Anchored Three Sigma RangeThis indicator serves to display the standard deviation model based on open price from the selected anchored timeframe. Per statistics the price may stay within the three sigma range most of the time, most significantly within first sigma range 68% of the time.
If price breaks the statistical probabilities and out of the three sigma range entirely it could be considered anomalous and perhaps useful for trade planning, use the fib extensions in various ways to have dynamic profit targets, support or resistance.
How is this different
This indicator differs from others in that I've not really seen any others generating solely horizontal levels, anchored from open price and including fib extensions.
How to use
To use this indicator add to the chart, select anchor timeframe, fib display mode and adjust style to liking. Depending on trade plans use the range breaks, consolidations or fib extensions as required.
One could utilize range consolidation for advanced options neutral trades, range breaks for scalping directionally or high fib extensions for rejection based trades. Based on timeframe anchorage there could be some really amazing combinations for any style of trading, comment any unique findings!
What markets
This indicator can be used on anything that has a price :D
Conditions
Any condition is applicable.
Sigma
Outliers Detector with N-Sigma Confidence Intervals (TG fork)Display outliers in either value change, volume or volume change that significantly deviate from the past.
This uses the standard deviation calculation and the n-sigmas statistical rule of significance, with 2-sigma (a value of 2) signifying that the observed value is stronger than 95% of past values, and 3-sigma 98.5% of past values, and so on for higher sigma values.
Outliers in price action or in volume can indicate a strong support for the move, and hence potentially more moves in the same direction in the future. Inversely, an insignificant move is less likely to be supported. And of course the stronger, the more support.
This indicator also doubles as a standard volume indicator if volume is selected as the source, but with the option of highlighting outliers.
Bars below significance can be uncolored (gray) to unclutter the visuals.
Differently to almost all other similar indicators, the background highlighting is dynamical, so that all values will be highlighted differently, not just 2-sigma or 3-sigma, but also 4-sigma, 5-sigma, etc, with a different value of transparency.
The dynamical transparency value can be calculated in two ways: either statically proportionally to the n-sigma but capped at 10-sigma, or either as a ratio relative to the highest observed sigma value over the defined lookback period (default: 300).
If you like this indicator, which is an extension of previously published indicators, please give some love to the original authors:
* tvjvzl :
* vnhilton :
This extension, authored by Tartigradia, extends tvjvzl's indi, implements vnhilton's idea of highlighting the background, and go further by adding dynamical background highlighting for any value of sigma, add support for volume and volume change (VolumeDiff) as inputs, add option to uncolor insignificant bars, allow plotting in both directions and more.
Historical Volatility Close to Close VS High to LowClose to Close Volatility VS high to low, to evaluate volatility regimes.
Both are Volatilities of 40 periods (Modifiable), calculated on 252 days (Average trading days in the American market) (Also modifiable in the case of cryptocurrency analysis).
The Moving Average is a 20 periods (Modifiable) Simple Moving Average of the average of both volatilities.
Blue = Close to Close Volatility
Green = High to Low Volatility
Orange = Moving Average
Volatilidad Close to Close VS High to Low, para evaluar regimenes de volatilidad historica.
Ambas son Volatilidades de 40 periodos (Modificable), calculadas sobre 252 dias (Promedio de dias operables en el mercado americano)(Tambien modificable para el caso de analisis de criptomonedas).
La Media movil, es una media movil Simple de 20 periodos del promedio de ambas volatilidades.
Azul = Volatilidad Close to Close
Verde = Volatilidad High to low
Naranja = Media Movil
Aqua Flow ChartAqua Flow Chart by Angel Algo
Aqua flow chart (AFC) is a new chart type that not only displays price in an efficient way but also performs statistical analysis of price moves. It filters out noise and shows buy and sell signals.
Signals generated by AFC often are leading ones. This means they allow to forecast future movement of the price before it begins.
How does it work?
AFC does not show open and close for each bar, it only shows the price range of the bar i.e. its diapason between the high and the low. The reason is, that most types of orders including SL and TP are being executed on price touch. So, in terms of triggering orders the price range of the bar is the only thing that matters.
For each bar AFC measures the price move within this bar (current close minus previous close) and compares it to the mean price movement within one bar for this time frame. If it is significantly higher than the mean movement and exceeds it by a certain number of standard deviations specified in the Threshold parameter, then the range of this bar is being colored as red or green, depending on the direction of the price movement in this bar. If the movement of the price is less than the threshold value the bar’s range is colored in blue.
Financial analysts call bars in which the price movement is higher than the mean price movement for this time frame by N standard deviations N-sigma moves. You can see 1-2-sigma moves quite often. More than 5-sigma moves are extremely rare and correspond to market shocks caused by some unexpected news and events.
In terms of this financial jargon you can think of Threshold parameter of AFC as of number of sigma that a price move of a bar should exceed for this bar to be colored in green or red.
Higher sigma moves in most cases carry some information cause they statistically can not be described by a some sort of market noise. There are evidences that if a high sigma move occurs it may be a leading predictor for the future trend.
If you set Threshold parameter to be equal or more than 1.5 then you can consider the red and green colored bars to be buy and sell signals. The greater value you set for the Threshold parameter the stronger will these signals be, but at the same time they will occur more rarely.
The default value for the Threshold parameter is 1.5 which works good for many markets. You can adjust the value of this parameter to find the optimal sensitivity for the signals. You can set the values from the range 1-7. The less the value is the more colored bars you get, but the less strong are the signals given by these bars.
Please drop a comment if you have any questions and a like if you find this useful!
Outlier Detector with N-Sigma Confidence IntervalsA detrended series that oscilates around zero is obtained after first differencing a time series (i.e. subtracting the closing price for a candle from the one immediately before, for example). Hypothetically, assuming that every detrended closing price is independent of each other (what might not be true!), these values will follow a normal distribution with mean zero and unknown variance sigma squared (assuming equal variance, what is also probably not true as volatility changes over time for different pairs). After studentizing, they follow a Student's t-distribution, but as the sample size increases (back periods > 30, at least), they follow a standard normal distribution.
This script was developed for personal use and the idea is spotting candles that are at least 99% bigger than average (using N = 3) as they will cross the upper and lower confidence interval limits. N = 2 would roughly provide a 95% confidence interval.
Sigma Spikes [CC]Sigma Spikes were created by Adam Grimes and this is one of the best volatility indicators out there. This indicator not only gives you positive or negative volatility but with my version I can identify any sudden changes from the underlying trend. Buy when the line turns green and sell when it turns red.
Let me know if there were any other indicators you wanted to see me publish!
Enhanced Sigma by Cryptorhythms [CR]Enhanced Sigma by Cryptorhythms
Sigma is basically the deviation of returns compared to past returns. The higher / lower the value, shows you how deviated from the average this current bars returns are.
While perhaps not usable as a complete strategy for entering and exiting, its still quite useful and informative. It can give interesting signals as to potential turning points in price action. This behavior extends to all timeframes both long term and short term.
There are 2 overbought and oversold zones here inthe indicator. One is adaptive and will change to suit the shorter term giving your extra potential signals. The fixed line shows a general level for highly deviated values.
Expect a number of further totally unique and exclusive sigma based indicators from CR in the near future. We are nowhere near done extracting the alpha from this concept!
How to get access
This indicator is available for standalone purchase or as part of our subscription options. Please see my signature or profile for more information or contact me directly.
Indices Sector SigmaSpikes█ OVERVIEW
“The benchmark Dow Jones Industrial Average is off nearly 300 points as of midday today...”
“So what? Is that a lot or a little? Should we care?”
-Adam H Grimes-
This screener aims to provide Bird-Eye view across sector indices, to find which sector is having significant or 'out-of-norm' move in either direction.
The significance of the move is measured based on Sigma Spikes, a method proposed by Adam H. Grimes, where Standard Deviation of returns used as a baseline.
*You can google his blog or read his book, got some gold in there, especially on how he use indicators for trading
█ Understanding Sigma Spikes
As described by Grimes, moves in markets are only meaningful when we consider what “normal” is for that market.
Without that baseline, the daily change number, and even the percent change on the day doesn’t really mean much.
To overcome that problem, Sigma Spikes, as a measure of volatility, attempt to put todays change in price (aka return) in context of the standard deviation of 20 days daily's return.
Refer chart below:
1. The blue bars refer to each days return
2. The orange line is 1 time standard deviation of past 20days daily's return (today not included)
3. The red line is 2 time standard deviation of past 20days daily's return (today not included)
Using the ratio of today's return over the Std Deviation, determining your threshold (1,2,3,etc) will be the key that tells if today's move is significant or not.
*Threshold referring to times standard deviation, and different market may require different threshold.
*20 Days period are based on the Lookback Period, adjustable from user input window.
█ Features
- Scan up to 13 symbols at a time (Bursa (MYX) indices are defaulted, but you may change to any symbols/index from the user input setting)
█ Limitation
- Due to multiple use of security() function required to call other symbols, expect the screener to be slow at certain times
- Custom Timeframe currently accept only Daily and Weekly. I'll try to include lower timeframe in the next update
█ Disclaimer
Past performance is not an indicator of future results.
My opinions and research are my own and do not constitute financial advice in any way whatsoever.
Nothing published by me constitutes an investment recommendation, nor should any data or Content published by me be relied upon for any investment/trading activities.
I strongly recommends that you perform your own independent research and/or speak with a qualified investment professional before making any financial decisions.
Any ideas to further improve this indicator are welcome :)
Indicator IntegratorHere is a light piece of code, The Indicator Integrator. It sums up a function (like an integral for you calculus folks). Unlike the 'cum' function that does a million bars of look back you can change the look back period, like limits of integration.
Built in is a difference of the close from an SMA. And there is an ROC. By changing what is summed up in the loop you can sum up the differences from the SMA or sum up the ROC. Pick your SMA length/ROC length. Then pick your look back period of how much to add up (bars to add up). There is a built in SMA smoother of three bars on the final summation.
Comments welcomed
High Low Envelope SigmaDescription:
High and Low Envelope channel with median line and 'sigma' offsets to try and encapsulate price flow and quickly locate likely areas of support and resistance on the fly.
