COT TFF Data (VIX_FUTURES)Commitment of Traders - Traders in Financial Futures (Futures and Options)
Custom python script is used to create the Pinescript strings from a spreadsheet containing the dates + net positions. Data is then input manually in Pinescript (can only fit 4-5 years of data).
This data set is from the: VIX_FUTURES
Source: cftc.gov
ابحث في النصوص البرمجية عن "Futures"
[blackcat] L1 Stella Osoba Donchian ChannelsLevel 1
Background
On Jul, 2023, Stella Osoba proposed a price channel idea in the article of “Using Price Channels”.
Function
In Stella Osoba's article "Using Price Channels" in the 2023 bonus issue, author Stella Osoba describes why many analysis techniques are based on the concept of price channels. In her explanation of the Donchian channels, she explains that they are used to identify the trend and that the prices for the last period are not included in the calculations. I rewrote this idea in the PINE version presented here, allowing the user to optionally include the most recent period. To not include the most recent period, set the IncludeRecentPeriod input to false.
Richard Donchian, a futures trader, created the Donchian Channel as a trend indicator. He was later dubbed the "father of trend following." Several trading methods based on Donchian channels have been established, but day traders can create their own as the indicator is versatile and can be interpreted in different ways. The renowned Turtle Traders also used a variation of the Donchian technique.
The Donchian Channel draws a line between the high and low price of an asset over a period of time, generally using candlesticks as a clock. Candlesticks are chart areas on charts that show the open, high, low, and close price and time frame of a particular stock. They owe their name to their shape. When the indicator is applied to a chart, the lines form a channel around the current price.
When day trading, Donchian channels are useful for highlighting trends and range periods. A third line can be added between the top and bottom lines if required. The upper and lower channel lines are averaged to form this center band. The indicator can be used on all timeframes, including one-minute and five-minute charts (where a bar forms every one or five minutes), and it can be used for forex, stock, futures, and options trading .
Remarks
Feedbacks are appreciated.
ICT Silver Bullet [LuxAlgo]The ICT Silver Bullet indicator is inspired from the lectures of "The Inner Circle Trader" (ICT) and highlights the Silver Bullet (SB) window which is a specific 1-hour interval where a Fair Value Gap (FVG) pattern can be formed.
When a FVG is formed during the Silver Bullet window, Support & Resistance lines will be drawn at the end of the SB session.
There are 3 different Silver Bullet windows (New York local time):
The London Open Silver Bullet (3 AM — 4 AM ~ 03:00 — 04:00)
The AM Session Silver Bullet (10 AM — 11 AM ~ 10:00 — 11:00)
The PM Session Silver Bullet (2 PM — 3 PM ~ 14:00 — 15:00)
🔶 USAGE
The ICT Silver Bullet indicator aims to provide users a comprehensive display as similar as possible to how anyone would manually draw the concept on their charts.
It's important to use anything below the 15-minute timeframe to ensure proper setups can display. In this section, we are purely using the 3-minute timeframe.
In the image below, we can see a bullish setup whereas a FVG was successfully retested during the Silver Bullet session. This was then followed by a move upwards to liquidity as our target.
Alternatively, you can also see below a bearish setup utilizing the ICT Silver Bullet indicator outlined.
At this moment, the indicator has removed all other FVGs within the Silver Bullet session & has confirmed this FVG as the retested one.
There is also a support level marked below to be used as a liquidity target as per the ICT Silver Bullet concept suggests.
In the below chart we can see 4 separate consecutive examples of bullish & bearish setups on the 3-minute chart.
🔶 CONCEPTS
This technique can visualize potential support/resistance lines, which can be used as targets.
The script contains 2 main components:
• forming of a Fair Value Gap (FVG)
• drawing support/resistance (S/R) lines
🔹 Forming of FVG
1 basic principle: when a FVG at the end of the SB session is not retraced, it will be made invisible.
Dependable on the settings, different FVG's will be shown.
• 'All FVG': all FVG's are shown, regardless the trend
• 'Only FVG's in the same direction of trend': Only FVG's are shown that are similar to the trend at that moment (trend can be visualized by enabling ' Show ' -> ' Trend ')
-> only bearish FVG when the trend is bearish vs. bullish FVG when trend is bullish
• 'strict': Besides being similar to the trend, only FVG's are shown when the closing price at the end of the SB session is:
– below the top of the FVG box (bearish FVG)
– above bottom of the FVG box (bullish FVG)
• 'super-strict': Besides being similar to the trend, only FVG's are shown when the FVG box is NOT broken
in the opposite direction AND the closing price at the end of the SB session is:
– below bottom of the FVG box (bearish FVG)
– above the top of the FVG box (bullish FVG)
' Super-Strict ' mode resembles ICT lectures the most.
🔹 Drawing support/resistance lines
When the SB session has ended, the script draws potential support/resistance lines, again, dependable on the settings.
• Previous session (any): S/R lines are fetched between current and previous session.
For example, when current session is ' AM SB Session (10 AM — 11 AM) ', then previous session is
' London Open SB (3 AM — 4 AM) ', S/R lines between these 2 sessions alone will be included.
• Previous session (similar): S/R lines are fetched between current and previous - similar - session.
For example, when current session is ' London Open SB (3 AM — 4 AM)' , only S/R lines between
current session and previous ' London Open SB (3 AM — 4 AM) ' session are included.
When a new session starts, S/R lines will be removed, except when enabling ' Keep lines (only in strict mode) '
This is not possible in ' All FVG ' or ' Only FVG's in the same direction of trend ' mode, since the chart would be cluttered.
Note that in ' All FVG ' or ' Only FVG's in the same direction of trend ' mode, both, Support/Resistance lines will be shown,
while in Strict/Super-Strict mode:
• only Support lines will be shown if a bearish FVG appears
• only Resistance lines if a bullish FVG is shown
The lines will still be drawn the the end of the SB session, when a valid FVG appears,
but the S/R lines will remain visible and keep being updated until price reaches that line.
This publication contains a "Minimum Trade Framework (mTFW)", which represents the best-case expected price delivery, this is not your actual trade entry - exit range.
• 40 ticks for index futures or indices
• 15 pips for Forex pairs.
When on ' Strict/Super-Strict ' mode, only S/R lines will be shown which are:
• higher than the lowest FVG bottom + mTFW, in a bullish scenario
• lower than the highest FVG bottom - mTFW, in a bearish scenario
When on ' All FVG/Only FVG's in the same direction of trend ' mode, or on non-Forex/Futures/Indices symbols, S/R needs to be higher/lower than SB session high/low.
🔶 SETTINGS
(Check CONCEPTS for deeper insights and explanation)
🔹 Swing settings (left): Sets the length, which will set the lookback period/sensitivity of the Zigzag patterns (which directs the trend)
🔹 Silver Bullet Session; Show SB session: show lines and labels of SB session
Labels can be disabled separately in the ' Style ' section, color is set at the ' Inputs ' section.
🔹 FVG
– Mode
• All FVG
• Only FVG's in the same direction of trend
• Strict
• Super-Strict
– Colors
– Extend: extend till last bar of SB session
🔹 Targets – support/resistance lines
– Previous session (any): S/R lines fetched between current and previous SB session
– Previous session (similar): S/R lines fetched between current and previous similar SB session
– Colors
– Keep lines (only in strict mode)
🔹 Show
– MSS ~ Session: Show Market Structure Shift , only when this happens during a SB session
– Trend: Show trend (Zigzag, colored ~ trend)
CVD+ - Multi Symbol Cumulative Volume DeltaEdit of TradingView's LTF CVD
TradingView's CVD is already the most accurate CVD on the platform because of the LTF data. The purpose of the edit is to provide the ability to compare volume flow between multiple exchanges, futures & spot, multiple symbols or any other potential use case. All in single layout or even a single pane.
Added features:
- Option to manually select a symbol from which to calculate the LTF CVD
- Option to normalize the selected symbol's CVD to the chart's symbol's CVD (Useful when you want to compare futures and spot on the same pane)
- Label that displays the selected symbol's name and exchange
- Changed presets to plot the CVD line as the predetermined option
All of TV's original features remain the same.
MTF Evolving Weighted Composite Value Area🧾 Description:
This indicator calculates evolving value areas across 3 different timeframes/periods and combines them into one composite, multi-timeframe evolving value area - with each of the underlying timeframes' VAs assigned their own weighting/importance in the final calculation. Layered with extra smoothing options, this creates an informative and useful 'rolling value area' effect that can give you a better perspective on the value area across multiple periods at once as it develops - without total calculation resets at the onset of every new period.
Let's start with a simplified primer on value areas and then jump in to the new ideas this indicator introduces.
🤔 What is a value area?
Value areas are a tool used in market profile analysis to determine the range of prices that represents where most trading activity occurred during a specific time period, typically within a single 'bar' of a certain higher timeframe, such as the 4-hour, daily, or weekly. It helps traders understand the levels where the market finds value.
To calculate the value area, we look at the distribution of prices and trading volume. We determine a percentage, usually 70% or 80%, that represents the significant portion of trading volume. Then, we identify the price range that contains this percentage of trading volume, which becomes the value area.
Value areas are useful because they provide insights into market dynamics and potential support and resistance levels. They show where traders have been most active and where they find value, and traders can use this information to make better-informed decisions.
For example, if price is trading within the value area, it suggests that it's within a range where traders see value and are actively participating, which could indicate a balanced market. If the price moves above or below the value area, it may signal a potential shift in market sentiment or a breakout/breakdown from the established range.
By understanding the value area, traders can identify potential areas of supply and demand, determine levels of interest for buyers and sellers, and make decisions based on the market's perception of value.
📑 Limitations of traditional value areas
Static representation: Value areas are usually represented as static zones calculated after the fact. For example, after a daily period is completed, a typical 1D VA indicator will display the value area for the past period with static horizontal lines. This approach doesn't give you the power to see how the value area evolved, or developed, during the time period, as it is only displayed retroactively. It also doesn't give you the ability to view it as it evolves in real-time. This is why we chose to use an evolving value area representation, specifically borrowed from @sourcey's Value Area POC/VAH/VAL script function for calculating evolving VAs.
Rollover resets - no memory of past periods!: The traditional value area is calculated over a static period - it is calculated from the beginning of the period, for example a 1 day period, to the end, and that's the end of it. When the next daily period begins, the calculation resets, and has no memory of the preceding period. This limits the usefulness of the value area visual when viewed near the beginning of a new period before price and volume have been given ample time to define an area.
Hard to absorb all of that information: Value areas aren't generally meant to be a hardline representation of something extremely exact - they're based on a percentage of the area where traders appeared to find value over a certain time period. Most traders use them as a guide for support and resistance levels or finding an expected range. Traders typically overlay multiple VAs - sometimes requiring several instances of the same indicator to be applied - to represent the VA across multiple timeframes such as the 4H, 1D, or 1W. The chart quickly gets cluttered and it's not necessarily easy to understand the relationship between these multiple periods' VAs at a glance.
🧪 New concepts introduced in this indicator
With the evolving weighted composite value area we tried to address these limitations, and we think the result can be useful and intuitive for traders who want more dynamic and practical VAs for their everyday technical analysis.
⚖️ 1. A composite, weighted multi-timeframe VA
This indicator's value areas represent a combination or composite of the value areas calculated across multiple timeframes. The VAs calculated across each timeframe are then given a weighting percentage, which determines their contribution to the final 'weighted composite value area'.
Pictured below: a 4H/1D/1W MTF evolving weighted composite VA on the BTCUSDT Perpetual Futures (Binance) 5 minute chart:
Traditionally, when traders wanted to get a view of where the majority of trading activity occurred over the past four hours, day, and week, they would need to apply three value area indicators (or sometimes one if it allows multiple custom timeframes), each set to a different period (4H, 1D, 1W). The chart gets cluttered quickly and the information is hard to absorb in one shot. Addressing this problem was the main impetus for creating this weighted composite process.
〰️ 2. Rolling and smoothed evolving VAs
Because the composite VA is calculated based on multiple period VAs, there is no one single point where the area calculation resets (unless all 3 selected timeframes happen to rollover on the same bar). This creates a 'rolling' effect that gives a sense of the progression of the VA as price transitions through the different underlying time periods, without the traditional 'jump' in calculations between periods.
Pictured below: a 1D/1W/1M MTF evolving weighted composite VA on the NQ futures 1H chart:
To help give even more of a sense of perspective and 'progression' of the VA, there are also smoothing options to even out the 'jumps' at period-rollover points.
✔️ What's it good for?
Smoothed, rolling, and evolving multi-timeframe VAs that give you a better real-time perspective of where traders are finding value across multiple time periods at once.
📎 References
1. @sourcey's Value Area POC/VAH/VAL script by adapting its f_poc(tf) function.
💠 Features:
A MTF evolving weighted composite value area based on 3 underlying VAs calculated across customizable timeframes
Aesthetic and flexible coloring and color theme styling options
Period-roller labels and options for ease-of-use and legibility
⚙️ Settings:
Calculation Decimal Resolution: This setting essentially determines how 'granular' the value area calculating process is. This value should be set to some multiple of the tick size/smallest decimal of the symbol's price chart. Eg. On BTCUSDT, the tick size/decimal is usually 0.1. So, you might use 0.5. On TSLA, the tick size is 0.01. You might use 0.05 or 0.25. Beware: if the resolution is too small, calculation will take too long and the script may timeout.
Show Me Suggested Resolutions: If enabled, a label will display in the bottom right of the chart with some suggested resolutions for the current chart.
Area Percentage: Set the displayed percentage of the calculated composite value area. Igor method = 70%; Daniel method: 68%.
Use a Color Theme: When this setting is enabled, all manual 'Bullish and Bearish Colors' are overridden. All plots will use the colors from your selected Color Theme - excepting those plots set to use the 'Single Color' coloring method.
Color Theme: When 'Use a Color Theme' is enabled, this setting allows you to select the color theme you wish to use.
Resistance Color: When 'Use a Color Theme' is disabled, this will set the 'resistance color' for the composite VA.
Support Color: When 'Use a Color Theme' is disabled, this will set the 'support color' for the composite VA.
Show Period Rollover Labels: When enabled, a label will show above or below the composite VA marking any underlying period rollovers with the label 'New __' (eg. 'New 4H', 'New 1D', 'New 1W').
Size: Sets the font size of the period rollover labels.
Show Period Rollover Lines: When enabled, a translucent vertical dashed line will be drawn across the composite VA when one of the underlying periods rolls over.
Fill Composite Value Area: When enabled, the composite VA will be filled with a gradient coloring from the support line to the resistance line using their respective colors.
Smooth: When enabled, a smoothing moving average will be applied to the composite value area.
Smoothing Period: Set the lookback period for the smoothing average.
Smoothing Type: Set the calculation type for the smoothing average. Options include: Exponential, Simple, Weighted, Volume-Weighted, and Hull.
Enable: Include/exclude a timeframe's VA in the composite VA calculation.
Timeframe: Set the timeframe for this specific underlying VA.
Weighting %: Set the weighting percentage or 'importance' of this timeframe's value area in calculating the composite VA. Beware! The sum of the weighting percentages across all enabled timeframes must ALWAYS add up to 100 in order for this indicator to work as designed.
Regression Candle Conversion IndicatorHey everyone!
I got a pseudo-request a while ago for something like this, essentially the ability to track where another ticker would fall based on an alternative ticker.
I did create my ticker correlation reference indicator which directly looks at the correlation between 2 tickers. However, this is an indicator that operates on the same principle but is more pragmatic for trading.
What does it do?
Well, in keeping with the theme of what I call my indicators, this has a title that explains exactly what it does, "Regression Candle Conversion Indicator" or "RCCI" for short. It uses simple regression to convert one ticker to another. So while you are tracking one indicator, you can see where the expected value should fall on the other.
Applications?
The big application of this for me is being able to track where SPY/QQQ or IWM is falling during overnight trading sessions. Extended trading hours close at 8 pm NYSE time. After that, you have to guess where futures prices will put the ETF version of it. This indicator will allow you to track where, theoretically, the underlying ETF ticker will fall based on the current trading behaviour.
Some other applications are just the ability to track how similar or dissimilar one stock is to the other. For example, if we wanted to trade, say, Boeing using shares of DFEN or ITA (a defence specific ETF), here is what we get:
In the chart above we can see BA as the primary chart and ITA as the RCCI converted chart. We will see 2 major things that should cause us concern.
First, there is a really poor correlation between the two tickers. This indicates that ITA may not produce the best exposure if I am directly looking for Boeing exposure.
Second, there is a wide standard error. this means that the results that the RCCI is providing may be skewed up to +/- 2 points (as indicated by the standard error chart).
Let's take a look at BA and DFEN:
In the above, we can see that the correlation is not great, but the standard error is quite low.
This means that, while this may not be the best ticker for Boeing exposure, the RCCI is able to confidently calculate the ticker within +/- 0.50 cents based on BA's underlying data.
However, its important to note that it is not advisable to really rely on these results if the correlation is less than + 0.5 or greater than -0.5.
Let's take a look at a few more examples:
Above we have BA (NYSE) vs BA (NEO TSX CAD Hedged). We can see the strong relationship and high confidence calculations.
And some others:
SPX (primary) and ES1! (secondary):
RTY and IWM:
ES1! and SPY:
Customizations:
As you can see above, it is pretty straight forward. There are 3 options:
Lookback Length: Determines the length of assessment for correlation and the regression assessment.
Manual Ticker Input: The indicator will pull the data from your current chart and compare it against a manually selected indicator. You must tell the indicator which ticker you are comparing against.
Data Table: This will show you the data table which contains the standard error assessment and the correlation assessment. These are determined by your lookback length. The lookback length is defaulted to 500.
And that's the indicator! It's pretty straight forward. Hopefully you find it helpful, especially if you track futures during overnight sessions.
Leave your comments/questions and feedback below.
Thanks for checking it out!
Hobbiecode - RSI + Close previous dayThis is a simple strategy that is working well on SPY but also well performing on Mini Futures SP500. The strategy is composed by the followin rules:
1. If RSI(2) is less than 15, then enter at the close.
2. Exit on close if today’s close is higher than yesterday’s high.
If you backtest it on Mini Futures SP500 you will be able to track data from 1993. It is important to select D1 as timeframe.
Please share any comment or idea below.
Have a good trading,
Ramón.
Hobbiecode - Five Day Low RSI StrategyThis is a simple strategy that is working well on SPY but also well performing on Mini Futures SP500. The strategy is composed by the followin rules:
1. If today’s close is below yesterday’s five-day low, go long at the close.
2. Sell at the close when the two-day RSI closes above 50.
3. There is a time stop of five days if the sell criterium is not triggered.
If you backtest it on Mini Futures SP500 you will be able to track data from 1993. It is important to select D1 as timeframe.
Please share any comment or idea below.
Have a good trading,
Ramón.
Hobbiecode - SP500 IBS + HigherThis is a simple strategy that is working well on SPY but also well performing on Mini Futures SP500. The strategy is composed by the followin rules:
1. Today is Monday.
2. The close must be lower than the close on Friday.
3. The IBS must be below 0.5.
4. If 1-3 are true, then enter at the close.
5. Sell 5 trading days later (at the close).
If you backtest it on Mini Futures SP500 you will be able to track data from 1993. It is important to select D1 as timeframe.
Please share any comment or idea below.
Have a good trading,
Ramón.
Bollinger Bands - Breakout StrategyThe Bollinger Bands - Breakout Strategy is a trend-following optimized for short-term trading in the crypto market. This strategy employs the Bollinger Bands, a widely recognized technical indicator, as its primary instrument for pinpointing potential trades. It is capable of executing both long and short positions, depending on whether the market is in a spot or futures, and is particularly effective in trending markets.
The strategy boasts a high degree of configurability, allowing users to set the Bollinger Bands period and deviation, trend filter, volatility filter, trade direction filter, rate of change filter, and date filter. Furthermore, it offers options for Take Profit, Stop Loss, and Trailing Stop for both long and short positions, ensuring a comprehensive risk management approach. The inclusion of a maximum intraday loss feature adds another layer of protection, making this strategy a valuable tool for traders seeking a professional and adaptable trading system.
Name : Bollinger Bands - Breakout Strategy
Category : Trend Follower based on Bollinger Bands
Operating mode : Long and Short on Futures or Long on Spot
Trade duration : Intraday
Timeframe : 2H, 3H, 4H, 5H
Market : Crypto
Suggested usage : Trending Markets
Entry : When the price crosses above or below the Bollinger Bands
Exit : Opposite Cross or Profit target, Trailing stop or Stop loss
Configuration :
- Bollinger Bands period and deviation
- Trend Filter
- Volatility Filter
- Trade direction filter
- Rate of Change filter
- Date Filter (for backtesting purposes)
- Take Profit, Stop Loss and Trailing Stop for long and short positions
- Risk Management: Max Intraday Loss
Backtesting :
⁃ Exchange: BINANCE
⁃ Pair: BTCUSDT.P
⁃ Timeframe: 4H
⁃ Fee: 0.025%
⁃ Slippage: 1
- Initial Capital: 10000 USDT
- Position sizing: 10% of Equity
- Start : 2019-09-19 (Out Of Sample from 2022-12-23)
- Bar magnifier: on
Credits :
- LucF of Pine Coders for f_security function to avoid repainting using security.
- QuantNomad for Monthly Table.
Disclaimer : Risk Management is crucial, so adjust stop loss to your comfort level. A tight stop loss can help minimise potential losses. Use at your own risk.
How you or we can improve? Source code is open so share your ideas!
Leave a comment and smash the boost button!
Thanks for your attention, happy to support the TradingView community.
Divergences in 52 Week Moving Averages, Adjusted and SmoothedThis script description is intended to be holistic and comprehensive for the understanding of the interested parties who view the script.
Following the PineCoders suggestions, I have provided detailed breakdowns both within the code and in the description immediately below:
► Description
This description is intended to be detailed and meaningful, conveying the understanding of the script’s intention to the user:
The theory: Divergences and extreme readings in 52-Week highs on major indexes can provide a view into a potential pending move in the opposite direction of how the market has been trending. By comparing the 52-Week Hi/Lo indices and applying an Exponential Moving Average (EMA), we can assess how extreme a move is from the average. If the move provides an extreme reading, it would potentially be beneficial to “fade” the move (take a position in the opposing direction).
The intention: The intentionality of this script is to provide a visualization of when the highly-probable opportunity to fade over a multi-day or multi-week period arises. In addition to this, based on backtesting prior moves and reading the various levels of significant reversals, three tiers: “Standard”, “Sensitive”, and “Highly Sensitive” have been applied, the user can choose which sensitivity level they would like to see, there are far less false positives on the Standard and Sensitive settings, while Highly Sensitive often signals multiple times with the move coming a few days later.
The application: The settings allow the user to customize their sensitivity to the fade signals, with the ability to customize the visual that shows up as well. For higher-highs that are fade-worthy, the signal will appear on the top of the candle, for lower-lows that are fade-worthy, the signal will appear on the bottom of the candle. The users risk criteria should be the primary driver of the entry/exit, although when backtesting it appears that the significant move is typically completed within a 2-4 week period at max and 3-5 day period at minimum.
A personal note: I am a futures trader intraday but would very strongly caution users when using this strategy with futures (unless their risk tolerance is higher than most). The most beneficial strategy when fading moves would be to enter in tranches, starting at the first signal and adding on any pullback (as long as the pullback is not below the initial entry point). 1-6 Week Date-To-Expiry options would be the primary method for applying this strategy. I would also like to add that SPY/SPX options (SPDR S&P 500 ETF Trust / CBOE S&P 500 Index) are the most liquid options that could be applied in this strategy.
► Description (additional)
With the understanding that few users can read pinescript (Pine), the description above contains all of the necessary information that is necessary for a user to understand the intention for script utilization. For those who do understand Pine, the code is commented in each section in order to provide an understanding of the underlying functions, calculations, and thought process that went on during the writing of the script.
► Description (additional)
This script’s description contains no delegations, all aspects of the script as well as the initial idea behind it are contained in the description above, which is self-contained in it’s entirety with a clear and defined purpose that is written with the intent to holistically capture the intent of the potential use for this indicator.
► General House Rule #2
This script and the description (as well as my profile) contain no links or associations to promotion of any kind, I am not a business, I am not an individual that will in any way make money from this script or the promotion of another person, idea, company, entity, or legal persons (foreign or domestic).
► Originality and usefulness
This is an original and custom script (and idea) that is not a rehashing or a copy of any code from any other programmers in the tradingview community.
Net Positions (Net Longs & Net Shorts) - By LeviathanThis script is an experimental indicator that visualizes the entering and exiting of long and short positions in the market. It also includes other useful tools, such as NL/NS Profile, NL/NS Delta, NL/NS Ratio, Volume Heatmap, Divergence finder, Relative Strength Index of Net Longs and Net Shorts, EMAs and VWMAs and more.
To avoid misinterpretation, it's important to understand some basics. The “real” ratio between net long and net short positions in a given market is always 1:1. A futures contract is an agreement between two parties to buy or sell an underlying asset at an agreed-upon price. Each contract has a long side and a short side, with one party agreeing to buy (long) and the other party agreeing to sell (short) the asset at the agreed-upon price. The long position holder anticipates that the asset's price will rise, while the short position holder expects it to fall. Because every futures contract involves both a buyer and a seller, it is impossible to have more net longs than net shorts or vice versa (in terms of the net value). For every long position opened, there must be a corresponding short position taken by another market participant (and vice versa), thus maintaining the 1:1 ratio between longs and shorts. While there can be an imbalance in the number of traders/accounts holding long and short contracts, the net value of positions held on each side remains 1 to 1.
Open Interest (OI) is a metric that tracks the number of open (unsettled) contracts in a given market. For example, Open Interest of 100 BTC means that there are currently 100 BTC worth of longs and 100 BTC worth of shorts open in the market. There may be more traders on one side holding smaller positions, and fewer traders on the other side holding larger positions, but the net value of positions on one side is equal to the net value of positions on the other side → 100 BTC in longs and 100 BTC in shorts (1:1). Consider a scenario in which a trader decides to open a long position for 1 BTC at a price of HKEX:30 ,000. For this long order to be executed, a counterparty must take the opposite side of the contract by placing an order to short 1 BTC at the same price of HKEX:30 ,000. When both the long and short orders are matched and executed, the open interest increases by 1 BTC, reflecting the addition of this new contract to the market.
Changes in Open Interest essentially tell us 3 things:
- OI Increase - new positions entered the market (both longs and shorts!)
- OI Decrease - positions exited the market (both longs and shorts!)
- OI Flat - no change in open positions due to low activity or simply lots of transfers of contracts
However, different concepts can be used to analyze sentiment, aggressiveness, and activity in the market by analyzing data such as Open Interest, price, volume, etc. This indicator combines Open Interest data and price action to simplify the visualization of positions entering and exiting the market. It is based on the following concept:
Increase in Open Interest + Increase in price = Longs Opening
Decrease in Open Interest + Decrease in price = Longs Closing
Increase in Open Interest + Decrease in price = Shorts Opening
Decrease in Open Interest + Increase in price = Shorts Closing
When "Longs Opening" occurs, the OI Delta value is added to the running total of Net Longs, and when "Longs Closing" occurs, the OI Delta value is subtracted from the running total of Net Longs.
When "Shorts Opening" occurs, the OI Delta value is added to the running total of Net Shorts, and when "Shorts Closing" occurs, the OI Delta value is subtracted from the running total of Net Shorts.
To summarize:
Net Longs: Cumulative value of Longs Opening and Longs Closing (LO - LC)
Net Shorts: Cumulative value of Shorts Opening and Shorts Closing (SO - SC)
Net Delta: Net Longs - Net Shorts
Net Ratio: Net Longs / Net Shorts
This is the fundamental logic of how this script functions, but it also includes several other tools and options. Here is an overview of the settings:
Type:
- Net Positions (display values of Net Longs, Net Shorts, Net Delta, Net Ratio as described above)
- Relative Strength (display Net Longs, Net Shorts, Net Delta, Net Ratio in the form of a momentum oscillator that measures the speed and change of movements. Same logic as RSI for price)
Display as:
- Candles (display the data in the form of candlesticks)
- Lines (display the data in the form of candlesticks)
- Columns (display the data in the form of columns)
Cumulation:
- Visible Range (data is cumulated from the first visible bar on your chart)
- Full Data (data is cumulated from the beginning)
Quoted in:
- Base Currency (all data is presented in the pair’s base currency eg. BTC)
- Quote Currency (all data is presented in the pair’s quote currency eg USDT)
OI Sources
- Pick the sources from where the data is collected (if available).
Net Positions:
- NET LONGS (show/hide Net Longs plot, choose candle colors, choose line color)
- NET SHORTS (show/hide Net Shorts plot, choose candle colors, choose line color)
- NET DELTA (show/hide Net Delta plot, choose candle colors, choose line color)
- NET RATIO (show/hide Net Ratio plot, choose candle colors, choose line color)
Moving Averages:
- Type (choose between EMA and Volume Weighted Moving Average)
- NET LONGS (show/hide NL moving average plot, choose length, choose color)
- NET SHORTS (show/hide NS moving average plot, choose length, choose color)
- NET DELTA (show/hide ND moving average plot, choose length, choose color)
- NET RATIO (show/hide NR moving average plot, choose length, choose color)
Profile:
- Profile Data (choose the source data of the profile)
- Value Area % (set the percentage width of profile’s value area)
- Positions (set the position of the profile to left or right of the visible range)
- Node Size (set the relative size of nodes to make them appear smaller or larger)
- Rows (select the amount of rows displayed by the profile to control granularity)
- POC (show/hide POC- Point Of Control and select its color)
- VA (show/hide VA- Value Area and select its color)
Divergence finder
- Source (choose the source data used by the script to compare it with price pivot points)
- Maximum distance (the maximum distance between two divergent pivot points)
- Lookback Bars Left (the number of bars to the left of the current bar that the function will consider when looking for a pivot point)
- Lookback Bars Right (the number of bars to the right of the current bar that the function will consider when looking for a pivot point)
Stats:
- Show/Hide the Stats table
- Bars Back (choose the length of data analyzed for stats in number of bars)
- Position (choose the position of the Stats table)
- Select Data you want to display in the Stats table
Additional Settings:
- Volume Heatmap (show/hide volume heatmap and select its color)
- Label Offset (select how much the plot label is shifted to the right
- Position Relative Strength Length (select the length used in the calculation)
- Value Label (show/hide OI Delta values when candles are displayed)
- Plot Labels (show/hide the labels next to the plot)
- Wicks (show/hide wick when candles are displayed)
Code used for generating profiles is taken from @KioseffTrading's "Profile Any Indicator" script (used with author's permission)
comm_idxThis script displays information about the components of the Goldman Sachs Commodity Index. The index is based on futures contracts in the categories of agricultural products, softs commodities, livestock, energies, industrial metals, and precious metals. The statistics displayed in the table are:
change: 1-day % change
from ma: the % change from a moving average
corr idx: correlation of the contract to the GSCI
The lengths for the moving average and correlation statistic can be set using the inputs.
See the script source for the symbols used for each commodity. Although most of the symbols correspond to the actual futures contract used to compute the index, LME contracts are not available on tradingview. Hence, corresponding HKEX contracts are used for the industrial metals.
Open Interest with Heikin Ashi candlesA simple modification of the Tradingview free script of futures Open Interest to Heikin Ashi candles. It displays the volume of the Open Interest futures contracts by applying the HA formula.
I use it to clear out the "noise" of up's and down's especially in intraday small time frames when I am scalping in crypto.
Background color can be turned on/off.
Just to give back a little something to a community that gave me A LOT!
Let me know what you think and if you need anything to add.
Have fun :)
P.S. The way I use it is to try to find traps in the market and take (fast) advantage of them. When the OI are going up really fast in small time frames (which means either longs or shorts are going up) this creates a good opportunity for a squeeze (the trap).
Of course I use other indicators/oscillators to determine that but it gets me on my toes to look for... something ;)
Open DriveOpen Drive is a market profile concept introduced by Jim Dalton. It occurs when the price moves directionally and persistently for the first 30 minutes from the cash market open.
It is necessary to use 30-minute bars as there needs to be enough time to measure an extreme move of the cash open. This means there will be fewer trades than other strategies using faster time periodicities.
The script finds open drives from these time points 0700/ 0800 and 1300/1430.
The entry signal also has a breakout threshold using the 5-bar high and 5-bar low to only take trades moving away from the prior 5-bar range. This weeds out most mid-range trades and small range expansion bars.
If the price has had a strong move from the open and has broken either below the prior 5-bar low or above the prior 5-bar high by an amount equal to the prior 5-bar range a trade is entered in the direction of the move.
The Exit criteria; exit after 3 bars which is 90mins when using a 30min periodicity.
Note, this script is shared to show that momentum generated on or around the cash open tends to persist. The entry and exits of this strategy are quite naive but there are plenty of ways to take more aggressive entries on faster time frames when an open drive occurs. The times chosen for this strategy will suit stock index futures mainly. The user can experiment with other futures products and their corresponding pit/ cash open hours.
Google "open drive market profile" for more information on open drives and market profile concepts.
Happy trading!
Bars Since MA Cross Can Help Trend FollowingMoving average crosses are popular signals for trend followers. Like many conditions, they tend to reverse after a certain amount of time. Today’s script is designed to help traders visualize and interpret these turns.
Bars Since MA Cross counts how many bars have passed since a fast-moving average crossed a slower MA. Bullish readings, with the faster MA above the slow, are plotted with positive numbers. The opposite is true for bearish conditions. Users can choose between simple, exponential and weighed average types. They can also mix them, comparing a fast EMA for a slower SMA, for example.
By default, it uses the 8- and 21-day EMAs.
This approach can help in a couple of ways. First, it can show divergences as a move weakens. Microsoft, in the example above, had a shorter bullish phase as it made new highs last December. This was followed by even briefer periods in January before the bear market took hold.
Likewise in May and June, Bars Since MA Cross showed shorter bearish periods before July’s counter-trend rally.
The second potential application is to know the age of a move. In this case look at September 2020. MSFT’s 8-day EMA was above its 21-day EMA for 108 days. The chart shows this was unusually long by previous examples, giving traders a sense the rally was getting long in the tooth. (MSFT would go the rest of that year without a new high.)
In conclusion, Bars Since MA Cross judges a move by its age and not its intensity. It’s a different approach that can sometimes help more than viewing simple price action.
TradeStation has, for decades, advanced the trading industry, providing access to stocks, options, futures and cryptocurrencies. See our Overview for more.
Important Information
TradeStation Securities, Inc., TradeStation Crypto, Inc., and TradeStation Technologies, Inc. are each wholly owned subsidiaries of TradeStation Group, Inc., all operating, and providing products and services, under the TradeStation brand and trademark. You Can Trade, Inc. is also a wholly owned subsidiary of TradeStation Group, Inc., operating under its own brand and trademarks. TradeStation Crypto, Inc. offers to self-directed investors and traders cryptocurrency brokerage services. It is neither licensed with the SEC or the CFTC nor is it a Member of NFA. When applying for, or purchasing, accounts, subscriptions, products, and services, it is important that you know which company you will be dealing with. Please click here for further important information explaining what this means.
This content is for informational and educational purposes only. This is not a recommendation regarding any investment or investment strategy. Any opinions expressed herein are those of the author and do not represent the views or opinions of TradeStation or any of its affiliates.
Investing involves risks. Past performance, whether actual or indicated by historical tests of strategies, is no guarantee of future performance or success. There is a possibility that you may sustain a loss equal to or greater than your entire investment regardless of which asset class you trade (equities, options, futures, or digital assets); therefore, you should not invest or risk money that you cannot afford to lose. Before trading any asset class, first read the relevant risk disclosure statements on the Important Documents page, found here: www.tradestation.com .
SPY to ES or QQQ to NQThis indicator is used to automatically map SPY VWAP and 10 levels of your choice to ES / MES or map QQQ VWAP and 10 levels of your choice to NQ / MNQ . Since SPY and QQQ have the same price action as their futures iteration, there seems to a direct correlation between their levels and VWAP. This indicator is made to easily map the key levels of your choice to the appropriate futures instrument.
Writer Extendible Option [Loxx]These options can be exercised at their initial maturity date /I but are extended to T2 if the option is out-of-the-money at ti. The payoff from a writer-extendible call option at time T1 (T1 < T2) is (via "The Complete Guide to Option Pricing Formulas")
c(S, X1, X2, t1, T2) = (S - X1) if S>= X1 else cBSM(S, X2, T2-T1)
and for a writer-extendible put is
c(S, X1, X2, T1, T2) = (X1 - S) if S< X1 else pBSM(S, X2, T2-T1)
Writer-Extendible Call
c = cBSM(S, X1, T1) + Se^(b-r)T2 * M(Z1, -Z2; -p) - X2e^-rT2 * M(Z1 - vT^0.5, -Z2 + vT^0.5; -p)
Writer-Extendible Put
p = cBSM(S, X1, T1) + X2e^-rT2 * M(-Z1 + vT^0.5, Z2 - vT^0.5; -p) - Se^(b-r)T2 * M(-Z1, Z2; -p)
b=r options on non-dividend paying stock
b=r-q options on stock or index paying a dividend yield of q
b=0 options on futures
b=r-rf currency options (where rf is the rate in the second currency)
Inputs
Asset price ( S )
Initial strike price ( X1 )
Extended strike price ( X2 )
Initial time to maturity ( t1 )
Extended time to maturity ( T2 )
Risk-free rate ( r )
Cost of carry ( b )
Volatility ( s )
Numerical Greeks or Greeks by Finite Difference
Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. (via VinegarHill FinanceLabs)
Numerical Greeks Output
Delta
Elasticity
Gamma
DGammaDvol
GammaP
Vega
DvegaDvol
VegaP
Theta (1 day)
Rho
Rho futures option
Phi/Rho2
Carry
DDeltaDvol
Speed
Things to know
Only works on the daily timeframe and for the current source price.
You can adjust the text size to fit the screen
Reset Strike Options-Type 1 [Loxx]In a reset call (put) option, the strike is reset to the asset price at a predetermined future time, if the asset price is below (above) the initial strike price. This makes the strike path-dependent. The payoff for a call at maturity is equal to max((S-X)/X, 0) where is equal to the original strike X if not reset, and equal to the reset strike if reset. Similarly, for a put, the payoff is max((X-S)/X, 0) Gray and Whaley (1997) x have derived a closed-form solution for such an option. For a call, we have
c = e^(b-r)(T2-T1) * N(-a2) * N(z1) * e^(-rt1) - e^(-rT2) * N(-a2)*N(z2) - e^(-rT2) * M(a2, y2; p) + (S/X) * e^(b-r)T2 * M(a1, y1; p)
and for a put,
p = e^(-rT2) * N(a2) * N(-z2) - e^(b-r)(T2-T1) * N(a2) * N(-z1) * e^(-rT1) + e^(-rT2) * M(-a2, -y2; p) - (S/X) * e^(b-r)T2 * M(-a1, -y1; p)
where b is the cost-of-carry of the underlying asset, a is the volatil- ity of the relative price changes in the asset, and r is the risk-free interest rate. X is the strike price of the option, r the time to reset (in years), and T is its time to expiration. N(x) and M(a, b; p) are, respec- tively, the univariate and bivariate cumulative normal distribution functions. The remaining parameters are p = (T1/T2)^0.5 and
a1 = (log(S/X) + (b+v^2/2)T1) / vT1^0.5 ... a2 = a1 - vT1^0.5
z1 = (b+v^2/2)(T2-T1)/v(T2-T1)^0.5 ... z2 = z1 - v(T2-T1)^0.5
y1 = log(S/X) + (b+v^2)T2 / vT2^0.5 ... y2 = y1 - vT2^0.5
b=r options on non-dividend paying stock
b=r-q options on stock or index paying a dividend yield of q
b=0 options on futures
b=r-rf currency options (where rf is the rate in the second currency)
Inputs
Asset price ( S )
Initial strike price ( X1 )
Extended strike price ( X2 )
Initial time to maturity ( t1 )
Extended time to maturity ( T2 )
Risk-free rate ( r )
Cost of carry ( b )
Volatility ( s )
Numerical Greeks or Greeks by Finite Difference
Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. (via VinegarHill FinanceLabs)
Numerical Greeks Ouput
Delta
Elasticity
Gamma
DGammaDvol
GammaP
Vega
DvegaDvol
VegaP
Theta (1 day)
Rho
Rho futures option
Phi/Rho2
Carry
DDeltaDvol
Speed
Things to know
Only works on the daily timeframe and for the current source price.
You can adjust the text size to fit the screen
American Approximation Bjerksund & Stensland 1993 [Loxx]American Approximation Bjerksund & Stensland 1993 is an American Options pricing model. This indicator also includes numerical greeks. You can compare the output of the American Approximation to the Black-Scholes-Merton value on the output of the options panel.
The Bjerksund and Stensland (1993) approximation can be used to price American options on stocks, futures, and currencies. The method is analytical and extremely computer-efficient. Bjerksund and Stensland's approximation is based on an exercise strategy corresponding to a flat boundary / (trigger price). Numerical investigation indicates that the Bjerksund and Stensland model is somewhat more accurate for long-term options than the Barone-Adesi and Whaley model. (The Complete Guide to Option Pricing Formulas)
C = alpha * X^beta - alpha Ø(S, T, beta, I, I) + Ø(S, T, I, I, I) - Ø(S, T, I, X, I) - XØ(S, T, 0, I, I) + XØ(S, T, 0, X, I)
where
alpha = (1 - X) * I^-beta
beta = (1/2 - b/v^2) + ((b/v^2 - 1/2)^2 + 2*(r/v^2))^0.5
The function Ø(S, T, y, H, I) is given by
Ø(S, T, gamma, H, I) = e^lambda * S^gamma * (N(d) - (I/S)^k * N(d - (2 * log(I/S)) / v*T^0.5))
lambda = (-r + gamma * b + 1/2 * gamma(gamma - 1) * v^2) * T
d = (log(S/H) + (b + (gamma - 1/2) * v^2) * T) / (v * T^0.5)
k = 2*b/v^2 + (2 * gamma - 1)
and the trigger price I is defined as
I = B0 + (B(+infi) - B0) * (1 - e^h(T))
h(T) = -(b*T + 2*v*T^0.5) * (B0 / (B(+infi) - B0))
B(+infi) = (B / (B - 1)) * X
B0 = max(X, (r / (r - b)) * X)
If s > I, it is optimal to exercise the option immediately, and the value must be equal to the intrinsic value of S - X. On the other hand, if b > r, it will never be optimal to exercise the American call option before expiration, and the value can be found using the generalized BSM formula. The value of the American put is given by the Bjerksund and Stensland put-call transformation
P(S, X, T, r, b, v) = C(X, S, T, r -b, -b, v)
where C(*) is the value of the American call with risk-free rate r - b and drift -b. With the use of this transformation, it is not necessary to develop a separate formula for an American put option.
b=r options on non-dividend paying stock
b=r-q options on stock or index paying a dividend yield of q
b=0 options on futures
b=r-rf currency options (where rf is the rate in the second currency)
Inputs
S = Stock price.
K = Strike price of option.
T = Time to expiration in years.
r = Risk-free rate
c = Cost of Carry
V = Variance of the underlying asset price
cnd1(x) = Cumulative Normal Distribution
cbnd3(x) = Cumulative Bivariate Normal Distribution
nd(x) = Standard Normal Density Function
convertingToCCRate(r, cmp ) = Rate compounder
Numerical Greeks or Greeks by Finite Difference
Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. (via VinegarHill FinanceLabs)
Things to know
Only works on the daily timeframe and for the current source price.
You can adjust the text size to fit the screen
Generalized Black-Scholes-Merton on Variance Form [Loxx]Generalized Black-Scholes-Merton on Variance Form is an adaptation of the Black-Scholes-Merton Option Pricing Model including Numerical Greeks. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options using variance instead of volatility.
Black- Scholes- Merton on Variance Form
In some circumstances, it is useful to rewrite the BSM formula using variance as input instead of volatility, V = v^2:
c = S * e^((b - r) * T) * N(d1) - X * e^(-r * T) * N(d2)
p = X * e^(-r * T) * N(-d2) - S * e^((b - r) * T) * N(-d1)
where
d1 = (log(S / X) + (b + V^2 / 2) * T) / (V * T)^0.5
d2 = d1 - (V * T)^0.5
BSM on variance form clearly gives the same price as when written on volatility form. The variance form is used indirectly in terms of its partial derivatives in some stochastic variance models, as well as for hedging of variance swaps. The BSM on variance form moreover admits an interesting symmetry between put and call options as discussed by Adamchuk and Haug (2005) at www.wilmott.com .
c(S, X, T, r, b, V) = -c(-S, -X, -T, -r, -b, -V)
and
p(S, X, T, r, b, V) = -p(-S, -X, -T, -r, -b, -V)
It is possible to find several similar symmetries if we introduce imaginary numbers.
b = r ... gives the Black and Scholes (1973) stock option model.
b = r — q ... gives the Merton (1973) stock option model with continuous dividend yield q.
b = 0 ... gives the Black (1976) futures option model.
b = 0 and r = 0 ... gives the Asay (1982) margined futures option model.
b = r — rf ... gives the Garman and Kohlhagen (1983) currency option model.
Inputs
S = Stock price.
X = Strike price of option.
T = Time to expiration in years.
r = Risk-free rate
cc = Cost of Carry
V = Variance of the underlying asset price
cnd (x) = The cumulative normal distribution function
nd(x) = The standard normal density function
convertingToCCRate(r, cmp ) = Rate compounder
Numerical Greeks or Greeks by Finite Difference
Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. (via VinegarHill FinanceLabs)
Things to know
Only works on the daily timeframe and for the current source price.
You can adjust the text size to fit the screen
RSI Past Can Turn RSI Into a Directional ToolThe Relative Strength Index was created by J. Welles Wilder to measure overbought and oversold conditions. It’s also found popularity as an overall measure of direction because upward-trending stocks often hit overbought conditions. The opposite can be true with underperformers.
Today’s custom script, RSI Past, attempts to capture this secondary use of RSI as a directional indicator.
RSI Past achieves this by comparing how many bars have passed since RSI's most recent overbought and oversold readings. It then plots a simple difference between those two numbers.
Stocks with “bullish” signals will have positive readings that will increase each time RSI hits an overbought condition.
“Bearish” readings are just the opposite, growing more negative as oversold conditions occur.
An examination of some individual stocks may show the usefulness of this approach.
Meta Platforms , for example, hit an oversold condition almost exactly one year ago, and has remained under heavy selling pressure since:
Exxon Mobil , on the other hand, flipped to a bullish reading last October and has trended higher since:
This raises some interesting questions for Apple, shown on the main chart above. AAPL’s RSI Past has maintained a bullish reading for over a year -- unlike most other big technology stocks and the broader Nasdaq-100. Could this reflect bigger directional strength, especially with prices holding the $150 level that’s had relevance several times mid-2021?
TradeStation has, for decades, advanced the trading industry, providing access to stocks, options, futures and cryptocurrencies. See our Overview for more.
Important Information
TradeStation Securities, Inc., TradeStation Crypto, Inc., and TradeStation Technologies, Inc. are each wholly owned subsidiaries of TradeStation Group, Inc., all operating, and providing products and services, under the TradeStation brand and trademark. You Can Trade, Inc. is also a wholly owned subsidiary of TradeStation Group, Inc., operating under its own brand and trademarks. TradeStation Crypto, Inc. offers to self-directed investors and traders cryptocurrency brokerage services. It is neither licensed with the SEC or the CFTC nor is it a Member of NFA. When applying for, or purchasing, accounts, subscriptions, products, and services, it is important that you know which company you will be dealing with. Please click here for further important information explaining what this means.
This content is for informational and educational purposes only. This is not a recommendation regarding any investment or investment strategy. Any opinions expressed herein are those of the author and do not represent the views or opinions of TradeStation or any of its affiliates.
Investing involves risks. Past performance, whether actual or indicated by historical tests of strategies, is no guarantee of future performance or success. There is a possibility that you may sustain a loss equal to or greater than your entire investment regardless of which asset class you trade (equities, options, futures, or digital assets); therefore, you should not invest or risk money that you cannot afford to lose. Before trading any asset class, first read the relevant risk disclosure statements on the Important Documents page, found here: www.tradestation.com .
CFB-Adaptive Trend Cipher Candles [Loxx]CFB-Adaptive Trend Cipher Candles is a candle coloring indicator that shows both trend and trend exhaustion using Composite Fractal Behavior price trend analysis. To do this, we first calculate the dynamic period outputs from the CFB algorithm and then we injection those period inputs into a correlation function that correlates price input price to the candle index. The closer the correlation is to 1, the lighter the green color until the color turns yellow, sometimes, indicating upward price exhaustion. The closer the correlation is to -1, the lighter the red color until it reaches Fuchsia color indicating downward price exhaustion. Green means uptrend, red means downtrend, yellow means reversal from uptrend to downtrend, fuchsia means reversal from downtrend to uptrend.
What is Composite Fractal Behavior ( CFB )?
All around you mechanisms adjust themselves to their environment. From simple thermostats that react to air temperature to computer chips in modern cars that respond to changes in engine temperature, r.p.m.'s, torque, and throttle position. It was only a matter of time before fast desktop computers applied the mathematics of self-adjustment to systems that trade the financial markets.
Unlike basic systems with fixed formulas, an adaptive system adjusts its own equations. For example, start with a basic channel breakout system that uses the highest closing price of the last N bars as a threshold for detecting breakouts on the up side. An adaptive and improved version of this system would adjust N according to market conditions, such as momentum, price volatility or acceleration.
Since many systems are based directly or indirectly on cycles, another useful measure of market condition is the periodic length of a price chart's dominant cycle, (DC), that cycle with the greatest influence on price action.
The utility of this new DC measure was noted by author Murray Ruggiero in the January '96 issue of Futures Magazine. In it. Mr. Ruggiero used it to adaptive adjust the value of N in a channel breakout system. He then simulated trading 15 years of D-Mark futures in order to compare its performance to a similar system that had a fixed optimal value of N. The adaptive version produced 20% more profit!
This DC index utilized the popular MESA algorithm (a formulation by John Ehlers adapted from Burg's maximum entropy algorithm, MEM). Unfortunately, the DC approach is problematic when the market has no real dominant cycle momentum, because the mathematics will produce a value whether or not one actually exists! Therefore, we developed a proprietary indicator that does not presuppose the presence of market cycles. It's called CFB (Composite Fractal Behavior) and it works well whether or not the market is cyclic.
CFB examines price action for a particular fractal pattern, categorizes them by size, and then outputs a composite fractal size index. This index is smooth, timely and accurate
Essentially, CFB reveals the length of the market's trending action time frame. Long trending activity produces a large CFB index and short choppy action produces a small index value. Investors have found many applications for CFB which involve scaling other existing technical indicators adaptively, on a bar-to-bar basis.
Included
Loxx's Expanded Source Types
Related indicators:
Adaptive Trend Cipher loxx]
Dynamic Zones Polychromatic Momentum Candles
RSI Precision Trend Candles
