Seite 24 | Empfohlene Scripts — Trading- und Investment-Scripts

BERLIN Range Index | Bar color version The original problem: The choppiness index is great at finding ranging markets, but it is sometimes very slow, which means most of the time it only catches the end of a trend. This indicator tries to solve this. It uses the choppiness index and filters it using a factor that is based on the standard deviation of the ATR. The ATR based filter is calculated by first calculating the running standard deviation of the ATR, and then looking at that in relation to its recent low to find a filtering factor to use on the choppiness index. This makes the choppiness index more reactive to trends, but also slightly more likely to missidentify ranges. This is the bar color version of the indicator. It changes the color of the bars when it it thinks the market is ranging and when it thinks it is trending. Yellow = Trending Transparent gray = Ranging

Grover Llorens Activator Strategy Analysis The Grover Llorens Activator is a trailing stop indicator deeply inspired by the parabolic SAR indicator, and aim to provide early exit points and reversal detection. The indicator was posted not so long ago, you can find it here : Today a strategy using the indicator is proposed, and its profitability is analyzed on 3 different markets with the main time frame being 1 hour, remember that lower time frames involve lower absolute price changes, therefore we are way more affected by the spread, and we can require a larger position sizing depending on our investment target, trading higher time-frames is always a good practice and this is why 1 hour is selected. Based on the result we might make various conclusions regarding the indicator accuracy and might have ideas on future improvements of the indicator. I'am not great when it comes to strategy design, i still hope to share correct and useful information in this post, let me know your thoughts on the post format and if i should make more of these. Setup And Rules The analysis is solely based on the indicator signals, money management isn't taken into account, this allow us to have an idea on the indicator robustness and resilience, particularly on extremely volatile markets and ones exhibiting a chaotic structure, altho it is normally good practice to close any position before a market closure in order to avoid any potential major gaps. The settings used are 480 for length and 14 for mult, this create relatively mid term signals that are suited for a trend indicator such as the Grover Llorens Activator, unfortunately we can't infer the indicator optimal settings, thats how it is with any technical indicator anyway. Here are the rules of our strategy : long : closing price cross over the indicator short : closing price cross under the indicator We use constant position sizing, once a signal is triggered all the previous positions are closed. Description Of The Statistics Used Various statistics are presented in this post, here is a brief description of the main ones : Percent Profitability (higher = better): Percentage of winning trades, that is : winning trades/total number of trades × 100 Maximum Drawdown (lower = better) : The highest difference between a peak and a valley in the balance, that is : peak - valley , in percentage : (peak - valley)/peak × 100 Profit Factor (higher = better) : Gross profit divided by gross loss, values under 1 represent gross losses superior to the gross profits Remember that more volatility = more risk, since higher absolute price changes can logically cause larger losses. EURUSD The first market analyzed is the Forex market with the EURUSD major pair with a position sizing of 1000 units (1 micro lot). Since October EURUSD is not showing any particular strong trend but posses a discrete rising motion, fortunately cycles can be observed. The equity was rising until two trades appeared causing a decline in the equity. Before October a bearish market could be observed. We can see that the equity is rising, the trend still posses various retracements that affect our indicator, however we can see that the indicator totally nail the end of the trend, thats the power of converging toward the price. In short : $ 86.63 net profit 340 closed trades 37.65 % profitable (thats a lot of loosing trades) 1.19 profit factor $ 76.67 max drawdown Applying a spread would create negative results (in general the average spread is used), not a great start... BTCUSD The cryptocurrency market is relatively more volatile than others, which also mean potentially higher returns, we test the indicator using certainly the most traded cryptocurrency, BTCUSD. We will use a position sizing of 1 unit. In the case of BTCUSD the strategy balance is relatively stationary around the initial capital, with of course high dispersion. from september to december the market is bearish with various ranging periods, no apparent cycles can be observed, except maybe in the ranging period of october, this ranging period is followed by a non linear trend (relatively parabolic) that the indicator failed to capture in its integrity (this is a recurrent problem and it is starting to piss me off xD). In short : $ 2010.64 net profit (aka how i bet the crypto market) 395 closed trades 38.23 % profitable 1.036 profit factor $ 5738.01 max drawdown (aka how i lost to the crypto market) AMD AMD stand for Advanced Micro Devices and is a company focused on the development of computer technology, i love the microprocessor market and i really like AMD who start this year in a pretty great way with a net bullish trend. The performance of the indicator on AMD is decent (at last !) with the equity producing many new higher highs. The indicator performance still drop in the middle end of 2019 with a large equity drawdown of 17$ caused by the gap of august 8. Unfortunately AMD, like lot of well behaving stocks can only tells us that the indicator has good performances on heavily trending markets with no excess of noise or chaotic structures. In short : $ 17.86 net profit (Enough for a consistent lunch) 295 closed trades 36.27 % profitable 1.414 profit factor $ 10.37 max drawdown. Conclusion A strategy using the recently proposed Grover Llorens activator has been presented. We can easily conclude that the indicator can't possibly generate long term returns under chaotic and volatile markets, and could even produce unnecessary trades in trending markets without much parasitic fluctuations such as noise and retracements (think about a simple linear trend) since the indicator converge toward the price and would therefore automatically cross over/under the trend, thus guaranteeing a false signal. However we have seen its ability to provide accurate early reversal detection shine from time to time, thus over performing lagging indicators in this aspect, however the duration of price fluctuations isn't fixed at a certain period, the rate of convergence should be way faster during volatile fluctuations, of moderate speed during more cyclic fluctuations, and really slow with apparent long term trends, this could be achieved by making the indicator adaptive, but it won't really make it necessarily perform better. That said i still believe that converging trend indicators are really interesting and aim to capture the non lasting behavior of price fluctuations, they shouldn't receive so much hate (think about the poor p-sar). Thanks for reading !

Hancock - RSI Volume The Volume RSI (Relative Strength Index) is quite similar to the price based RSI with difference that up-volume and down-volume are used in the RSI formula instead changes in price. If price RSI shows relation between up-moves and down-moves within an analyzed period of time by revealing which moves are stronger, the Volume RSI indicator shows the relation between volume traded during these price up-moves and down- moves respectfully by revealing whether up-volume (bullish money flow) or down-volume (bearish money flow) is stronger. This indicator estimates the buy and sell volume of each candle by using a configurable lower time-frame and uses the buy and sell volume in the calculation of the RSI Volume (VoRSI) Happy trading Hancock

Extrapolated Pivot Connector - Lets Make Support And Resistances Introduction The support and resistance methodology remain the most used one in technical analysis, this is mainly due to its simplicity, and unlike lots of techniques used in technical analysis support and resistances have a certain logic, price can sometimes appear moving into a channel, support and resistances allow the trader to estimate such channel and project it into the future in order to spot points where price might reverse direction. In this script a simple linear support and resistance indicator is proposed, the indicator is made by connecting past pivot high's/low's to more recent ones and extrapolating the resulting connection. The indicator is also able to make support and resistances by using other indicators as input. Indicator Settings The indicator include various settings, the first one being the length setting who determine the sensitivity of the pivot high/low detection, low values of length will detect the pivot high/low of noisy variations, while higher values will detect the pivot high/low of longer term variations. The figure above use length = 5. The A-High parameter determine the position of the pivot high to be used as first point of the resistance line, higher values will use oldest pivot high's as first point. The B-High parameter determine the last pivot high. A-Low and B-Low work the same way but affect the support line, a label is drawn on the chart in order to help you determine the position of A/B-High/Low. Using Other Indicators Output As Input The "Use Custom Source" option allow you to apply the indicator to other indicators, for example we can use a moving average of period 50 as input Or the rsi : Let me help you set the proposed indicator easily to indicators appearing on a separate window, for example the momentum oscillator, add the momentum oscillator to the chart, to do so click on indicator and search "momentum", click on the first result, once on the chart put your mouse pointer on the indicator title, you'll see appearing the hide, settings and delete option, at the right of delete you should see three dots which represent the "more" option, click on it and select "Add indicator on Mom" and select the extrapolated pivot indicator, you can do that by searching it, altho it might be easier to do it by adding the indicator to favorites first, you then only need to select it from your favorites. You might see a mess on the indicator window, thats because the extrapolated pivot is still using high and low as input, go to the settings of the extrapolated pivot indicator and check "Use Custom Source", it should appear properly now. Tips And Tricks When Using Support And Resistances Linear support and resistances assume an approximately linear trend, if you see non linear growth in the price evolution you can use a logarithmic scale in order to have a more linear evolution. To do so right click on the the chart scale and select "Logarithmic" or use the following key shortcut "alt + l". When applying the indicator to an oscillator centered around zero make sure to adjust the settings of the oscillator such that the peak magnitude of the oscillator is relatively constant over time. Here a roc of period 9 has non constant peak amplitude, you can see that by looking at the position of the pivots (circles), increasing the period of the roc help capture more significant pivots high's/low's Conclusion In this post an indicator aiming to draw support and resistances is presented, the fact that it can be applied to any other indicator is a relatively nice option, and i hope you might make use of this feature. The code make heavy use of the new features that where integrated on the v4 of pine, such features are really focused on making figures and labels, things i don't really work with, but it is nice to step out my short codes habits, and i don't exclude working with figures in pine in the future. Thanks for reading !

LSMA - A Fast And Simple Alternative Calculation Introduction At the start of 2019 i published my first post "Approximating A Least Square Moving Average In Pine", who aimed to provide alternatives calculation of the least squares moving average (LSMA), a moving average who aim to estimate the underlying trend in the price without excessive lag. The LSMA has the form of a linear regression ax + b where x is a linear sequence 1.2.3..N and with time varying a and b , the exact formula of the LSMA is as follows : a = stdev(close,length)/stdev(bar_index,length) * correlation(close,bar_index,length) b = sma(close,length) - a*sma(bar_index,length) lsma = a*bar_index + b Such calculation allow to forecast future values however such forecast is rarely accurate and the LSMA is mostly used as a smoother. In this post an alternative calculation is proposed, such calculation is incredibly simple and allow for an extremely efficient computation of the LSMA. Rationale The LSMA is a FIR low-pass filter with the following impulse response : The impulse response of a FIR filter gives us the weight of the filter, as we can see the weights of the LSMA are a linearly decreasing sequence of values, however unlike the linearly weighted moving average (WMA) the weights of the LSMA take on negative values, this is necessary in order to provide a better fit to the data. Based on such impulse response we know that the WMA can help calculate the LSMA, since both have weights representing a linearly decreasing sequence of values, however the WMA doesn't have negative weights, so the process here is to fit the WMA impulse response to the impulse response of the LSMA. Based on such negative values we know that we must subtract the impulse response of the WMA by a constant value and multiply the result, such constant value can be given by the impulse response of a simple moving average, we must now make sure that the impulse response of the WMA and SMA cross at a precise point, the point where the impulse response of the LSMA is equal to 0. We can see that 3WMA and 2SMA are equal at a certain point, and that the impulse response of the LSMA is equal to 0 at that point, if we proceed to subtraction we obtain : Therefore : LSMA = 3WMA - 2SMA = WMA + 2(WMA - SMA) Comparison On a graph the difference isn't visible, subtracting the proposed calculation with a regular LSMA of the same period gives : the error is 0.0000000...and certainly go on even further, therefore we can assume that the error is due to rounding errors. Conclusion This post provided a different calculation of the LSMA, it is shown that the LSMA can be made from the linear combination of a WMA and a SMA : 3WMA + -2SMA. I encourage peoples to use impulse responses in order to estimate other moving averages, since some are extremely heavy to compute. Thanks for reading !

Optimized Trend Tracker A brand new indicator from the developer of MOST (Moving Stop Loss) indicator Anıl Özekşi. Optimized Trend Tracker OTT is an indicator that provides traders to find an existing trend or in another words to ser which side of the current trend we are on. We are under the effect of the uptrend in cases where the prices are above OTT , under the influence of a downward trend, when prices are below OTT it is possible to say that we are. The first parameter in the OTT indicator set by the two parameters is the period/length. OTT will be much sensitive to trend movements if it is smaller. And vice versa, will be less sensitive when it is longer. As the period increases it will become less sensitive to little trends and price actions. In this way, your choice of period, will be closely related to which of the sort of trends you are interested in. The OTT percent parameter in OTT is an optimization coefficient. Just like in the period small values are better at capturing short term fluctuations, while large values will be more suitable for long-term trends. In addition, when OTT is used with the support line in it, buy and sell signals it will become a producing indicator. You can use OTT default alarms and Buy Sell signals like: 1- BUY when Prices are above OTT SELL when Prices are below OTT 2- BUY when OTT support Line crosses over OTT line. SELL when OTT support Line crosses under OTT line. 3- BUY when OTT line is Green and makes higher highs. SELL when OTT line is Red and makes lower lows. Note: A small coverage with English subtitles will be available on my Youtube Channel soon.

Average Sentiment Oscillator Description of this indicator from its author: Average Sentiment Oscillator Momentum oscillator of averaged bull/bear percentages. We suggest using it as a relatively accurate way to gauge the sentiment of a given period of candles, as a trend filter or for entry/exit signals. It’s a combination of two algorithms, both essentially the same but applied in a different way. The first one analyzes the bullish/bearishness of each bar using OHLC prices then averages all percentages in the period group of bars (eg. 10) to give the final % value. The second one treats the period group of bars as one bar and then determines the sentiment percentage with the OHLC points of the group. The first one is noisy but more accurate in respect to intra-bar sentiment, whereas the second gives a smoother result and adds more weight to the range of price movement. They can be used separately as Mode 1 and Mode 2 in the indicator settings, or combined as Mode 0. Original indicator idea from Benjamin Joshua Nash, converted from MT4 version Usage: The blue line is Bulls %, red line is Bears %. As they are both percentages of 100, they mirror each other. The higher line is the dominating sentiment. The lines crossing the 50% centreline mark the shift of power between bulls and bears, and this often provides a good entry or exit signal, i.e. if the blue line closes above 50% on the last bar, Buy or exit Sell, if the red line closes above 50% on the last bar, Sell or exit Buy. These entries are better when average volume is high. It's also possible to see the relative strength of the swings/trend, i.e. a blue peak is higher than the preceding red one. A clear divergence can be seen in the picture as the second bullish peak registers as a lower strength on the oscillator but moved higher on the price chart. By setting up levels at the 70% and 30% mark the oscillator can also be used for trading overbought/oversold levels similar to a Stochastic or RSI. As is the rule with most indicators, a smaller period gives more leading signals and a larger period gives less false signals.