Statistics
Function : Multiple Correlation
This script was written to calculate the correlation coefficient (Adjusted R-Squared) for one dependent and two independent variables.(3-way)
Pearson correlation method was used with exponential moving averages as the correlation calculation method.
Use your source ( i use "close" generally ) as the dependent variable.
Inspired by this article : www.real-statistics.com
The Adjusted R-Squared coefficient is used as output, but the R-Squared coefficient is also available in the code.
Adjusted R-Squared is often used for multiple correlations.
It also gives better results in large samples.
Here is the article about the difference of the two coefficients : www.investopedia.com
I wrote this function to increase the efficiency of my Dow Factor I used before.
When my research is over, I will apply the 3-factor correlation to my scripts.
I hope that I will achieve more efficient indicators and oscillators and even strategies.
In this command, I gave a few variable values and plotted them as an example.
I hope this function is useful in your work.
Finally, you can use periods as mutable variables.
The function is recovered from integer loads.
Best regards. Noldo
Volume Weighted DistanceThis script holds several useful functions from statistics and machine learning (ML) and takes measurement of a volume weighted distance in order to identify local trends. It attempts at applying ML techniques to time series processing, shows how different distance measures behave and gives you an arsenal of tools for your endeavors. Tested with BTCUSD.
REM: oddly enough, many people forget that the scripts in PS are generally just STUDIES, i.e. exercises, experiments, trials, and do not embody a final solution. Please treat them as intended ;))
[RS]ZigZag Percent Reversal - Multiple StatisticsMultiple Statistics from zigzag:
• Price range between swings.
• Bar range between swings.
returns maximum value, avg value and mean deviation.
if you find something missing, please leave a message bellow.
Price Move exceed % Threshold & BE Evaluation -Tom1traderwww.tradingview.com
Category is difficult with this one. I chose ROC as the closest as this measures the historical % of a given change amount.
This indicator is in a separate panel above or below the main chart. I use it only for Options trading to help with probability reckoning.
Use it (at your own risk) and the code freely and please ask any questions, glad to add detail / clarify and glad to know if you see I screwed something up. :-)
1. Plots when a percent move per candle is exceeded +exceeded is an "x" at top of panel and - is an "x" at panel bottom.
2. Plots (at last candle only) prices that are the selected % above and below the current close with thick black lines. TIP: For this to work best, in chart settings
"Scales" tab, check the "Indicator last value" and "No overlapping labels" check box.
3. Sums the number of times it occurs in a given number of candles ("Bars to sum . ." input).
TIP: On longer time frames (month+) reduce the length ("Bars . . sum" input) until get sums% plot.
4. Plots green and red lines for plus and minus sums as a percentage.
User inputs:
***** BTW did you know you can customize the time frame so one candle is (for example) 3 trading days?
1. Set the time frame of chart - NOTE this can be customized to what you need by scrolling to the bottom and adding the time frame you want i.e. 3 days or 2
weeks per candle. Remember these are trading times so 21 calendar days are 3 weeks or 15 trading days.
2. Choose the % threshold default 2% (+1.02 and its inverse for -) steps are 1/10th of a % (.001).
3. Choose the sum length("Bars . . sum . ") from 10 to 100 in number of candles.
Bottom line you can see the historical percentages and prices for a given percent move or can dial in a given break even (plus , minus or both) to see its past % occurrence and % move. One has to take into account changes in the market which show up clearly from the x above or below showing each occurrence (example: See more hits ("x"s) recently? Sum for recent length only to get more accurate reflection of market now.). Anyhow it is fun to play with and is part of how I do my own probability reckoning.
Partial CorrelationComputes the partial correlation between 2 symbols while removing the influence of a third.
Ex.:
Computes the correlation between AAPL and AMZN while removing the influence of SPX.
Multi-Timeframe VWAPShows the Daily, Weekly, Monthly, Quarterly, and Yearly VWAP.
Also shows the previous closing VWAP, which is usually very near the HLC3 standard pivot for the previous time frame. i.e. The previous daily VWAP closing price is usually near the current Daily Pivot. Tickers interact well with the previous Daily and Weekly closing VWAP.
Enabling the STDEV bands shows 3 separate standard deviation levels, defaulted at 1, 2, and 3. The lookback period for the bands is always changing with each new bar, since the standard deviation is calculated from the current bar to the beginning of the period. This is different from bollinger bands, as the lookback is constant (usually 20 periods is the textbook default).
The STDEV bands interval of interest can be changed from Day (D), Week (W), Month (M), Quarter (Q), Year (Y).
Tickers tend to bounce very well on Daily, Weekly, and Yearly VWAP (Yes... Year). Use this code and observe the Year VWAP on several major symbols through the past few years and eyes will be opened.
DownAfterLowProba// The script is useful to inspect probability:
// If previous day closed at lowest price for several days
// how often next day would be red bar
// As one can see gray lines indicate bars with lowest close. If next bar is green, increment diff_hi, overwise increment diff_lo
// Probability is counted as diff_lo / (diff_hi+diff_lo)
// One can copy script and change conditions to count other interesting probabilities
GEOMETRIC STANDARD DEVIATION BANDS v1 by @XeL_ArjonaGEOMETRIC STANDARD DEVIATION BANDS
Ver.1 By Ricardo M Arjona @XeL_Arjona
DISCLAIMER:
The Following indicator/code IS NOT intended to be a formal investment advice or recommendation by the author, nor should be construed as such. Users will be fully responsible by their use regarding their own trading vehicles/assets.
The embedded code and ideas within this work are FREELY AND PUBLICLY available on the Web for NON LUCRATIVE ACTIVITIES and must remain as is.
WHAT'S THIS?
This IS NOT the wheel "Re-Invention"... This is exactly what the name says: A pair of Envelope Bands to measure "volatility", constructed at statistical relation from within price series and their Rolling back MEAN (Simple Moving Average). YES, What Mr. Bollinger did and put it's name to this simple, cleaver and popular formula.
This time, I took the time to make another simple mod, but seems to me to be quite functional in REAL VOLATILE assets like in the example chart: TO USE THEIR GEOMETRIC MODE!!
Cheers!
Any feedback or public modification(s) are quite welcome to the community....!
@XeL_Arjona
Apr 28 2016
ATR%, ATR Timer and Range Expansion signalThese 3 indicators can be really useful.
The usage is fairly straightforward, if you understand price action, having an statistical edge like these provide can be useful.
Refer to Tim West's charts to learn more about range expansion bars.
The idea for the Atr% and Atr timer come from discussions I had with Yacine Kanoun, props to him for his contribution.
BACKTEST SCRIPT 0.999 ALPHATRADINGVIEW BACKTEST SCRIPT by Lionshare (c) 2015
THS IS A REAL ALTERNATIVE FOR LONG AWAITED TV NATIVE BACKTEST ENGINE.
READY FOR USE JUST RIGHT NOW.
For user provided trading strategy, executes the trades on pricedata history and continues to make it over live datafeed.
Calculates and (plots on premise) the next performance statistics:
profit - i.e. gross profit/loss.
profit_max - maximum value of gross profit/loss.
profit_per_trade - each trade's profit/loss.
profit_per_stop_trade - profit/loss per "stop order" trade.
profit_stop - gross profit/loss caused by stop orders.
profit_stop_p - percentage of "stop orders" profit/loss in gross profit/loss.
security_if_bought_back - size of security portfolio if bought back.
trades_count_conseq_profit - consecutive gain from profitable series.
trades_count_conseq_profit_max - maxmimum gain from consecutive profitable series achieved.
trades_count_conseq_loss - same as for profit, but for loss.
trades_count_conseq_loss_max - same as for profit, but for loss.
trades_count_conseq_won - number of trades, that were won consecutively.
trades_count_conseq_won_max - maximum number of trades, won consecutively.
trades_count_conseq_lost - same as for won trades, but for lost.
trades_count_conseq_lost_max - same as for won trades, but for lost.
drawdown - difference between local equity highs and lows.
profit_factor - profit-t-loss ratio.
profit_factor_r - profit(without biggest winning trade)-to-loss ratio.
recovery_factor - equity-to-drawdown ratio.
expected_value - median gain value of all wins and loss.
zscore - shows how much your seriality of consecutive wins/loss diverges from the one of normal distributed process. valued in sigmas. zscore of +3 or -3 sigmas means nonrandom realitonship of wins series-to-loss series.
confidence_limit - the limit of confidence in zscore result. values under 0.95 are considered inconclusive.
sharpe - sharpe ratio - shows the level of strategy stability. basically it is how the profit/loss is deviated around the expected value.
sortino - the same as sharpe, but is calculated over the negative gains.
k - Kelly criterion value, means the percentage of your portfolio, you can trade the scripted strategy for optimal risk management.
k_margin - Kelly criterion recalculated to be meant as optimal margin value.
DISCLAIMER :
The SCRIPT is in ALPHA stage. So there could be some hidden bugs.
Though the basic functionality seems to work fine.
Initial documentation is not detailed. There could be english grammar mistakes also.
NOW Working hard on optimizing the script. Seems, some heavier strategies (especially those using the multiple SECURITY functions) call TV processing power limitation errors.
Docs are here:
docs.google.com
Indicators: Three included :: IFT on CCI, Z-Score and R-Squared*** Full description in the comment below ******
This chart has 3 indicators:
- Chande's R2
- Zscore
- Inverse Fisher Transform on CCI
Feel free to "make mine" (click on the SHARE button) and use these indicators in your charts.
