allowing traders to backtest strategies specific to historical contexts like:
(1971-1982) Stagflation
(1983-1990) Reaganomics and Deregulation
(1991-1994) Early 1990s (Recession and Recovery)
(1995-2001) Dot-Com Bubble
(2001-2006) Housing Boom
(2007-2009) Global Financial Crisis
(2009-2015) Great Recession Recovery
(2015-2019) Normalization Period
(2019-2021) COVID-19 Pandemic
(2021-Present) Post-Pandemic Recovery
█ User-Configurable Inputs:
Rate Source Selection: Choose between USINTR or FEDFUNDS as the primary interest rate source.
Trade Criteria Customization: Users can select the criteria for long and short trades, specifying when to enter or exit based on changes in the interest rate.
Time Period: Select the time period that you want to isolate testing a strategy with.
Auto-Entry and Pause Settings: Options to automatically enter trades and specify the number of days to confirm a rate pause.
Max Trade Duration: Limits how long trades can remain open, defined by the number of bars.
█ Trade Logic:
The script manages entries and exits for both long and short trades. It calculates the profit or loss percentage based on the entry and exit prices. The script tracks ongoing trades, dynamically updating the profit or loss as price changes.
█ Examples:
One of the most popular opinions is that when rate starts begin you should sell, then buy back in when rate cuts stop dropping. However, this can be easily proven to be a difficult task. Predicting the end of a rate cut is very difficult to do with the the exception that assumes rates will not fall below 0.25%.
2001-2009
Trade Result: +29.85%
Holding Result: -27.74%
1971-2024
Trade Result: +533%
Holding Result: +5901%
█ Backtest and Real-Time Use:
This backtester is useful for historical analysis and real-time trading. By setting up various entry and exit rules tied to interest rate movements, traders can test and refine strategies based on real historical data and rate decision trends.
This powerful tool allows traders to customize strategies, backtest them through different economic periods, and get visual feedback on their trading performance, helping to make more informed decisions based on interest rate dynamics. The main goal of this indicator is to challenge the belief that future events must mirror the 2001 and 2007 rate cuts. If everyone expects something to happen, it usually doesn’t.
Bitcoin Power Law Oscillator [InvestorUnknown]The Bitcoin Power Law Oscillator is a specialized tool designed for long-term mean-reversion analysis of Bitcoin's price relative to a theoretical midline derived from the Bitcoin Power Law model (made by capriole_charles). This oscillator helps investors identify whether Bitcoin is currently overbought, oversold, or near its fair value according to this mathematical model.
Key Features:
Power Law Model Integration: The oscillator is based on the midline of the Bitcoin Power Law, which is calculated using regression coefficients (A and B) applied to the logarithm of the number of days since Bitcoin’s inception. This midline represents a theoretical fair value for Bitcoin over time.
Midline Distance Calculation: The distance between Bitcoin’s current price and the Power Law midline is computed as a percentage, indicating how far above or below the price is from this theoretical value.
float a = input.float (-16.98212206, 'Regression Coef. A', group = "Power Law Settings")
float b = input.float (5.83430649, 'Regression Coef. B', group = "Power Law Settings")
normalization_start_date = timestamp(2011,1,1)
calculation_start_date = time == timestamp(2010, 7, 19, 0, 0) // First BLX Bitcoin Date
int days_since = request.security('BNC:BLX', 'D', ta.barssince(calculation_start_date))
bar() =>
= request.security('BNC:BLX', 'D', bar())
int offset = 564 // days between 2009/1/1 and "calculation_start_date"
int days = days_since + offset
float e = a + b * math.log10(days)
float y = math.pow(10, e)
float midline_distance = math.round((y / btc_close - 1.0) * 100)
Oscillator Normalization: The raw distance is converted into a normalized oscillator, which fluctuates between -1 and 1. This normalization adjusts the oscillator to account for historical extremes, making it easier to compare current conditions with past market behavior.
float oscillator = -midline_distance
var float min = na
var float max = na
if (oscillator > max or na(max)) and time >= normalization_start_date
max := oscillator
if (min > oscillator or na(min)) and time >= normalization_start_date
min := oscillator
rescale(float value, float min, float max) =>
(2 * (value - min) / (max - min)) - 1
normalized_oscillator = rescale(oscillator, min, max)
Overbought/Oversold Identification: The oscillator provides a clear visual representation, where values near 1 suggest Bitcoin is overbought, and values near -1 indicate it is oversold. This can help identify potential reversal points or areas of significant market imbalance.
Optional Moving Average: Users can overlay a moving average (either SMA or EMA) on the oscillator to smooth out short-term fluctuations and focus on longer-term trends. This is particularly useful for confirming trend reversals or persistent overbought/oversold conditions.
This indicator is particularly useful for long-term Bitcoin investors who wish to gauge the market's mean-reversion tendencies based on a well-established theoretical model. By focusing on the Power Law’s midline, users can gain insights into whether Bitcoin’s current price deviates significantly from what historical trends would suggest as a fair value.
Multi-Step FlexiSuperTrend - Strategy [presentTrading]At the heart of this endeavor is a passion for continuous improvement in the art of trading
█ Introduction and How it is Different
The "Multi-Step FlexiSuperTrend - Strategy " is an advanced trading strategy that integrates the well-known SuperTrend indicator with a nuanced and dynamic approach to market trend analysis. Unlike conventional SuperTrend strategies that rely on static thresholds and fixed parameters, this strategy introduces multi-step take profit mechanisms that allow traders to capitalize on varying market conditions in a more controlled and systematic manner.
What sets this strategy apart is its ability to dynamically adjust to market volatility through the use of an incremental factor applied to the SuperTrend calculation. This adjustment ensures that the strategy remains responsive to both minor and major market shifts, providing a more accurate signal for entries and exits. Additionally, the integration of multi-step take profit levels offers traders the flexibility to scale out of positions, locking in profits progressively as the market moves in their favor.
BTC 6hr Long/Short Performance
█ Strategy, How it Works: Detailed Explanation
The Multi-Step FlexiSuperTrend strategy operates on the foundation of the SuperTrend indicator, but with several enhancements that make it more adaptable to varying market conditions. The key components of this strategy include the SuperTrend Polyfactor Oscillator, a dynamic normalization process, and multi-step take profit levels.
🔶 SuperTrend Polyfactor Oscillator
The SuperTrend Polyfactor Oscillator is the heart of this strategy. It is calculated by applying a series of SuperTrend calculations with varying factors, starting from a defined "Starting Factor" and incrementing by a specified "Increment Factor." The indicator length and the chosen price source (e.g., HLC3, HL2) are inputs to the oscillator.
The SuperTrend formula typically calculates an upper and lower band based on the average true range (ATR) and a multiplier (the factor). These bands determine the trend direction. In the FlexiSuperTrend strategy, the oscillator is enhanced by iteratively applying the SuperTrend calculation across different factors. The iterative process allows the strategy to capture both minor and significant trend changes.
For each iteration (indexed by `i`), the following calculations are performed:
1. ATR Calculation: The Average True Range (ATR) is calculated over the specified `indicatorLength`:
ATR_i = ATR(indicatorLength)
2. Upper and Lower Bands Calculation: The upper and lower bands are calculated using the ATR and the current factor:
Upper Band_i = hl2 + (ATR_i * Factor_i)
Lower Band_i = hl2 - (ATR_i * Factor_i)
Here, `Factor_i` starts from `startingFactor` and is incremented by `incrementFactor` in each iteration.
3. Trend Determination: The trend is determined by comparing the indicator source with the upper and lower bands:
Trend_i = 1 (uptrend) if IndicatorSource > Upper Band_i
Trend_i = 0 (downtrend) if IndicatorSource < Lower Band_i
Otherwise, the trend remains unchanged from the previous value.
4. Output Calculation: The output of each iteration is determined based on the trend:
Output_i = Lower Band_i if Trend_i = 1
Output_i = Upper Band_i if Trend_i = 0
This process is repeated for each iteration (from 0 to 19), creating a series of outputs that reflect different levels of trend sensitivity.
Local
🔶 Normalization Process
To make the oscillator values comparable across different market conditions, the deviations between the indicator source and the SuperTrend outputs are normalized. The normalization method can be one of the following:
1. Max-Min Normalization: The deviations are normalized based on the range of the deviations:
Normalized Value_i = (Deviation_i - Min Deviation) / (Max Deviation - Min Deviation)
2. Absolute Sum Normalization: The deviations are normalized based on the sum of absolute deviations:
Normalized Value_i = Deviation_i / Sum of Absolute Deviations
This normalization ensures that the oscillator values are within a consistent range, facilitating more reliable trend analysis.
For more details:
🔶 Multi-Step Take Profit Mechanism
One of the unique features of this strategy is the multi-step take profit mechanism. This allows traders to lock in profits at multiple levels as the market moves in their favor. The strategy uses three take profit levels, each defined as a percentage increase (for long trades) or decrease (for short trades) from the entry price.
1. First Take Profit Level: Calculated as a percentage increase/decrease from the entry price:
TP_Level1 = Entry Price * (1 + tp_level1 / 100) for long trades
TP_Level1 = Entry Price * (1 - tp_level1 / 100) for short trades
The strategy exits a portion of the position (defined by `tp_percent1`) when this level is reached.
2. Second Take Profit Level: Similar to the first level, but with a higher percentage:
TP_Level2 = Entry Price * (1 + tp_level2 / 100) for long trades
TP_Level2 = Entry Price * (1 - tp_level2 / 100) for short trades
The strategy exits another portion of the position (`tp_percent2`) at this level.
3. Third Take Profit Level: The final take profit level:
TP_Level3 = Entry Price * (1 + tp_level3 / 100) for long trades
TP_Level3 = Entry Price * (1 - tp_level3 / 100) for short trades
The remaining portion of the position (`tp_percent3`) is exited at this level.
This multi-step approach provides a balance between securing profits and allowing the remaining position to benefit from continued favorable market movement.
█ Trade Direction
The strategy allows traders to specify the trade direction through the `tradeDirection` input. The options are:
1. Both: The strategy will take both long and short positions based on the entry signals.
2. Long: The strategy will only take long positions.
3. Short: The strategy will only take short positions.
This flexibility enables traders to tailor the strategy to their market outlook or current trend analysis.
█ Usage
To use the Multi-Step FlexiSuperTrend strategy, traders need to set the input parameters according to their trading style and market conditions. The strategy is designed for versatility, allowing for various market environments, including trending and ranging markets.
Traders can also adjust the multi-step take profit levels and percentages to match their risk management and profit-taking preferences. For example, in highly volatile markets, traders might set wider take profit levels with smaller percentages at each level to capture larger price movements.
The normalization method and the incremental factor can be fine-tuned to adjust the sensitivity of the SuperTrend Polyfactor Oscillator, making the strategy more responsive to minor market shifts or more focused on significant trends.
█ Default Settings
The default settings of the strategy are carefully chosen to provide a balanced approach between risk management and profit potential. Here is a breakdown of the default settings and their effects on performance:
1. Indicator Length (10): This parameter controls the lookback period for the ATR calculation. A shorter length makes the strategy more sensitive to recent price movements, potentially generating more signals. A longer length smooths out the ATR, reducing sensitivity but filtering out noise.
2. Starting Factor (0.618): This is the initial multiplier used in the SuperTrend calculation. A lower starting factor makes the SuperTrend bands closer to the price, generating more frequent trend changes. A higher starting factor places the bands further away, filtering out minor fluctuations.
3. Increment Factor (0.382): This parameter controls how much the factor increases with each iteration of the SuperTrend calculation. A smaller increment factor results in more gradual changes in sensitivity, while a larger increment factor creates a wider range of sensitivity across the iterations.
4. Normalization Method (None): The default is no normalization, meaning the raw deviations are used. Normalization methods like Max-Min or Absolute Sum can make the deviations more consistent across different market conditions, improving the reliability of the oscillator.
5. Take Profit Levels (2%, 8%, 18%): These levels define the thresholds for exiting portions of the position. Lower levels (e.g., 2%) capture smaller profits quickly, while higher levels (e.g., 18%) allow positions to run longer for more significant gains.
6. Take Profit Percentages (30%, 20%, 15%): These percentages determine how much of the position is exited at each take profit level. A higher percentage at the first level locks in more profit early, reducing exposure to market reversals. Lower percentages at higher levels allow for a portion of the position to benefit from extended trends.
KillZones + ACD Fisher [TradingFinder] Sessions + Reversal Level🔵 Introduction
🟣 ACD Method
"The Logical Trader" opens with a thorough exploration of the ACD Methodology, which focuses on pinpointing particular price levels associated with the opening range.
This approach enables traders to establish reference points for their trades, using "A" and "C" points as entry markers. Additionally, the book covers the concept of the "Pivot Range" and how integrating it with the ACD method can help maximize position size while minimizing risk.
🟣 Session
The forex market is operational 24 hours a day, five days a week, closing only on Saturdays and Sundays. Typically, traders prefer to concentrate on one specific forex trading session rather than attempting to trade around the clock.
Trading sessions are defined time periods when a particular financial market is active, allowing for the execution of trades.
The most crucial trading sessions within the 24-hour cycle are the Asia, London, and New York sessions, as these are when substantial money flows and liquidity enter the market.
🟣 Kill Zone
Traders in financial markets earn profits by capitalizing on the difference between their buy/sell prices and the prevailing market prices.
Traders vary in their trading timelines.Some traders engage in daily or even hourly trading, necessitating activity during periods with optimal trading volumes and notable price movements.
Kill zones refer to parts of a session characterized by higher trading volumes and increased price volatility compared to the rest of the session.
🔵 How to Use
🟣 Session Times
The "Asia Session" comprises two parts: "Sydney" and "Tokyo." This session begins at 23:00 and ends at 06:00 UTC. The "Asia KillZone" starts at 23:00 and ends at 03:55 UTC.
The "London Session" includes "Frankfurt" and "London," starting at 07:00 and ending at 14:25 UTC. The "London KillZone" runs from 07:00 to 09:55 UTC.
The "New York" session starts at 14:30 and ends at 19:25 UTC, with the "New York am KillZone" beginning at 14:30 and ending at 22:55 UTC.
🟣 ACD Methodology
The ACD strategy is versatile, applicable to various markets such as stocks, commodities, and forex, providing clear buy and sell signals to set price targets and stop losses.
This strategy operates on the premise that the opening range of trades holds statistical significance daily, suggesting that initial market movements impact the market's behavior throughout the day.
Known as a breakout strategy, the ACD method thrives in volatile or strongly trending markets like crude oil and stocks.
Some key rules for employing the ACD strategy include :
Utilize points A and C as critical reference points, continually monitoring these during trades as they act as entry and exit markers.
Analyze daily and multi-day pivot ranges to understand market trends. Prices above the pivots indicate an upward trend, while prices below signal a downward trend.
In forex trading, the ACD strategy can be implemented using the ACD indicator, a technical tool that gauges the market's supply and demand balance. By evaluating trading volume and price, this indicator assists traders in identifying trend strength and optimal entry and exit points.
To effectively use the ACD indicator, consider the following :
Identifying robust trends: The ACD indicator can help pinpoint strong, consistent market trends.
Determining entry and exit points: ACD generates buy and sell signals to optimize trade timing.
Bullish Setup :
When the "A up" line is breached, it’s wise to wait briefly to confirm it’s not a "Fake Breakout" and that the price stabilizes above this line.
Upon entering the trade, the most effective stop loss is positioned below the "A down" line. It's advisable to backtest this to ensure the best outcomes. The recommended reward-to-risk ratio for this strategy is 1, which should also be verified through backtesting.
Bearish Setup :
When the "A down" line is breached, it’s prudent to wait briefly to ensure it’s not a "Fake Breakout" and that the price stabilizes below this line.
Upon entering the trade, the most effective stop loss is positioned above the "A up" line. Backtesting is recommended to confirm the best results. The recommended reward-to-risk ratio for this strategy is 1, which should also be validated through backtesting.
Advantages of Combining Kill Zone and ACD Method in Market Analysis :
Precise Trade Timing : Integrating the Kill Zone strategy with the ACD Method enhances precision in trade entries and exits. The ACD Method identifies key points for trading, while the Kill Zone focuses on high-activity periods, together ensuring optimal timing for trades.
Better Trend Identification : The ACD Method’s pivot ranges help spot market trends, and when combined with the Kill Zone’s emphasis on periods of significant price movement, traders can more effectively identify and follow strong market trends.
Maximized Profits and Minimized Risks : The ACD Method's structured approach to setting price targets and stop losses, coupled with the Kill Zone's high-volume trading periods, helps maximize profit potential while reducing risk.
Robust Risk Management : Combining these methods provides a comprehensive risk management strategy, strategically placing stop losses and protecting capital during volatile periods.
Versatility Across Markets : Both methods are applicable to various markets, including stocks, commodities, and forex, offering flexibility and adaptability in different trading environments.
Enhanced Confidence : Using the combined insights of the Kill Zone and ACD Method, traders gain confidence in their decision-making process, reducing emotional trading and improving consistency.
By merging the Kill Zone’s focus on trading volumes and the ACD Method’s structured breakout strategy, traders benefit from a synergistic approach that enhances precision, trend identification, and risk management across multiple markets.
ICT KillZones Hunt [TradingFinder] 4 Sessions + OB + FVG + Alert🔵 Introduction
🟣 ICT
The "ICT" style is a subset of "Price Action" technical analysis. The primary goal of the ICT trading strategy is to merge "Price Action" with the "Smart Money" concept to pinpoint optimal trade entry points.
However, this approach's strength extends beyond merely finding entry points. It also helps traders gain a deeper understanding of price behavior and adapt their trading strategies to the market structure.
The most important concepts of "ICT" :
Order Block
Fair Value Gap(FVG)
Liquidity
🟣 Session
Financial markets are divided into several time periods, each featuring distinct characteristics and levels of activity. These periods, known as sessions, are active at different times during the day.
The primary active sessions in financial markets include :
Asian Session
European Session
New York Session
Based on the UTC time zone, the schedule for these key sessions is :
Asian Session: 23:00 to 06:00
European Session: 07:00 to 16:30
New York Session: 13:00 to 22:00
Note
To avoid session overlap and minimize interference during kill zones, the session times have been modified as follows :
Asian Session: 23:00 to 06:00
European Session: 07:00 to 14:25
New York Session: 14:30 to 22:55
🟣 KillZone
Kill zones are periods within a session where trader activity spikes. During these times, trading volume surges, and price movements become more pronounced.
The major kill zones, according to the UTC time zone, are as follows :
Asian Kill Zone: 23:00 to 03:55
European Kill Zone: 07:00 to 09:55
New York Morning Kill Zone: 14:30 to 16:55
New York Evening Kill Zone: 19:30 to 20:55
🔵 How to Use
🟣 Order Block
Order blocks are a distinct category of "Supply and Demand" zones, formed when a series of orders are grouped together. These blocks are often created by banks or other significant market participants.
Banks typically execute large orders in blocks during their trading sessions. If they were to enter the market with small quantities, substantial price movements would occur before the orders were fully executed, reducing potential profit.
To mitigate this, they divide their orders into smaller, more manageable positions. Traders should seek "buy" opportunities in "demand order blocks" and "sell" opportunities in "supply order blocks."
🟣 Fair Value Gap (FVG)
To pinpoint the "Fair Value Gap" on the chart, meticulous candle-by-candle analysis is essential. Pay close attention to candles with significant bodies, examining each candle alongside the one preceding it.
The candles flanking this central candle should exhibit elongated shadows, with bodies that do not intersect the body of the central candle. The span between the shadows of the first and third candles is referred to as the FVG range.
Note :
The origin of all Order Blocks and FVGs starts from inside a kill zone and extends up to the end of the same session.
🟣 Kill Zone Hunt
Following this strategy, after the conclusion of the kill zone and the stabilization of its high and low lines, if the price touches either of these lines within the same session and encounters a robust rejection, it presents an opportunity to enter a trade.
🔵 Setting
🟣 Global Setting
Show All Order Block :
If it is turned off, only the last Order Block will be displayed.
Show All FVG :
If it is turned off, only the last FVG will be displayed.
Show More Info Session :
If it is turned on, more information about kill zones (Trade Volume, Time, Number of Candles) will be displayed.
🟣 Logic Parameter
Pivot Period of Order Blocks Detector :
Enter the desired pivot period to identify the Order Block.
Order Block Validity Period (Bar) :
You can specify the maximum time the Order Block remains valid based on the number of candles from the origin.
Mitigation Level Order Block :
Determining the basic level of a block order. When the price hits the basic level, the order block due to mitigation.
🟣 Order Blocks Display
Demand Order Block :
Show or not show and specify color.
Supply order Block :
Show or not show and specify color.
🟣 Order Block Refinement
Refine Demand OB :
Enable or disable the refinement feature. Mode selection.
Refine Supply OB :
Enable or disable the refinement feature. Mode selection.
🟣 FVG
FVG Validity Period (Bar) :
You can specify the maximum time the FVG remains valid based on the number of candles from the origin.
Mitigation Level FVG :
Determining the basic level of a FVG. When the price hits the basic level, the FVG due to mitigation.
Show Demand FVG :
Show or not show and specify color.
Show Supply FVG :
Show or not show and specify color.
FVG Filter :
Enable or disable filtering of FVGs. Select filter mode.
🟣 Session
Show More Info Session Color
Asia Session, London Sesseion, New York am Session & New York pm Session :
Show or not show session and kill zones. Change the display color.
🟣 Alert
Send Alert When Touched Session high & Low :
On / Off
Alert Demand OB Mitigation :
On / Off
Alert Supply OB Mitigation :
On / Off
Alert Demand FVG Mitigation :
On / Off
Alert Supply FVG Mitigation :
On / Off
Message Frequency :
This string parameter defines the announcement frequency. Choices include: "All" (activates the alert every time the function is called), "Once Per Bar" (activates the alert only on the first call within the bar), and "Once Per Bar Close" (the alert is activated only by a call at the last script execution of the real-time bar upon closing). The default setting is "Once per Bar".
Show Alert Time by Time Zone :
The date, hour, and minute you receive in alert messages can be based on any time zone you choose. For example, if you want New York time, you should enter "UTC-4". This input is set to the time zone "UTC" by default.
Display More Info :
Displays information about the price range of the order blocks (Zone Price) and the date, hour, and minute under "Display More Info". If you do not want this information to appear in the received message along with the alert, you should set it to "Off".
Intellect_city - Halvings Bitcoin CycleWhat is halving?
The halving timer shows when the next Bitcoin halving will occur, as well as the dates of past halvings. This event occurs every 210,000 blocks, which is approximately every 4 years. Halving reduces the emission reward by half. The original Bitcoin reward was 50 BTC per block found.
Why is halving necessary?
Halving allows you to maintain an algorithmically specified emission level. Anyone can verify that no more than 21 million bitcoins can be issued using this algorithm. Moreover, everyone can see how much was issued earlier, at what speed the emission is happening now, and how many bitcoins remain to be mined in the future. Even a sharp increase or decrease in mining capacity will not significantly affect this process. In this case, during the next difficulty recalculation, which occurs every 2014 blocks, the mining difficulty will be recalculated so that blocks are still found approximately once every ten minutes.
How does halving work in Bitcoin blocks?
The miner who collects the block adds a so-called coinbase transaction. This transaction has no entry, only exit with the receipt of emission coins to your address. If the miner's block wins, then the entire network will consider these coins to have been obtained through legitimate means. The maximum reward size is determined by the algorithm; the miner can specify the maximum reward size for the current period or less. If he puts the reward higher than possible, the network will reject such a block and the miner will not receive anything. After each halving, miners have to halve the reward they assign to themselves, otherwise their blocks will be rejected and will not make it to the main branch of the blockchain.
The impact of halving on the price of Bitcoin
It is believed that with constant demand, a halving of supply should double the value of the asset. In practice, the market knows when the halving will occur and prepares for this event in advance. Typically, the Bitcoin rate begins to rise about six months before the halving, and during the halving itself it does not change much. On average for past periods, the upper peak of the rate can be observed more than a year after the halving. It is almost impossible to predict future periods because, in addition to the reduction in emissions, many other factors influence the exchange rate. For example, major hacks or bankruptcies of crypto companies, the situation on the stock market, manipulation of “whales,” or changes in legislative regulation.
---------------------------------------------
Table - Past and future Bitcoin halvings:
---------------------------------------------
Date: Number of blocks: Award:
0 - 03-01-2009 - 0 block - 50 BTC
1 - 28-11-2012 - 210000 block - 25 BTC
2 - 09-07-2016 - 420000 block - 12.5 BTC
3 - 11-05-2020 - 630000 block - 6.25 BTC
4 - 20-04-2024 - 840000 block - 3.125 BTC
5 - 24-03-2028 - 1050000 block - 1.5625 BTC
6 - 26-02-2032 - 1260000 block - 0.78125 BTC
7 - 30-01-2036 - 1470000 block - 0.390625 BTC
8 - 03-01-2040 - 1680000 block - 0.1953125 BTC
9 - 07-12-2043 - 1890000 block - 0.09765625 BTC
10 - 10-11-2047 - 2100000 block - 0.04882813 BTC
11 - 14-10-2051 - 2310000 block - 0.02441406 BTC
12 - 17-09-2055 - 2520000 block - 0.01220703 BTC
13 - 21-08-2059 - 2730000 block - 0.00610352 BTC
14 - 25-07-2063 - 2940000 block - 0.00305176 BTC
15 - 28-06-2067 - 3150000 block - 0.00152588 BTC
16 - 01-06-2071 - 3360000 block - 0.00076294 BTC
17 - 05-05-2075 - 3570000 block - 0.00038147 BTC
18 - 08-04-2079 - 3780000 block - 0.00019073 BTC
19 - 12-03-2083 - 3990000 block - 0.00009537 BTC
20 - 13-02-2087 - 4200000 block - 0.00004768 BTC
21 - 17-01-2091 - 4410000 block - 0.00002384 BTC
22 - 21-12-2094 - 4620000 block - 0.00001192 BTC
23 - 24-11-2098 - 4830000 block - 0.00000596 BTC
24 - 29-10-2102 - 5040000 block - 0.00000298 BTC
25 - 02-10-2106 - 5250000 block - 0.00000149 BTC
26 - 05-09-2110 - 5460000 block - 0.00000075 BTC
27 - 09-08-2114 - 5670000 block - 0.00000037 BTC
28 - 13-07-2118 - 5880000 block - 0.00000019 BTC
29 - 16-06-2122 - 6090000 block - 0.00000009 BTC
30 - 20-05-2126 - 6300000 block - 0.00000005 BTC
31 - 23-04-2130 - 6510000 block - 0.00000002 BTC
32 - 27-03-2134 - 6720000 block - 0.00000001 BTC
Adaptive Trend Lines [MAMA and FAMA]Updated my previous algo on the Adaptive Trend lines, however I have added new functionalities and sorted out the settings.
You can now switch between normalized and non-normalized settings, the colors have also been updated and look much better.
The MAMA and FAMA
These indicators was originally developed by John F. Ehlers (Stocks & Commodities V. 19:10: MESA Adaptive Moving Averages). Everget wrote the initial functions for these in pine script. I have simply normalized the indicators and chosen to use the Laplace transformation instead of the hilbert transformation
How the Indicator Works:
The indicator employs a series of complex calculations, but we'll break it down into key steps to understand its functionality:
LaplaceTransform: Calculates the Laplace distribution for the given src input. The Laplace distribution is a continuous probability distribution, also known as the double exponential distribution. I use this because of the assymetrical return profile
MESA Period: The indicator calculates a MESA period, which represents the dominant cycle length in the price data. This period is continuously adjusted to adapt to market changes.
InPhase and Quadrature Components: The InPhase and Quadrature components are derived from the Hilbert Transform output. These components represent different aspects of the price's cyclical behavior.
Homodyne Discriminator: The Homodyne Discriminator is a phase-sensitive technique used to determine the phase and amplitude of a signal. It helps in detecting trend changes.
Alpha Calculation: Alpha represents the adaptive factor that adjusts the sensitivity of the indicator. It is based on the MESA period and the phase of the InPhase component. Alpha helps in dynamically adjusting the indicator's responsiveness to changes in market conditions.
MAMA and FAMA Calculation: The MAMA and FAMA values are calculated using the adaptive factor (alpha) and the input price data. These values are essentially adaptive moving averages that aim to capture the current trend more effectively than traditional moving averages.
But Omar, why would anyone want to use this?
The MAMA and FAMA lines offer benefits:
The indicator offers a distinct advantage over conventional moving averages due to its adaptive nature, which allows it to adjust to changing market conditions. This adaptability ensures that investors can stay on the right side of the trend, as the indicator becomes more responsive during trending periods and less sensitive in choppy or sideways markets.
One of the key strengths of this indicator lies in its ability to identify trends effectively by combining the MESA and MAMA techniques. By doing so, it efficiently filters out market noise, making it highly valuable for trend-following strategies. Investors can rely on this feature to gain clearer insights into the prevailing trends and make well-informed trading decisions.
This indicator is primarily suppoest to be used on the big timeframes to see which trend is prevailing, however I am not against someone using it on a timeframe below the 1D, just be careful if you are using this for modern portfolio theory, this is not suppoest to be a mid-term component, but rather a long term component that works well with proper use of detrended fluctuation analysis.
Dont hesitate to ask me if you have any questions
Again, I want to give credit to Everget and ChartPrime!
Code explanation as required by House Rules:
fastLimit = input.float(title='Fast Limit', step=0.01, defval=0.01, group = "Indicator Settings")
slowLimit = input.float(title='Slow Limit', step=0.01, defval=0.08, group = "Indicator Settings")
src = input(title='Source', defval=close, group = "Indicator Settings")
input.float: Used to create input fields for the user to set the fastLimit and slowLimit values.
input: General function to get user inputs, like the data source (close price) used for calculations.
norm_period = input.int(3, 'Normalization Period', 1, group = "Normalized Settings")
norm = input.bool(defval = true, title = "Use normalization", group = "Normalized Settings")
input.int: Creates an input field for the normalization period.
input.bool: Allows the user to toggle normalization on or off.
Color settings in the code:
col_up = input.color(#22ab94, group = "Color Settings")
col_dn = input.color(#f7525f, group = "Color Settings")
Constants and functions
var float PI = math.pi
laplace(src) =>
(0.5) * math.exp(-math.abs(src))
_computeComponent(src, mesaPeriodMult) =>
out = laplace(src) * mesaPeriodMult
out
_smoothComponent(src) =>
out = 0.2 * src + 0.8 * nz(src )
out
math.pi: Represents the mathematical constant π (pi).
laplace: A function that applies the Laplace transform to the source data.
_computeComponent: Computes a component of the data using the Laplace transform.
_smoothComponent: Smooths data by averaging the current value with the previous one (nz function is used to handle null values).
Alpha function:
_computeAlpha(src, fastLimit, slowLimit) =>
mesaPeriod = 0.0
mesaPeriodMult = 0.075 * nz(mesaPeriod ) + 0.54
...
alpha = math.max(fastLimit / deltaPhase, slowLimit)
out = alpha
out
_computeAlpha: Calculates the adaptive alpha value based on the fastLimit and slowLimit. This value is crucial for determining the MAMA and FAMA lines.
Calculating MAMA and FAMA:
mama = 0.0
mama := alpha * src + (1 - alpha) * nz(mama )
fama = 0.0
fama := alpha2 * mama + (1 - alpha2) * nz(fama )
Normalization:
lowest = ta.lowest(mama_fama_diff, norm_period)
highest = ta.highest(mama_fama_diff, norm_period)
normalized = (mama_fama_diff - lowest) / (highest - lowest) - 0.5
ta.lowest and ta.highest: Find the lowest and highest values of mama_fama_diff over the normalization period.
The oscillator is normalized to a range, making it easier to compare over different periods.
And finally, the plotting:
plot(norm == true ? normalized : na, style=plot.style_columns, color=col_wn, title = "mama_fama_diff Oscillator Normalized")
plot(norm == false ? mama_fama_diff : na, style=plot.style_columns, color=col_wnS, title = "mama_fama_diff Oscillator")
Example of Normalized settings:
Example for setup:
Try to make sure the lower timeframe follows the higher timeframe if you take a trade based on this indicator!
KillZones Hunt + Sessions [TradingFinder] Alert & Volume Ranges🟣 Introduction
🔵 Session
Financial markets are divided into various time segments, each with its own characteristics and activity levels. These segments are called sessions, and they are active at different times of the day.
The most important active sessions in financial markets are :
1. Asian Session
2. European Session
3. New York Session
The timing of these major sessions based on the UTC time zone is as follows :
1. Asian Session: 23:00 to 06:00
2. European Session: 07:00 to 16:30
3. New York Session: 13:00 to 22:00
Note
To avoid overlap between sessions and interference in kill zones, we have adjusted the session timings as follows :
• Asian Session: 23:00 to 06:00
• European Session: 07:00 to 14:25
• New York Session: 14:30 to 22:55
🔵 Kill Zones
Kill zones are parts of a session where trader activity is higher than usual. During these periods, trading volume increases and price fluctuations are more intense.
The timing of the major kill zones based on the UTC time zone is as follows :
• Asian Kill Zone: 23:00 to 03:55
• European Kill Zone: 07:00 to 09:55
• New York Morning Kill Zone: 14:30 to 16:55
• New York Evening Kill Zone: 19:30 to 20:55
This indicator focuses on tracking the kill zone and its range. For example, once a kill zone ends, the high and low formed during it remain unchanged.
If the price reaches the high or low of the kill zone while the session is still active, the corresponding line is not drawn any further. Based on this information, various strategies can be developed, and the most important ones are discussed below.
🟣 How to Use
There are three main ways to trade based on the kill zone :
• Kill Zone Hunt
• Breakout and Pullback to Kill Zone
• Trading in the Trend of the Kill Zone
🔵 Kill Zone Hunt
According to this strategy, once the kill zone ends and its high and low lines no longer change, if the price reaches one of these lines within the same session and is strongly rejected, a trade can be entered.
🔵 Breakout and Pullback to Kill Zone
According to this strategy, once the kill zone ends and its high and low lines no longer change, if the price breaks one of these lines strongly within the same session, a trade can be entered on the pullback to that level.
Trading in the Trend of the Kill Zone
We know that kill zones are areas where high-volume trading occurs and powerful trends form. Therefore, trades can be made in the direction of the trend. For example, when an upward trend dominates this area, you can enter a buy trade when the price reaches a demand order block.
🟣 Features
🔵 Alerts
You can set alerts to be notified when the price hits the high or low lines of the kill zone.
🔵 More Information
By enabling this feature, you can view information such as the time and trading volume within the kill zone. This allows you to compare the trading volume with the same period on the previous day or other kill zones.
🟣 Settings
Through the settings, you have access to the following options :
• Show or hide additional information
• Enable or disable alerts
• Show or hide sessions
• Show or hide kill zones
• Set preferred colors for displaying sessions
• Customize the time range of sessions
• Customize the time range of kill zones
RSI Strategy with Manual TP and SL 19/03/2024This TradingView script implements a simple RSI (Relative Strength Index) strategy with manual take profit (TP) and stop-loss (SL) levels. Let's break down the script and analyze its components:
RSI Calculation: The script calculates the RSI using the specified length parameter. RSI is a momentum oscillator that measures the speed and change of price movements. It ranges from 0 to 100 and typically values above 70 indicate overbought conditions while values below 30 indicate oversold conditions.
Strategy Parameters:
length: Length of the RSI period.
overSold: Threshold for oversold condition.
overBought: Threshold for overbought condition.
trail_profit_pct: Percentage for trailing profit.
Entry Conditions:
For a long position: RSI crosses above 30 and the daily close is above 70% of the highest close in the last 50 bars.
For a short position: RSI crosses below 70 and the daily close is below 130% of the lowest close in the last 50 bars.
Entry Signals:
Long entry is signaled when both conditions for a long position are met.
Short entry is signaled when both conditions for a short position are met.
Manual TP and SL:
Take profit and stop-loss levels are calculated based on the entry price and the specified percentage.
For long positions, the take profit level is set above the entry price and the stop-loss level is set below the entry price.
For short positions, the take profit level is set below the entry price and the stop-loss level is set above the entry price.
Strategy Exits:
Exit conditions are defined for both long and short positions using the calculated take profit and stop-loss levels.
Chart Analysis:
This strategy aims to capitalize on short-term momentum shifts indicated by RSI crossings combined with daily price movements.
It utilizes manual TP and SL levels, providing traders with flexibility in managing their positions.
The strategy may perform well in ranging or oscillating markets where RSI signals are more reliable.
However, it may encounter challenges in trending markets where RSI can remain overbought or oversold for extended periods.
Traders should backtest this strategy thoroughly on historical data and consider optimizing parameters to suit different market conditions.
Risk management is crucial, so traders should carefully adjust TP and SL percentages based on their risk tolerance and market volatility.
Overall, this strategy provides a structured approach to trading based on RSI signals while allowing traders to customize their risk management. However, like any trading strategy, it should be used judiciously and in conjunction with other forms of analysis and risk management techniques.
How to force strategies fire exit alerts not reversalsPineScript has gone a long way, from very simple and little-capable scripting language to a robust coding platform with reliable execution endpoints. However, this one small intuitivity glitch is still there and is likely to stay, because it is traditionally justified and quite intuitive for significant group of traders. I'm sharing this workaround in response to frequent inquiries about it.
What's the glitch? When setting alerts on strategies to be synchronized with TradingView's Strategy Tester events, using simple alert messages such as "buy" or "sell" based on entry direction seems straightforward by inserting {{strategy.order.action}} into the Create Alert's "Message" field. Because "buy" or "sell" are exactly the strings produced by {{strategy.order.action}} placeholder. However, complications arise when attempting to EXIT positions without reversing, whether triggered by price levels like Stop Loss or Take Profit, or logical conditions to close trades. Those bricks fall apart, because on such events {{strategy.order.action}} sends the same "sell" for exiting buy positions and "buy" for exiting sell positions, instead of something more differentiating like "closebuy" or "closesell". As a result reversal trades are opened, instead of simply closing the open ones.
This convention harkens back to traditional stock market practices, where traders either bought shares to enter positions or sold them to exit. However, modern trading encompasses diverse instruments like CFDs, indices, and Forex, alongside advanced features such as Stop Loss, reshaping the landscape. Despite these advancements, the traditional nomenclature persists.
And is poised to stay on TradingView as well, so we need a workaround to get a simple strategy going. Luckily it is here and is called alert_message . It is a parameter, which needs to be added into each strategy.entry() / strategy.exit() / strategy.close() function call - each call, which causes Strategy Tester to produce entry or exit orders. As in this example script:
line 12: strategy.entry(... alert_message ="buy")
line 14: strategy.entry(... alert_message ="sell")
line 19: strategy.exit(... alert_message ="closebuy")
line 20: strategy.exit(... alert_message ="closesell")
line 24: strategy.close(... alert_message ="closebuy")
line 26: strategy.close(... alert_message ="closesell")
These alert messages are compatible with the Alerts Syntax of TradingConnector - a tool facilitating auto-execution of TradingView alerts in MetaTrader 4 or 5. Yes, simple alert messages like "buy" / "sell" / "closebuy" / "closesell" suffice to carry the execution of simple strategy, without complex JSON files with multiple ids and such. Other parameters can be added (actually plenty), but they are only option and that's not a part of this story :)
Last thing left to do is to replace "Message" in Create Alert popup with {{strategy.order.alert_message}} . This placeholder transmits the string defined in the PineScript alert_message= parameter, as outlined in this publication. With this workaround, executing closing alerts becomes seamless within PineScript strategies on TradingView.
Disclaimer: this content is purely educational, especially please don't pay attention to backtest results on any timeframe/ticker.
Turtle Trader StrategyTurtle Trader Strategy :
Introduction :
This strategy is based on the well known « Turtle Trader Strategy », that has proven itself over the years. It sends long and short signals with pyramid orders of up to 5, meaning that the strategy can trigger up to 5 orders in the same direction. Good risk and money management.
It's important to note that the strategy combines 2 systems working together (S1 and S2). Let’s describe the specific features of this strategy.
1/ Position size :
Position size is very important for turtle traders to manage risk properly. This position sizing strategy adapts to market volatility and to account (gains and losses). It’s based on ATR (Average True Range) which can also be called « N ». Its length is per default 20.
ATR(20) = (previous_atr(20)*19 + actual_true_range)/20
The number of units to buy is :
Unit = 1% * account/(ATR(20)*dollar_per_point)
where account is the actual account value and dollar_per_point is the variation in dollar of the asset with a 1 point move.
Depending on your risk aversion, you can increase the percentage of your account, but turtle traders default to 1%. If you trade contracts, units must be rounded down by default.
There is also an additional rule to reduce the risk if the value of the account falls below the initial capital : in this case and only in this case, account in the unit formula must be replace by :
account = actual_account*actual_account/initial capital
2/ Open a position :
2 systems are working together :
System 1 : Entering a new 20 day breakout
System 2 : Entering a new 55 day breakout
A breakout is a new high or new low. If it’s a new high, we open long position and vice versa if it’s a new low we enter in short position.
We add an additional rule :
System 1 : Breakout is ignored if last long/short position was a winner
System 2 : All signals are taken
This additional rule allows the trader to be in the major trends if the system 1 signal has been skipped. If a signal for system 1 has been skipped, and next candle is also a new 20 day breakout, S1 doesn’t give a signal. We have to wait S2 signal or wait for a candle that doesn’t make a new breakout to reactivate S1.
3/ Pyramid orders :
Turtle Strategy allows us to add extra units to the position if the price moves in our favor. I've configured the strategy to allow up to 5 orders to be added in the same direction. So if the price varies from 0.5*ATR(20) , we add units with the position size formula. Note that the value of account will be replaced by "remaining_account", i.e. the cash remaining in our account after subtracting the value of open positions.
4/ Stop Loss :
We set a stop loss at 1.5*ATR(20) below the entry price for longs and above the entry price for shorts. If pyramid units are added, the stop is increased/decreased by 0.5*ATR(20). Note that if SL is configured for a loss of more than 10%, we set the SL to 10% for the first entry order to avoid big losses. This configuration does not work for pyramid orders as SL moves by 0.5*ATR(20).
5/ Exit signals :
System 1 :
Exit long on a 10 day low
Exit short on a 10 day high
System 2 :
Exit long on a 20 day low
Exit short on a 20 day high
6/ What types of orders are placed ?
To enter in a position, stop orders are placed meaning that we place orders that will be automatically triggered by the signal at the exact breakout price. Stop loss and exit signals are also stop orders. Pyramid orders are market orders which will be triggered at the opening of the next candle to avoid repainting.
PARAMETERS :
Risk % of capital : Percentage used in the position size formula. Default is 1%
ATR period : ATR length used to calculate ATR. Default is 20
Stop ATR : Parameters used to fix stop loss. Default is 1.5 meaning that stop loss will be set at : buy_price - 1.5*ATR(20) for long and buy_price + 1.5*ATR(20) for short. Turtle traders default is 2 but 1.5 is better for cryptocurrency as there is a huge volatility.
S1 Long : System 1 breakout length for long. Default is 20
S2 Long : System 2 breakout length for long. Default is 55
S1 Long Exit : System 1 breakout length to exit long. Default is 10
S2 Long Exit : System 2 breakout length to exit long. Default is 20
S1 Short : System 1 breakout length for short. Default is 15
S2 Short : System 2 breakout length for short. Default is 55
S1 Short Exit : System 1 breakout length to exit short. Default is 7
S2 Short Exit : System 2 breakout length to exit short. Default is 20
Initial capital : $1000
Fees : Interactive Broker fees apply to this strategy. They are set at 0.18% of the trade value.
Slippage : 3 ticks or $0.03 per trade. Corresponds to the latency time between the moment the signal is received and the moment the order is executed by the broker.
Pyramiding : Number of orders that can be passed in the same direction. Default is 5.
Important : Turtle traders don't trade crypto. For this specific asset type, I modify some parameters such as SL and Short S1 in order to maximize return while limiting drawdown. This strategy is the most optimal on BINANCE:BTCUSD in 1D timeframe with the parameters set per default. If you want to use this strategy for a different crypto please adapt parameters.
NOTE :
It's important to note that the first entry order (long or short) will be the largest. Subsequent pyramid orders will have fewer units than the first order. We've set a maximum SL for the first order of 10%, meaning that you won't lose more than 10% of the value of your first order. However, it is possible to lose more on your pyramid orders, as the SL is increased/decreased by 0.5*ATR(20), which does not secure a loss of more than 10% on your pyramid orders. The risk remains well managed because the value of these orders is less than the value of the first order. Remain vigilant to this small detail and adjust your risk according to your risk aversion.
Enjoy the strategy and don’t forget to take the trade :)
RSI & Backed-Weighted MA StrategyRSI & MA Strategy :
INTRODUCTION :
This strategy is based on two well-known indicators that work best together: the Relative Strength Index (RSI) and the Moving Average (MA). We're going to use the RSI as a trend-follower indicator, rather than a reversal indicator as most are used to. To the signals sent by the RSI, we'll add a condition on the chart's MA, filtering out irrelevant signals and considerably increasing our winning rate. This is a medium/long-term strategy. There's also a money management method enabling us to reinvest part of the profits or reduce the size of orders in the event of substantial losses.
RSI :
The RSI is one of the best-known and most widely used indicators in trading. Its purpose is to warn traders when an asset is overbought or oversold. It was designed to send reversal signals, but we're going to use it as a trend indicator by increasing its length to 20. The RSI formula is as follows :
RSI (n) = 100 - (100 / (1 + (H (n)/L (n))))
With n the length of the RSI, H(n) the average of days closing above the open and L(n) the average of days closing below the open.
MA :
The Moving Average is also widely used in technical analysis, to smooth out variations in an asset. The SMA formula is as follows :
SMA (n) = (P1 + P2 + ... + Pn) / n
where n is the length of the MA.
However, an SMA does not weight any of its terms, which means that the price 10 days ago has the same importance as the price 2 days ago or today's price... That's why in this strategy we use a RWMA, i.e. a back-weighted moving average. It weights old prices more heavily than new ones. This will enable us to limit the impact of short-term variations and focus on the trend that was dominating. The RWMA used weights :
The 4 most recent terms by : 100 / (4+(n-4)*1.30)
The other oldest terms by : weight_4_first_term*1.30
So the older terms are weighted 1.30 more than the more recent ones. The moving average thus traces a trend that accentuates past values and limits the noise of short-term variations.
PARAMETERS :
RSI Length : Lenght of RSI. Default is 20.
MA Type : Choice between a SMA or a RWMA which permits to minimize the impact of short term reversal. Default is RWMA.
MA Length : Length of the selected MA. Default is 19.
RSI Long Signal : Minimum value of RSI to send a LONG signal. Default is 60.
RSI Short signal : Maximum value of RSI to send a SHORT signal. Default is 40.
ROC MA Long Signal : Maximum value of Rate of Change MA to send a LONG signal. Default is 0.
ROC MA Short signal : Minimum value of Rate of Change MA to send a SHORT signal. Default is 0.
TP activation in multiple of ATR : Threshold value to trigger trailing stop Take Profit. This threshold is calculated as multiple of the ATR (Average True Range). Default value is 5 meaning that to trigger the trailing TP the price need to move 5*ATR in the right direction.
Trailing TP in percentage : Percentage value of trailing Take Profit. This Trailing TP follows the profit if it increases, remaining selected percentage below it, but stops if the profit decreases. Default is 3%.
Fixed Ratio : This is the amount of gain or loss at which the order quantity is changed. Default is 400, which means that for each $400 gain or loss, the order size is increased or decreased by a user-selected amount.
Increasing Order Amount : This is the amount to be added to or subtracted from orders when the fixed ratio is reached. The default is $200, which means that for every $400 gain, $200 is reinvested in the strategy. On the other hand, for every $400 loss, the order size is reduced by $200.
Initial capital : $1000
Fees : Interactive Broker fees apply to this strategy. They are set at 0.18% of the trade value.
Slippage : 3 ticks or $0.03 per trade. Corresponds to the latency time between the moment the signal is received and the moment the order is executed by the broker.
Important : A bot has been used to test the different parameters and determine which ones maximize return while limiting drawdown. This strategy is the most optimal on BITSTAMP:ETHUSD with a timeframe set to 6h. Parameters are set as follows :
MA type: RWMA
MA Length: 19
RSI Long Signal: >60
RSI Short Signal : <40
ROC MA Long Signal : <0
ROC MA Short Signal : >0
TP Activation in multiple ATR : 5
Trailing TP in percentage : 3
ENTER RULES :
The principle is very simple:
If the asset is overbought after a bear market, we are LONG.
If the asset is oversold after a bull market, we are SHORT.
We have defined a bear market as follows : Rate of Change (20) RWMA < 0
We have defined a bull market as follows : Rate of Change (20) RWMA > 0
The Rate of Change is calculated using this formula : (RWMA/RWMA(20) - 1)*100
Overbought is defined as follows : RSI > 60
Oversold is defined as follows : RSI < 40
LONG CONDITION :
RSI > 60 and (RWMA/RWMA(20) - 1)*100 < -1
SHORT CONDITION :
RSI < 40 and (RWMA/RWMA(20) - 1)*100 > 1
EXIT RULES FOR WINNING TRADE :
We have a trailing TP allowing us to exit once the price has reached the "TP Activation in multiple ATR" parameter, i.e. 5*ATR by default in the profit direction. TP trailing is triggered at this point, not limiting our gains, and securing our profits at 3% below this trigger threshold.
Remember that the True Range is : maximum(H-L, H-C(1), C-L(1))
with C : Close, H : High, L : Low
The Average True Range is therefore the average of these TRs over a length defined by default in the strategy, i.e. 20.
RISK MANAGEMENT :
This strategy may incur losses. The method for limiting losses is to set a Stop Loss equal to 3*ATR. This means that if the price moves against our position and reaches three times the ATR, we exit with a loss.
Sometimes the ATR can result in a SL set below 10% of the trade value, which is not acceptable. In this case, we set the SL at 10%, limiting losses to a maximum of 10%.
MONEY MANAGEMENT :
The fixed ratio method was used to manage our gains and losses. For each gain of an amount equal to the value of the fixed ratio, we increase the order size by a value defined by the user in the "Increasing order amount" parameter. Similarly, each time we lose an amount equal to the value of the fixed ratio, we decrease the order size by the same user-defined value. This strategy increases both performance and drawdown.
Enjoy the strategy and don't forget to take the trade :)
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!
Adaptive MACD [LuxAlgo]The Adaptive MACD indicator is an adaptive version of the popular Moving Average Convergence Divergence (MACD) oscillator, returning longer-term variations during trending markets and cyclic variations during ranging markets while filtering out noisy variations.
🔶 USAGE
The proposed oscillator contains all the elements within a regular MACD, such as a signal line and histogram. A MACD value above 0 would indicate up-trending variations, while a value under 0 would be indicating down-trending variations.
Just like most oscillators, our proposed Adaptive MACD is able to return divergences with the price.
As we can see in the image above ranging markets will make the Adaptive MACD more conservative toward more cyclical conservations, filtering out both noise and longer-term variations. However, when longer-term variations (such as in a trending market) are prominent the oscillator will conserve longer-term variations.
The R2 Period setting determines when trending/ranging markets are detected, with higher values returning indications for longer intervals.
The fast and slow settings will act similarly to the regular MACD, however, closer values will return more cyclical outputs.
The image above compares our proposed MACD (top) with a regular MACD (bottom), both using fast = 19 and slow = 20 .
🔶 DETAILS
It is common to be solely interested in the trend component when the market is trending, however, during a ranging market it is more common to observe a more prominent cyclical/noise component. We want to be able to preserve one of the components at the appropriate market conditions, however, the regular MACD lack the ability to preserve cyclical component with high accuracy.
The MACD is an IIR bandpass filter. In order to obtain a lower passband bandwidth and a more symmetrical magnitude response (which would allow to conserve more precise cyclical variations) we can directly change the system calculation:
y = (price - price ) × g + ((1 - a1) + (1 - a2)) × y - (1 - a1) × (1 - a2) × y
where:
a1 = 2/(fast + 1)
a2 = 2/(slow + 1)
g = a1 - a2
Using division instead of multiplication on the second feedback weight allows further weighting the 2 samples lagged output, returning a more desirable magnitude response with a higher degree of filtering on both ends of the spectrum as shown in the image below:
We are interested in conserving cycles during ranging markets, and longer-term variations during trending markets, we can do this by interpolating between our two filter coefficients:
α × + (1 - α) ×
where 1 > α > 0 . α is measuring if the market is trending or ranging, with values closer to 1 indicating a trending market. We see that for higher values of α the original coefficient of the MACD is used. The image below shows various magnitude responses given multiple values of α :
We use a rolling R-Squared as α , this measurement has the benefit of indicating if the market is trending or ranging, as well as being constrained within range (0, 1), and having a U-shaped distribution.
If you are interested to learn more about the MACD see:
🔶 SETTINGS
R2 Period: Calculation window of the R-Squared.
Fast: Fast period for the calculation of the Adaptive MACD, lower values will return more noisy results.
Slow: Slow period for the calculation of the Adaptive MACD, higher values will return result with longer-term conserved variations.
Signal: Period of the EMA applied to the Adaptive MACD.
Normalized Adaptive Trend Lines [MAMA and FAMA]These indicators was originally developed by John F. Ehlers (Stocks & Commodities V. 19:10: MESA Adaptive Moving Averages). Everget wrote the initial functions for these in pine script. I have simply normalized the indicators and chosen to use the Laplace transformation instead of the hilbert transformation
How the Indicator Works:
The indicator employs a series of complex calculations, but we'll break it down into key steps to understand its functionality:
LaplaceTransform: Calculates the Laplace distribution for the given src input. The Laplace distribution is a continuous probability distribution, also known as the double exponential distribution. I use this because of the assymetrical return profile
MESA Period: The indicator calculates a MESA period, which represents the dominant cycle length in the price data. This period is continuously adjusted to adapt to market changes.
InPhase and Quadrature Components: The InPhase and Quadrature components are derived from the Hilbert Transform output. These components represent different aspects of the price's cyclical behavior.
Homodyne Discriminator: The Homodyne Discriminator is a phase-sensitive technique used to determine the phase and amplitude of a signal. It helps in detecting trend changes.
Alpha Calculation: Alpha represents the adaptive factor that adjusts the sensitivity of the indicator. It is based on the MESA period and the phase of the InPhase component. Alpha helps in dynamically adjusting the indicator's responsiveness to changes in market conditions.
MAMA and FAMA Calculation: The MAMA and FAMA values are calculated using the adaptive factor (alpha) and the input price data. These values are essentially adaptive moving averages that aim to capture the current trend more effectively than traditional moving averages.
But Omar, why would anyone want to use this?
The MAMA and FAMA lines offer benefits:
The indicator offers a distinct advantage over conventional moving averages due to its adaptive nature, which allows it to adjust to changing market conditions. This adaptability ensures that investors can stay on the right side of the trend, as the indicator becomes more responsive during trending periods and less sensitive in choppy or sideways markets.
One of the key strengths of this indicator lies in its ability to identify trends effectively by combining the MESA and MAMA techniques. By doing so, it efficiently filters out market noise, making it highly valuable for trend-following strategies. Investors can rely on this feature to gain clearer insights into the prevailing trends and make well-informed trading decisions.
This indicator is primarily suppoest to be used on the big timeframes to see which trend is prevailing, however I am not against someone using it on a timeframe below the 1D, just be careful if you are using this for modern portfolio theory, this is not suppoest to be a mid-term component, but rather a long term component that works well with proper use of detrended fluctuation analysis.
Dont hesitate to ask me if you have any questions
Again, I want to give credit to Everget and ChartPrime!
ATR GOD Strategy by TradeSmart (PineConnector-compatible)This is a highly-customizable trading strategy made by TradeSmart, focusing mainly on ATR-based indicators and filters. The strategy is mainly intended for trading forex , and has been optimized using the Deep Backtest feature on the 2018.01.01 - 2023.06.01 interval on the EUR/USD (FXCM) 15M chart, with a Slippage value of 3, and a Commission set to 0.00004 USD per contract. The strategy is also made compatible with PineConnector , to provide an easy option to automate the strategy using a connection to MetaTrader. See tooltips for details on how to set up the bot, and check out our website for a detailed guide with images on how to automate the strategy.
The strategy was implemented using the following logic:
Entry strategy:
A total of 4 Supertrend values can be used to determine the entry logic. There is option to set up all 4 Supertrend parameters individually, as well as their potential to be used as an entry signal/or a trend filter. Long/Short entry signals will be determined based on the selected potential Supertrend entry signals, and filtered based on them being in an uptrend/downtrend (also available for setup). Please use the provided tooltips for each setup to see every detail.
Exit strategy:
4 different types of Stop Losses are available: ATR-based/Candle Low/High Based/Percentage Based/Pip Based. Additionally, Force exiting can also be applied, where there is option to set up 4 custom sessions, and exits will happen after the session has closed.
Parameters of every indicator used in the strategy can be tuned in the strategy settings as follows:
Plot settings:
Plot Signals: true by default, Show all Long and Short signals on the signal candle
Plot SL/TP lines: false by default, Checking this option will result in the TP and SL lines to be plotted on the chart.
Supertrend 1-4:
All the parameters of the Supertrends can be set up here, as well as their individual role in the entry logic.
Exit Strategy:
ATR Based Stop Loss: true by default
ATR Length (of the SL): 100 by default
ATR Smoothing (of the SL): RMA/SMMA by default
Candle Low/High Based Stop Loss: false by default, recent lowest or highest point (depending on long/short position) will be used to calculate stop loss value. Set 'Base Risk Multiplier' to 1 if you would like to use the calculated value as is. Setting it to a different value will count as an additional multiplier.
Candle Lookback (of the SL): 50 by default
Percentage Based Stop Loss: false by default, Set the stop loss to current price - % of current price (long) or price + % of current price (short).
Percentage (of the SL): 0.3 by default
Pip Based Stop Loss: Set the stop loss to current price - x pips (long) or price + x pips (short). Set 'Base Risk Multiplier' to 1 if you would like to use the calculated value as is. Setting it to a different value will count as an additional multiplier.
Pip (of the SL): 10 by default
Base Risk Multiplier: 4.5 by default, the stop loss will be placed at this risk level (meaning in case of ATR SL that the ATR value will be multiplied by this factor and the SL will be placed that value away from the entry level)
Risk to Reward Ratio: 1.5 by default, the take profit level will be placed such as this Risk/Reward ratio is met
Force Exiting:
4 total Force exit on custom session close options: none applied by default. If enabled, trades will close automatically after the set session is closed (on next candle's open).
Base Setups:
Allow Long Entries: true by default
Allow Short Entries: true by default
Order Size: 10 by default
Order Type: Capital Percentage by default, allows adjustment on how the position size is calculated: Cash: only the set cash amount will be used for each trade Contract(s): the adjusted number of contracts will be used for each trade Capital Percentage: a % of the current available capital will be used for each trade
ATR Limiter:
Use ATR Limiter: true by default, Only enter into any position (long/short) if ATR value is higher than the Low Boundary and lower than the High Boundary.
ATR Limiter Length: 50 by default
ATR Limiter Smoothing: RMA/SMMA by default
High Boundary: 1000 by default
Low Boundary: 0.0003 by default
MA based calculation: ATR value under MA by default, If not Unspecified, an MA is calculated with the ATR value as source. Only enter into position (long/short) if ATR value is higher/lower than the MA.
MA Type: RMA/SMMA by default
MA Length: 400 by default
Waddah Attar Filter:
Explosion/Deadzone relation: Not specified by default, Explosion over Deadzone: trades will only happen if the explosion line is over the deadzone line; Explosion under Deadzone: trades will only happen if the explosion line is under the deadzone line; Not specified: the opening of trades will not be based on the relation between the explosion and deadzone lines.
Limit trades based on trends: Not specified by default, Strong Trends: only enter long if the WA bar is colored green (there is an uptrend and the current bar is higher then the previous); only enter short if the WA bar is colored red (there is a downtrend and the current bar is higher then the previous); Soft Trends: only enter long if the WA bar is colored lime (there is an uptrend and the current bar is lower then the previous); only enter short if the WA bar is colored orange (there is a downtrend and the current bar is lower then the previous); All Trends: only enter long if the WA bar is colored green or lime (there is an uptrend); only enter short if the WA bar is colored red or orange (there is a downtrend); Not specified: the color of the WA bar (trend) is not relevant when considering entries.
WA bar value: Not specified by default, Over Explosion and Deadzone: only enter trades when the WA bar value is over the Explosion and Deadzone lines; Not specified: the relation between the explosion/deadzone lines to the value of the WA bar will not be used to filter opening trades.
Sensitivity: 150 by default
Fast MA Type: SMA by default
Fast MA Length: 10 by default
Slow MA Type: SMA
Slow MA Length: 20 by default
Channel MA Type: EMA by default
BB Channel Length: 20 by default
BB Stdev Multiplier: 2 by default
Trend Filter:
Use long trend filter 1: false by default, Only enter long if price is above Long MA.
Show long trend filter 1: false by default, Plot the selected MA on the chart.
TF1 - MA Type: EMA by default
TF1 - MA Length: 120 by default
TF1 - MA Source: close by default
Use short trend filter 1: false by default, Only enter long if price is above Long MA.
Show short trend filter 1: false by default, Plot the selected MA on the chart.
TF2 - MA Type: EMA by default
TF2 - MA Length: 120 by default
TF2 - MA Source: close by default
Volume Filter:
Only enter trades where volume is higher then the volume-based MA: true by default, a set type of MA will be calculated with the volume as source, and set length
MA Type: RMA/SMMA by default
MA Length: 200 by default
Date Range Limiter:
Limit Between Dates: false by default
Start Date: Jan 01 2023 00:00:00 by default
End Date: Jun 24 2023 00:00:00 by default
Session Limiter:
Show session plots: false by default, show market sessions on chart: Sidney (red), Tokyo (orange), London (yellow), New York (green)
Use session limiter: false by default, if enabled, trades will only happen in the ticked sessions below.
Sidney session: false by default, session between: 15:00 - 00:00 (EST)
Tokyo session: false by default, session between: 19:00 - 04:00 (EST)
London session: false by default, session between: 03:00 - 11:00 (EST)
New York session: false by default, session between: 08:00 - 17:00 (EST)
Trading Time:
Limit Trading Time: true by default, tick this together with the options below to enable limiting based on day and time
Valid Trading Days Global: 123567 by default, if the Limit Trading Time is on, trades will only happen on days that are present in this field. If any of the not global Valid Trading Days is used, this field will be neglected. Values represent days: Sunday (1), Monday (2), ..., Friday (6), Saturday(7) To trade on all days use: 123457
(1) Valid Trading Days: false, 123456 by default, values represent days: Sunday (1), Monday (2), ..., Friday (6), Saturday(7) The script will trade on days that are present in this field. Please make sure that this field and also (1) Valid Trading Hours Between is checked
(1) Valid Trading Hours Between: false, 1800-2000 by default, hours between which the trades can happen. The time is always in the exchange's timezone
All other options are also disabled by default
PineConnector Automation:
Use PineConnector Automation: false by default, In order for the connection to MetaTrader to work, you will need do perform prerequisite steps, you can follow our full guide at our website, or refer to the official PineConnector Documentation. To set up PineConnector Automation on the TradingView side, you will need to do the following:
1. Fill out the License ID field with your PineConnector License ID;
2. Fill out the Risk (trading volume) with the desired volume to be traded in each trade (the meaning of this value depends on the EA settings in Metatrader. Follow the detailed guide for additional information);
3. After filling out the fields, you need to enable the 'Use PineConnector Automation' option (check the box in the strategy settings);
4. Check if the chart has updated and you can see the appropriate order comments on your chart;
5. Create an alert with the strategy selected as Condition, and the Message as {{strategy.order.comment}} (should be there by default);
6. Enable the Webhook URL in the Notifications section, set it as the official PineConnector webhook address and enjoy your connection with MetaTrader.
License ID: 60123456789 by default
Risk (trading volume): 1 by default
NOTE! Fine-tuning/re-optimization is highly recommended when using other asset/timeframe combinations.
Statistics TableThis script display some useful Statistics data that can be useful in making trading decision.
Here the list of information this script is display in table format.
You can change each and every single ema and rs length as per your need from setting.
1) close difference from first ema
2) close difference from second ema
3) close difference from third ema
4) close difference from fourth ema
5) difference between first and second ema
6) difference between second and third ema
7) difference between first and third ema
8) volume up down ratio
9) ATR/ADR %
10) volume pocket pivot count
11) daily closing range
12) weekly closing range
13) close difference from 52week high
14) close difference from 52week low
15) close difference from All time high
16) close difference from All time low
17) rs line above or below first rs ema
18) rs line above or below second rs ema
19) rs line above or below third rs ema
20) rs line above or below fourth rs ema
21) first rs value
22) second rs value
23) third rs value
24) fourth rs value
25) difference between previous first rs length days change % and current first rs length days change %
26) difference between previous second rs length days change % and current second rs length days change %
27) difference between previous third rs length days change % and current third rs length days change %
Recessions & crises shading (custom dates & stats)Shades your chart background to flag events such as crises or recessions, in similar fashion to what you see on FRED charts. The advantage of this indicator over others is that you can quickly input custom event dates as text in the menu to analyse their impact for your specific symbol. The script automatically labels, calculates and displays the peak to through percentage corrections on your current chart.
By default the indicator is configured to show the last 6 US recessions. If you have custom events which will benefit others, just paste the input string in the comments below so one can simply copy/paste in their indicator.
Example event input (No spaces allowed except for the label name. Enter dates as YYYY-MM-DD.)
2020-02-01,2020-03-31,COVID-19
2007-12-01,2009-05-31,Subprime mortgages
2001-03-01,2001-10-30,Dot-com bubble
1990-07-01,1991-03-01,Oil shock
1981-07-01,1982-11-01,US unemployment
1980-01-01,1980-07-01,Volker
1973-11-01,1975-03-01,OPEC
Bollinger Bands - Breakout StrategyThe Bollinger Bands - Breakout Strategy is a trend-following optimized for short-term trading in the crypto market. This strategy employs the Bollinger Bands, a widely recognized technical indicator, as its primary instrument for pinpointing potential trades. It is capable of executing both long and short positions, depending on whether the market is in a spot or futures, and is particularly effective in trending markets.
The strategy boasts a high degree of configurability, allowing users to set the Bollinger Bands period and deviation, trend filter, volatility filter, trade direction filter, rate of change filter, and date filter. Furthermore, it offers options for Take Profit, Stop Loss, and Trailing Stop for both long and short positions, ensuring a comprehensive risk management approach. The inclusion of a maximum intraday loss feature adds another layer of protection, making this strategy a valuable tool for traders seeking a professional and adaptable trading system.
Name : Bollinger Bands - Breakout Strategy
Category : Trend Follower based on Bollinger Bands
Operating mode : Long and Short on Futures or Long on Spot
Trade duration : Intraday
Timeframe : 2H, 3H, 4H, 5H
Market : Crypto
Suggested usage : Trending Markets
Entry : When the price crosses above or below the Bollinger Bands
Exit : Opposite Cross or Profit target, Trailing stop or Stop loss
Configuration :
- Bollinger Bands period and deviation
- Trend Filter
- Volatility Filter
- Trade direction filter
- Rate of Change filter
- Date Filter (for backtesting purposes)
- Take Profit, Stop Loss and Trailing Stop for long and short positions
- Risk Management: Max Intraday Loss
Backtesting :
⁃ Exchange: BINANCE
⁃ Pair: BTCUSDT.P
⁃ Timeframe: 4H
⁃ Fee: 0.025%
⁃ Slippage: 1
- Initial Capital: 10000 USDT
- Position sizing: 10% of Equity
- Start : 2019-09-19 (Out Of Sample from 2022-12-23)
- Bar magnifier: on
Credits :
- LucF of Pine Coders for f_security function to avoid repainting using security.
- QuantNomad for Monthly Table.
Disclaimer : Risk Management is crucial, so adjust stop loss to your comfort level. A tight stop loss can help minimise potential losses. Use at your own risk.
How you or we can improve? Source code is open so share your ideas!
Leave a comment and smash the boost button!
Thanks for your attention, happy to support the TradingView community.
Lorentzian Classification Strategy Based in the model of Machine learning: Lorentzian Classification by @jdehorty, you will be able to get into trending moves and get interesting entries in the market with this strategy. I also put some new features for better backtesting results!
Backtesting context: 2022-07-19 to 2023-04-14 of US500 1H by PEPPERSTONE. Commissions: 0.03% for each entry, 0.03% for each exit. Risk per trade: 2.5% of the total account
For this strategy, 3 indicators are used:
Machine learning: Lorentzian Classification by @jdehorty
One Ema of 200 periods for identifying the trend
Supertrend indicator as a filter for some exits
Atr stop loss from Gatherio
Trade conditions:
For longs:
Close price is above 200 Ema
Lorentzian Classification indicates a buying signal
This gives us our long signal. Stop loss will be determined by atr stop loss (white point), break even(blue point) by a risk/reward ratio of 1:1 and take profit of 3:1 where half position will be closed. This will be showed as buy.
The other half will be closed when the model indicates a selling signal or Supertrend indicator gives a bearish signal. This will be showed as cl buy.
For shorts:
Close price is under 200 Ema
Lorentzian Classification indicates a selling signal
This gives us our short signal. Stop loss will be determined by atr stop loss (white point), break even(blue point) by a risk/reward ratio of 1:1 and take profit of 3:1 where half position will be closed. This will be showed as sell.
The other half will be closed when the model indicates a buying signal or Supertrend indicator gives a bullish signal. This will be showed as cl sell.
Risk management
To calculate the amount of the position you will use just a small percent of your initial capital for the strategy and you will use the atr stop loss or last swing for this.
Example: You have 1000 usd and you just want to risk 2,5% of your account, there is a buy signal at price of 4,000 usd. The stop loss price from atr stop loss or last swing is 3,900. You calculate the distance in percent between 4,000 and 3,900. In this case, that distance would be of 2.50%. Then, you calculate your position by this way: (initial or current capital * risk per trade of your account) / (stop loss distance).
Using these values on the formula: (1000*2,5%)/(2,5%) = 1000usd. It means, you have to use 1000 usd for risking 2.5% of your account.
We will use this risk management for applying compound interest.
> In settings, with position amount calculator, you can enter the amount in usd of your account and the amount in percentage for risking per trade of the account. You will see this value in green color in the upper left corner that shows the amount in usd to use for risking the specific percentage of your account.
> You can also choose a fixed amount, so you will have to activate fixed amount in risk management for trades and set the fixed amount for backtesting.
Script functions
Inside of settings, you will find some utilities for display atr stop loss, break evens, positions, signals, indicators, a table of some stats from backtesting, etc.
You will find the settings for risk management at the end of the script if you want to change something or trying new values for other assets for backtesting.
If you want to change the initial capital for backtest the strategy, go to properties, and also enter the commisions of your exchange and slippage for more realistic results.
In risk managment you can find an option called "Use leverage ?", activate this if you want to backtest using leverage, which means that in case of not having enough money for risking the % determined by you of your account using your initial capital, you will use leverage for using the enough amount for risking that % of your acount in a buy position. Otherwise, the amount will be limited by your initial/current capital
I also added a function for backtesting if you had added or withdrawn money frequently:
Adding money: You can choose how often you want to add money (Monthly, yearly, daily or weekly). Then a fixed amount of money and activate or deactivate this function
Withdraw money: You can choose if you want to withdraw a fixed amount or a percentage of earnings. Then you can choose a fixed amount of money, the period of time and activate or deactivate this function. Also, the percentage of earnings if you choosed this option.
Some other assets where strategy has worked
BTCUSD 4H, 1D
ETHUSD 4H, 1D
BNBUSD 4H
SPX 1D
BANKNIFTY 4H, 15 min
Some things to consider
USE UNDER YOUR OWN RISK. PAST RESULTS DO NOT REPRESENT THE FUTURE.
DEPENDING OF % ACCOUNT RISK PER TRADE, YOU COULD REQUIRE LEVERAGE FOR OPEN SOME POSITIONS, SO PLEASE, BE CAREFULL AND USE CORRECTLY THE RISK MANAGEMENT
Do not forget to change commissions and other parameters related with back testing results!. If you have problems loading the script reduce max bars back number in general settings
Strategies for trending markets use to have more looses than wins and it takes a long time to get profits, so do not forget to be patient and consistent !
Please, visit the post from @jdehorty called Machine Learning: Lorentzian Classification for a better understanding of his script!
Any support and boosts will be well received. If you have any question, do not doubt to ask!
Vigilant Asset Allocation G4 Backtesting EngineThis script was based off of an idea that @CubanEmissary had so the description and some of the code that @CubanEmissary built on TradingView was used.
Vigilant Asset Allocation G4 (VAA G4) is a dual-momentum based investment strategy that aggressively monitors the market and reallocates portfolio funds based on the relative momentums of user-defined risk assets and safety assets. It was created by Wouter Keller and JW Keuning, based on their paper "Breadth Momentum and Vigilant Asset Allocation." In contrast to traditional dual momentum strategies, VAA G4 monitors the market itself through the two asset types. When all risk assets have positive momentum, the portfolio is allocated entirely into the risk asset with the strongest momentum At any other time, the portfolio is allocated entirely into the safety asset with the strongest momentum. The combination of breadth momentum with a very defensive reallocation trigger results in a strategy which captures alpha consistently.
The Strategy Rules:
1. Calculate each asset's momentum score on each monthly close:
momentumScore = (12*(currentMonthlyClose/lastMonthlyClose))+(4*(currentMonthlyClose/thirdLastMonthlyClose))+(2*(currentMonthlyClose/sixthLastMonthlyClose))+(currentMonthlyClose/twelvethLastMonthlyClose)-19
2. If all risk asset momentums are positive, allocate entire portfolio to the risk asset with the strongest momentum.
3. If any risk asset's momentum is negative, allocate entire portfolio to the safety asset with the strongest momentum.
4. Reevaluate at the end of each month.
Caveats:
1. It seems like TradingView only has limited price data for these tickers that are listed in the strategy. So it is best to start the strategy when they all have ample data (~ June 2nd, 2008)
2. This backtesting engine is basic and doesn't account for slippage and trading fees. So I implemented a basic "trading fee" input that will subtract a trading fee whenever the strategy makes a trade at the end of the month.
3. It is assumed in this engine that the trades will be made the exact second a new monthly bar opens up.
4. MUST USE ON MONTHLY CHART. It is hard-coded to work on monthly chart, if you open it on a daily chart , the Sharpe, Sortino, & CAGR calculations might not be right as well as the momentum score
