Didi Index Improved with QQE | jhI was perplexed by the lack of continuation signals in trends, so I spent some time looking for a suitable indicator just for that purpose and fast indicators that can provide continuation signals tend to be too noisy as well.
I'm always intrigued by QQE (Qualitative Quantitative Estimation), so I QQE-ed almost everything I encountered.
After a while, I settled on Didi Index and enhanced it by adding an additional signal line calculated from QQE trailing line. The QQE trailing line provides additional cross overs for the short/fast Didi line, specially created for the NNFX continuation signals in the same direction.
The QQE trailing line acts as zero cross, providing an additional filter for ranging periods.
There's a few ways of identifying the cross overs:
Didi cross overs signals are highlighted with shapes at the top.
Didi long signal when fast and slow Didi crosses above zero
Didi short signal when fast and slow Didi crosses below zero
Continuation signals are highlighted with shapes at the bottom.
Continuation long signal when Didi fast line cross over QQE trailing line
Continuation short signal when Didi fast line cross under QQE trailing line
Example of continuation trades
Example of filtering bad signals from your baseline, confirmation or continuation signals.
Credits to Glaz and Shizaru for their QQE code.
Trend
T-Step LSMAIntroduction
The trend step indicator family has produced much interest in the community, those indicators showed in certain cases robustness and reactivity. Their ease of use/interpretation is also a major advantage. Although those indicators have a relatively good fit with the input price, they can still be improved by introducing least-squares fitting on their calculations. This is why i propose a new indicator (T-Step LSMA) which aim to gather all the components of the trend-step indicator family (including the auto-line family).
The indicator will use as a threshold the mean absolute error between the input and the output (T-Channel) scaled with the efficiency ratio (Efficient Trend Step) while using least squares in order to provide a better fit with the price (Auto-Filter).
The Indicator
The interpretation of the indicator is easy, the indicator estimate an up-trending market when in blue, down-trending when in orange, the signal only depend on the trend-step part ( b in the code).
length control the period of the efficiency ratio as well as any components in the lsma calculation. The efficiency ratio allow to provide adaptivity, therefore the threshold will be lower when market is trending and higher when market is ranging.
Sc control the amount of feedback of the indicator, a value of 1 will use only the closing price as input, a value of 0.5 will use 50% of the closing price/indicator output as input, this allow to get smoother results.
It is possible to get the non-smooth version of the indicator by checking "No Smoothing".
This allow the indicator to filter more information.
Least Squares Smoothing - Benefits
One could ask why introducing least squares smoothing, there are several reasons to this choice, we have seen that trend-step indicators are boxy, they filter most of the variational information in the price, introducing least squares smoothing allow to gain back some of this variational information while providing a better fit with the price, the indicator is more noisy but also more practical in certain situations.
For example the indicator in its boxy form can't really be useful as input for other indicators, which is not the case with this version.
Relative strength index of period 14 using the proposed indicator as input.
Down-Sides
The indicator is dependent on the time frame used, larger time frames resulting in an indicator overfitting, sticking with lower time frames might be ideal. The indicator behavior might also change depending on the market in which it is applied.
Setting Up Alerts For The Indicator
Alerts conditions are already set, in order to create an alert based on the indicator follow these steps :
Go to the alert section (the alarm clock) -> create new alert -> select T-Step LSMA in condition -> Below select Up or Dn (Up for a up-trending alert and Dn for a down-trending alert)
In option select "once per bar close", change the message if you want a personalized message.
Conclusion
I don't think i'll post other indicators related to the trend-step framework for the time to comes, nonetheless the ones posted proven to have interesting results as well as many upsides. Although i don't think they would generate positive long-terms returns they could still be of use when using smarter volatility metrics as threshold. The proposed indicator conserve more information than its relatives and might find some use as input for other indicators.
Recommended Use Of The Code
Although i don't put restrictions on the code usage, i still recommend creative and pertinent changes to be made, graphical changes or any minor changes are not necessary, remember that such practice is disrespectful toward the author, you don't want to load up the tradingview servers for nothing right ?
Support Me
Making indicators sure is hard, it takes time and it can be quite lonely to, so i would love talking with you guys while making them :) There isn't better support than the one provided by your friends so drop me a message.
Regression Channel [DW]This is an experimental study which calculates a linear regression channel over a specified period or interval using custom moving average types for its calculations.
Linear regression is a linear approach to modeling the relationship between a dependent variable and one or more independent variables.
In linear regression, the relationships are modeled using linear predictor functions whose unknown model parameters are estimated from the data.
The regression channel in this study is modeled using the least squares approach with four base average types to choose from:
-> Arnaud Legoux Moving Average (ALMA)
-> Exponential Moving Average (EMA)
-> Simple Moving Average (SMA)
-> Volume Weighted Moving Average (VWMA)
When using VWMA, if no volume is present, the calculation will automatically switch to tick volume, making it compatible with any cryptocurrency, stock, currency pair, or index you want to analyze.
There are two window types for calculation in this script as well:
-> Continuous, which generates a regression model over a fixed number of bars continuously.
-> Interval, which generates a regression model that only moves its starting point when a new interval starts. The number of bars for calculation cumulatively increases until the end of the interval.
The channel is generated by calculating standard deviation multiplied by the channel width coefficient, adding it to and subtracting it from the regression line, then dividing it into quartiles.
To observe the path of the regression, I've included a tracer line, which follows the current point of the regression line. This is also referred to as a Least Squares Moving Average (LSMA).
For added predictive capability, there is an option to extend the channel lines into the future.
A custom bar color scheme based on channel direction and price proximity to the current regression value is included.
I don't necessarily recommend using this tool as a standalone, but rather as a supplement to your analysis systems.
Regression analysis is far from an exact science. However, with the right combination of tools and strategies in place, it can greatly enhance your analysis and trading.
Trend-Corrected EMAEMA is a lagging indicator, but we can do better by correcting it with its first and second derivative, which may be more theoretically sound than how DEMA and TEMA are trying to achieve the same.
[Maco] PUELL MULTIPLEReverse formulated what the closed source version is and releasing open source publicly to give back to the community.
If you have any questions feel free to join our Discord!
Running Equity - A New Indicator For Optimal Markets DetectionIntroduction
Winning trades and gaining profits in trading is not impossible, however having gross profits superior to gross losses is what make trading challenging, it is logical to think that it is better to open a position when the probability of winning the trade is high, such probability can’t be measured with accuracy but a lot of metrics have been proposed in order to help determining when to open positions, technical analysis support the fact that a trending market is the best market condition for opening a position, which is logical when using a trend following strategy, therefore a long-term positive auto-correlated market is optimal for trading, this is why this paper present a new method for detecting optimal markets conditions in order to open a position.
The Indicator
The proposed indicator is based on the assumption that positive returns using a trend following strategy are a strong indication of trend strength, the proposed indicator is built from the conditions of a simple SMA cross trend following strategy, which are to go long when price > SMA and to go short when price < SMA. Then the equity from those conditions is built, in order to provide a more flexible indicator, length control the period of the sum.
When the indicator is positive it means that the market allow for potential returns, it can thus be considered being trending. Else a negative value of the indicator indicate a ranging market that won't allow for returns.
Filtering Bad Trades
The indicator can be used to filter bad trades entries, in this example a Bollinger band breakout strategy is used, without any changes the strategy return the following equity on EURUSD
The proposed indicator is then applied with the following conditions : buy and sell only if Req > 0
With an indicator period = 100 we filtered unprofitable trades.
Conclusion
I presented a new indicator for the detection of optimal markets based on a running equity. I hope both indicators may find applications in technical analysis and help investors get pertinent outputs from them.
it would mean a lot if you could read the original paper : figshare.com
QuarryLake v4As some of you requested, I will make the code for QuarryLake Open for you all.
I have also updated the script in version 4.
This strategy consists of 3 indicators that I found works quite well together.
Keltner Channel, Waddah Attah Explosion, and Volatility Stop .
KC Period = 200
KCATR = 5
Vstop Period = 3
Vstop Mult = 1.5
Long when close > KC, close > Vstop, WAE trendUp
Short when close < KC, close < Vstop, WAE trendDown
Works well on BTCUSD XBTUSD , as well as other major liquid Pair.
This strategy utilized a modified Kelly position sizing for BTCUSD Bitstamp , feel free to modify it to your needs.
And lastly,
Save Hong Kong, the revolution of our times.
Efficient Trend Step ModThis is my mod of a wonderful script by alexgrover. See his comprehensive description of the logic behind the script at his page at
Added are labels, alerts and selection of periods among (mainly;)) fibo numbers.
SELO Triangular WaveBased on master indicator creator @AlexGrovers scripts i just combined some of his work.
Result depends on settings and pairs and is not forward tested yet although the backtest can give some good results.
Efficient Trend Step - Spotting Trends EfficientlyIntroduction
The trend-step indicator (or auto-line) was based on volatility and aimed to spot trends in an adaptive way, however the indicator was only based on volatility and didn't gave much attention to the trend, later on i would publish an efficient version of it (efficient auto-line) based on the efficiency ratio who could adapt to the trend and eliminate potential whipsaws trades, however this approach included many settings that would require changes if the user switched markets, which reduce the utility of the indicator and make it actually super inefficient.
This is why i had to propose this indicator who remove all the flaws the efficient auto-line had without removing the core idea of it.
The Indicator
The indicator is based on recursion, when the price is superior/inferior to the indicator precedent value +/- volatility metric, then the indicator is equal to the closing price, this allow the indicator to fit the price relatively well. The volatility metric used is based on 2 standard deviations, one fast and one slow and the efficiency ratio, basically when price is trending the volatility metric will be closer to the value of the fast standard deviations, which would allow the indicator to be closer to the price, else the metric will be closer to the slow standard deviation which restrain the indicator from changing, therefore the volatility metric act as a threshold.
length control the period of the efficiency ratio, lower values of length will result in a volatility metric way closer to the fast standard deviation thus making the indicator more inclined toward making false signals.
Lower values for slow will make the indicator more reactive.
The indicator can be reactive but can also be really conservative, thus even remaining unchanged in some contrary movements of the main trend, this is called robustness and has its pro's and con's.
Conclusion
The trend-step indicators family might get to an end, or not, nonetheless they can provide precise entries and be extremely robust, which is great. Using low settings might prove to be useful to remove some noise. I hope this version find its use amongst the community. Thanks for reading !
Lancelot Band - ATR Reversal+Trending IndicatorThis is an indicator I created recently, with the mind of spotting where price might reverse and where the price is trending. You can see this as the primary indicator for your system, however, it is recommended you use this in conjunction with other confirmation indicators.
This script focus solely on ATR or Average True Range.
This indicator is the combination of the baseline from the Ichimoku cloud and the concept of the Keltner channel.
Baseline period = 14
ATR period = 14
ATR Mult = 1.5
For reversal
Long when price crossover Lower band & Stop loss at xLower band
Sell when price crossunder Upper band & Stop loss at xUpper band
For Trend Following
Long when price crossover xUpper band and Stop loss at Upper band
Short when price crossunder xLower band and Stop loss at Upper band
Again, you will need other indicators to help you to succeed in this system. This indicator will not generate the best exit for your position but will generate a good entry signal when you use it with both volume indicator and exit indicator.
Works well on BTCUSD XBTUSD, as well as other major liquid Pair.
Feel free to follow me on Twitter @Lancelot_Auger for more free Alpha.
Please acknowledge my effort by like and follow.
And lastly,
Save Hong Kong, the revolution of our times.
Forecast Oscillator & Point of ForceThis is a scaled version of the Forecast Oscillator, paired with a Point of Force Indicator, my modification of an indicator, whose original name and developer happened to be missing on my notes, so my regards to the author).
Point of force is a spot from where price action will dynamically evolve in the same direction or soon reverse and pursue that reversed path. It may be an indication of a turning point or entry point to consider going long/short and should be use together with a background oscillator showing a prevailing local trend.
Smart Labelling - Candlestick ChartingThis is a full-fledged implementation of a system presented in an unique research paper 'Profitability of Candlestick Charting Patterns in the Stock Exchange of Thailand' (2017) on candlestick charting, candlestick patterns, trend identification methods, and testing.
You can easily find this paper in the Web. For example, visit: www.researchgate.net
This script is best suited for middle-to-higher time frames. Possible future developments: trend identification and factor calculation techniques.
Donate: PayPal (paypal.me)
HMA-Kahlman Trend, DifferenceFilter & TrendlinesThis update to the previous HMA-Kahlman Trend, Clipping & Trendlines script features the same structure with the three modules:
- Trendlines module,
- NEW Winsorizing submodule using difference-based filtering.
- HMA-Kahlman Trend module.
The Winsorizing submodule filters signals by a volume level, eliminating the ones with the volume below a threshold. This module substitutes the previous 'low-level' filtering implementation. This time it filters out based on difference between scaled volume and its moving average.
Tested with BTCUSD.
B-Xtrender @PuppytherapyI have recreated a trend following indicator published in IFTA Journal by Bharat Jhunjhunwala. It is mainly to be traded on big timeframes.
For anyone looking into the indicators please have in the source below where logic behing the indicator is nicely explained.
ifta.org
The only thing I added is a T3 moving average with momentum shift signals for earlier signals in some cases.
Mean Reversion IndicatorThis is a mean reversion indicator that anticipates a local trend reversion. Basically, it is a channel with the mid-line serving as a moving mean baseline. Each of the two curves run up and down within this channel bouncing off from the top and bottom bounds. Touching the bounds serves as an indication of a local trend reversal. The reversal signal is stronger when there exists a resonance (symmetry) in the two curves. The background histogram shows a Karobein oscillator that contributes support or resistance for the signal.
HMA-Kahlman Trend & TrendlinesThis script utilizes two modules, Trendlines module (by Joris Duyck) and HMA-Kahlman Trend module. Trendlines module produces crossovers predictive of the next local trend.
Chop FilterIt is common knowledge that most traders lose money by leaving trends too early and not letting profits run. Chop Filter attempts to paint over wrong-colored candles which might psychologically cause traders to bail off the trend. It also tries to detect potential trend reversals (experimental).
How it works. Chop Filter highlights wicks with a shaded background based on close relative to a volume-weighted moving average (vwma). If it closes up, or if there are higher lows, it shades the background blue. If it closes down, or there are lower highs, it colors the background red. Finally, it shows a big arrow indicating the direction prices are headed, based on the vwma. The arrow helps me to consider where prices might go, and play out different scenarios, rather than being a true prediction. In fact, it is often wrong when there is a lot of volatility, which can also be a good thing.
I find the shaded background has a calming effect that reduces stress. It also helps identify trends in the wicks that are otherwise difficult to see.
There are some other options to play with, such as highlighting narrowing or widening price action in yellow or optionally showing the vwma .
Have fun!
RSI [xdecow]RSI MTF
Options:
-MA
-RSI from another timeframe
-Uptrend/Downtrend zone
-barcolor based on RSI trend
Hull-Kahlman Trend with AlertsThis update is meant for those who do not want to dig into the code.
Also:
- modified hma3 function
- modified kahlman function
- edited for readability
- added alerting
Chaikin Oscillator HystogramThis indicator shows an hystogram with the Chainkin Oscilator values, with color changes in function of the direction (up/down) . Also show the 0 crossovers, up and down.
Chaikin Oscillator gets its name from its creator, Marc Chaikin.
The Chaikin Indicator applies MACD to the accumulation-distribution line rather than closing price.
For me it's very usefull to identify (or confirm) trends up and trends down.
All my published scripts:
es.tradingview.com
