PROTECTED SOURCE SCRIPT
ACADEMIC TSMOM 5TF
Description:
This script is a robust implementation of the Time Series Momentum (TSMOM) strategy, designed to capture high-probability trends by analyzing 5 different timeframes (MTF) simultaneously while applying a sophisticated Volatility Targeting mechanism to manage position sizing.
How it Works:
The strategy evaluates price direction across five user-defined timeframes (from scalping levels to daily trends). Each timeframe contributes a weighted value to a master "Momentum Score":
Multi-Timeframe Consensus: Entries are only triggered when the aggregate trend strength (Score) exceeds a specific confidence threshold.
No-Trade Zone Filter: This feature prevents overtrading in choppy, sideways markets by requiring a minimum momentum conviction before switching direction.
Advanced Risk Management (Vol Targeting):
Unlike static strategies, this script utilizes Dynamic Volatility Targeting. It automatically scales the position size (qty) based on the asset's current volatility (Standard Deviation):
High Volatility: The script scales down position size to protect equity from large swings.
Low Volatility: The script increases size to maximize capital efficiency when the trend is stable.
Max Leverage Cap: Includes a safety limit to ensure the strategy stays within realistic simulation bounds.
Key Features:
Real-Time Debug Table: A visual HUD on your chart displaying the status of all 5 TFs, current momentum score, sigma (volatility), and calculated position units.
Independent Alert System: Built with specific alertcondition triggers for LONG ONLY and SHORT ONLY signals, making it easy to connect to Webhooks (3Commas, Cornix, etc.) or mobile notifications.
Highly Adaptive: Fully customizable lookback periods, timeframe weights, and risk percentages.
How to Use:
Configure Timeframes: Set your 5 preferred TFs and their respective lookback periods in the inputs.
Define Risk: Adjust the Target Vol and Max Risk % to match your personal trading plan.
Filter Noise: Use the Score Threshold to fine-tune how much momentum is required to trigger a trade.
This script is a robust implementation of the Time Series Momentum (TSMOM) strategy, designed to capture high-probability trends by analyzing 5 different timeframes (MTF) simultaneously while applying a sophisticated Volatility Targeting mechanism to manage position sizing.
How it Works:
The strategy evaluates price direction across five user-defined timeframes (from scalping levels to daily trends). Each timeframe contributes a weighted value to a master "Momentum Score":
Multi-Timeframe Consensus: Entries are only triggered when the aggregate trend strength (Score) exceeds a specific confidence threshold.
No-Trade Zone Filter: This feature prevents overtrading in choppy, sideways markets by requiring a minimum momentum conviction before switching direction.
Advanced Risk Management (Vol Targeting):
Unlike static strategies, this script utilizes Dynamic Volatility Targeting. It automatically scales the position size (qty) based on the asset's current volatility (Standard Deviation):
High Volatility: The script scales down position size to protect equity from large swings.
Low Volatility: The script increases size to maximize capital efficiency when the trend is stable.
Max Leverage Cap: Includes a safety limit to ensure the strategy stays within realistic simulation bounds.
Key Features:
Real-Time Debug Table: A visual HUD on your chart displaying the status of all 5 TFs, current momentum score, sigma (volatility), and calculated position units.
Independent Alert System: Built with specific alertcondition triggers for LONG ONLY and SHORT ONLY signals, making it easy to connect to Webhooks (3Commas, Cornix, etc.) or mobile notifications.
Highly Adaptive: Fully customizable lookback periods, timeframe weights, and risk percentages.
How to Use:
Configure Timeframes: Set your 5 preferred TFs and their respective lookback periods in the inputs.
Define Risk: Adjust the Target Vol and Max Risk % to match your personal trading plan.
Filter Noise: Use the Score Threshold to fine-tune how much momentum is required to trigger a trade.
Skrypt chroniony
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Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Skrypt chroniony
Ten skrypt został opublikowany jako zamknięty kod źródłowy. Można z tego korzystać swobodnie i bez żadnych ograniczeń — więcej informacji znajduje się tutaj.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.