Market InternalsMarket internals can be a powerful tool for determining future moves, overall trend health and provide a means of directional confidence.
This indicator watches a handful of SPX and US stocks based internals to determine key areas of sentiment changes, the internals monitored are:
US Stocks Ticks
Call and Put SPX Volume
SPX Gamma Dispersion
US Stocks Ask and Big Volume
US Stocks Advancing and Declining Issues
Each time there's a bullish or bearish sentiment change it will be market with green/red flag and a single letter that identifies what market internal has changed.
SPX gamma dispersion events aren't to be considered directional from historical observations made but can be a sign of liquidity adjustments and when paired with any of the other aforementioned internals sentiment changes can be used as a powerful signal.
If it's observed that market internals are changing erratically then it's a clear indication of market chop and best to wait for cleaner trends.
Future updates may include non-SPX based internals analysis, change in display, alerts/alertconditions and more. Feel free to comment with any desired changes and we can discuss!
Sentiment
Odd_mod Econ CalendarA modification of Economic Calendar Events: FOMC, CPI, and more written by jdehorty . Please send all tips his way as he is maintaining the underlying data for the Calendar and the original concept.
List of changes:
Optimized code, will only run once on initialization now(No random line in middle of screen on bar change)
Legend - Added short names
Legend - Removed header
Legend - Made repositionable with selectable top margins
Legend - Removed data name from legend when it is disabled
Legend - Removed border
Original Description by jdehorty :
This script plots major events from the Economic Calendar that often correspond to major pivot points in various markets. It also includes built-in logic to retroactively adjust larger time intervals (i.e. greater than 1 hour) to be correctly aligned with the interval during which the event occurred.
Events are taken from the Economic Calendar and will be updated periodically at the following library:
EconomicCalendar
The above library can be used to conveniently access date-related data for major Meetings, Releases, and Announcements as integer arrays, which can be used in other indicators. Currently, it has support for the following events:
FOMC Meetings
The FOMC meets eight times a year to determine the course of monetary policy . The FOMC's decisions are based on a review of economic and financial developments and its assessment of the likely effects of these developments on the economic outlook.
FOMC Minutes
The FOMC minutes are released three weeks after each FOMC meeting. The minutes provide a detailed account of the FOMC's discussion of economic and financial developments and its assessment of the likely effects of these developments on the economic outlook.
Producer Price Index (PPI) Releases
The Producer Price Index (PPI) measures changes in the price level of goods and services sold by domestic producers. The PPI is a weighted average of prices of a basket of goods and services, such as transportation, food, and medical care. PPI is a leading indicator of CPI .
Consumer Price Index ( CPI ) Releases
The Consumer Price Index ( CPI ) measures changes in the price level of goods and services purchased by households. The CPI is a weighted average of prices of a basket of consumer goods and services, such as transportation, food, and medical care. CPI is one of the most widely used measures of inflation .
Consumer Sentiment Index ( CSI ) Releases
The University of Michigan's Consumer Sentiment Index ( CSI ) is a measure of consumer attitudes about the economy. The CSI is based on a monthly survey of U.S. households and reflects the consumers' assessment of present and future economic conditions. The CSI is a leading indicator of consumer spending, which accounts for about two-thirds of U.S. economic activity.
Consumer Confidence Index ( CCI ) Releases
The Consumer Confidence Index is a survey that measures how optimistic or pessimistic consumers are regarding their expected financial situation.
Non-Farm Payroll (NFP) Releases
The Non-Farm Payroll (NFP) is a measure of the change in the number of employed persons, excluding farm workers and government employees. The NFP is a leading indicator of consumer spending, which accounts for about two-thirds of U.S. economic activity.
Time Based Crypto DayTrade StrategyThis is a time based strategy, designed to enter and exit within the same day of the week, using different hours for entry and exit.
The script is long only direction, and it has no risk management inside, so use it with caution.
At the same time you can also calculate each individual hour return within a certain day, and make your own idea about the best moments to be enter.
In order to filter a bit from the bad trades, I have applied an ATR filter, to check if that volatility is rising in order to help eliminate some of the bad trades when there is no volatility around.
For this example, on BTC, it seems that for the last years, on tuesday and thursday, enterring at the beginning of the daily candle, 01:00hours and exit at 00:00 hours, seems to give positive results giving the idea that can be converted in some sort of edge into our favor.
However dont take this entirelly for granted and conduct your own searches
Ticker vs IndexI was exploring a simple idea how I can visualize the ticker performance against the underlying Index (or any other ticker) performance.
how it works:
When the line is moving up (blue zone), the ticker is performing better than the underlying index (e.g. SPX)(configurable).
When the line is moving down (red zone), the ticker is performing worse than the underlying index.
How to use it:
Use as confirmation always in conjunction with other (main) indicators, avoid "buy" when indicator is in the red zone
Also, crossing over the zero line is often an indication for an upcoming upward move
Try to different SMA length - default is 20 but 10 was often showing better results
(No financial advise, for testing purposes only)
Sigma Expected Movement [D/W/M]Based on the VIX, this indicator shows the expected movement of a stock, ETF or index.
This indicator has two standard deviations that you can set for better guidance.
You can also adjust it for a result in one day, one week or one month.
Settings
* Period
* 1st Deviation: Default 68%
* 2nd Deviation: Default 90%
*Round To Integer: If it checked, it will search for the nearest integer (+/-). Optimal for people who do Options.
*Table Position: refers to which corner you want to put the table with information.
True Accumulation/Distribution (TG fork)An accumulation/distribution indicator that works better against gaps and with trend coloring.
Accumulation/Distribution was developed by Marc Chaikin to provide insight into strength of a trend by measuring flow of buy and sell volume .
The fact that A/D only factors current period's range for calculating the volume multiplier causes problem with price gaps. They are ignored or even misinterpreted.
True Accumulation/Distribution solves the problem by using True Range instead of only relying on current period's high and low.
Most of the time, True A/D reverts to producing the same values as the original A/D. The difference between True A/D and original A/D can be better seen when a gap has occurred, True A/D has handles it better than Accumulation/Distribution which a bearish close in period's range cause it to misinterpret the strong buy pressure as sell volume
The Moving Average Cloud is simply the filling between the moving average and the True A/D. This feature was inspired by D7R ACC/DIST closed-source indicator, kudos to D7R for making such neat visual indicators (but unfortunately all closed source!).
This indicator was made to extend the original work by adding MTF support and a moving average cloud and coloring.
If you like this indicator, please show the original author RezzaHmt some love:
Liquidations by volume (TG fork)Shows actual liquidations on a per-candle basis by using the difference in volume between spot and futures markets.
i.e. volume on a futures market will be much higher if there are many liquidations.
By default, green represents short liquidations (hence a bullish move, hence why it's green), whereas red is for long liquidations (bearish move). The colors can be changed in the settings if you prefer an inverted theme.
Long liquidation data should in theory be more accurate than short liquidation data due to the inability to short on a spot market.
This indicator should be able to help identify trends by determining liquidation points in the chart.
Extended by Tartigradia to automatically detect the symbol (only for crypto assets found on Binance with a USDTPERP pair, so it works for ETH, BNB, etc) and add multi-timeframe support (MTF).
If you like the indicator, please show the original author Thomas_Davison some love:
Synapse Level IndexSynapse Level Index Indicator
This indicator simply allows the user to set their desired "Lookback Period",
and "Lookahead Period" in the Bars Back and Bars Ahead, Pivot Settings. Once
selected, the indicator tracks the highest high from X Bars Ahead, and the
lowest low, from Y Bars Back. Then, the indicator calculates the Mean Value.
Then, the indicator proceeds to draw the High to Low range by Eighths.
Fear and Greed increase at these levels psychologically. Volatility Ensues.
Enjoy,
Mr. Storm
Directional Sentiment LineRepost with explanation and description:
This is a simple SMA based indicator that I have, for lack of a better term, called directional sentiment line.
How it works:
The ribbon/band:
The main band tracks 4 SMAs, the Open, High, Low and Close.
The user can input the length for lookback time, I do 75 and I have it defaulted at 75, however you can do whatever time frame you prefer.
The color of the indicator changes based on the overall trend. Green means an uptrend and red means a downtrend.
When the stock is trading within the band, you generally want to avoid a trend until you see a break out one way or the other. In the image below, you see the green arrow pointing to an area where it re-tests the band but the band remains green to affirm there is support. It then bounces off.
The red arrow, you see that the band is flashing red, meaning that it seems to be losing support and its best to wait for a break out one way or the other prior to taking the trade:
The outer lines:
You will see the two outer bands which generally appear blue while a stock is trading within them.
These are the SMAs of the highest high and lowest low in your defined period (default 75).
They can act as moving targets.
When the colour of one of them changes orange, it means the stock is trading above or below them. If the highest high turns orange, it means the stock is trading high above the bands and highest high SMA. Inverse for the lowest low. See the image below:
The purple arrows are pointing to these max band lines and show how they change colour depending on the location of the highest high.
How to use it:
So I made this simply to give me a reference point for day trades off open. However, looking at the large timeframes, I do see there is quite a lot of potential for larger timeframe analyses as well.
I recommend playing around with it and seeing what you like. But I can give you the rules I use for this as a day trading aid:
My Rules:
1. If stock opens below DSL, wait to see if it will retest. It naturally likes to continually make contact with the DSL line at random intervals:
2. If stock opens above DSL, again wait for re-test:
A hold above DSL = Bullish
A break and hold below DSL = bearish
3. When playing a breakout (sentiment shift from bearish to bullish or vice versa), wait for a retest of the line because frequently, there are fakeouts:
A re-test and bounce off the line confirms a breakout. A re-test and fails confirms a continuation of the predominate sentiment.
For further reference, I have done a tutorial video below:
Let me know your questions, comments and suggestions below!
Thanks!
SPY DXY VIX MonitorIf you like to monitor DXY and VIX while trading SPY this tool is for you. It gives you the price of all three and the direction they are going based on a smoothed derivative. This should help you make trading decisions based on this strategy of monitoring the three much easier as you get a small box on your chart. You can change the location of this on your chart to! I know its a small release but I hope you can find great use with this!
Economic Calendar (Import from Spreadsheet)This script draws vertical lines to mark Economic Calendar Events.
Datetime of events is defined by user in Settings via a standardized line of text.
Motivation for coding this script:
All traders should be aware of economic calendar events. At times, when you really need to pay attention to an upcoming major event, you might even decide to use the vertical-line drawing tool to mark it. However, this takes manual effort.
This script provides a solution to performing mundane tasks such as drawing vertical lines and dragging them ever so slightly, just to have them approximately aligned with exact time.
Parameters:
(1) Source data - String representation of collection of datetime referencing to Economic Calendar Events
(2) Line color, & (3) Width of line - For displaying vertical lines drawn by script.
Standardized format for Source Data :
Example:
If 'GMT;2022,6,1,14,0,0;2022,6,2,12,15,0;' is provided to PineScript, then two vertical lines will be drawn on June 6, 2022 according to the exact time in 'YYYY,MM,DD,hh,mm,ss' format at the specified timezone (GMT in this case).
Template for Source Data :
Included here, link below, is a shared Google Sheet that systematically processes Economic Calendar data provided in the 'Raw Data' tab.
drive.google.com
Users are advised to use their preferred methods* to format the string (for source data param.), and apply their own criteria to sort down the Events. (ie. only include Events of High Impact, etc.)
* Preferred methods (as mentioned above) does not mean being limited to using the template as provided in this post.
Herrick Payoff Index DailyModified to include new daily open interest from CME futures contracts versus old script that only captured weekly data from commitment of traders data. Script can now be used on monthly and continuous contract traded on CME.
ILM CFTC COT Legacy PlotUse this indicator on Daily Timeframe
Please refer to the below link for CFTC Disaggregated COT
www.cftc.gov
This script is very similar to COT Financial Plot indicator except that it plots the data for Futures in Legacy buckets Commercial vs. Non-Commercial
Equity Bond Currency DashboardDepicts demand-flow between Equities, Bonds and Currencies of 6 countries. Useful in tracking the flow of smart money and checking the dynamics of inter-connected markets.
Principle:
DXY lies at the heart of the diagram with usd-currency pairs of 5 countries connected to it. When demand for a currency increases it strengthens against Dollar. This is depicted by a line from DXY to the currency indicating demand flow from Dollar to the currency (DXY is only an indicative symbol for Dollar, the currency may not be part of the dollar index). Similarly when Dollar strengthens against the currency, demand flow is depicted by a line from the currency to DXY. Currency blocks are connected to Equity and Bond Yields of the respective countries. Equities and Bonds, when bought, takes the demand from the respective currencies and vice versa.
Overall, the demand flows in the direction of arrows. The flow is incomplete without commodities, import/export, interest/inflation rates of countries, however, the diagram most of the times explains why an asset class is performing the way it is.
Left side bar of each block is very similar to OHLC candles except for the following -
Instead of wicks, top and bottom of the bar represents high and low for the selected time-frame
Open and close are normalised for high and low
Bar border is red if close < prev.close, green if close >= prev.close
Other notes:
The diagram requires at least 200 bars in the chart to render. Please select the symbol and time-frame that contain at least 200 bars.
The diagram requires a live market to render the flow. To check flows on historical bars, set the option from settings.
Desired indices could be selected for countries of choice. Default settings point to futures wherever possible to have the markets live simultaneously across the countries.
Minervini QualifierThe Minervini Qualifier indicator calculates the qualifying conditions from Mark Minervini’s book “Trade like a Stock Market Wizard”.
The condition matching is been shown as fill color inside an SMA 20day envelope curve.
If the envelope color is red, current close price is below the SMA20 and when blue, current close price is above the SMA20. The fill color can be transparent (not matching qualifying conditions), yellow (matching all conditions except close is still below SMA50), green (all conditions match, SMA200 trending for at least one month up) or blue (all conditions match, SMA200 trending up for at least 5 months)
As I wanted also to see which of the qualifying conditions match over time, I’ve added add. lines, each representing one conditions. If it matches, line color is blue, or red if not. Use the data windows (right side), so you know what line represents which condition. Can be turned on/off (default:on)
In addition, a relative strength is been calculated, to compare the stock to a reference index. It is just one possible way to calculate it, might be different to what Mark Minervini is using. If the shown value (top right) is above 100, stock performs better compared to reference index (can be set in settings), when below 100, stock performs worse compared to reference index. Can be turned on/off (default:on)
How to use it:
For more details, read Mark’s book and watch his videos.
Limitations:
It gives only useful information on daily timeframe
(No financial advise, for testing purposes only)
Stock Market Emotion Index (SMEI)Implementation of Charlie Q. Yang's research paper “The stock market emotion index”, subtitle “A New Sentiment Measure Using Enhanced OBV and Money Flow Indicators”, (2007) where he combined “five simple emotion statistics” - Close Emotion Statistic (CES), Money Flow Statistic (MFS), Supply Demand Statistic (SDS), Relative Strength Statistic (RSS), and Psychological Level Statistic (PLS) - into one indicator.
Quotations:
“The index calculation is solely based on observed short term market volatility as reflected by each day’s trading volume, open, high, low, and close prices”
“The basic premise of Dow theory is that the market discounts everything, including the emotions of all traders. The fundamentals of a company do not change suddenly when its daily stock price is fluctuating as driven by human emotions that are often irrational. However, over a longer time period, a company's fundamentals do change. Again, different types of human emotions, triggered by the flow of material events, are moving the stock price trend up or down. This paper summarizes the author’s attempt in understanding primary trend extent and duration by proposing a new sentiment measure using statistical analysis of stock market human emotion.”
Even though “indicator is intended for identifying primary trend cycles that typically last one year or longer“ where Mr. Yang used a fixed averaging length of 260 days and only days as time frame, my implementation has been changed slightly to accommodate for all time frames and to adapt faster using shorter averaging (timeframe dependent).
How to use it:
Positive values indicating a bullish trend and negative values indicating a bearish trend. Background color is set to green or red accordingly.
Positive and negative bar to bar changes are indicated with green and red to show bar to bar (ultra short term) trends.
(No financial advise, use for testing purposed only)
NSE Sector PerformanceUse this indicator on daily timeframe
This indicator shows the performance of the top NSE Sectors for 4 time periods.
User has the flexibility to define the time periods (ex. Yearly Monthly Quarterly Weekly Daily
indicator shows the performance of the sector for those time periods along with 250d High/Low and distance from the High/Low
User input is provided to drill down into performance of the top stocks in those sectors.
Pro Trading Art - Top N Candle's Gainers/Losers(1-40)Top Gainer/Loser Screener.
Explanation :
With the help of this indicator you can filter top Gainer or Loser in comparison with previous selected range. Suppose you select 5 period inside input tab then this indicator will filter top gainer or losers in 5 days.
Input Parameter:
Timeframe: You can change timeframe of chart. Default timeframe is same as chart.
Period: To select range of candle. Default 5. Means how much price changed in previous 5 candle.
Top : Dropdown option to select top Gainer or Losers
Table Location: Where you want to place your table.
Watchlist Group: You can create watchlist for screener.
Intrabar Efficiency Ratio█ OVERVIEW
This indicator displays a directional variant of Perry Kaufman's Efficiency Ratio, designed to gauge the "efficiency" of intrabar price movement by comparing the sum of movements of the lower timeframe bars composing a chart bar with the respective bar's movement on an average basis.
█ CONCEPTS
Efficiency Ratio (ER)
Efficiency Ratio was first introduced by Perry Kaufman in his 1995 book, titled "Smarter Trading". It is the ratio of absolute price change to the sum of absolute changes on each bar over a period. This tells us how strong the period's trend is relative to the underlying noise. Simply put, it's a measure of price movement efficiency. This ratio is the modulator utilized in Kaufman's Adaptive Moving Average (KAMA), which is essentially an Exponential Moving Average (EMA) that adapts its responsiveness to movement efficiency.
ER's output is bounded between 0 and 1. A value of 0 indicates that the starting price equals the ending price for the period, which suggests that price movement was maximally inefficient. A value of 1 indicates that price had travelled no more than the distance between the starting price and the ending price for the period, which suggests that price movement was maximally efficient. A value between 0 and 1 indicates that price had travelled a distance greater than the distance between the starting price and the ending price for the period. In other words, some degree of noise was present which resulted in reduced efficiency over the period.
As an example, let's say that the price of an asset had moved from $15 to $14 by the end of a period, but the sum of absolute changes for each bar of data was $4. ER would be calculated like so:
ER = abs(14 - 15)/4 = 0.25
This suggests that the trend was only 25% efficient over the period, as the total distanced travelled by price was four times what was required to achieve the change over the period.
Intrabars
Intrabars are chart bars at a lower timeframe than the chart's. Each 1H chart bar of a 24x7 market will, for example, usually contain 60 intrabars at the LTF of 1min, provided there was market activity during each minute of the hour. Mining information from intrabars can be useful in that it offers traders visibility on the activity inside a chart bar.
Lower timeframes (LTFs)
A lower timeframe is a timeframe that is smaller than the chart's timeframe. This script determines which LTF to use by examining the chart's timeframe. The LTF determines how many intrabars are examined for each chart bar; the lower the timeframe, the more intrabars are analyzed, but fewer chart bars can display indicator information because there is a limit to the total number of intrabars that can be analyzed.
Intrabar precision
The precision of calculations increases with the number of intrabars analyzed for each chart bar. As there is a 100K limit to the number of intrabars that can be analyzed by a script, a trade-off occurs between the number of intrabars analyzed per chart bar and the chart bars for which calculations are possible.
Intrabar Efficiency Ratio (IER)
Intrabar Efficiency Ratio applies the concept of ER on an intrabar level. Rather than comparing the overall change to the sum of bar changes for the current chart's timeframe over a period, IER compares single bar changes for the current chart's timeframe to the sum of absolute intrabar changes, then applies smoothing to the result. This gives an indication of how efficient changes are on the current chart's timeframe for each bar of data relative to LTF bar changes on an average basis. Unlike the standard ER calculation, we've opted to preserve directional information by not taking the absolute value of overall change, thus allowing it to be utilized as a momentum oscillator. However, by taking the absolute value of this oscillator, it could potentially serve as a replacement for ER in the design of adaptive moving averages.
Since this indicator preserves directional information, IER can be regarded as similar to the Chande Momentum Oscillator (CMO) , which was presented in 1994 by Tushar Chande in "The New Technical Trader". Both CMO and ER essentially measure the same relationship between trend and noise. CMO simply differs in scale, and considers the direction of overall changes.
█ FEATURES
Display
Three different display types are included within the script:
• Line : Displays the middle length MA of the IER as a line .
Color for this display can be customized via the "Line" portion of the "Visuals" section in the script settings.
• Candles : Displays the non-smooth IER and two moving averages of different lengths as candles .
The `open` and `close` of the candle are the longest and shortest length MAs of the IER respectively.
The `high` and `low` of the candle are the max and min of the IER, longest length MA of the IER, and shortest length MA of the IER respectively.
Colors for this display can be customized via the "Candles" portion of the "Visuals" section in the script settings.
• Circles : Displays three MAs of the IER as circles .
The color of each plot depends on the percent rank of the respective MA over the previous 100 bars.
Different colors are triggered when ranks are below 10%, between 10% and 50%, between 50% and 90%, and above 90%.
Colors for this display can be customized via the "Circles" portion of the "Visuals" section in the script settings.
With either display type, an optional information box can be displayed. This box shows the LTF that the script is using, the average number of lower timeframe bars per chart bar, and the number of chart bars that contain LTF data.
Specifying intrabar precision
Ten options are included in the script to control the number of intrabars used per chart bar for calculations. The greater the number of intrabars per chart bar, the fewer chart bars can be analyzed.
The first five options allow users to specify the approximate amount of chart bars to be covered:
• Least Precise (Most chart bars) : Covers all chart bars by dividing the current timeframe by four.
This ensures the highest level of intrabar precision while achieving complete coverage for the dataset.
• Less Precise (Some chart bars) & More Precise (Less chart bars) : These options calculate a stepped LTF in relation to the current chart's timeframe.
• Very precise (2min intrabars) : Uses the second highest quantity of intrabars possible with the 2min LTF.
• Most precise (1min intrabars) : Uses the maximum quantity of intrabars possible with the 1min LTF.
The stepped lower timeframe for "Less Precise" and "More Precise" options is calculated from the current chart's timeframe as follows:
Chart Timeframe Lower Timeframe
Less Precise More Precise
< 1hr 1min 1min
< 1D 15min 1min
< 1W 2hr 30min
> 1W 1D 60min
The last five options allow users to specify an approximate fixed number of intrabars to analyze per chart bar. The available choices are 12, 24, 50, 100, and 250. The script will calculate the LTF which most closely approximates the specified number of intrabars per chart bar. Keep in mind that due to factors such as the length of a ticker's sessions and rounding of the LTF, it is not always possible to produce the exact number specified. However, the script will do its best to get as close to the value as possible.
Specifying MA type
Seven MA types are included in the script for different averaging effects:
• Simple
• Exponential
• Wilder (RMA)
• Weighted
• Volume-Weighted
• Arnaud Legoux with `offset` and `sigma` set to 0.85 and 6 respectively.
• Hull
Weighting
This script includes the option to weight IER values based on the percent rank of absolute price changes on the current chart's timeframe over a specified period, which can be enabled by checking the "Weigh using relative close changes" option in the script settings. This places reduced emphasis on IER values from smaller changes, which may help to reduce noise in the output.
█ FOR Pine Script™ CODERS
• This script imports the recently published lower_ltf library for calculating intrabar statistics and the optimal lower timeframe in relation to the current chart's timeframe.
• This script uses the recently released request.security_lower_tf() Pine Script™ function discussed in this blog post .
It works differently from the usual request.security() in that it can only be used on LTFs, and it returns an array containing one value per intrabar.
This makes it much easier for programmers to access intrabar information.
• This script implements a new recommended best practice for tables which works faster and reduces memory consumption.
Using this new method, tables are declared only once with var , as usual. Then, on the first bar only, we use table.cell() to populate the table.
Finally, table.set_*() functions are used to update attributes of table cells on the last bar of the dataset.
This greatly reduces the resources required to render tables.
Look first. Then leap.
REVE MarkersREVE stands for ‘Range Extensions Volume Expansions’. It seeks to report the same as the REVE which I published before. However the code uses a different algorithm to find the ‘usual range’ or ‘usual volume’ to which the current range and volume is compared. In the old REVE a function is coded which mimics a median() function..
In this code the median() function provided in pinescript is used, which makes the code of the actual algorithm nice and short in lines 21 through 27
For example line 23: “morevol=ta.median(curvol , usual)*eventnorm” in which
‘morevol ‘ is the calculated level above which the volume is deemed considerable,
‘curvol’ is the current volume (see line 21); curvol the volume of the previous period.
‘usual’ is the lookback period (see line 8)
‘ta.median(curvol , usual)’ is therfore the median volume in the lookback period
‘eventnorm’ is the percent which sets when “normal” becomes “considerable” (see line 6)
In line 26 the same is done for range.
The code in lines 30 to 92, concern logic manipulations to arrive at choosing the appropriate marker, which are plotted in lines 95 through 136.
Using the shapes as provided by Pinescript offers the possibility to give a much better and more meaningful visualization of volume and range events than different colored columns and histograms in the ‘old’ REVE in the below panel (see example chart).
Using the Pinescript function to find the median opens the possibility of letting the user play in the inputs with the lookback period and the norms for considerable and excessive to find a setting he or she likes most.
Using median in stead of average is necessary in volume and range analysis because these are so volatile. E.g. range or volume can be 10 times larger in the next period! If you have a few excessive volumes or ranges in the lookback period the ‘average volume or range’ is much higher than the ‘usual volume or range’ In statistics this is referred to as the outlier problem.
The markers are located on the bottom of the instrument pane. Those indicating volume events (with ‘event’ I mean a considerable or excessive expansion or extension) are colored triangles or squares, triangles indicate direction, squares that the price stays the same. those indicating range events with ‘normal’ volume are crosses, plus-cross means considerable range event and x-cross is excessive event.
The red, fuchsia and maroon triangles and squares indicate a combination of volume and range events. I call this ‘effective volume’ because more trade leads to shifting prices. The green and blue triangles and squares indicate a volume event with ‘normal’ ranges. I call this ‘ineffective volume’ because more volume does not lead to price shits. Effective volume can be attributed to occasional traders, because these do not care much for the price effect of their orders. The ineffective volume is attributable to institutional traders, because these go to great length to hide the size of their selling or buying objective by trading many small amounts in a day. Therefore one can theorize that ‘smart money’ is active when green and blue markers show up.
There is an option in the inputs to show markers around the candles (or bars). Those above indicate volume events, plus-cross for considerable and x-cross for excessive volume.
Those below the candles (or bars) indicate range events, triangles for direction or a plus-cross when the price stays the same. The small ones indicate considerable range events and the big ones excessive range events. This option can be used for better understanding of the colors of the bottom markers or to check which marker applies to which candle or bar.
If the instrument is without volume, the indicator will show only range markers.
Have fun and take care.
Generalized Bollinger Bands %B And Bandwidth (Tartigradia)Bollinger Band is simply a representation of the rolling average of price and its standard deviation around the average (called the "basis").
This indicator generalizes the Bollinger Band by implementing many different equations to calculate the Bollinger Bands beyond the standard deviation and sma, and then plot the %B (where the current price falls inside the Bollinger Band), Bandwidth (size of the Bollinger Band) as well as the Bollinger Band itself and a reproduction of the OHLC price candles in a separate pane.
Whereas other Bollinger Bands indicators often just change the basis but not the stdev calculation, the correct way to change the basis is to also change it inside the stdev calculation.
Advanced features such as temporal discounting (ie, newer bars can have more weights), median absolute deviation and multiple sigma bands (eg, 3-sigma) are available.
Up to 3 different Bollinger Bands can be displayed, and the background can be highlighted when price is overbought/oversold (beyond the Bollinger Band of choice). Tip: BB3, which is the bollinger band with standard deviation of 3, which represents 99% of observed values in the lookback period, is a good choice to highlight overbought/oversold conditions.
Three "Sentiment Bars" are provided to see at a glance the sentiments on the price action relative to the Bollinger Bands as reflected by the %B value.
Usage:
Use the %B as a measure of sentiment: bullish if > 0.5, bearish if < 0.5. You can use the Sentiment Bars at the bottom for a quick reference: aqua if bullish, red if bearish, gray if undefined (too close to the middle line).
Use the bandwidth as a measure of volatility: higher is more volatile, lower is less.
When overbought, it can be a good time to sell/short. Use a higher Bollinger Band Multiplier such as 3 or more to reduce false positives.
When oversold, it can be a good time to buy/long. Use a higher Bollinger Band Multiplier such as 3 or more to reduce false positives.
Consider setting a much tighter lookback period of 4 as recommended in backtested works (en.wikipedia.org), use zlma instead of sma, and finally set a higher timeframe for the Bollinger Bands than the one you are currently studying. Then, the Bollinger Bands can help in detecting overbought and oversold regions (price going "out of bands").
Note that I tried to automate the setting of a higher timeframe, but for some reason the output is different when I manually do it using request.security() than when it's in indicator(timeframe=""). If someone has any suggestion as to why it happens, please let me know! (You can try it for yourself by uncommenting the auto_timeframe parameter line).
Implied Volatility Suite (TG Fork)Displays the Implied Volatility, which is usually calculated from options, but here is calculated indirectly from spot price directly, either using a model or model-free using the VIXfix.
The model-free VIXfix based approach can detect times of high volatility, which usually coincides with panic and hence lowest prices. Inversely, the model-based approach can detect times of highest greed.
Forked and updated by Tartigradia to fix some issues in the calculations, convert to pinescript v5 and reverse engineered to reproduce the "Implied Volatility Rank & Model Free IVR" indicator by the same author (but closed source) and allow to plot both model-based and model-free implied volatilities simultaneously.
If you like this indicator, please show the original author SegaRKO some love:
Big Whale Purchases and SalesBig Whale Purchases and Sales - plots big whale transactions on your chart!
People that hold more than 1% of a crypto currencies circulating supply are considered whales and have a huge influence on price, not just because they can move the market with their huge transactions, but also because other traders often track their wallets and follow their example. Taking a look at whale holdings, one can see why whale worship is so common in crypto: While Bitcoin has a relatively low whale concentration, many of the Top 100 Cryptocurrencies have whales control 60% or more of their circulating supply.
Integrating IntoTheBlock data, this script plots the transactions of these whales and, in strategy mode, copy trades them.
Features:
Strategy Mode: Switches the script between an indicator and a strategy.
Standard Deviations: The number of Standard Deviations that a transaction needs to surpass to be considered worth plotting. Setting this to 0 will show all whale transactions, higher settings will only show the biggest transactions.
Blockchain: The Chain on which Whale activity is tracked.
