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Extended Recursive Bands - Maximum Efficiency With Extra OptionsIntroducing A New Calculation For Efficient Bands Calculation ! Here it is ! The Recursive Bands Indicator, an indicator specially created to be extremely efficient, i think you already know that calculation time is extra important in algorithmic trading, and this is the principal motivation for the creation of the proposed indicator. Originally described in my paper "Pierrefeu, Alex (2019): Recursive Bands - A New Indicator For Technical Analysis" , the indicator framework has been widely used in my previous uploaded indicators, however it would have been a shame to not upload it, however user experience being a major concern for me, i decided to add extra options, which explain the term "extended". On The Indicator Calculation You can skip this part if it doesn't interest you. The calculation of the indicator is based on recursion, but i want to explain the mathematical formula described in the paper. I've seen some users trying to remake it from the calculations, however there was always something weird, and i understand, mathematical notations are always a bit weird, even myself don't always write them correctly/understand them, however this one is relatively simple to understand. First lets explain each elements of the calculation : α = smoothing constant, or 2/(length+1) max/min = maximum and minimum function, max return the greatest input value while min return the lowest one, for example : max(4,2) = 4 while min(4,2) = 2 the "||" notation mean taking the absolute value, for example : |-1| = abs(-1) = 1 The calculation after the max/min function is called the correction factor, and is the core of the indicator. The last two variables are just here to provide an initial value for upper and lower, basically when we start our calculations we will assign the value of the closing price for upper and lower. The motivation behind using a smoothing constant in range of (0,1) was to tell the reader that the indicator is easily made adaptive, this is what i did on my adaptive trailing stop indicator by using the efficiency ratio as smoothing variable, the user can use 1/length instead of the provided calculation for alpha. If you interested on the indicator main logic, it is actually really simple, by using upper = max(price,upper) and lower = min(price,lower) we would get the maximum/minimum price value at time t , therefore upper can only be greater or equal than its precedent value, while lower can only be lower or equal than its precedent value, in order to fix that we subtract/sum upper/lower with a value, this allow the upper band to be lower than its precedent value and lower to be greater than its precedent value, this is the role of the correction factor. The Indicator The indicator display one upper and one lower band, every common usages applied to bands indicators such as support/resistance, breakout, trailing stop...etc, can also be applied to this one. length control how reactive the bands are, higher values of length will make the bands cross the price less often. In order to provide more flexibility for the user i added the option to use various methods for the calculation of the indicator, therefore the indicator can use the average true range, standard deviation, average high-low range, and one totally exclusive method specially designed for this indicator. Classic Method This option make the indicator use its classical calculation, this is the most efficient method of all. Atr Method (atr) This method use the average true range as correction factor, notice that lower values of length can still produce wide band. Standard Deviation Method (stdev) This method use a biased estimate of the standard deviation as correction factor. The method produce smoother bands that converge more slowly toward the price in comparison with the classic correction factor. Average High-Low Range Method (ahlr) This method use the average of the high-low range as correction factor, extremely similar to the average true range. Rising Falling Volatility (rfv) Method A new method created for this indicator, this correction factor use the absolute prices changes when price value is greater/lower than any length past values of the price, this allow to have more boxy shaped bands, work best with greater values of length. The bands can be in contact with this method, a possible fix in the future. Conclusion The recursive band indicator is one of my greatest indicators in my opinion (i would love to have yours), as you can see the idea behind it is extremely simple and allow for a super efficient band indicator, which was the original motivation behind it, in order to provide more fun for the users i also added more option for the correction factor, this allow the user to be creative and not get stuck with the original calculation. Like the trend step indicator family we have almost ended our series on the recursive band framework, 1 more trailing stop will be added in the future, and then we'll have more "boring" stuff until i find something cool again, it shouldn't be long ;) Thanks for reading !
Wskaźnik Pine Script®
od alexgrover
18
X Period High/Low/MidToday we have a simple, but endlessly versatile, indicator that plots the X Period High/Low/Mid of your chosen market. Traditionally the 52 week High/Low is used as a breakout signal. However, by changing to an X period, and adding a midway line, we create a more versatile indicator that can be tailored to various markets. By default it's set at 250 periods (because I like the 250 period moving average), and I generally trade H4 and Daily time frames. But tweak it to your liking, you just have to modify the length periods by your desired time frame and lookback length. E.g. to create a 52 week indicator on the daily time frame, enter a length of 260 in the indicator (5 days per week * 52 weeks = 260). For the above reason, I haven't made this indicator MTF, as there's no real need. However, if users find it easier I can look at adding it later. Also, the mid point between an X period high/low is often a good trend-follower, as well as acting as support/resistance . I encourage you to experiment with different ways of using this indicator. Entire systems (if your risk management is correct) can be built and traded from this one indicator. Good luck. DD
Wskaźnik Pine Script®
od DreamsDefined
13
Lancelot RR StrategyDear all, Free strategy again. This strategy consists of 2 indicators I think works well with each other as a trend following strategy. The 2 indicators are Renko chart and Relative Vigor Index. This is a long-only breakout strategy that aims to capture the majority of the trend. Works well on BTCUSD XBTUSD, as well as other major liquid Pair. Please acknowledge my effort by like and follow. And lastly, Save Hong Kong, the revolution of our times.
Strategia Pine Script®
od Lancelot_Augur
Flagging BandsIntroduction A pun between the word flag and the adjective flagging (less dynamic) , this indicator have two bands who react faster when in contact to the price. Imagine you are under sheets, if you abruptly rise, the sheets will instantaneously go up, then if you abruptly get down, the sheets will fall slowly until being in contact with a surface, this is because of a type of friction called drag or air resistance , this force is described in fluid dynamics and i inspired myself from that for the creation of the indicator. The indicator The indicator is made of two bands, one upper band and one lower band, then a weighted average of each bands, this average is weighted depending on which band the price is closer. The length control the period of the indicator, in general higher lengths will create wider bands, you must consider that this parameter behave differently than other ones and may create slower results in comparison with other bands indicators while having the same length period. The indicator can use a simple breakout methodology (see trailing stop part) but can sometime provide support and resistance points, in fact i believe that when the average variability/volatility of band A is higher than the average variability/volatility of band B and that the price cross band B then price will reverse its direction, this claim is not justified, research is needed. Trailing Stop Mod It is possible to make the indicator act as a trailing stop, in order to do so just tick the trailing stop mod box. The average/bands will automatically disappear being replaced by the trailing stop. Conclusion I was just playing around when making the skeleton of the indicator, i hope the code is easy to understand, if you need some kind of explanation just pm me, i'm always open to help people/receive suggestions. Best Regards
Wskaźnik Pine Script®
od alexgrover
12
CamarillaStrategy -V1 - H4 and L4 breakout - exits addedExits added using trailing stops. 2.6 Profit Factor and 76% Profitable on SPY , 5M - I think it's a pretty good number for an automated strategy that uses Pivots. I don't think it's possible to add volume and day open price in relation to pivot levels -- that's what I do manually .. Still trying to add EMA for exits.. it will increase profitability. You can play in pinescript with trailing stops entries..
Strategia Pine Script®
od cristian.d
15