Variety N-Tuple Moving Averages w/ Variety Stepping [Loxx]Variety N-Tuple Moving Averages w/ Variety Stepping is a moving average indicator that allows you to create 1- 30 tuple moving average types; i.e., Double-MA, Triple-MA, Quadruple-MA, Quintuple-MA, ... N-tuple-MA. This version contains 2 different moving average types. For example, using "50" as the depth will give you Quinquagintuple Moving Average. If you'd like to find the name of the moving average type you create with the depth input with this indicator, you can find a list of tuples here: Tuples extrapolated
Due to the coding required to adapt a moving average to fit into this indicator, additional moving average types will be added as they are created to fit into this unique use case. Since this is a work in process, there will be many future updates of this indicator. For now, you can choose from either EMA or RMA.
This indicator is also considered one of the top 10 forex indicators. See details here: forex-station.com
Additionally, this indicator is a computationally faster, more streamlined version of the following indicators with the addition of 6 stepping functions and 6 different bands/channels types.
STD-Stepped, Variety N-Tuple Moving Averages
STD-Stepped, Variety N-Tuple Moving Averages is the standard deviation stepped/filtered indicator of the following indicator
Last but not least, a big shoutout to @lejmer for his help in formulating a looping solution for this streamlined version. this indicator is speedy even at 50 orders deep. You can find his scripts here: www.tradingview.com
How this works
Step 1: Run factorial calculation on the depth value,
Step 2: Calculate weights of nested moving averages
factorial(depth) / (factorial(depth - k) * factorial(k); where depth is the depth and k is the weight position
Examples of coefficient outputs:
6 Depth: 6 15 20 15 6
7 Depth: 7 21 35 35 21 7
8 Depth: 8 28 56 70 56 28 8
9 Depth: 9 36 34 84 126 126 84 36 9
10 Depth: 10 45 120 210 252 210 120 45 10
11 Depth: 11 55 165 330 462 462 330 165 55 11
12 Depth: 12 66 220 495 792 924 792 495 220 66 12
13 Depth: 13 78 286 715 1287 1716 1716 1287 715 286 78 13
Step 3: Apply coefficient to each moving average
For QEMA, which is 5 depth EMA , the calculation is as follows
ema1 = ta. ema ( src , length)
ema2 = ta. ema (ema1, length)
ema3 = ta. ema (ema2, length)
ema4 = ta. ema (ema3, length)
ema5 = ta. ema (ema4, length)
In this new streamlined version, these MA calculations are packed into an array inside loop so Pine doesn't have to keep all possible series information in memory. This is handled with the following code:
temp = array.get(workarr, k + 1) + alpha * (array.get(workarr, k) - array.get(workarr, k + 1))
array.set(workarr, k + 1, temp)
After we pack the array, we apply the coefficients to derive the NTMA:
qema = 5 * ema1 - 10 * ema2 + 10 * ema3 - 5 * ema4 + ema5
Stepping calculations
First off, you can filter by both price and/or MA output. Both price and MA output can be filtered/stepped in their own way. You'll see two selectors in the input settings. Default is ATR ATR. Here's how stepping works in simple terms: if the price/MA output doesn't move by X deviations, then revert to the price/MA output one bar back.
ATR
The average true range (ATR) is a technical analysis indicator, introduced by market technician J. Welles Wilder Jr. in his book New Concepts in Technical Trading Systems, that measures market volatility by decomposing the entire range of an asset price for that period.
Standard Deviation
Standard deviation is a statistic that measures the dispersion of a dataset relative to its mean and is calculated as the square root of the variance. The standard deviation is calculated as the square root of variance by determining each data point's deviation relative to the mean. If the data points are further from the mean, there is a higher deviation within the data set; thus, the more spread out the data, the higher the standard deviation.
Adaptive Deviation
By definition, the Standard Deviation (STD, also represented by the Greek letter sigma σ or the Latin letter s) is a measure that is used to quantify the amount of variation or dispersion of a set of data values. In technical analysis we usually use it to measure the level of current volatility .
Standard Deviation is based on Simple Moving Average calculation for mean value. This version of standard deviation uses the properties of EMA to calculate what can be called a new type of deviation, and since it is based on EMA , we can call it EMA deviation. And added to that, Perry Kaufman's efficiency ratio is used to make it adaptive (since all EMA type calculations are nearly perfect for adapting).
The difference when compared to standard is significant--not just because of EMA usage, but the efficiency ratio makes it a "bit more logical" in very volatile market conditions.
See how this compares to Standard Devaition here:
Adaptive Deviation
Median Absolute Deviation
The median absolute deviation is a measure of statistical dispersion. Moreover, the MAD is a robust statistic, being more resilient to outliers in a data set than the standard deviation. In the standard deviation, the distances from the mean are squared, so large deviations are weighted more heavily, and thus outliers can heavily influence it. In the MAD, the deviations of a small number of outliers are irrelevant.
Because the MAD is a more robust estimator of scale than the sample variance or standard deviation, it works better with distributions without a mean or variance, such as the Cauchy distribution.
For this indicator, I used a manual recreation of the quantile function in Pine Script. This is so users have a full inside view into how this is calculated.
Efficiency-Ratio Adaptive ATR
Average True Range (ATR) is widely used indicator in many occasions for technical analysis . It is calculated as the RMA of true range. This version adds a "twist": it uses Perry Kaufman's Efficiency Ratio to calculate adaptive true range
See how this compares to ATR here:
ER-Adaptive ATR
Mean Absolute Deviation
The mean absolute deviation (MAD) is a measure of variability that indicates the average distance between observations and their mean. MAD uses the original units of the data, which simplifies interpretation. Larger values signify that the data points spread out further from the average. Conversely, lower values correspond to data points bunching closer to it. The mean absolute deviation is also known as the mean deviation and average absolute deviation.
This definition of the mean absolute deviation sounds similar to the standard deviation (SD). While both measure variability, they have different calculations. In recent years, some proponents of MAD have suggested that it replace the SD as the primary measure because it is a simpler concept that better fits real life.
For Pine Coders, this is equivalent of using ta.dev()
Bands/Channels
See the information above for how bands/channels are calculated. After the one of the above deviations is calculated, the channels are calculated as output +/- deviation * multiplier
Signals
Green is uptrend, red is downtrend, yellow "L" signal is Long, fuchsia "S" signal is short.
Included:
Alerts
Loxx's Expanded Source Types
Bar coloring
Signals
6 bands/channels types
6 stepping types
Related indicators
3-Pole Super Smoother w/ EMA-Deviation-Corrected Stepping
STD-Stepped Fast Cosine Transform Moving Average
ATR-Stepped PDF MA
ATR
STD-Filtered, ATR-Adaptive Laguerre Filter [Loxx]STD-Filtered, ATR-Adaptive Laguerre Filter is a standard Laguerre Filter that is first made ATR-adaptive and the passed through a standard deviation filter. This helps reduce noise and refine the output signal. Can apply the standard deviation filter to the price, signal, both or neither.
What is the Laguerre Filter?
The Laguerre RSI indicator created by John F. Ehlers is described in his book "Cybernetic Analysis for Stocks and Futures". The Laguerre Filter is a smoothing filter which is based on Laguerre polynomials. The filter requires the current price, three prior prices, a user defined factor called Alpha to fill its calculation. Adjusting the Alpha coefficient is used to increase or decrease its lag and it's smoothness.
Included:
Bar coloring
Signals
Alerts
Loxx's Expanded Source Types
Step Generalized Double DEMA (ATR based) [Loxx]Step Generalized Double DEMA (ATR based) works like a T3 moving average but is less smooth. This is on purpose to catch more signals. The addition of ATR stepped filtering reduces noise while maintaining signal integrity. This one comes via Mr. Tools.
Theory:
The double exponential moving average (DEMA), was developed by Patrick Mulloy in an attempt to reduce the amount of lag time found in traditional moving averages. It was first introduced in the February 1994 issue of the magazine Technical Analysis of Stocks & Commodities in Mulloy's article "Smoothing Data with Faster Moving Averages". The way to calculate is the following :
The Double Exponential Moving Average calculations are based combinations of a single EMA and double EMA into a new EMA:
1. Calculate EMA
2. Calculate Smoothed EMA by applying EMA with the same period to the EMA calculated in the first step
3. Calculate DEMA
DEMA = (2 * EMA) - (Smoothed EMA)
This version:
For our purposes here, we are using Tim Tillson's (the inventor of T3) work, specifically, we are using the GDEMA of GDEMA for calculation (which is the "middle step" of T3 calculation). Since there are no versions showing that "middle step, this version covers that too. The result is smoother than Generalized DEMA, but is less smooth than T3 - one has to do some experimenting in order to find the optimal way to use it, but in any case, since it is "faster" than the T3 (Tim Tillson T3) and still smooth, it looks like a good compromise between speed and smoothness.
Usage:
You can use it as any regular average or you can use the color change of the indicator as a signal.
Included
Alerts
Signals
Bar coloring
Loxx's Expanded Source Types
Damiani Volatmeter [loxx]I wasn't going to publish this since it's one my go to private indicators, but I decided to push this out anyway. This is a variation on Damiani Volatmeter to make it easier to understand what's going on. Damiani Volatmeter uses ATR and Standard deviation to tease out ticker volatility so you can better understand when it's the ideal time to trade. The idea here is that you only take trades when volatility is high so this indicator is to be coupled with various other indicators to validate the other indicator's signals. This is also useful for detecting crabbing and chopping markets.
Shoutout to user @xinolia for the DV function used here.
Anything red means that volatility is low. Remember volatility doesn't have a direction. Anything green means volatility high despite the direction of price. The core signal line here is the green and red line that dips below two while threshold lines to "recharge". Maximum recharge happen when the core signal line shows a yellow ping. Soon after one or many yellow pings you should expect a massive upthrust of volatility. The idea here is you don't trade unless volatility is rising or green. This means that the Volatmeter has to dip into the recharge zone, recharge and then spike upward. You can also attempt to buy or sell reversals with confluence indicators when volatility is in the recharge zone, but I wouldn't recommend this. However, if you so choose to do this, then use the following indicator for confluence.
And last reminder, volatility doesn't have a direction ! Red doesn't mean short, and green doesn't mean long, Red means don't trade period regardless of direction long/short, and green means trade no matter the direction long/short. This means you'll have to add an indicator that does show direction such as a mean reversion indicator like Fisher Transform or a Gaussian Filter. You can search my public scripts for various Fisher Transform and Gaussian Filter indicators.
Price-Filtered Spearman Rank Correl. w/ Floating Levels is considered the Mercedes Benz of reversal indcators
How signals work
RV = Rising Volatility
VD = Volatility Dump
Plots
White line is signal
Thick red/green line is the Volatmeter line
The dotted lower lines are the zero line and minimum recharging line
Included
Bar coloring
Alerts
Signals
Related indicators
Variety Moving Average Waddah Attar Explosion (WAE)
Price based ATR%This script shows upto two lines that represent a deviation from the price based on a multiple of the ATR%
close + ( (close / 100) * ( atr * upperMultiplier) )
and
close - ( (close / 100) * ( atr * lowerMultiplier) )
Zero-line Volatility Quality Index (VQI) [Loxx]Originally volatility quality was invented by Thomas Stridsman, and he uses it in combination of two averages.
This version:
This doesn't use averages for trend estimation, but instead uses the slope of the Volatility quality. In order to lessen the number of signals (which can be enormous if the VQ is not filtered), some versions similar to this are using pips filters. This version is using % ATR (Average True Range) instead. The reason for that is that :
Using fixed pips value as a filter will work on one symbol and will not work on another
Changing time frames will render the filter worthless since the ranges of higher time frames are much greater than those at lower time frames, and, when you set your filter on one time frame and then try it on another, it is almost certain that it will have to be adjusted again
Additionally, this version is made to oscillate around zero line (which makes the potential levels, which are even in the original Stridsman's version doubtful, unnecessary)
Usage:
You can use the color change as signals when using this indicator
Cumulative ATR Distance Oscillator// A Price/ATR oscillator with cumulative waves.
// Based on Cumulative Volume Delta, but using price movement alone.
// Public Domain
// By Jolly Wizard
Ichimoku ATR Oscillator// An oscillator that visualizes Ichimoku trend line distances in terms of ATR.
// Public Domain
// By JollyWizard
SKYtrend Bruteforce Open Source✨SKYtrend Bruteforce Now Open Source✨
📌This indicator analyzes the trend and calls Long/Short which is fully custom to fit your style of trading.
📌Custom Take Profit Levels currently have 3 TP levels for Long and Short you can decide which % each TP will be in settings.
📌2 Custom Stoploss levels. For Long or Short. Can Enable or Disable either.
📌Can set alert For Long, Short , TP Long 1-3, TP Short 1-3, SL 1-2
📌Has built in ichimoku cloud
If you like it, like it. :)
KTP ATR , TR and DATR by Mitraj ThakkarThis indicator provides values of ATR, TR and DATR values side by side which makes it easy for user to compare it for current
candle and takes decision. It is not a complete system for trading but it aids in taking decision for entry and exit. for eg. ema crossover is formed for entry, we can take entry 5% of datr above pattern and keep stop loss 10% datr below pattern.
ATR stands for Average true range of last 14 candles.
TR stands for true range of each candle.
DATR stands for Daily Average True Range.
Daily/Weekly ExtremesBACKGROUND
This indicator calculates the daily and weekly +-1 standard deviation of the S&P 500 based on 2 methodologies:
1. VIX - Using the market's expectation of forward volatility, one can calculate the daily expectation by dividing the VIX by the square root of 252 (the number of trading days in a year) - also know as the "rule of 16." Similarly, dividing by the square root of 50 will give you the weekly expected range based on the VIX.
2. ATR - We also provide expected weekly and daily ranges based on 5 day/week ATR.
HOW TO USE
- This indicator only has 1 option in the settings: choosing the ATR (default) or the VIX to plot the +-1 standard deviation range.
- This indicator WILL ONLY display these ranges if you are looking at the SPX or ES futures. The ranges will not be displayed if you are looking at any other symbols
- The boundaries displayed on the chart should not be used on their own as bounce/reject levels. They are simply to provide a frame of reference as to where price is trading with respect to the market's implied expectations. It can be used as an indicator to look for signs of reversals on the tape.
- Daily and Weekly extremes are plotted on all time frames (even on lower time frames).
Swing Trend StrategyThis script is a trend following system which uses a long term Moving Average to spot the trend in combination with the Average True Range to filter out Fakeouts, limiting the overall drawdown.
Default Settings and Calculation:
- The trend is detected using the Exponential Moving Average on 200 periods.
- The Average True Range is calculated on 10 periods.
- The Market is considered in an Uptrend when the price closes above the EMA + ATR.
- The Market is considered in a Downtrend when the price closes below the EMA - ATR.
- The strategy will open a LONG position when the market is in an Uptrend.
- The strategy will close its LONG positions when the price closes below the EMA.
- The strategy will open a SHORT position when the market is in a Downtrend.
- The strategy will close its SHORT positions when the price closes above the EMA.
This script is best suited for the 4h timeframe, and shows good results on BTC and ETH especially.
The options allow to modify the type of moving average to use, the period of the moving average, the ATR multiplier to add as well as the possibility to open short trades or not.
ER-Adaptive ATR [Loxx]Average True Range (ATR) is widely used indicator in many occasions for technical analysis. It is calculated as the RMA of true range. This version adds a "twist": it uses Perry Kaufman's Efficiency Ratio to calculate adaptive true range
You can use this indicator the same way you'd use the standard ATR.
Strategy Myth-Busting #1 - UT Bot+STC+Hull [MYN]This is part of a new series we are calling "Strategy Myth-Busting" where we take open public manual trading strategies and automate them. The goal is to not only validate the authenticity of the claims but to provide an automated version for traders who wish to trade autonomously.
Our first one is an automated version of the " The ULTIMATE Scalping Trading Strategy for 2022 " strategy from " My Trading Journey " who claims to have achieved not only profits but a 98.3% win rate. As you can see from the backtest results below, I was unable to substantiate anything close to that that claim on the same symbol (NVDA), timeframe (5m) with identical instrument settings that " My Trading Journey " was demonstrating with. Strategy Busted.
If you know of or have a strategy you want to see myth-busted or just have an idea for one, please feel free to message me.
This strategy uses a combination of 3 open-source public indicators:
UT Bot Alerts by QuantNomad
STC Indicator - A Better MACD By shayankm
Basic Hull Ma Pack tinkered by InSilico
Trading Rules:
5 min candles
Long
New Buy Signal from UT Bot Alerts Strategy
STC is green and below 25 and rising
Hull Suite is green
Short
New Sell Signal from UT Bot Alerts Strategy
STC is red and above 75 and falling
Hull Suite is red
ATR-Adaptive JMA [Loxx]Not many know that the JMA (Jurik Moving Average) is already an adaptive indicator (it is adapting using the usual market volatility monitoring mode). Hence, making it adaptive "once more" makes it double adaptive. Fro the adaptivity in this case, we are use ATR (Average True Range) to make the JMA double adaptive. The ATR period is the same as the JMA period (there is no separate setting for that) so the usage of the indicator is as simple as it gets.
What is Jurik Volty used in the Juirk Filter?
One of the lesser known qualities of Juirk smoothing is that the Jurik smoothing process is adaptive. "Jurik Volty" (a sort of market volatility ) is what makes Jurik smoothing adaptive. The Jurik Volty calculation can be used as both a standalone indicator and to smooth other indicators that you wish to make adaptive.
What is the Jurik Moving Average?
Have you noticed how moving averages add some lag (delay) to your signals? ... especially when price gaps up or down in a big move, and you are waiting for your moving average to catch up? Wait no more! JMA eliminates this problem forever and gives you the best of both worlds: low lag and smooth lines.
Included:
Bar coloring
ATR MultiplierOVERVIEW
The Average True Range Multiplier (ATRX) is a simple technical indicator that takes the value of the ATR indicator and multiplies it by a user-specified amount.
CONCEPTS
This indicator is primarily used to set key levels based on historical volatility. The ATR indicator alone measures the historical volatility of the selected instrument, this indicator just multiplies that value to save the hassle of doing that yourself.
Volatility Pivot Support and Resistance [Loxx]Volatility Pivot Support and Resistance calculates "pivots" (support/resistance lines) based on current symbol/timeframe Average True Range calculated volatility.
What is Average True Range?
The average true range (ATR) is a technical analysis indicator, introduced by market technician J. Welles Wilder Jr. in his book New Concepts in Technical Trading Systems, that measures market volatility by decomposing the entire range of an asset price for that period.
The true range indicator is taken as the greatest of the following: current high less the current low; the absolute value of the current high less the previous close; and the absolute value of the current low less the previous close. The ATR is then a moving average, generally using 14 days, of the true ranges.
Included:
-Bar coloring
ATR-Stepped PDF MA [Loxx]ATR-Stepped PDF MA is and ATR-stepped moving average that uses a probability density function moving average.
What is Probability Density Function?
Probability density function based MA is a sort of weighted moving average that uses probability density function to calculate the weights.
Included:
-Toggle on/off bar coloring
-Toggle on/off signals
-Alerts long/short
ADR% / ATR / Market CapDisplays the following values in a table in the upper right corner of the chart:
ADR%: Average daily range (in percent).
ATR: Average true range (hidden by default).
Market Cap: Total value of all a company's shares of stock.
All values are calculated based on daily bars, no matter what time frame you are currently viewing. Doesn't work for time frames >1D, which is why the table is not shown on weekly/monthly charts.
Credit to MikeC / TheScrutiniser and GlinckEastwoot for ADR% formula, and ArmerSchlucker for the original script which includes LoD Dist . instead of Market Cap.
ATR-Adaptive, Smoothed Laguerre RSI [Loxx]ATR-Adaptive, Smoothed Laguerre RSI is an adaptive Laguerre RSI indicator with smoothing to reduce noise
What is Laguerre RSI?
The Laguerre RSI indicator created by John F. Ehlers is described in his book "Cybernetic Analysis for Stocks and Futures".
This version:
Instead of using fixed periods for Laguerre RSI calculation, this indicator uses an ATR (average True Range) adapting method to adjust the calculation period. This makes the RSI more responsive in some periods (periods of high volatility), and smoother in order periods (periods of low volatility). Also this indicator adds an option to have smoothed source input including Loxx's Expanded Source Types.
Included
-Loxx's Expanded Source Types
-Bar coloring
[DT] ATR Trigger Bar OverlayATR Trigger candle is an idea that I originally heard about studying alexander elder's work at spike trade. This code is my interpretation of his work.
The idea behind an ATR trigger bar is to find areas where price is likely trapping market participants. In some cases a trigger will not form in one bar so a two bar analysis is also included in study.
Bull trap condition:
- price moves above previous bar high and in the same candle will close below previous bar close
Bear trap condition:
- price moves below previous bar low and in the same candle will close above previous bar close
TODO:
- categorize trigger bar as 1 bar or 2 bar price action
- allow user to filter 1 bar or 2 bar price action
- multiple timeframes
- volume filter
- horizontal line for average price on a trigger bar
ATR LevelsATR Levels
The indicator plots levels based on the ATR indicator
Initial data required for the indicator:
- Open price
- ATR
Levels are calculated as follows:
1. Open price +100% ATR
2. Open price +50% ATR
3. Open price
4. Open price -50% ATR
5. Open price -100% ATR
For visual convenience:
The area between levels 1-2 and 4-5 is filled with red
Zone between levels 2-4 - filled with green
Уровни среднего истинного диапазона
Индикатор строит уровни, основанные на индикаторе ATR (Средний истинный диапазон)
Исходные данные, необходимы для индикатора:
- Цена открытия
- ATR (Средний истинный диапазон)
Уровни рассчитываются следующим образом:
1. Цена открытия +100% ATR
2. Цена открытия +50% ATR
3. Цена открытия
4. Цена открытия -50% ATR
5. Цена открытия -100% ATR
Для удобства визуального восприятия:
Зона между уровнями 1-2 и 4-5 заполнена красным цветом
Зона между уровнями 2-4 - заполнена зеленым цветом
Adaptive ATR Keltner Channels [Loxx]Adaptive ATR Channels are adaptive Keltner channels. ATR is calculated using a rolling signal-to-noise ratio making this indicator flex more to changes in price volatility than the fixed Keltner Channels.
What is Average True Range (ATR)?
The average true range (ATR) is a technical analysis indicator, introduced by market technician J. Welles Wilder Jr. in his book New Concepts in Technical Trading Systems, that measures market volatility by decomposing the entire range of an asset price for that period.1
The true range is taken as the greatest of the following: current high less the current low; the absolute value of the current high less the previous close; and the absolute value of the current low less the previous close. The ATR is then a moving average, generally using 14 days, of the true ranges.
What are Keltner Channel (ATR)?
Keltner Channels are volatility-based bands that are placed on either side of an asset's price and can aid in determining the direction of a trend.
The Keltner channel uses the average-true range (ATR) or volatility, with breaks above or below the top and bottom barriers signaling a continuation.
