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The Gain Anchor - Long/Short SignalsThe Gain Anchor – Long/Short Signals (WunderTrading Bot Ready) Dual Anchored VWAP System Powered by Overbought & Oversold Signals A high-precision AVWAP and Z-Score system designed to generate Long/Buy and Short/Sell signals. This indicator is ideal for swing trades and can be used as a standard signal indicator or seamlessly integrated for automated trading with WunderTrading bots. -------------------------------------------------- Inputs -------------------------------------------------- • Master Symbol: Sets the symbol used to track market trend. When disabled, the chart’s symbol is used to track its own trend. • Rolling AVWAP Length: Defines the AVWAP calculation lookback (the bar where calculation starts). • Minimum Investment Amount ($): Minimum is $6. For WunderTrading, it should not be less than $12. • Minimum Profit Target ($): Ensures returns are higher than the defined minimum profit. • Z-Score Lookback: Sets the lookback length for the Z-Score calculation window. • Z-Score Threshold: Defines the base threshold. (The code auto-adjusts thresholds as more data is processed.) • Long/Short Strings Input: Enter the alert messages you want to receive. For WunderTrading bots, input your Long Entry, Long Exit, Short Entry, and Short Exit codes. • Show Other Lines: Displays Rolling AVWAP plot, Take Profit, and Stop Loss lines. • Table Position: Choose the dashboard placement on your chart. -------------------------------------------------- Core Logic -------------------------------------------------- • Z-Score: Detects price deviation from its mean. When the price overextends based on the lookback, AVWAPs are reset. • Resetting AVWAP 1 / Fast AVWAP (White Line): Uses a weaker threshold. • Resetting AVWAP 2 / Slow AVWAP (Blue Line): Uses stronger thresholds, confirming and filtering weaker crosses. • When AVWAP 2 resets, it signals a possible trend change and may generate new signals. • If AVWAP 2 detects excessively frequent trend changes (high volatility), new signals are automatically disabled. • Stop Loss and Take Profit are derived from bar distance relative to the lowest AVWAP (longs) or highest AVWAP (shorts). If this exceeds your minimum investment, the system auto-adjusts the size. If stop loss is not positioned beyond the AVWAPs, no signal is generated. -------------------------------------------------- Trade Signals Logic -------------------------------------------------- The indicator’s signal mechanism is designed to prevent overtrading during high volatility. - Signals are disabled when a sudden surge in volatility is detected. - Only one signal is generated per legitimate trend change. - Example: • When the trend switches to bullish, only one Long signal is given. • Once that Long position is closed (profit or loss), no new signal will be issued until another valid trend change occurs. • The same logic applies to bearish/Short positions. This ensures that signals remain clean, infrequent, and aligned with real trend shifts rather than noise. -------------------------------------------------- Take Profit & Stop Loss -------------------------------------------------- • Take Profit has two levels: 1. First Level: Triggered when the trend changes and price is below the first TP level. 2. Second Level: Triggered if the price surges into the second TP level. The position is closed on whichever condition is met first. • On Scale: - Take Profit (Gray Line): Rolling take profit value. - Stop Loss (Maroon Line): Rolling stop loss value, auto-calculated as half the minimum profit. - Gray Stop Loss and Take Profit: Rolling Stop Loss and Take Profit purpose is mainly for manual trading but when they are both gray it is not ideal to look for an entry. • On Chart: - Take Profit: Lime (Longs), Fuchsia (Shorts). Fixed from signal start until triggered. - Stop Loss: Yellow (Longs), Maroon (Shorts). Fixed from signal start until triggered. - You have to activate "Show Other Lines" in Input to see them -------------------------------------------------- Signal Markers -------------------------------------------------- • 👆 = Long Entry • Green Dot = Long Exit (TP/SL) • 👇 = Short Entry • Fuchsia Dot = Short Exit (TP/SL) • 💥 = Bullish Trend • 🔥 = Bearish Trend -------------------------------------------------- Backtest System -------------------------------------------------- • Displays the number of days since the first trade/backtest. • Shows trade count, win rate, net profit/loss. • Useful for real-time analysis and alert validation. -------------------------------------------------- Dashboard Overview -------------------------------------------------- Row 1 (Per Symbol): • Column 1: Win Rate + Total Trades / Wins / Losses • Color Modes: Blue = Win rate rising and it's 50 or higher. Brown = Win rate falling and it's 50 or higher. Grey = Falling and less than 50 • Column 2: Backest - number of days since the first trade • Column 3: Net Profit + Total Profit / Total Loss • Color Modes: Red = Loss greater than Profit , Green = Net Profit exceeds minimum profit x Total Trade Won, Brown = Profit greater than Loss but high bad trades • Column 4: Investment Amount + Minimum Profit | Gain % to Target • Color Modes: Signal State: Lime = Long, Maroon = Short, Yellow = Both Active -------------------------------------------------- Usage Notes -------------------------------------------------- • Works for manual or automated execution. • Fully compatible with WunderTrading’s JSON alert format (and any platform using the same format). • Can also be used standalone with no dependencies. • Dashboard and auto-calculated SL/TP make it flexible across all trading styles. • Minimum Investment Amount affects SL/TP size and therefore win rate. • Increasing Minimum Profit increases potential profit but also increases loss size. • Loss-to-Win ratio is always 1:2+, meaning your wins are at least double your losses. • Optimized for 1-minute timeframe. Other timeframes may also yield desirable results. -------------------------------------------------- ⚠️ Disclaimer -------------------------------------------------- This indicator does not constitute financial advice or a trading recommendation. All trading involves risk. Past performance does not guarantee future results.
Wskaźnik Pine Script®
od CharmyDexter
Automated Scalping Signals with TP/SL Indicator [QuantAlgo]🟢 Overview The Automated Scalping Signals with Take Profit & Stop Loss Indicator is a multi-timeframe trading system that combines market structure analysis with directional bias filtering to identify potential scalping opportunities. It detects Points of Interest (POI) including Fair Value Gaps (FVG) and Order Blocks (OB) while cross-referencing entries with higher timeframe exponential moving average positioning to create systematic entry conditions. The indicator features adaptive timeframe calculations that automatically scale analysis periods based on your chart timeframe, maintaining consistent analytical relationships across different trading sessions. It provides integrated trade management with stop loss calculation methods, configurable risk-reward ratios, and real-time performance tracking through dashboard displays showing trade statistics, bias direction, and active position status. This advanced system is designed for low timeframe trading, typically performing optimally on 1 to 15-minute charts across popular instruments such as OANDA:XAUUSD , CME_MINI:MES1! , CME_MINI:ES1! , CME_MINI:MNQ1! , CBOT_MINI:YM1! , CBOT_MINI:MYM1! , BYBIT:BTCUSDT.P , BYBIT:ETHUSDT.P , or any asset and timeframe of your preference. 🟢 How It Works The indicator operates using a dual-timeframe mathematical framework where higher timeframe exponential moving averages establish directional bias through cross-over analysis, while simultaneously scanning for specific market structure patterns on the POI timeframe. The timeframe calculation engine uses multiplication factors to determine analysis periods, ensuring the bias timeframe provides trend context while the POI timeframe captures structural formations. The structural analysis begins with FVG detection, which systematically scans price action to identify imbalances where gaps exist between consecutive candle ranges with no overlapping wicks. When such gaps are detected, the algorithm measures their size against minimum thresholds to filter out insignificant formations. Concurrently, OB recognition analyzes three-candle sequences, examining specific open/close relationships that indicate potential institutional accumulation zones. Once these structural patterns are identified, the algorithm cross-references them against the higher timeframe bias direction, creating a validation filter that only permits entries aligned with the prevailing EMA cross-over state. When price subsequently intersects these validated POI zones, entry signals generate with the system calculating entry levels at zone midpoints, then applying the selected stop loss methodology combined with the configured risk-reward ratio to determine take profit placement. To mirror realistic trading conditions, the indicator incorporates configurable slippage calculations that account for execution differences between intended and actual fill prices. When trades reach their take profit or stop loss levels, the algorithm applies slippage adjustments that worsen the exit prices in a conservative manner - reducing take profit fills and increasing stop loss impact. This approach ensures backtesting results reflect more realistic performance expectations by accounting for spread costs, market volatility during execution, and liquidity constraints that occur in live trading environments. It also has a performance dashboard that continuously tracks and displays comprehensive trading metrics: 1/ Bias TF / POI TF: Displays the calculated timeframes used for bias analysis and POI detection, showing the actual periods (e.g., "15m / 5m") that result from the multiplier settings to confirm proper adaptive timeframe selection 2/ Bias Direction: Shows current market trend assessment (Bullish, Bearish, or Sideways) derived from EMA cross-over analysis to indicate which trade directions align with prevailing momentum 3/ Data Processing: Indicates how many price bars have been analyzed by the system, helping users verify if complete historical data has been processed for comprehensive strategy validation 4/ Total Trades: Displays the cumulative number of completed trades plus any active positions, providing volume assessment for statistical significance of other metrics 5/ Wins/Losses: Shows the raw count of profitable versus unprofitable trades, offering immediate insight into strategy effectiveness frequency 6/ Win Rate: Reveals the percentage of successful trades, where values above 50% generally indicate effective entry timing and values below suggest strategy refinement needs 7/ Total R-Multiple: Displays cumulative risk-reward performance across all trades, with positive values demonstrating profitable system operation and negative values indicating net losses requiring analysis 8/ Average R Win/Loss: Shows average risk-reward ratios for winning and losing trades separately, where winning averages approaching the configured take profit ratio indicate minimal slippage impact while losing averages near -1.0 suggest effective stop loss execution 9/ TP Ratio / Slippage: Displays the configured take profit ratio and slippage settings with calculated performance impact, showing how execution costs affect actual versus theoretical returns 10/ Profit Factor: Calculates the ratio of total winning amounts to total losing amounts, where values above 1.5 suggest robust profitability, values between 1.0-1.5 indicate modest success, and values below 1.0 show net losses 11/ Maximum Drawdown: Tracks the largest peak-to-trough decline in R-multiple terms, with smaller negative values indicating better capital preservation and risk control during losing streaks 🟢 How to Use Start by applying the indicator to your chart and observe its performance across different market conditions to understand how it identifies bias direction and POI formations. Then navigate to the settings panel to configure the Bias Timeframe Multiplier for trend context sensitivity and POI Timeframe Multiplier for structural analysis frequency according to your trading preference and objectives. Next, fine-tune the EMA periods in Bias Settings to control trend detection sensitivity and select your preferred POI types based on your analytical preference. Proceed to configure your Risk Management approach by selecting from the available stop loss calculation methods and setting the Take Profit ratio that aligns with your risk tolerance and profit objectives. Complete the setup by customizing Display Settings to control table visibility and trade visualization elements, adjusting UI positioning and colors for optimal chart readability, then activate Alert Conditions for automated notifications on trade entries, exits, and bias direction changes to support systematic trade management. 🟢 Examples OANDA:XAUUSD CME_MINI:MES1! CME_MINI:ES1! CME_MINI:MNQ1! CBOT_MINI:YM1! BYBIT:BTCUSDT.P BINANCE:SOLUSD *Disclaimer: Past performance is not indicative of future results. None of our statements, claims, or signals from our indicators are intended to be financial advice. All trading involves substantial risk of loss, not just upside potential. Users are highly recommended to carefully consider their financial situation and risk tolerance before trading.
Wskaźnik Pine Script®
od QuantAlgo
6
Uptrick: RSI Histogram 1. **Introduction to the RSI and Moving Averages** 2. **Detailed Breakdown of the Uptrick: RSI Histogram** 3. **Calculation and Formula** 4. **Visual Representation** 5. **Customization and User Settings** 6. **Trading Strategies and Applications** 7. **Risk Management** 8. **Case Studies and Examples** 9. **Comparison with Other Indicators** 10. **Advanced Usage and Tips** --- ## 1. Introduction to the RSI and Moving Averages ### **1.1 Relative Strength Index (RSI)** The Relative Strength Index (RSI) is a momentum oscillator developed by J. Welles Wilder and introduced in his 1978 book "New Concepts in Technical Trading Systems." It is widely used in technical analysis to measure the speed and change of price movements. **Purpose of RSI:** - **Identify Overbought/Oversold Conditions:** RSI values range from 0 to 100. Traditionally, values above 70 are considered overbought, while values below 30 are considered oversold. These thresholds help traders identify potential reversal points in the market. - **Trend Strength Measurement:** RSI also indicates the strength of a trend. High RSI values suggest strong bullish momentum, while low values indicate bearish momentum. **Calculation of RSI:** 1. **Calculate the Average Gain and Loss:** Over a specified period (e.g., 14 days), calculate the average gain and loss. 2. **Compute the Relative Strength (RS):** RS is the ratio of average gain to average loss. 3. **RSI Formula:** RSI = 100 - (100 / (1 + RS)) ### **1.2 Moving Averages (MA)** Moving Averages are used to smooth out price data and identify trends by filtering out short-term fluctuations. Two common types are: **Simple Moving Average (SMA):** The average of prices over a specified number of periods. **Exponential Moving Average (EMA):** A type of moving average that gives more weight to recent prices, making it more responsive to recent price changes. **Smoothed Moving Average (SMA):** Used to reduce the impact of volatility and provide a clearer view of the underlying trend. The RMA, or Running Moving Average, used in the USH script is similar to an EMA but based on the average of RSI values. ## 2. Detailed Breakdown of the Uptrick: RSI Histogram ### **2.1 Indicator Overview** The Uptrick: RSI Histogram (USH) is a technical analysis tool that combines the RSI with a moving average to create a histogram that reflects momentum and trend strength. **Key Components:** - **RSI Calculation:** Determines the relative strength of price movements. - **Moving Average Application:** Smooths the RSI values to provide a clearer trend indication. - **Histogram Plotting:** Visualizes the deviation of the smoothed RSI from a neutral level. ### **2.2 Indicator Purpose** The primary purpose of the USH is to provide a clear visual representation of the market's momentum and trend strength. It helps traders identify: - **Bullish and Bearish Trends:** By showing how far the smoothed RSI is from the neutral 50 level. - **Potential Reversal Points:** By highlighting changes in momentum. ### **2.3 Indicator Design** **RSI Moving Average (RSI MA):** The RSI MA is a smoothed version of the RSI, calculated using a running moving average. This smooths out short-term fluctuations and provides a clearer indication of the underlying trend. **Histogram Calculation:** - **Neutral Level:** The histogram is plotted relative to the neutral level of 50. This level represents a balanced market where neither bulls nor bears have dominance. - **Histogram Values:** The histogram bars show the difference between the RSI MA and the neutral level. Positive values indicate bullish momentum, while negative values indicate bearish momentum. ## 3. Calculation and Formula ### **3.1 RSI Calculation** The RSI calculation involves: 1. **Average Gain and Loss:** Calculated over the specified length (e.g., 14 periods). 2. **Relative Strength (RS):** RS = Average Gain / Average Loss. 3. **RSI Formula:** RSI = 100 - (100 / (1 + RS)). ### **3.2 Moving Average Calculation** For the USH indicator, the RSI is smoothed using a running moving average (RMA). The RMA formula is similar to that of the EMA but is based on averaging RSI values over the specified length. ### **3.3 Histogram Calculation** The histogram value is calculated as: - **Histogram Value = RSI MA - 50** **Plotting the Histogram:** - **Positive Histogram Values:** Indicate that the RSI MA is above the neutral level, suggesting bullish momentum. - **Negative Histogram Values:** Indicate that the RSI MA is below the neutral level, suggesting bearish momentum. ## 4. Visual Representation ### **4.1 Histogram Bars** The histogram is plotted as bars on the chart: - **Bullish Bars:** Colored green when the RSI MA is above 50. - **Bearish Bars:** Colored red when the RSI MA is below 50. ### **4.2 Customization Options** Traders can customize: - **RSI Length:** Adjust the length of the RSI calculation to match their trading style. - **Bull and Bear Colors:** Choose colors for histogram bars to enhance visual clarity. ### **4.3 Interpretation** **Bullish Signal:** A histogram bar that moves from red to green indicates a potential shift to a bullish trend. **Bearish Signal:** A histogram bar that moves from green to red indicates a potential shift to a bearish trend. ## 5. Customization and User Settings ### **5.1 Adjusting RSI Length** The length parameter determines the number of periods over which the RSI is calculated and smoothed. Shorter lengths make the RSI more sensitive to price changes, while longer lengths provide a smoother view of trends. ### **5.2 Color Settings** Traders can adjust: - **Bull Color:** Color of histogram bars indicating bullish momentum. - **Bear Color:** Color of histogram bars indicating bearish momentum. **Customization Benefits:** - **Visual Clarity:** Traders can choose colors that stand out against their chart’s background. - **Personal Preference:** Adjust settings to match individual trading styles and preferences. ## 6. Trading Strategies and Applications ### **6.1 Trend Following** **Identifying Entry Points:** - **Bullish Entry:** When the histogram changes from red to green, it signals a potential entry point for long positions. - **Bearish Entry:** When the histogram changes from green to red, it signals a potential entry point for short positions. **Trend Confirmation:** The histogram helps confirm the strength of a trend. Strong, consistent green bars indicate robust bullish momentum, while strong, consistent red bars indicate robust bearish momentum. ### **6.2 Swing Trading** **Momentum Analysis:** - **Entry Signals:** Look for significant shifts in the histogram to time entries. A shift from bearish to bullish (red to green) indicates potential for upward movement. - **Exit Signals:** A shift from bullish to bearish (green to red) suggests a potential weakening of the trend, signaling an exit or reversal point. ### **6.3 Range Trading** **Market Conditions:** - **Consolidation:** The histogram close to zero suggests a range-bound market. Traders can use this information to identify support and resistance levels. - **Breakout Potential:** A significant move away from the neutral level may indicate a potential breakout from the range. ### **6.4 Risk Management** **Stop-Loss Placement:** - **Bullish Positions:** Place stop-loss orders below recent support levels when the histogram is green. - **Bearish Positions:** Place stop-loss orders above recent resistance levels when the histogram is red. **Position Sizing:** Adjust position sizes based on the strength of the histogram signals. Strong trends (indicated by larger histogram bars) may warrant larger positions, while weaker signals suggest smaller positions. ## 7. Risk Management ### **7.1 Importance of Risk Management** Effective risk management is crucial for long-term trading success. It involves protecting capital, managing losses, and optimizing trade setups. ### **7.2 Using USH for Risk Management** **Stop-Loss and Take-Profit Levels:** - **Stop-Loss Orders:** Use the histogram to set stop-loss levels based on trend strength. For instance, place stops below support levels in bullish trends and above resistance levels in bearish trends. - **Take-Profit Targets:** Adjust take-profit levels based on histogram changes. For example, lock in profits as the histogram starts to shift from green to red. **Position Sizing:** - **Trend Strength:** Scale position sizes based on the strength of histogram signals. Larger histogram bars indicate stronger trends, which may justify larger positions. - **Volatility:** Consider market volatility and adjust position sizes to mitigate risk. ## 8. Case Studies and Examples ### **8.1 Example 1: Bullish Trend** **Scenario:** A trader notices a transition from red to green histogram bars. **Analysis:** - **Entry Point:** The transition indicates a potential bullish trend. The trader decides to enter a long position. - **Stop-Loss:** Set stop-loss below recent support levels. - **Take-Profit:** Consider taking profits as the histogram moves back towards zero or turns red. **Outcome:** The bullish trend continues, and the histogram remains green, providing a profitable trade setup. ### **8.2 Example 2: Bearish Trend** **Scenario:** A trader observes a transition from green to red histogram bars. **Analysis:** - **Entry Point:** The transition suggests a potential bearish trend. The trader decides to enter a short position. - **Stop-Loss:** Set stop-loss above recent resistance levels. - **Take-Profit:** Consider taking profits as the histogram approaches zero or shifts to green. **Outcome:** The bearish trend continues, and the histogram remains red, resulting in a successful trade. ## 9. Comparison with Other Indicators ### **9.1 RSI vs. USH** **RSI:** Measures momentum and identifies overbought/oversold conditions. **USH:** Builds on RSI by incorporating a moving average and histogram to provide a clearer view of trend strength and momentum. ### **9.2 RSI vs. MACD** **MACD (Moving Average Convergence Divergence):** A trend-following momentum indicator that uses moving averages to identify changes in trend direction. **Comparison:** - **USH:** Provides a smoothed RSI perspective and visual histogram for trend strength. - **MACD:** Offers signals based on the convergence and divergence of moving averages. ### **9.3 RSI vs. Stochastic Oscillator** **Stochastic Oscillator:** Measures the level of the closing price relative to the high-low range over a specified period. **Comparison:** - **USH:** Focuses on smoothed RSI values and histogram representation. - **Stochastic Oscillator:** Provides overbought/oversold signals and potential reversals based on price levels. ## 10. Advanced Usage and Tips ### **10.1 Combining Indicators** **Multi-Indicator Strategies:** Combine the USH with other technical indicators (e.g., Moving Averages, Bollinger Bands) for a comprehensive trading strategy. **Confirmation Signals:** Use the USH to confirm signals from other indicators. For instance, a bullish histogram combined with a moving average crossover may provide a stronger buy signal. ### **10.2 Customization Tips** **Adjust RSI Length:** Experiment with different RSI lengths to match various market conditions and trading styles. **Color Preferences:** Choose histogram colors that enhance visibility and align with personal preferences. ### **10.3 Continuous Learning** **Backtesting:** Regularly backtest the USH with historical data to refine strategies and improve accuracy. **Education:** Stay updated with trading education and adapt strategies based on market changes and personal experiences.
Wskaźnik Pine Script®
od Uptrick
AlgoBuilder [Mean-Reversion] | FractalystWhat's the strategy's purpose and functionality? This strategy is designed for both traders and investors looking to rely and trade based on historical and backtested data using automation. The main goal is to build profitable mean-reversion strategies that outperform the underlying asset in terms of returns while minimizing drawdown. For example, as for a benchmark, if the S&P 500 (SPX) has achieved an estimated 10% annual return with a maximum drawdown of -57% over the past 20 years, using this strategy with different entry and exit techniques, users can potentially seek ways to achieve a higher Compound Annual Growth Rate (CAGR) while maintaining a lower maximum drawdown. Although the strategy can be applied to all markets and timeframes, it is most effective on stocks, indices, future markets, cryptocurrencies, and commodities and JPY currency pairs given their trending behaviors. In trending market conditions, the strategy employs a combination of moving averages and diverse entry models to identify and capitalize on upward market movements. It integrates market structure-based moving averages and bands mechanisms across different timeframes and provides exit techniques, including percentage-based and risk-reward (RR) based take profit levels. Additionally, the strategy has also a feature that includes a built-in probability function for traders who want to implement probabilities right into their trading strategies. Performance summary, weekly, and monthly tables enable quick visualization of performance metrics like net profit, maximum drawdown, profit factor, average trade, average risk-reward ratio (RR), and more. This aids optimization to meet specific goals and risk tolerance levels effectively. ----- How does the strategy perform for both investors and traders? The strategy has two main modes, tailored for different market participants: Traders and Investors. Trading: 1. Trading: - Designed for traders looking to capitalize on bullish trending markets. - Utilizes a percentage risk per trade to manage risk and optimize returns. - Suitable for active trading with a focus on mean-reversion and risk per trade approach. ◓: Mode | %: Risk percentage per trade 3. Investing: - Geared towards investors who aim to capitalize on bullish trending markets without using leverage while mitigating the asset's maximum drawdown. - Utilizes pre-define percentage of the equity to buy, hold, and manage the asset. - Focuses on long-term growth and capital appreciation by fully investing in the asset during bullish conditions. - ◓: Mode | %: Risk not applied (In investing mode, the strategy uses 10% of equity to buy the asset) ----- What's is FRMA? How does the triple bands work? What are the underlying calculations? Middle Band (FRMA): The middle band is the core of the FRMA system. It represents the Fractalyst Moving Average, calculated by identifying the most recent external swing highs and lows in the market structure. By determining these external swing pivot points, which act as significant highs and lows within the market range, the FRMA provides a unique moving average that adapts to market structure changes. Upper Band: The upper band shows the average price of the most recent external swing highs. External swing highs are identified as the highest points between pivot points in the market structure. This band helps traders identify potential overbought conditions when prices approach or exceed this upper band. Lower Band: The lower band shows the average price of the most recent external swing lows. External swing lows are identified as the lowest points between pivot points in the market structure. The script utilizes this band to identify potential oversold conditions, triggering entry signals as prices approach or drop below the lower band. Adjustments Based on User Inputs: Users can adjust how the upper and lower bands are calculated based on their preferences: Upper/Lower: This method calculates the average bands using the prices of external swing highs and lows identified in the market. Percentage Deviation from FRMA: Alternatively, users can opt to calculate the bands based on a percentage deviation from the middle FRMA. This approach provides flexibility to adjust the width of the bands relative to market conditions and volatility. ----- What's the purpose of using moving averages in this strategy? What are the underlying calculations? Using moving averages is a widely-used technique to trade with the trend. The main purpose of using moving averages in this strategy is to filter out bearish price action and to only take trades when the price is trading ABOVE specified moving averages. The script uses different types of moving averages with user-adjustable timeframes and periods/lengths, allowing traders to try out different variations to maximize strategy performance and minimize drawdowns. By applying these calculations, the strategy effectively identifies bullish trends and avoids market conditions that are not conducive to profitable trades. The MA filter allows traders to choose whether they want a specific moving average above or below another one as their entry condition. This comparison filter can be turned on (>) or off. For example, you can set the filter so that MA#1 > MA#2, meaning the first moving average must be above the second one before the script looks for entry conditions. This adds an extra layer of trend confirmation, ensuring that trades are only taken in more favorable market conditions. ⍺: MA Period | Σ: MA Timeframe ----- What entry modes are used in this strategy? What are the underlying calculations? The strategy by default uses two different techniques for the entry criteria with user-adjustable left and right bars: Breakout and Fractal. 1. Breakout Entries : - The strategy looks for pivot high points with a default period of 3. - It stores the most recent high level in a variable. - When the price crosses above this most recent level, the strategy checks if all conditions are met and the bar is closed before taking the buy entry. ◧: Pivot high left bars period | ◨: Pivot high right bars period 2. Fractal Entries : - The strategy looks for pivot low points with a default period of 3. - When a pivot low is detected, the strategy checks if all conditions are met and the bar is closed before taking the buy entry. ◧: Pivot low left bars period | ◨: Pivot low right bars period 2. Hunt Entries : - The strategy identifies a candle that wicks through the lower FRMA band. - It waits for the next candle to close above the low of the wick candle. - When this condition is met and the bar is closed, the strategy takes the buy entry. By utilizing these entry modes, the strategy aims to capitalize on bullish price movements while ensuring that the necessary conditions are met to validate the entry points. ----- What type of stop-loss identification method are used in this strategy? What are the underlying calculations? Initial Stop-Loss: 1. ATR Based: The Average True Range (ATR) is a method used in technical analysis to measure volatility. It is not used to indicate the direction of price but to measure volatility, especially volatility caused by price gaps or limit moves. Calculation: - To calculate the ATR, the True Range (TR) first needs to be identified. The TR takes into account the most current period high/low range as well as the previous period close. The True Range is the largest of the following: - Current Period High minus Current Period Low - Absolute Value of Current Period High minus Previous Period Close - Absolute Value of Current Period Low minus Previous Period Close - The ATR is then calculated as the moving average of the TR over a specified period. (The default period is 14). Example - ATR (14) * 2 ⍺: ATR period | Σ: ATR Multiplier 2. ADR Based: The Average Day Range (ADR) is an indicator that measures the volatility of an asset by showing the average movement of the price between the high and the low over the last several days. Calculation: - To calculate the ADR for a particular day: - Calculate the average of the high prices over a specified number of days. - Calculate the average of the low prices over the same number of days. - Find the difference between these average values. - The default period for calculating the ADR is 14 days. A shorter period may introduce more noise, while a longer period may be slower to react to new market movements. Example - ADR (20) * 2 ⍺: ADR period | Σ: ADR Multiplier 3. PL Based: This method places the stop-loss at the low of the previous candle. If the current entry is based on the hunt entry strategy, the stop-loss will be placed at the low of the candle that wicks through the lower FRMA band. Example: If the previous candle's low is 100, then the stop-loss will be set at 100. This method ensures the stop-loss is placed just below the most recent significant low, providing a logical and immediate level for risk management. Application in Strategy (ATR/ADR): - The strategy calculates the current bar's ADR/ATR with a user-defined period. - It then multiplies the ADR/ATR by a user-defined multiplier to determine the initial stop-loss level. By using these methods, the strategy dynamically adjusts the initial stop-loss based on market volatility, helping to protect against adverse price movements while allowing for enough room for trades to develop. Each market behaves differently across various timeframes, and it is essential to test different parameters and optimizations to find out which trailing stop-loss method gives you the desired results and performance. ----- What type of break-even and take profit identification methods are used in this strategy? What are the underlying calculations? For Break-Even: Percentage (%) Based: Moves the initial stop-loss to the entry price when the price reaches a certain percentage above the entry. Calculation: Break-even level = Entry Price * (1 + Percentage / 100) Example: If the entry price is $100 and the break-even percentage is 5%, the break-even level is $100 * 1.05 = $105. Risk-to-Reward (RR) Based: Moves the initial stop-loss to the entry price when the price reaches a certain RR ratio. Calculation: Break-even level = Entry Price + (Initial Risk * RR Ratio) Example: If the entry price is $100, the initial risk is $10, and the RR ratio is 2, the break-even level is $100 + ($10 * 2) = $120. FRMA Based: Moves the stop-loss to break-even when the price hits the FRMA level at which the entry was taken. Calculation: Break-even level = FRMA level at the entry Example: If the FRMA level at entry is $102, the break-even level is set to $102 when the price reaches $102. For TP1 (Take Profit 1): - You can choose to set a take profit level at which your position gets fully closed or 50% if the TP2 boolean is enabled. - Similar to break-even, you can select either a percentage (%) or risk-to-reward (RR) based take profit level, allowing you to set your TP1 level as a percentage amount above the entry price or based on RR. For TP2 (Take Profit 2): - You can choose to set a take profit level at which your position gets fully closed. - As with break-even and TP1, you can select either a percentage (%) or risk-to-reward (RR) based take profit level, allowing you to set your TP2 level as a percentage amount above the entry price or based on RR. When Both Percentage (%) Based and RR Based Take Profit Levels Are Off: The script will adjust the take profit level to the higher FRMA band set within user inputs. Calculation: Take profit level = Higher FRMA band length/timeframe specified by the user. This ensures that when neither percentage-based nor risk-to-reward-based take profit methods are enabled, the strategy defaults to using the higher FRMA band as the take profit level, providing a consistent and structured approach to profit-taking. For TP1 and TP2, it's specifying the price levels at which the position is partially or fully closed based on the chosen method (percentage or RR) above the entry price. These calculations are crucial for managing risk and optimizing profitability in the strategy. ⍺: BE/TP type (%/RR) | Σ: how many RR/% above the current price ----- What's the ADR filter? What does it do? What are the underlying calculations? The Average Day Range (ADR) measures the volatility of an asset by showing the average movement of the price between the high and the low over the last several days. The period of the ADR filter used in this strategy is tied to the same period you've used for your initial stop-loss. Users can define the minimum ADR they want to be met before the script looks for entry conditions. ADR Bias Filter: - Compares the current bar ADR with the ADR (Defined by user): - If the current ADR is higher, it indicates that volatility has increased compared to ADR (DbU).(⬆) - If the current ADR is lower, it indicates that volatility has decreased compared to ADR (DbU).(⬇) Calculations: 1. Calculate ADR: - Average the high prices over the specified period. - Average the low prices over the same period. - Find the difference between these average values in %. 2. Current ADR vs. ADR (DbU): - Calculate the ADR for the current bar. - Calculate the ADR (DbU). - Compare the two values to determine if volatility has increased or decreased. By using the ADR filter, the strategy ensures that trades are only taken in favorable market conditions where volatility meets the user's defined threshold, thus optimizing entry conditions and potentially improving the overall performance of the strategy. >: Minimum required ADR for entry | %: Current ADR comparison to ADR of 14 days ago. ----- What's the probability filter? What are the underlying calculations? The probability filter is designed to enhance trade entries by using buyside liquidity and probability analysis to filter out unfavorable conditions. This filter helps in identifying optimal entry points where the likelihood of a profitable trade is higher. Calculations: 1. Understanding Swing highs and Swing Lows Swing High: A Swing High is formed when there is a high with 2 lower highs to the left and right. Swing Low: A Swing Low is formed when there is a low with 2 higher lows to the left and right. 2. Understanding the purpose and the underlying calculations behind Buyside, Sellside and Equilibrium levels. 3. Understanding probability calculations 1. Upon the formation of a new range, the script waits for the price to reach and tap into equilibrium or the 50% level. Status: "⏸" - Inactive 2. Once equilibrium is tapped into, the equilibrium status becomes activated and it waits for either liquidity side to be hit. Status: "▶" - Active 3. If the buyside liquidity is hit, the script adds to the count of successful buyside liquidity occurrences. Similarly, if the sellside is tapped, it records successful sellside liquidity occurrences. 5. Finally, the number of successful occurrences for each side is divided by the overall count individually to calculate the range probabilities. Note: The calculations are performed independently for each directional range. A range is considered bearish if the previous breakout was through a sellside liquidity. Conversely, a range is considered bullish if the most recent breakout was through a buyside liquidity. Example - BSL > 55% ----- What's the range length Filter? What are the underlying calculations? The range length filter identifies the price distance between buyside and sellside liquidity levels in percentage terms. When enabled, the script only looks for entries when the minimum range length is met. This helps ensure that trades are taken in markets with sufficient price movement. Calculations: Range Length (%) = ( ( Buyside Level − Sellside Level ) / Current Price ) ×100 Range Bias Identification: Bullish Bias: The current range price has broken above the previous external swing high. Bearish Bias: The current range price has broken below the previous external swing low. Example - Range length filter is enabled | Range must be above 1% >: Minimum required range length for entry | %: Current range length percentage in a (Bullish/Bearish) range ----- What's the day filter Filter, what does it do? The day filter allows users to customize the session time and choose the specific days they want to include in the strategy session. This helps traders tailor their strategies to particular trading sessions or days of the week when they believe the market conditions are more favorable for their trading style. Customize Session Time: Users can define the start and end times for the trading session. This allows the strategy to only consider trades within the specified time window, focusing on periods of higher market activity or preferred trading hours. Select Days: Users can select which days of the week to include in the strategy. This feature is useful for excluding days with historically lower volatility or unfavorable trading conditions (e.g., Mondays or Fridays). Benefits: Focus on Optimal Trading Periods: By customizing session times and days, traders can focus on periods when the market is more likely to present profitable opportunities. Avoid Unfavorable Conditions: Excluding specific days or times can help avoid trading during periods of low liquidity or high unpredictability, such as major news events or holidays. Increased Flexibility: The filter provides increased flexibility, allowing traders to adapt the strategy to their specific needs and preferences. Example - Day filter | Session Filter θ: Session time | Exchange time-zone ----- What tables are available in this script? Table Type: - Summary: Provides a general overview, displaying key performance parameters such as Net Profit, Profit Factor, Max Drawdown, Average Trade, Closed Trades and more. Avg Trade: The sum of money gained or lost by the average trade generated by a strategy. Calculated by dividing the Net Profit by the overall number of closed trades. An important value since it must be large enough to cover the commission and slippage costs of trading the strategy and still bring a profit. MaxDD: Displays the largest drawdown of losses, i.e., the maximum possible loss that the strategy could have incurred among all of the trades it has made. This value is calculated separately for every bar that the strategy spends with an open position. Profit Factor: The amount of money a trading strategy made for every unit of money it lost (in the selected currency). This value is calculated by dividing gross profits by gross losses. Avg RR: This is calculated by dividing the average winning trade by the average losing trade. This field is not a very meaningful value by itself because it does not take into account the ratio of the number of winning vs losing trades, and strategies can have different approaches to profitability. A strategy may trade at every possibility in order to capture many small profits, yet have an average losing trade greater than the average winning trade. The higher this value is, the better, but it should be considered together with the percentage of winning trades and the net profit. Winrate: The percentage of winning trades generated by a strategy. Calculated by dividing the number of winning trades by the total number of closed trades generated by a strategy. Percent profitable is not a very reliable measure by itself. A strategy could have many small winning trades, making the percent profitable high with a small average winning trade, or a few big winning trades accounting for a low percent profitable and a big average winning trade. Most mean-reversion successful strategies have a percent profitability of 40-80% but are profitable due to risk management control. BE Trades: Number of break-even trades, excluding commission/slippage. Losing Trades: The total number of losing trades generated by the strategy. Winning Trades: The total number of winning trades generated by the strategy. Total Trades: Total number of taken traders visible your charts. Net Profit: The overall profit or loss (in the selected currency) achieved by the trading strategy in the test period. The value is the sum of all values from the Profit column (on the List of Trades tab), taking into account the sign. - Monthly: Displays performance data on a month-by-month basis, allowing users to analyze performance trends over each month. - Weekly: Displays performance data on a week-by-week basis, helping users to understand weekly performance variations. - OFF: Hides the performance table. Profit Color: - Allows users to set the color for representing profit in the performance table, helping to quickly distinguish profitable periods. Loss Color: - Allows users to set the color for representing loss in the performance table, helping to quickly identify loss-making periods. These customizable tables provide traders with flexible and detailed performance analysis, aiding in better strategy evaluation and optimization. ----- User-input styles and customizations: To facilitate studying historical data, all conditions and rules can be applied to your charts. By plotting background colors on your charts, you'll be able to identify what worked and what didn't in certain market conditions. Please note that all background colors in the style are disabled by default to enhance visualization. ----- How to Use This Algobuilder to Create a Profitable Edge and System: Choose Your Strategy mode: - Decide whether you are creating an investing strategy or a trading strategy. Select a Market: - Choose a one-sided market such as stocks, indices, or cryptocurrencies. Historical Data: - Ensure the historical data covers at least 10 years of price action for robust backtesting. Timeframe Selection: - Choose the timeframe you are comfortable trading with. It is strongly recommended to use a timeframe above 15 minutes to minimize the impact of commissions/slippage on your profits. Set Commission and Slippage: - Properly set the commission and slippage in the strategy properties according to your broker or prop firm specifications. Parameter Optimization: - Use trial and error to test different parameters until you find the performance results you are looking for in the summary table or, preferably, through deep backtesting using the strategy tester. Trade Count: - Ensure the number of trades is 100 or more; the higher, the better for statistical significance. Positive Average Trade: - Make sure the average trade value is above zero. (An important value since it must be large enough to cover the commission and slippage costs of trading the strategy and still bring a profit.) Performance Metrics: - Look for a high profit factor, and net profit with minimum drawdown. - Ideally, aim for a drawdown under 20-30%, depending on your risk tolerance. Refinement and Optimization: - Try out different markets and timeframes. - Continue working on refining your edge using the available filters and components to further optimize your strategy. Automation: - Once you’re confident in your strategy, you can use the automation section to connect the algorithm to your broker or prop firm. - Trade a fully automated and backtested trading strategy, allowing for hands-free execution and management. ----- What makes this strategy original? 1. Incorporating direct integration of probabilities into the strategy. 2. Utilizing built-in market structure-based moving averages across various timeframes. 4. Offering both investing and trading strategies, facilitating optimization from different perspectives. 5. Automation for efficient execution. 6. Providing a summary table for instant access to key parameters of the strategy. ----- How to use automation? For Traders: 1. Ensure the strategy parameters are properly set based on your optimized parameters. 2. Enter your PineConnector License ID in the designated field. 3. Specify the desired risk level. 4. Provide the Metatrader symbol. 5. Check for chart updates to ensure the automation table appears on the top right corner, displaying your License ID, risk, and symbol. 6. Set up an alert with the strategy selected as Condition and the Message as {{strategy.order.alert_message}}. 7. Activate the Webhook URL in the Notifications section, setting it as the official PineConnector webhook address. 8. Double-check all settings on PineConnector to ensure the connection is successful. 9. Create the alert for entry/exit automation. For Investors: 1. Ensure the strategy parameters are properly set based on your optimized parameters. 2. Choose "Investing" in the user-input settings. 3. Create an alert with a specified name. 4. Customize the notifications tab to receive alerts via email. 5. Buying/selling alerts will be triggered instantly upon entry or exit order execution. ----- Terms and Conditions | Disclaimer Our charting tools are provided for informational and educational purposes only and should not be construed as financial, investment, or trading advice. They are not intended to forecast market movements or offer specific recommendations. Users should understand that past performance does not guarantee future results and should not base financial decisions solely on historical data. Built-in components, features, and functionalities of our charting tools are the intellectual property of @Fractalyst Unauthorized use, reproduction, or distribution of these proprietary elements is prohibited. By continuing to use our charting tools, the user acknowledges and accepts the Terms and Conditions outlined in this legal disclaimer and agrees to respect our intellectual property rights and comply with all applicable laws and regulations.
Strategia Pine Script®
od Fractalyst
2
Long-Only Opening Range Breakout (ORB) with Pivot PointsIntraday Trading Strategy: Long-Only Opening Range Breakout (ORB) with Pivot Points Background: Opening Range Breakout (ORB) is a popular long-only trading strategy that capitalizes on the early morning volatility in financial markets. It's based on the idea that the initial price movements during the first few minutes or hours of the trading day can set the tone for the rest of the session. The strategy involves identifying a price range within which the asset trades during the opening period and then taking long positions when the price breaks out to the upside of this range. Pivot Points are a widely used technical indicator in trading. They represent potential support and resistance levels based on the previous day's price action. Pivot points are calculated using the previous day's high, low, and close prices and can help traders identify key price levels for making trading decisions. How to Use the Script: Initialization: This script is written in Pine Script, a domain-specific language for trading strategies on the TradingView platform. To use this script, you need to have access to TradingView. Apply the Script: You can do this by adding it to your favorites, then selecting the script in the indicators list under favorites or by searching for it by name under community scripts. Customize Settings: The script allows you to customize various settings through the TradingView interface. These settings include: Opening Session: You can set the time frame for the opening session. Max Trades per Day: Specify the maximum number of long trades allowed per trading day. Initial Stop Loss Type: Choose between using a percentage-based stop loss or the previous candles low for stop loss calculations. Stop Loss Percentage: If you select the percentage-based stop loss, specify the percentage of the entry price for the stop loss. Backtesting Start and End Time: Set the time frame for backtesting the strategy. Strategy Signals: The script will display pivot points in blue (R1, R2, R3, R4, R5) and half-pivot points in gray (R0.5, R1.5, R2.5, R3.5, R4.5) on your chart. The green line represents the opening range. The script generates long (buy) signals based on specific conditions: ---The open price is below the opening range high (h). ---The current high price is above the opening range high. ---Pivot point R1 is above the opening range high. ---It's a long-only strategy designed to capture upside breakouts. ---It also respects the maximum number of long trades per day. The script manages long positions, calculates stop losses, and adjusts long positions according to the defined rules. Trailing Stop Mechanism The script incorporates a dynamic trailing stop mechanism designed to protect and maximize profits for long positions. Here's how it works: 1. Initialization: The script allows you to choose between two types of initial stop loss: ---Percentage-based: This option sets the initial stop loss as a percentage of the entry price. ---Previous day's low: This option sets the initial stop loss at the previous day's low. 2. Setting the Initial Stop Loss (`sl_long0`): The initial stop loss (`sl_long0`) is calculated based on the chosen method: ---If "Percentage" is selected, it calculates the stop loss as a percentage of the entry price. ---If "Previous Low" is selected, it sets the stop loss at the previous day's low. 3. Dynamic Trailing Stop (`trail_long`): The script then monitors price movements and uses a dynamic trailing stop mechanism (`trail_long`) to adjust the stop loss level for long positions. If the current high price rises above certain pivot point levels, the trailing stop is adjusted upwards to lock in profits. The trailing stop levels are calculated based on pivot points (`r1`, `r2`, `r3`, etc.) and half-pivot points (`r0.5`, `r1.5`, `r2.5`, etc.). The script checks if the high price surpasses these levels and, if so, updates the trailing stop accordingly. This dynamic trailing stop allows traders to secure profits while giving the position room to potentially capture additional gains. 4. Final Stop Loss (`sl_long`): The script calculates the final stop loss level (`sl_long`) based on the following logic: ---If no position is open (`pos == 0`), the stop loss is set to zero, indicating there is no active stop loss. ---If a position is open (`pos == 1`), the script calculates the maximum of the initial stop loss (`sl_long0`) and the dynamic trailing stop (`trail_long`). ---This ensures that the stop loss is always set to the more conservative of the two values to protect profits. 5. Plotting the Stop Loss: The script plots the stop loss level on the chart using the `plot` function. It will only display the stop loss level if there is an open position (`pos == 1`) and it's not a new trading day (`not newday`). The stop loss level is shown in red on the chart. By combining an initial stop loss with a dynamic trailing stop based on pivot points and half-pivot points, the script aims to provide a comprehensive risk management mechanism for long positions. This allows traders to lock in profits as the price moves in their favor while maintaining a safeguard against adverse price movements. End of Day (EOD) Exit: The script includes an "End of Day" (EOD) exit mechanism to automatically close any open positions at the end of the trading day. This feature is designed to manage and control positions when the trading day comes to a close. Here's how it works: 1. Initialization: At the beginning of each trading day, the script identifies a new trading day using the `is_newbar('D')` condition. When a new trading day begins, the `newday` variable becomes `true`, indicating the start of a new trading session. 2. Plotting the "End of Day" Signal: The script includes a plot on the chart to visually represent the "End of Day" signal. This is done using the `plot` function. The plot is labeled "DayEnd" and is displayed as a comment on the chart. It signifies the EOD point. 3. EOD Exit Condition: When the script detects that a new trading day has started (`newday == true`), it triggers the EOD exit condition. At this point, the script proceeds to close all open positions that may have been active during the trading day. 4. Closing Open Positions: The `strategy.close_all` function is used to close all open positions when the EOD exit condition is met. This function ensures that any remaining long positions are exited, regardless of their current profit or loss. The function also includes an `alert_message`, which can be customized to send an alert or notification when positions are closed at EOD. Purpose of EOD Exit The "End of Day" exit mechanism serves several essential purposes in the trading strategy: Risk Management: It helps manage risk by ensuring that positions are not left open overnight when markets can experience increased volatility. Capital Preservation: Closing positions at EOD can help preserve trading capital by avoiding potential adverse overnight price movements. Rule-Based Exit: The EOD exit is rule-based and automatic, ensuring that it is consistently applied without emotions or manual intervention. Scalability: It allows the strategy to be applied to various markets and timeframes where EOD exits may be appropriate. By incorporating an EOD exit mechanism, the script provides a comprehensive approach to managing positions, taking profits, and minimizing risk as each trading day concludes. This can be especially important in volatile markets like cryptocurrencies, where overnight price swings can be significant. Backtesting: The script includes a backtesting feature that allows you to test the strategy's performance over historical data. Set the start and end times for backtesting to see how the long-only strategy would have performed in the past. Trade Execution: If you choose to use this script for live trading, make sure you understand the risks involved. It's essential to set up proper risk management, including position sizing and stop loss orders. Monitoring: Monitor the long-only strategy's performance over time and be prepared to make adjustments as market conditions change. Disclaimer: Trading carries a risk of capital loss. This script is provided for educational purposes and as a starting point for your own long-only strategy development. Always do your own research and consider seeking advice from a qualified financial professional before making trading decisions.
Strategia Pine Script®
od VolumeVigilante
2
AM Range Sniper [jmaxxx]AM Range Sniper Overview AM Range Sniper is a sophisticated morning session trading strategy designed for Micro E-mini Nasdaq-100 Index Futures (MNQ). This strategy capitalizes on the critical 8:30-9:30 AM EST range formation period, implementing precise entry and exit mechanics with advanced risk management. Key Features 🕐 Time-Based Range Analysis Range Definition: Automatically identifies and tracks the 8:30-9:30 AM EST range Trading Window: Active trading from 9:30 AM to 11:00 AM EST (extended for second chance trades) Session Management: Daily reset ensures clean state for each trading session 🎯 Multiple Entry Patterns Breakthrough/Retest: Captures price breakthroughs above range with retest opportunities Long/Short Opportunities: Comprehensive coverage of both directional moves Breakdown: Identifies bearish breakdowns below range support Break Up: Detects bullish breakups above range resistance Range Sweeps: Monitors for range high/low sweeps with reversal entries ⚡ Advanced Risk Management Configurable Stop Losses: Tick-based stop losses for each trade type Take Profit Targets: Automatic target calculations based on range size Hard Close Protection: Automatic position closure at 4 PM EST Second Chance Feature: Optional second trade opportunity if first trade loses 🔧 Professional Features Visual Stop Loss Lines: Real-time stop loss visualization on chart Debug Information Panel: Comprehensive status monitoring Alert Integration: Customizable alert messages for entries/exits Flexible Time Settings: Adjustable for different timezones Strategy Logic Range Formation (8:30-9:30 AM) The strategy monitors the first hour of trading to establish the day's range. This range serves as the foundation for all subsequent trading decisions. Entry Conditions Breakthrough: Price breaks above range high with retest rejection Breakdown: Price breaks below range low with confirmed bearish momentum Break Up: Price breaks above range high with strong bullish confirmation Sweep Entries: Range high/low sweeps followed by reversal signals Risk Management Stop Loss: Configurable tick-based stops for each trade type Take Profit: 1.5x range size targets for breakdown/breakup trades Position Sizing: Percentage-based position sizing Session Limits: Maximum 2 trades per session (with second chance feature) Settings & Customization Core Parameters Enable/disable individual entry patterns Configurable stop loss levels (1-500 ticks) Second chance feature toggle Previous day level integration Visual Customization Customizable stop loss colors and widths Debug panel visibility Range line styling Alert Configuration Custom entry/exit alert messages ***** Automate With ***** APEX NinjaTrader Crosstrade.io ( promo code JMAXXX ) Performance & Reliability Precision Focused: Waits for high-probability setups Risk-Aware: Comprehensive stop loss and position management Session-Based: Clean daily resets prevent carryover issues Professional Grade: Designed for serious traders Ideal For Day Traders: Morning session specialists Futures Traders: MNQ and similar instruments Range Traders: Traders who capitalize on range breakouts Risk-Conscious Traders: Those who prioritize risk management Disclaimer This strategy is for educational and informational purposes. Past performance does not guarantee future results. Always test thoroughly on historical data and paper trading before live implementation. Risk management is crucial - never risk more than you can afford to lose. Created by jmaxxx - Professional trading strategy developer For questions, feedback, or customization requests, please leave a comment below.
Strategia Pine Script®
od jmaxxx143
1
True Market Structure [Advanced Liquidity Hunter] v1True Market Structure v1 📌 Table of Contents 1. Introduction 2. Core Concepts 3. Indicator Components 4. Configuration 5. Signal Interpretation 6. Trading Strategies 7. Risk Management 8. FAQ ________________________________________ 🎯 Introduction What is True Market Structure? True Market Structure is an advanced technical analysis indicator that reveals hidden market mechanisms. Based on Smart Money Concepts (SMC) and ICT (Inner Circle Trader) methodology, it identifies where large financial institutions hunt retail traders' stop losses. Who is this indicator for? • ✅ Beginners - Intuitive visualizations and clear signals • ✅ Intermediate - Deeper market structure analysis • ✅ Advanced - Full parameter control and advanced strategies Key Benefits • 🔍 Sees the invisible - Hidden liquidity levels • 🎯 Precise signals - Based on real data • ⚡ Real-time - Instant analysis • 🛡️ Capital protection - Warns against traps 💡 Pro Tip: Start with 15M timeframe! That's where most action happens - stop hunts every few candles, retail traps, liquidity battles. It's the best "microscope" to understand how the market really works. ________________________________________ 📚 Core Concepts Smart Money vs Retail Money Smart Money: • Banks, hedge funds, large institutions • Create market moves, don't follow them • Exploit retail predictability Retail Money: • Individual traders • Often act emotionally • Place stop losses at predictable levels Liquidity Liquidity refers to areas where many orders are waiting: • Stop losses above highs (shorts) • Stop losses below lows (longs) • Orders at round numbers Key principle: Smart Money needs liquidity to enter/exit large positions. That's why they "hunt" stop losses first, then make the real move. ________________________________________ 🔧 Indicator Components 1. 💧 Liquidity Pools What is it? • Price levels tested multiple times • Stop loss accumulation areas • Displayed as blue horizontal lines How to read? • LIQ HIGH x15 = Level tested 15 times from above • LIQ LOW x8 = Level tested 8 times from below • Higher number = stronger zone Significance: • Price magnet • High probability of reaction • Smart Money target 2. 🎣 Stop Hunts What is it? • Candles with long wicks • Brief penetrations of important levels • Marked with purple labels Types: • STOP HUNT ⬆ - Upward hunt (shorts' stop losses) • STOP HUNT ⬇ - Downward hunt (longs' stop losses) Characteristics: • Long wick (minimum 2x larger than body) • Wick must also be larger than 0.5 ATR (default) • Breaks recent high/low from lookback period • Quick price return 3. 🪤 Trapped Traders What is it? • Areas where retail got trapped • Failed breakouts that didn't hold • Colored rectangles on chart Trap types: • 🔴 TRAPPED LONGS - Buyers caught at top • 🟢 TRAPPED SHORTS - Sellers caught at bottom Mechanism: 1. Important level break 2. Retail enters breakout direction 3. Price returns leaving them at loss 4. Stop losses get activated 4. 🎪 Inducement Levels What is it? • "Too obvious" support/resistance • Levels respected minimum 3 times • Orange dashed lines Why is it a trap? • Look like perfect trading spots • Attract retail traders' attention • Smart Money uses them to collect liquidity Example: • 100,000 level on BTC - round number • 3 bounces = "strong support" • Retail buys, Smart Money sells to them 5. ⏰ Kill Zones What is it? • Highest Smart Money activity periods • Red background on chart • Maximum manipulation time Default Kill Zones: • 🌆 London Open (08:00-09:00 UTC) • 🏙️ NY Open (13:00-14:00 UTC) • 🌃 Midnight (00:00-01:00 UTC) Trading Sessions (chart background): • 🌏 Asian (00:00-08:00 UTC) - Gray background • 🇬🇧 London (08:00-16:00 UTC) - Blue background • 🇺🇸 New York (13:00-21:00 UTC) - Orange background Note: London and New York sessions overlap (13:00-16:00 UTC) - this is the highest liquidity period! 6. 🎯 Smart Money Signals What is it? • Potential institutional entry points • Large labels with 🎯 emoji • Appear after stop hunts Conditions: 1. Stop hunt in one direction 2. High volume (2x average) 3. In Kill Zone 4. Direction reversal 7. 📊 Market Analysis Table The table displays 9 rows with key information: 1. Session - Current trading session (ASIA/LONDON/NEW YORK/CLOSED) 2. Kill Zone - Zone status (🔴 ACTIVE / ✅ SAFE) 3. Liquidity Pools - Number of liquidity zones found 4. Inducement Levels - Number of bait levels 5. Traps (50 bars) - Number of traps in last 50 bars 6. Market Bias - Market direction: o BULLISH 📈 (close > SMA50 and EMA21) o BEARISH 📉 (close < SMA50 and EMA21) o NEUTRAL ➡️ (other cases) 7. Volume - Volume status: o 🔥 EXTREME (>2x average) o ⬆️ HIGH (>1.5x average) o NORMAL (>average) o ⬇️ LOW (3 traps) o ⚠️ CHOPPY (>5 traps) o 👀 WATCH LIQUIDITY (>3 liquidity zones) o ✓ NORMAL (other) ________________________________________ ⚙️ Configuration Step 1: Basic Configuration Where to find settings: • Method 1: Click the ⚙️ (gear) icon next to indicator name on chart • Method 2: Double-click any indicator line/label • Method 3: Right-click → "Settings" on indicator name 🌍 Timezone Setting UTC Offset: Your timezone Examples: - London: 0 (winter) or +1 (summer) - New York: -5 (winter) or -4 (summer) - Tokyo: +9 🎚️ Sensitivity Adjustment For beginners - Default settings: • Lookback Period: 30 • Detection Sensitivity: 0.3 • Min. Touches: 2 For different timeframes: • 15M: Sensitivity 0.2-0.3, Lookback 20-30 • 1H: Sensitivity 0.3-0.4, Lookback 30-40 • 4H: Sensitivity 0.4-0.5, Lookback 40-50 For different instruments: • Forex Majors (EUR/USD): Sensitivity 0.1-0.2 • Indices (S&P500;): Sensitivity 0.2-0.4 • Crypto (BTC): Sensitivity 0.4-0.8 • Stocks: Sensitivity 0.3-0.5 Step 2: Advanced Configuration 🔧 Liquidity Zones Parameters • Min. Touches (1-5): Less = more signals • Lookback (20-200): More = further levels • Max Zones (1-10): Display quantity control 🎣 Stop Hunt Parameters • Wick/Body Ratio (1-5): Lower = more signals • Min. Wick Size (0.1-2 ATR): Filters small wicks 🎯 Smart Money Analysis • Require Kill Zone: Enable for fewer signals • Volume Multiplier: Higher = only big moves ________________________________________ 📖 Signal Interpretation Note: Most examples are shown on 15M timeframe, because that's where you can best see all market manipulations in action! Signal Importance Hierarchy 1. 🎯 Smart Money Signal - Strongest signal 2. 🪤 Trapped Traders - High reliability 3. 🎣 Stop Hunt - Medium reliability 4. 💧 Liquidity Touch - Needs confirmation Interpretation Examples Scenario 1: "Liquidity Grab" You see: LIQ HIGH x20 at 100,000 + Stop Hunt ⬆ + Volume spike = Likely decline Scenario 2: "Trap and Reverse" You see: TRAPPED LONGS + Kill Zone Active + SM SHORT 🎯 = Strong short signal Scenario 3: "Inducement Break" You see: Inducement Level break + No volume + Status: NORMAL = Likely trap, wait Colors and Their Meaning • 🔵 Blue - Liquidity (neutral) • 🟠 Orange - Caution, possible trap • 🔴 Red - Negative signal / long trap • 🟢 Green - Positive signal / short trap • 🟣 Purple - Stop hunt (neutral, wait for reaction) ________________________________________ 💡 Trading Strategies Strategy 1: "Liquidity Sweep" (For Beginners) Assumptions: • Trade only with trend • Wait for liquidity collection • Enter on return Best timeframe for learning: 15M - you'll see all manipulation stages in real-time! Steps: 1. Identify trend (Market Bias in table) 2. Find nearest liquidity zone aligned with trend 3. Wait for price to touch and bounce 4. Enter after confirming candle 5. Stop loss beyond liquidity zone 6. Take profit at next zone Example: • Trend: BULLISH • Liquidity at 100,000 (support) • Price drops to 99,950 (stop hunt) • Returns above 100,000 • LONG with SL 99,900, TP 101,000 Strategy 2: "Kill Zone Hunter" (Intermediate) Assumptions: • Trade only in Kill Zones • Exploit stop hunts • Aggressive entries Ideal timeframe: 15M - in Kill Zones on 15M you'll see exactly every Smart Money move! Steps: 1. Wait for Kill Zone (red background) 2. Watch first 15-30 minutes 3. Look for stop hunt 4. Enter immediately after stop hunt 5. Tight stop loss (0.5 ATR) 6. Scale position with profit Tips: • London Open - often stop hunt down, then rise • NY Open - often tests Asian High/Low • Midnight - position resets, false moves Strategy 3: "Smart Money Follow" (Advanced) Assumptions: • Ignore minor signals • Wait only for SM signals • Larger positions, fewer trades Steps: 1. Status must show HIGH RISK or WATCH LIQUIDITY 2. Wait for stop hunt series (minimum 2) 3. Watch Trapped Traders 4. Enter only on SM signal 🎯 5. Stop loss beyond last extreme 6. Hold position until opposite SM signal Position Management: • 1/3 position at signal • 1/3 after direction confirmation • 1/3 after breaking last high/low ________________________________________ 🛡️ Risk Management Basic Rules 1. Never place stop loss at obvious level o Add 5-10 pips buffer o Avoid round numbers o Check where Liquidity Pools are 2. Reduce position in Kill Zones o 50% of normal size o Or wait until they end 3. Avoid trading at HIGH RISK status o Unless experienced o Then reverse logic - look for traps Stop Loss - Where to Place? ❌ Bad places: • Exactly below/above candle • At Inducement Levels • At round numbers • Where Liquidity Pools visible ✅ Good places: • Beyond last stop hunt • Behind Trapped Traders zone • Minimum 1.5 ATR from entry • Where SM would lose significantly Position Sizing Safe position formula: Risk per trade = 1-2% of capital Position size = Risk / (Stop Loss in pips × Pip value) Modifiers: • Kill Zone active: × 0.5 • After SM signal: × 1.5 • HIGH RISK status: × 0.3 • With trend: × 1.2 ________________________________________ ❓ FAQ General Questions Q: Indicator shows nothing, what to do? A: Check in settings: 1. Reduce "Min. Touches" to 1 2. Increase "Detection Sensitivity" 3. Enable "Debug Mode" to see statistics 4. Ensure proper timeframe (15M+) 5. On 15M sometimes wait a few candles for first signal Tip for 15M: If you don't see signals on 15M, enable Debug Mode. If it shows Liq=0, reduce "Min. Touches" to 1 and increase "Liquidity Lookback" to 100. Q: Too many signals, I'm lost A: 1. Increase requirements (min. touches, respects) 2. Disable some components 3. Trade only strongest signals (SM 🎯) Q: Which timeframe is best? A: • 15M - PERFECT FOR LEARNING! Many signals, shows all manipulations, great for beginners • 30M - Good balance, less noise than 15M • 1H - Medium-term trading, clear setups • 4H - Fewer signals but bigger moves, for patient traders • 1D - Only major levels, position trading 💡 For beginners: Start with 15M! That's where you'll see how the market really works - stop hunts, traps, false breakouts. Only after understanding the mechanics, move to higher timeframes. Technical Questions Q: What does "x15" mean at LIQ? A: Number of level touches. Higher = stronger level. Q: Why are Kill Zones red? A: High risk periods - most manipulation. Q: What does Debug Mode show? A: When "Show Debug Info" is enabled, a label appears above the last candle with: • Liq=X - number of Liquidity Pools found • Ind=X - number of Inducement Levels found • HighLvl=X - number of highs stored in memory • LowLvl=X - number of lows stored in memory This helps understand why sometimes no signals appear (e.g., when Liq=0). Trading Questions Q: Can I use only this indicator? A: Yes, but better combined with: • Trend analysis • Support/resistance • Volume Q: Does it work on all markets? A: Best on liquid ones: • ✅ Major Forex pairs • ✅ Main indices • ✅ BTC, ETH • ⚠️ Less liquid altcoins • ❌ Exotic pairs, small caps Q: How to remove indicator from chart? A: • Method 1: Click X next to indicator name • Method 2: Right-click on name → "Remove" • Method 3: In indicators panel (left side) find and click trash icon Q: Can I use multiple copies of the indicator? A: Yes! You can add the indicator multiple times with different settings (e.g., one for liquidity, another for stop hunts only). Q: How much can I earn? A: Indicator doesn't guarantee profit. It's an analysis tool, not a trading system. Your results depend on: • Discipline • Risk management • Experience • Market conditions ________________________________________ 🎯 Quick Start - Checklist Pro Tip: After adding the indicator, click the star ⭐ to add to favorites - you'll have quick access in the future! For Beginners: • After adding indicator, set your UTC offset in settings • Start on 15M timeframe (where you'll see the most action!) • Observe for a week without trading • Learn to recognize each signal type • Practice on 15M, then try 1H • Start with "Liquidity Sweep" strategy • Max 1% risk per trade • Keep trading journal First Steps: 1. Days 1-3: Observe and learn signals 2. Days 4-7: Mark potential entries (no trading) 3. Week 2: Demo trading with small positions 4. Week 3+: Real trading with strict risk management ________________________________________ 💬 Support • Questions & Suggestions: Comments section under the indicator • Bug Reports: Describe issue in comments with timeframe and instrument • Updates: Click "Follow" to receive notifications • Examples: Regular trading idea publications with usage examples 💡 Community: Share your setups in comments - let's help each other! ________________________________________ ⚖️ Disclaimer This indicator is an educational and analytical tool. It does not constitute investment advice. Trading involves risk of capital loss. Always conduct your own analysis and apply appropriate risk management. Historical results do not guarantee future profits.
Wskaźnik Pine Script®
od maqone
Supertrend TP SL (PRO)2. Main Components: Supertrend Indicator: Theoretical basis: The Supertrend indicator is based on two main concepts: Average True Range (ATR) and Factor. ATR measures the extent of price fluctuations in a given period of time, while Factor determines the sensitivity of the indicator to price changes. Mechanism of operation: The indicator calculates two possible lines: one line representing the potential support level and another line representing the potential resistance level. The selection of the appropriate line depends on the current price direction. When the price is above the line, the indicator is considered to be in an uptrend, and vice versa. Customizable inputs: atrPeriod: Allows the trader to specify the time period for calculating the ATR. Shorter periods make the indicator more sensitive to price changes, while longer periods reduce its sensitivity. factor: Allows the adjustment of the factor. Higher values ​​make the indicator less likely to give false signals, but they may also delay entry signals. Risk Management: Take Profit and Stop Loss Orders: TPPoints: Specifies the distance between the entry price and the take profit level. This distance is expressed in points, and is converted to an actual price value using syminfo.mintick (the smallest possible price movement of the traded asset). SLPoints: Specifies the distance between the entry price and the stop loss level. Importance: These orders allow the trader to specify the maximum loss he is willing to take and the profit target he is aiming to achieve, which helps in effective risk management. Activate/Disable Trades: isLongEnabled: Allows buy trades to be enabled or disabled, which allows the trader to trade in one direction only (for example, only trade in the uptrend during a bull market). isShortEnabled: Allows sell trades to be enabled or disabled. isTakeProfitEnabled: Allows take profit orders to be enabled or disabled. The trader may wish to disable them if he prefers to manage his trades manually. isStopLossEnabled: Allows you to enable or disable stop loss orders. Although disabling them may seem tempting in some cases, it is a very risky move. Visual Customization: Line Style and Width: lineStyle: Allows the trader to choose the style of lines used to draw TP and SL levels (Solid, Dashed, Dotted). lineWidth: Sets the thickness of the lines. Label Size: labelSize: Allows you to set the size of the labels that display TP and SL levels (Small, Normal, Large). Colors: bullColor, bearColor, tpColor, slColor: Allows the trader to customize the colors of the different elements on the chart, making visual analysis easier. 3. Strategy Logic: Determining Entry Signals: The strategy relies on the Supertrend indicator to determine entry signals. When the Supertrend trend changes from bearish to bullish, a buy trade is triggered (if isLongEnabled is enabled). When the trend changes from bullish to bearish, a sell trade is triggered (if isShortEnabled is enabled). Order Execution: Once the entry signal is triggered, the strategy automatically places buy or sell orders. Trade Management: After opening a trade, the strategy monitors the price and automatically triggers Take Profit and Stop Loss orders if the price reaches the specified levels. Visualization: The strategy displays useful information on the chart, such as TP and SL lines, entry and exit signals, which helps the trader understand the strategy’s behavior and evaluate its performance. 4. Advanced Tips: Optimizing Settings: The strategy’s performance can be improved by adjusting different input values. For example, the trader can experiment with different values ​​for atrPeriod and factor to improve the accuracy of Supertrend signals. Combining Indicators: This strategy can be combined with other indicators to improve the accuracy of entry signals. For example, the Relative Strength Index (RSI) can be used to confirm Supertrend signals. Time Analysis: The strategy’s performance can be analyzed over different time periods to evaluate its effectiveness in various market conditions. Strategy Testing: Before using the strategy in real trading, it should be tested on historical data (Backtesting) to evaluate its performance and determine the optimal settings. 5. Associated Risks: False Signals: The Supertrend indicator may sometimes give false signals, especially in volatile markets. Losses: Even with the use of stop loss orders, the trader may be exposed to significant losses. Over-optimization: Over-optimization of settings on historical data may lead to misleading results. The trader should be careful about generalizing the results to future data. Over-reliance on automation: The automated strategy should not be relied upon completely. The trader should monitor the trades and make appropriate decisions when necessary. 6. Disclaimer: I am not a licensed financial advisor. This strategy is provided for educational and illustrative purposes only and should not be considered as investment advice. Trading in financial markets involves significant risks and you may lose your invested capital. Before making any investment decisions, consult a qualified financial advisor and conduct your own research. You alone are responsible for your trading decisions and their results. By using this strategy, you acknowledge and agree that I am not responsible for any losses or damages you may incur. 2. المكونات الرئيسية: مؤشر Supertrend: الأساس النظري: يعتمد مؤشر Supertrend على مفهومين رئيسيين هما: متوسط المدى الحقيقي (Average True Range - ATR) ومعامل الضرب (Factor). ATR يقيس مدى تقلبات الأسعار في فترة زمنية محددة، بينما Factor يحدد مدى حساسية المؤشر لتغيرات الأسعار. آلية العمل: يقوم المؤشر بحساب خطين محتملين: خط يمثل مستوى الدعم المحتمل وخط آخر يمثل مستوى المقاومة المحتمل. يعتمد اختيار الخط المناسب على اتجاه السعر الحالي. عندما يكون السعر أعلى من الخط، يعتبر المؤشر في اتجاه صاعد، والعكس صحيح. المدخلات القابلة للتخصيص: atrPeriod: يتيح للمتداول تحديد الفترة الزمنية لحساب ATR. الفترات الأقصر تجعل المؤشر أكثر حساسية لتغيرات الأسعار، بينما الفترات الأطول تقلل من حساسيته. factor: يسمح بتعديل معامل الضرب. القيم الأعلى تجعل المؤشر أقل عرضة لإعطاء إشارات خاطئة، ولكنها قد تؤخر أيضًا إشارات الدخول. إدارة المخاطر: أوامر جني الأرباح وإيقاف الخسارة: TPPoints: يحدد المسافة بين سعر الدخول ومستوى جني الأرباح. يتم التعبير عن هذه المسافة بالنقاط (Points)، ويتم تحويلها إلى قيمة سعرية فعلية باستخدام syminfo.mintick (أصغر حركة سعرية ممكنة للأصل المتداول). SLPoints: يحدد المسافة بين سعر الدخول ومستوى إيقاف الخسارة. الأهمية: تتيح هذه الأوامر للمتداول تحديد الحد الأقصى للخسارة التي يرغب في تحملها والهدف الربحي الذي يسعى لتحقيقه، مما يساعد على إدارة المخاطر بشكل فعال. تفعيل/تعطيل الصفقات: isLongEnabled: يسمح بتفعيل أو تعطيل صفقات الشراء، مما يمكن المتداول من التداول في اتجاه واحد فقط (على سبيل المثال، التداول فقط في الاتجاه الصاعد خلال سوق صاعدة). isShortEnabled: يسمح بتفعيل أو تعطيل صفقات البيع. isTakeProfitEnabled: يسمح بتفعيل أو تعطيل أوامر جني الأرباح. قد يرغب المتداول في تعطيلها إذا كان يفضل إدارة صفقاته يدويًا. isStopLossEnabled: يسمح بتفعيل أو تعطيل أوامر إيقاف الخسارة. على الرغم من أن تعطيلها قد يبدو مغريًا في بعض الحالات، إلا أنه يعتبر خطوة محفوفة بالمخاطر للغاية. التخصيص المرئي: نمط وعرض الخطوط: lineStyle: يتيح للمتداول اختيار نمط الخطوط المستخدمة لرسم مستويات TP و SL (Solid, Dashed, Dotted). lineWidth: يحدد سمك الخطوط. حجم الملصقات: labelSize: يسمح بتحديد حجم الملصقات التي تعرض مستويات TP و SL (Small, Normal, Large). الألوان: bullColor, bearColor, tpColor, slColor: تتيح للمتداول تخصيص ألوان العناصر المختلفة على الرسم البياني، مما يسهل عملية التحليل البصري. 3. منطق عمل الاستراتيجية: تحديد إشارات الدخول: تعتمد الاستراتيجية على مؤشر Supertrend لتحديد إشارات الدخول. عندما يتغير اتجاه Supertrend من هابط إلى صاعد، يتم تفعيل صفقة شراء (إذا كانت isLongEnabled مفعلة). وعندما يتغير الاتجاه من صاعد إلى هابط، يتم تفعيل صفقة بيع (إذا كانت isShortEnabled مفعلة). تنفيذ الأوامر: بمجرد تفعيل إشارة الدخول، تقوم الاستراتيجية بوضع أوامر الشراء أو البيع تلقائيًا. إدارة الصفقات: بعد فتح الصفقة، تقوم الاستراتيجية بمراقبة السعر وتفعيل أوامر جني الأرباح وإيقاف الخسارة تلقائيًا في حالة وصول السعر إلى المستويات المحددة. التمثيل المرئي: تعرض الاستراتيجية معلومات مفيدة على الرسم البياني، مثل خطوط TP و SL وإشارات الدخول والخروج، مما يساعد المتداول على فهم سلوك الاستراتيجية وتقييم أدائها. 4. نصائح متقدمة: تحسين الإعدادات: يمكن تحسين أداء الاستراتيجية من خلال تعديل قيم المدخلات المختلفة. على سبيل المثال، يمكن للمتداول تجربة قيم مختلفة لـ atrPeriod و factor لتحسين دقة إشارات Supertrend. الجمع بين المؤشرات: يمكن دمج هذه الاستراتيجية مع مؤشرات أخرى لتحسين دقة إشارات الدخول. على سبيل المثال، يمكن استخدام مؤشر القوة النسبية (RSI) لتأكيد إشارات Supertrend. التحليل الزمني: يمكن تحليل أداء الاستراتيجية على مدى فترات زمنية مختلفة لتقييم مدى فعاليتها في ظروف السوق المتنوعة. اختبار الاستراتيجية: قبل استخدام الاستراتيجية في التداول الحقيقي، يجب اختبارها على بيانات تاريخية (Backtesting) لتقييم أدائها وتحديد الإعدادات المثلى. 5. المخاطر المرتبطة: الإشارات الخاطئة: قد يعطي مؤشر Supertrend إشارات خاطئة في بعض الأحيان، خاصة في الأسواق المتقلبة. الخسائر: حتى مع استخدام أوامر إيقاف الخسارة، قد يتعرض المتداول لخسائر كبيرة. التحسين المفرط: قد يؤدي التحسين المفرط للإعدادات على بيانات تاريخية إلى نتائج مضللة. يجب أن يكون المتداول حذرًا بشأن تعميم النتائج على البيانات المستقبلية. الاعتماد الزائد على الأتمتة: يجب عدم الاعتماد بشكل كامل على الاستراتيجية الآلية. يجب على المتداول مراقبة الصفقات واتخاذ القرارات المناسبة عند الضرورة. 6. إخلاء المسؤولية: أنا لست مستشارًا ماليًا مرخصًا. هذه الاستراتيجية مقدمة لأغراض تعليمية وتوضيحية فقط، ولا ينبغي اعتبارها نصيحة استثمارية. التداول في الأسواق المالية ينطوي على مخاطر كبيرة، وقد تخسر رأس المال المستثمر. قبل اتخاذ أي قرارات استثمارية، استشر مستشارًا ماليًا مؤهلاً وقم بإجراء بحثك الخاص. أنت وحدك المسؤول عن قراراتك التجارية ونتائجها. باستخدام هذه الاستراتيجية، فإنك تقر وتوافق على أنني لست مسؤولاً عن أي خسائر أو أضرار قد تتكبدها.
Strategia Pine Script®
od omar_elliot
Strategy - Plus / Connectable [Azullian]Discover the advanced capabilities of Strategy Plus, an essential component of the connectable indicator system designed for fast-paced strategy testing, visualization, and building within TradingView. This enhanced version of our foundational connectable strategy indicator seamlessly integrates with all connectable indicators . By utilizing the TradingView input source as a signal connector , it facilitates the linking of indicators to form a cohesive strategy. Each connectable indicator within the system sends signal weight to the next node, culminating in a comprehensive strategy that incorporates advanced customization options, sophisticated signal interpretation, and elaborate backtest labeling. Strategy Plus stands out by offering improved position management and extensive alert messaging capabilities, ensuring effective strategy refinement and backend integration. █  DISTINCTIVE FEATURES The Connectable Strategy Plus enhances risk mitigation within the connectable system through its advanced features and capabilities:  • Refined Signal Input Management: Tailor and precisely connect up to two signal filters with enhanced input flexibility, gain control, and strategic direction settings.  • Strategic Position Investment Control: Optimize positioning with versatile investment bases, custom investment percentages, and direction-specific investments for effective risk management.  • Advanced Exit Stop Loss Configuration: Implement custom stop loss tactics with diverse base modes and trailing options for tailored risk management.  • Strategic Exit Take Profit Settings: Apply precision-driven take profit strategies with various calculation modes and dynamic trailing functionality.  • Calibrated Entry Position Allocation: Optimize investment distribution for entry positions, including DCA and BRO trades, for strategic market response.  • Refined Order Setting Customization: Ensure exchange compliance with adjustable order settings, enhancing backtest accuracy and strategy reliability.  • Comprehensive Condition Settings: Define precise conditions for strategy execution, including date range filtering and order/loss limitations.  • Intuitive Visualization: Enhance strategy clarity with customizable visual elements and trade visualization features.  • Advanced Alert Configurations: Stay informed with comprehensive and customizable alerts for effective backend integration.  • Backend Integration With JSON Format: Leverage elaborate and structured data in JSON format for advanced analytics, enhancing decision-making and strategy optimization outside TradingView. Let's review the separate parts of this indicator. █  STRATEGY INPUTS We've provided 2 inputs for connecting a signal filter or indicators or chains (1→, 2→) which are all set to 'Close' by default. An input has several controls:  • Enable disable: Toggle the entire input on or off  • Input: Connect indicators or signal filter here, choose indicators with a compatible : Signal connector.  • G - Gain: Increase or reduce the strength of the incoming signal by a factor.  • SM - Signal Mode: Choose a trading direction compatible with the settings in your signal filter  • XM - Exit Mode: Determine when to allow to exit your open trade     ○ Always: Doesn't take the restrictions into account, this ignores all the settings chosen in ML or MP     ○ Restricted: Use both ML and MP conditions     ○ Loss: Use the ML condition only, for example: Position will be exited and the exit signal will be allowed only when the loss exceeds the ML parameter     ○ Profit: Use the MP condition only for example: Exits will only be allowed when the profit of the position exceeds the condition of the MP parameter █ POSITION INVESTMENT Determine the percentage of your trading budget you would like to use in each position based on the strategy's profit or loss.  • LINVB - Loss Investment Base: Choose which base to use to determine the investment percentage when the strategy is in a loss.     ○ Equity: Use the equity as the base for percentage calculation.     ○ Initial capital: Use the initial capital as the base for percentage calculation.  • LINV% - Loss Investment Percentage: Set a percentage of the chosen investment base as the investment for a new position.     ○ For example, when 10% in loss, and a initial capital of $100, and the investment base is set to equity with a percentage of 50%, your investment will be 50% of $90, $45.  • PINVB - Profit Investment Base: Choose which base to use to determine the investment percentage when the strategy is in profit.     ○ Equity: Use the equity as the base for percentage calculation.     ○ Initial capital: Use the initial capital as the base for percentage calculation.  • PINV% - Profit Investment Percentage: Set a percentage of the chosen investment base as the investment for a new position.     ○ For example, when 10% in profit, and an initial capital of $100, and the investment base is set to equity with a percentage of 100%, your investment will be 100% of $110, $110.  • XINVB - Custom Profit Investment Base: Choose which base to use to determine the investment percentage when the strategy is above a custom profit threshold (XT).     ○ Equity: Use the equity as the base for percentage calculation.     ○ Initial capital: Use the initial capital as the base for percentage calculation.  • XINV% - Custom Profit Investment Percentage: Set a percentage of the chosen investment base as the investment for a new position.     ○ For example, when 100% in profit, exceeding the XT threshold of 50%, and an initial capital of $100, and the investment base is set to equity with a percentage of 50%, your investment will be 50% of $200, $100.  • XT% - Custom Profit Threshold: Determine how much profit triggers these custom profit investment settings.  • ELIB% - Entry Long Investment Base: Following previous settings, you can further restrict the investment according to the long trading direction.     ○ For instance, if the previous calculation resulted in $45 to be used as an investment, and you've set the ELIB% to 50%, your long position will use 50% of $45, which is $22.5.  • ESIB% - Entry Short Investment Base: Following previous settings, you can further restrict the investment according to the short trading direction.     ○ For example, if the previous calculation resulted in $45 to be used as an investment, and you've set the ESIB% to 50%, your short position will use 50% of $45, which is $22.5.  • RISK% - Risk Percentage:     ○ Determine how much of the calculated position investment is at risk when the stop-loss is hit.         - For example, 1% of $45 represents a maximum loss of $0.45.     ○ Risk percentage works together with the stop loss and the max leverage.  • MXLVG - Maximum Leverage:     ○ Investigate the trading rules for your trading pair and use the maximum allowed amount of leverage.     ○ To determine the number of contracts to be bought or sold, considering the stop loss and the specified risk percentage, the maximum leverage available will constrain the amount of leverage utilized to ensure that the maximum risk threshold is not exceeded. For instance, suppose the stop loss is set at 1%, and the risk percentage is defined as 10%. Initially, the calculated leverage to be used would be 10. However, if there is a maximum leverage cap set at 5, it would constrain the calculated leverage of 10 to adhere to the maximum limit of 5. █ EXIT STOP LOSS Determine the Stop Loss price based on your selected configuration. As the stop loss is an integral part of the ordered contracts calculation used in conjunction with the Risk and Max leverage, you'll always need to provide a stop loss price.  • SLLB - Stop Loss Long Base: Choose a stop loss mode for calculating stop loss prices in long positions.     ○ Risk: Determines the price using the Risk parameter (RISK%) and maximum leverage (MXLVG). In this case, SLLB% will not have any impact.     ○ Price Entry + Offset: Calculates the stop loss price based on a offset percentage (SLLB%) from the entry price of the position.     ○ Source: Computes the stop loss price based on an external indicator defined in SLLSRC.         - If this results in an invalid price, the calculation will revert to using the price entry + offset.     ○ Source + Offset: Determines the stop loss price based on a positive or negative offset percentage (SLLB%) from an external indicator defined in SLLSRC.         - If this results in an invalid price, the calculation will fall back to using the price entry + offset.  • SLLB% - Stop Loss Long Base Percentage: Define an offset percentage that will be applied in the price entry + offset and source + offset stop loss modes.  • SLLSRC - Stop Loss Long Source: Connect an external indicator as the source for stop loss (only those providing price values eg: bollinger bands, moving averages...).  • SLLT - Stop Loss Long Trailing:     ○ Fixed: The initial stop loss will be kept and no trailing stop loss will be applied.     ○ Trail Stop: Takes into account all settings defined in SLLB and SLLB% and recalculates them with each candle.         - If a better stop loss is computed, it replaces the existing stop loss. In this mode SLLT% will be disregarded.     ○ Trail Stop till BE: Similar to trailing stop mode, but it stops trailing when the stop loss reaches the break-even point.     ○ Trail Stop from BE: Similar to trailing stop mode, but it starts trailing when the stop loss reaches the break-even point.     ○ Trail Price: Computes the trailing stop loss price based on an offset percentage (SLLT%) from the closing price of the current candle.         - If a better stop loss price is calculated, it will be set as the new stop loss price.     ○ Trail Price till BE: Similar to the Trail Price mode, but it stops trailing when the stop loss reaches the break-even point.     ○ Trail Price from BE: Similar to Trail Price mode, but it starts trailing when the stop loss reaches the break-even point.     ○ Trail Incr: Adapts the trailing stop loss price based on the offset percentage (SLLT%).         - Each price change in favor of your position will incrementally adapt the trailing stop loss with SLLT%.     ○ Trail Incr till BE: Similar to the Trail Incr mode, but it stops trailing when the stop loss reaches the break-even point.  • SLLT% - Stop Loss Long Trailing Percentage: This percentage serves as an offset or increment depending on your chosen trailing mode.  • SLSB - Stop Loss Short Base: Functions similarly to SLLB but for short positions.  • SLSB% - Stop Loss Short Base Percentage: Functions similarly to SLLB% but for short positions.  • SLSSRC - Stop Loss Short Source: Functions similarly to SLLSRC but for short positions.  • SLST - Stop Loss Short Trailing: Functions similarly to SLLT but for short positions.  • SLST% - Stop Loss Short Trailing Percentage: Functions similarly to SLLT% but for short positions. █ EXIT TAKE PROFIT Determine the Take Profit price based on your selected configuration.  • TPLB - Take Profit Long Base: Choose a take profit mode for calculating take profit prices in long positions.     ○ Reward: Determines the take profit price using the Risk parameter (RISK%) and the calculated Stop Loss price and the set reward percentage (TPLB%).         - For example: Risk 1%, Calculated Stop loss price: $90, Entry price: $100, Reward (TPLB%): 2%, will result in a take profit price on $120.     ○ Price Entry + Offset: Calculates the take profit price based on a offset percentage (TPLB%) from the entry price of the position.         - For example: Entry price: $100, Offset (TPLB%): 2%, will result in a take profit price on $102.     ○ Source: Computes the take profit price based on an external input from another indicator defined in TPLSRC.         - If this results in an invalid price, the calculation will revert to using the price entry + offset.     ○ Source + Offset: Determines the take profit price based on a positive or negative offset percentage (TPLB%) from an external indicator inpuy defined in TPLSRC.         - If this results in an invalid price, the calculation will fall back to using the price entry + offset.  • TPLB% - Take Profit Long Base Percentage: Define an offset percentage that will be applied in the price entry + offset and source + offset take profit modes.  • TPLSRC - Take Profit Long Source: Choose to connect an external indicator as the source for take profit (of course only those which provide price values eg: bollinger bands, moving averages... but not oscillators).  • TPLT - Take Profit Long Trailing:     ○ Fixed: The initial take profit will be kept and no trailing take profit will be applied.     ○ Trail Profit: Takes into account all settings defined in TPLB and TPLB% and recalculates them with each candle.         - If an applicable take profit is computed, it replaces the existing take profit. In this mode TPLT% will be disregarded.     ○ Trail Profit till BE: Similar to trailing profit mode, but it stops trailing when the take profit reaches the break-even point.     ○ Trail Profit from BE: Similar to trailing profit mode, but it starts trailing when the take profit reaches the break-even point.     ○ Trail Price: Computes the trailing take profit price based on an offset percentage (TPLT%) from the closing price of the current candle.         - If an applicable take profit price is calculated, it will be set as the new take profit price.     ○ Trail Price till BE: Similar to the Trail Price mode, but it stops trailing when the take profit reaches the break-even point.     ○ Trail Price from BE: Similar to Trail Price mode, but it starts trailing when the take profit reaches the break-even point.     ○ Trail Incr: Adapts the trailing take profit price based on the offset percentage (TPLT%). Each price change against your position will incrementally adapt the trailing take profit with TPLT%.     ○ Trail Incr till BE: Similar to the Trail Incr mode, but it stops trailing when the take profit reaches the break-even point.  • TPLT% - Take Profit Long Trailing Percentage: This percentage serves as an offset or increment depending on your chosen trailing mode.  • TPSB - Take Profit Short Base: Functions similarly to TPLB but for short positions.  • TPSB% - Take Profit Short Base Percentage: Functions similarly to TPLB% but for short positions.  • TPSSRC - Take Profit Short Source: Functions similarly to TPLSRC but for short positions.  • TPST - Take Profit Short Trailing: Functions similarly to TPLT but for short positions.  • TPST% - Take Profit Short Trailing Percentage: Functions similarly to TPLT% but for short positions. █ ENTRY INVESTMENT DISTRIBUTION Based on your position investment calculation you can distribute the position investment accross the initial opening trade of the position (SIG%) or the follow up Dollar Cost Averaging (DCA%) or Break Out (BRO%) trades. For example: SIG%: 10%, DCA%: 45%, BRO%: 45% and the calculated Position Investment is $100, then the initial trade will receive $10, DCA will receive $45, and BRO will receive $45 to work with. Disable BRO and or DCA by setting them to 0%. Keep in mind that the sum of SIG, BRO and DCA may not exceed 100%.  • SIG% - Initial order investment percentage based on the signal: The percentage of the position investment distributed over normal trades.  • DCA% - Dollar Cost Averaging investment percentage: The percentage of the position investment distributed to DCA trades.  • BRO% - Break Out investment percentage: The percentage of the position investment distributed to BRO trades. █ ENTRY DCA DCA (Dollar-Cost Averaging) is a risk mitigation strategy where the allocated DCA% budget from the Entry Investment Distribution is distributed among x levels (DCA#) based on calculated prices (DPLM) and order sizes (DOSM), when prices move against your position.  • DCA# - Maximum DCA levels: Set the maximum number of DCA levels.  • DPLM - DCA Price Level Mode: Choose a price level mode that determines at which prices the additional purchases are distributed:     ○ Linear: Entry prices are evenly spaced at regular intervals.     ○ QuadIn: Entry prices are front-loaded, with more at the beginning and fewer later.     ○ QuadOut: Entry prices are back-loaded, with fewer at the beginning and more later.     ○ QuadInOut: Entry prices start front-loaded, then become back-loaded.     ○ CubicIn: Similar to QuadIn but with a smoother front-loaded distribution.     ○ CubicOut: Similar to QuadOut but with a smoother back-loaded distribution.     ○ ExpoIn: Entry prices are exponentially increasing, starting small and growing.     ○ ExpoOut: Entry prices are exponentially decreasing, starting large and reducing.     ○ ExpoInOut: Entry prices start exponentially increasing, then decrease exponentially.  • DOSM - DCA Order Size Mode: Choose a DCA budget distribution mode for order sizes:     ○ Linear: Order sizes are evenly spaced at regular intervals.     ○ QuadIn: Order sizes are front-loaded, with larger orders at the beginning and smaller ones later.     ○ QuadOut: Order sizes are back-loaded, with smaller orders at the beginning and larger ones later.     ○ QuadInOut: Order sizes start front-loaded and transition to back-loaded.     ○ CubicIn: Similar to QuadIn but with a smoother front-loaded distribution of order sizes.     ○ CubicOut: Similar to QuadOut but with a smoother back-loaded distribution of order sizes.     ○ ExpoIn: Order sizes exponentially increase, starting small and growing.     ○ ExpoOut: Order sizes exponentially decrease, starting large and reducing.     ○ ExpoInOut: Order sizes start exponentially increasing, then decrease exponentially. For a visual representation of the price or order size distribution modes, refer to online easing curves. █ ENTRY BRO BRO (Break Out) is a risk mitigation strategy where the allocated BRO% budget from the Entry Investment Distribution is distributed among x levels (BRO#) based on calculated prices (BPLM) and order sizes (BOSM), when prices move in favor of your position.  • BRO# - Maximum BRO levels: Set the maximum number of BRO levels.  • BPLM - BRO Price Level Mode: Choose a price level mode that determines at which prices the additional purchases are distributed:     ○ Distribution easing modes work similar as the DCA easing modes.  • BOSM - BRO Order Size Mode: Choose a BRO budget distribution mode for order sizes:     ○ Distribution easing modes work similar as the DCA easing modes. █ ORDER SETTINGS Fine-tune accuracy to match your exchange's trading constraints, enhancing backtest precision with these settings, default settings are least restrictive for crypto trading pairs.  • MINP - Mininmum Position Notional Value: Exchange-defined minimum notional value for positions:     ○ Calculated based on your exchange's rules and is the minimum total value your position must hold to meet their requirements It is calculated by multiplying Quantity with price and leverage.     ○ It helps ensure your trades align with your exchange's standards.  • MAXP - Maximum Position Notional Value: Exchange-defined maximum notional value for positions:     ○ Similar to MINP, this value is calculated based on your exchange's rules and represents the maximum total value allowed for your position.  • MINQ - Mininmum Order Quantity: Least permissible order quantity based on exchange rules:     ○ This is the smallest quantity of an asset that your exchange allows you to trade in a single order.  • MAXQ - Maximum Order Quantity: Highest permissible order quantity according to exchange rules:     ○ Opposite of MINQ, this is the largest quantity of an asset you can trade in a single order as defined by your exchange.  • DECP - Decimals in Order Price: Allowed decimal places in order prices as per exchange specifications:     ○ This value specifies the number of decimal places you can use when specifying the price of an order.  • DECQ - Decimals in Order Quantity: Permitted decimal places in order quantities according to exchange specifications:     ○ Similar to DECP, this value indicates the number of decimal places you can use when specifying the quantity of an asset in an order. █  STRATEGY CONDITIONS Specify when the strategy is permitted to execute trades.  • DATE: Enable the Date Range filter to restrict entries to a specific date range.     ○ START: Set a start date and hour to commence trading.     ○ END: Set an end date and hour to conclude trading within the defined range.  • IDO - Maximum Intraday Orders: Limit the number of orders the strategy can place within a single trading day. Upon reaching this limit, the strategy temporarily halts further entries for the day.  • DL% - Maximum Intraday Loss%: Set a threshold for the maximum allowable intraday loss as a percentage of equity. When exceeded, the strategy temporarily suspends trading for the day.  • CLD - Maximum Consecutive Loss Days: Define the maximum number of consecutive days the strategy can incur losses. Upon reaching this limit, the strategy halts trading and avoids new entries.  • DD% - Maximum Drawdown: Specify the maximum permissible drawdown as a percentage of equity. If this limit is met, the strategy halts trading and refrains from placing additional entries.  • TP% - Total Profit %: Establish a target for the total profit percentage the strategy aims to achieve. Once this target is attained, the strategy halts trading and refrains from initiating new entries.  • TL% - Total Loss %: Define a limit for the total loss percentage relative to the initial capital. If this limit is exceeded, the strategy discontinues trading and refrains from placing further entries. ■ VISUALS  • LINE: Activate a colored dashed diagonal line to visually connect the entry and exit points of positions.  • SLTP: Enable visualization of stop loss, take profit, and break-even levels.  • PNL: Enable Break-Even and Close Lines along with a colored area in between to visualize profit and loss.  • ☼: Brightness % : Adjust the opacity of the plotted trading visuals.  • P - Profit Color : Choose the color for profit-related elements.  • L - Loss Color: Choose the color for loss-related elements.  • B - Breakeven Color : Select the color for break-even points.  • EL - Long Color: Specify the color for long positions.  • ES - Short Color: Specify the color for short positions.  • TRADE LABELING: For better analysis we've labeled all entries and exits conform with the type of order your strategy has executed, some examples:     ○ EL-SIG0-124: Enter Long - Signal 0 - Position 124     ○ EL-BRO1-130: Enter Long - BRO1 - Position 130     ○ EL-BRO2-130: Enter Long - BRO2 - Position 130     ○ ES-DCA1-140: Enter Short - DCA1 - Position 140     ○ XS-DCA2-140: Exit Short - DCA2 - Position 140     ○ XL-TP-150: Exit Long - Take Profit - Position 150     ○ XS-TP-154: Exit Short - Take Profit - Position 154     ○ XL-SL-160: Exit Long - Stop Loss - Position 160     ○ XS-SL-164: Exit Short - Stop Loss - Position 164     ○ XS-CND-165: Exit Short - Strategy Condition - Max intraday loss - Position 165 ■ ALERT SETTINGS For developers and those who wish to integrate TradingView alerts into their backend systems, we offer comprehensive labeling options.  • ALID: A unique identifier you've assigned to your alert.  • NAME: A structured name you've given to this strategy.  • LAYOUT: The layout key of the strategy, allowing direct chart linking from your backend.  • SYMBOL: The symbol on which the strategy operates.     ○ ONCE: You can choose to include this information only in the first message to reduce message size and repetition in follow-up messages. (max. 4096 characters)  • TICK: The ticker for the strategy.  • CHART: The chart parameter containing the timeframe.period and timeframe.multiplier.     ○ ONCE: You can choose to include this information only in the first message to reduce message size and repetition in follow-up messages. (max. 4096 characters)  • BAR: Includes bar information in the alert message.  • STRATEGY: Adds strategy inputs to the alert message.     ○ ONCE: You can choose to include this information only in the first message to reduce message size and repetition in follow-up messages. (max. 4096 characters)  • PERFORMANCE: Incorporates strategy performance data into the alert message.  • SIGNAL: Appends received signal weights (EL, XL, ES, XS) to the alert message.  • ORDERS: Includes order details in the alert message.  • TAGS: Adds up to 6 tags and their corresponding values to the alert message.     ○ ONCE: You can choose to include this information only in the first message to reduce message size and repetition in follow-up messages. (max. 4096 characters) Of course we can't neglect letting you in on how this juicy JSON would look (without the // comments): { "id": 20726, // Message Id "t": "2023-11-01T10:35:00Z", // Message Time "al": { // Alert "id": "639bfa9a-5f01-4031-8880-7ec01e972055", // Alert Id "n": "TEST04", // Name "l": "ABC123" // Layout }, "sym": { // Symbol "typ": "crypto", // Type "r": "DOGEUSD.PM", // Root "pre": "KRAKEN", // Prefix "tc": "DOGEUSD.PM", // Ticker "bc": "DOGE", // BaseCurrency "c": "USD", // Currency "d": "DOGEUSD Multi Collateral Perpetual Futures Contract", // Description "mtc": 0.000001, // MinTick "pv": 1, // PointValue "ct": "PF_DOGEUSD" // CustomTicker }, "ch": { // Chart "pd": "1", // Period "mul": 1 // Multiplier }, "bar": { // Bar "id": 20725, // Index "t": "2023-11-01T10:33:00Z", // Time "o": 0.066799, // Open "h": 0.066799, // High "l": 0.066799, // Low "c": 0.066799, // Close "v": 2924 // Vol }, "strat": { // Strategy "n": "Strategy - Plus / Connectable ", // Name "sig": { // Signal "c1e": true, // Connector1Enabled "c1s": 500500.500501, // Connector1Source "c1g": 1, // Connector1Gain "c2e": false, // Connector2Enabled "c2s": 0.067043, // Connector2Source "c2g": 1, // Connector2Gain "sm": "Swing (EL, ES)", // SignalMode "xm": "Always", // ExitMode "mlp": 0.01, // ExitModeMinPercLoss "mpp": 0.01 // ExitModeMinPercProfit }, "inv": { // Investment "lb": "Equity", // LossBase "lp": 50, // LossPerc "pb": "Equity", // ProfitBase "pp": 100, // ProfitPerc "pcb": "Equity", // ProfitCustomBase "pcp": 100, // ProfitCustomPerc "pct": 10000, // ProfitCustomThreshold "elp": 100, // LongPerc "esp": 100, // ShortPerc "rsk": 1, // MaxRisk "lvg": 10 // MaxLeverage }, "sl": { // StopLoss "lb": "Price Entry + Offset", // LongBase "lp": 0.2, // LongPerc "lsrc": 0.067043, // LongSource "lt": "Trail Stop", // LongTrailMode "ltp": 0.2, // LongTrailPerc "sb": "Price Entry + Offset", // ShortBase "sp": 0.2, // ShortPerc "ssrc": 0.067043, // ShortSource "st": "Trail Stop", // ShortTrailMode "stp": 0.2 // ShortTrailPerc }, "tp": { // TakeProfit "lb": "Price Entry + Offset", // LongBase "lp": 1, // LongPerc "lsrc": 0.067043, // LongSource "lt": "Fixed", // LongTrailMode "ltp": 1, // LongTrailPerc "sb": "Price Entry + Offset", // ShortBase "sp": 1, // ShortPerc "ssrc": 0.067043, // ShortSource "st": "Fixed", // ShortTrailMode "stp": 1 // ShortTrailPerc }, "dis": { // Distribution "sigp": 10, // SignalPerc "dcap": 0, // DCAPerc "brop": 90 // BROPerc }, "dca": { // DCA "lvl": 3, // Levels "pl": "linear", // ModePriceLevel "os": "linear" // ModeOrderSize }, "bro": { // BRO "lvl": 3, // Levels "pl": "expoIn", // ModePriceLevel "os": "cubicOut" // ModeOrderSize }, "ord": { // OrderSettings "pmin": 5, // PNVMin "pmax": 30000000, // PNVMax "qmin": 0, // QtyMin "qmax": 1000000000, // QtyMax "dp": 6, // DecPrice "dq": 6 // DecQty }, "cnd": { // Conditions "de": true, // DateRangeEnabled "start": "2023-11-01T10:30:00Z", // StartTime "end": "2024-12-31T23:30:00Z", // EndTime "idoe": false, // MaxIntradayOrdersEnabled "ido": 100, // MaxIntradayOrders "dle": false, // MaxIntradayLossEnabled "dl": 10, // MaxIntradayLossPerc "clde": false, // MaxConsLossDaysEnabled "cld": false, // MaxConsLossDays "dde": false, // MaxDrawdownEnabled "dd": 100, // MaxDrawdownPerc "mpe": false, // MaxProfitEnabled "mp": 200, // MaxProfitPerc "mle": false, // MaxLossEnabled "ml": -50 // MaxLossPerc } }, "perf": { // Performance "ic": 1000, // InitialCapital "eq": 1000, // Equity "np": 0, // NetProfit "op": 0, // OpenProfit "ct": 0, // ClosedTrades "ot": 0, // OpenTrades "p": "FLAT", // MarketPosition "ps": 0, // MarketPositionSize "pp": "FLAT", // PreviousMarketPosition "pps": 0 // PreviousMarketPositionSize }, "sig": { // Signal "el": 0, // EL "xl": 0, // XL "es": 6, // ES "xs": 0 // XS }, "ord": , "tag": } █ USAGE OF CONNECTABLE INDICATORS  ■ Connectable chaining mechanism Connectable indicators can be connected directly to the signal monitor, signal filter or strategy , or they can be daisy chained to each other while the last indicator in the chain connects to the signal monitor, signal filter or strategy. When using a signal filter you can chain the filter to the strategy input to make your chain complete.  • Direct chaining: Connect an indicator directly to the signal monitor, signal filter or strategy through the provided inputs (→).  • Daisy chaining: Connect indicators using the indicator input (→). The first in a daisy chain should have a flow (⌥) set to 'Indicator only'. Subsequent indicators use 'Both' to pass the previous weight. The final indicator connects to the signal monitor, signal filter, or strategy.  ■ Set up this indicator with signals and a signal filter The indicator provides visual cues based on signal conditions. However, its weight system is best utilized when paired with a connectable signal filter, monitor, or strategy . Let's connect the Strategy - Plus to a connectable signal filter and connectable indicators : 1. Load all relevant indicators  • Load MA - Plus / Connectable  • Load Signal filter - Plus / Connectable  • Load Strategy - Plus / Connectable 2. Signal Filter Plus: Connect the MA - Plus to the Signal Filter  • Open the signal filter settings  • Choose one of the five input dropdowns (1→, 2→, 3→, 4→, 5→) and choose : MA - Plus / Connectable: Signal Connector  • Toggle the enable box before the connected input to enable the incoming signal 3. Signal Filter: Update the filter settings if needed  • The default filter mode for the trading direction is SWING, and is compatible with the default settings in the strategy and indicators. 4. Signal Filter: Update the weight threshold settings if needed  • All connectable indicators load by default with a score of 6 for each direction (EL, XL, ES, XS)  • By default, weight threshold is 'ABOVE' Threshold 1 (TH1) and Threshold 2 (TH2), both set at 5. This allows each occurrence to score, as the default score is 1 point above the threshold. 5. Strategy Plus: Connect one of the strategy plus inputs to the signal filters signal connector in the strategy settings  • Select a strategy input → and select the Signal filter - Plus: Signal connector 6. Strateg Plus: Enable filter compatible directions  • As the default setting of the filter is SWING, we should also set the SM (Strategy mode) to SWING. 7. Strateg Plus: You're ready to start optimizing  • Dive into all parameters and start optimizing your backtesting results. █ BENEFITS  • Adaptable Modular Design: Arrange indicators in diverse structures via direct or daisy chaining, allowing tailored configurations to align with your analysis approach.  • Streamlined Backtesting: Simplify the iterative process of testing and adjusting combinations, facilitating a smoother exploration of potential setups.  • Intuitive Interface: Navigate TradingView with added ease. Integrate desired indicators, adjust settings, and establish alerts without delving into complex code.  • Signal Weight Precision: Leverage granular weight allocation among signals, offering a deeper layer of customization in strategy formulation.  • Advanced Signal Filtering: Define entry and exit conditions with more clarity, granting an added layer of strategy precision.  • Clear Visual Feedback: Distinct visual signals and cues enhance the readability of charts, promoting informed decision-making.  • Standardized Defaults: Indicators are equipped with universally recognized preset settings, ensuring consistency in initial setups across different types like momentum or volatility.  • Reliability: Our indicators are meticulously developed to prevent repainting. We strictly adhere to TradingView's coding conventions, ensuring our code is both performant and clean. █ COMPATIBLE INDICATORS Each indicator that incorporates our open-source 'azLibConnector' library and adheres to our conventions can be effortlessly integrated and used as detailed above. For clarity and recognition within the TradingView platform, we append the suffix ' / Connectable' to every compatible indicator. █ COMMON MISTAKES, CLARIFICATIONS AND TIPS  • Removing an indicator from a chain: Deleting a linked indicator and confirming the "remove study tree" alert will also remove all underlying indicators in the object tree. Before removing one, disconnect the adjacent indicators and move it to the object stack's bottom.  • Point systems: The azLibConnector provides 500 points for each direction (EL: Enter long, XL: Exit long, ES: Enter short, XS: Exit short) Remember this cap when devising a point structure.  • Flow misconfiguration: In daisy chains the first indicator should always have a flow (⌥) setting of 'indicator only' while other indicator should have a flow (⌥) setting of 'both'.  • Hide attributes: As connectable indicators send through quite some information you'll notice all the arguments are taking up some screenwidth and cause some visual clutter. You can disable arguments in Chart Settings / Status line.  • Layout and abbreviations: To maintain a consistent structure, we use abbreviations for each input. While this may initially seem complex, you'll quickly become familiar with them. Each abbreviation is also explained in the inline tooltips.  • Inputs: Connecting a connectable indicator directly to the strategy delivers the raw signal without a weight threshold, meaning every signal will trigger a trade.  • Layout and Abbreviations: Abbreviations streamline structure and input identification. Although they may seem complex initially, inline tooltips provide explanations, facilitating quick acclimatization.  • Total Trade Limit Error & Date-Time Filter: For deep backtesting, be mindful of the total trade limit. Utilize the date-time filter to narrow the test scope and avoid TradingView order limits.  • Calculation Timeout: Encounter a timeout? Adjust any parameter slightly to restart the calculation process.  • Message Character Limit: To stay within message character limits, consider turning off certain features or setting some to 'once'.  • Direct Indicator-to-Strategy Connection: When connecting an indicator directly to a strategy without thresholds, the strategy will default to long if weights are equally assigned.  • Pyramid Enabling with DCA and BRO: Activate pyramid orders, enabling you to optimize your strategy during Dollar Cost Averaging and Break Out trades.  • Recalculate & Fill Orders Properties: Adjusting these default settings in strategy properties tab may lead to unexpected behavior when backtesting. Approach with caution.  • Optimized for Crypto: Our indicators have been optimized and tested primarily on cryptocurrency markets. Results in other markets may vary.  • Inline Tooltips Documentation: Detailed documentation and guidance are available via inline tooltips for immediate assistance.  • Strategy Settings Margin: Set margin to 1 to be able to apply leverage.  • Styling Panel: Explore the styling panel to disable labels or any other visual cues to reduce clutter on busy charts, enhancing visual clarity and personalization.  • Applying Leverage on Spot Markets: Ensure that maximum leverage on spot markets is configured to 1.  • Unrealistic Order Sizes: Verify that the order book can accommodate your backtested order sizes. █ A NOTE OF GRATITUDE Through years of exploring TradingView and Pine Script, we've drawn immense inspiration from the community's knowledge and innovation. Thank you for being a constant source of motivation and insight. █ RISK DISCLAIMER Azullian's content, tools, scripts, articles, and educational offerings are presented purely for educational and informational uses. Please be aware that past performance should not be considered a predictor of future results.
Strategia Pine Script®
od azullian
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GKD-BT Baseline Backtest [Loxx]The Giga Kaleidoscope GKD-BT Baseline Backtest is a backtesting module included in Loxx's "Giga Kaleidoscope Modularized Trading System." █ GKD-BT Baseline Backtest The GKD-BT Baseline Backtest allows traders to backtest the Regular and Stepped baselines used in the GKD trading system. This module includes 65+ moving averages and 15+ types of volatility to choose from. Additionally, this backtest module provides the option to test the GKD-B indicator with 1 to 3 take profits and 1 stop loss. The Trading backtest allows for the use of 1 to 3 take profits, while the Full backtest is limited to 1 take profit. The Trading backtest also offers the capability to apply a trailing take profit. In terms of the percentage of trade removed at each take profit, this backtest module has the following hardcoded values: Take profit 1: 50% of the trade is removed Take profit 2: 25% of the trade is removed Take profit 3: 25% of the trade is removed Stop loss: 100% of the trade is removed After each take profit is achieved, the stop loss level is adjusted. When take profit 1 is reached, the stop loss is moved to the entry point. Similarly, when take profit 2 is reached, the stop loss is shifted to take profit 1. The trailing take profit feature comes into play after take profit 2 or take profit 3, depending on the number of take profits selected in the settings. The trailing take profit is always activated on the final take profit when 2 or more take profits are chosen. The backtest also offers the capability to restrict by a specific date range, allowing for simulated forward testing based on past data. Additionally, users have the option to display or hide a trading panel that provides relevant information about the backtest, statistics, and the current trade. It is also possible to activate alerts and toggle sections of the trading panel on or off. On the chart, historical take profit and stop loss levels are represented by horizontal lines overlaid for reference. This backtest also includes an optional GKD-E Exit indicator that can be used to test early exits. The GKD system utilizes volatility-based take profits and stop losses. Each take profit and stop loss is calculated as a multiple of volatility. You can change the values of the multipliers in the settings as well. To utilize this strategy, follow these steps: 1. (Required) Import the value "Input into NEW GKD-BT Backtest" from the GKD-B Baseline indicator into the GKD-BT Baseline Backtest field "Import GKD-B Baseline" 2. (Optional) Import the value "Input into NEW GKD-BT Backtest" from the GKD-E Exit indicator into the GKD-BT Baseline Backtest field "Import GKD-E Exit". You can toggle the Exit on or off using the "Activate GKD-E Exit" option. Baselines that are compatible with this backtest module: GKD-B Baseline GKD-B Stepped Baseline Volatility Types Included 17 types of volatility are included in this indicator Close-to-Close Parkinson Garman-Klass Rogers-Satchell Yang-Zhang Garman-Klass-Yang-Zhang Exponential Weighted Moving Average Standard Deviation of Log Returns Pseudo GARCH(2,2) Average True Range True Range Double Standard Deviation Adaptive Deviation Median Absolute Deviation Efficiency-Ratio Adaptive ATR Mean Absolute Deviation Static Percent █ Giga Kaleidoscope Modularized Trading System Core components of an NNFX algorithmic trading strategy The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm: 1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc. 2. Baseline - a moving average to identify price trend 3. Confirmation 1 - a technical indicator used to identify trends 4. Confirmation 2 - a technical indicator used to identify trends 5. Continuation - a technical indicator used to identify trends 6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown 7. Exit - a technical indicator used to determine when a trend is exhausted 8. Metamorphosis - a technical indicator that produces a compound signal from the combination of other GKD indicators* *(not part of the NNFX algorithm) What is Volatility in the NNFX trading system? In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period. True range is calculated as the maximum of the following values: -Current high minus the current low -Absolute value of the current high minus the previous close -Absolute value of the current low minus the previous close ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses. Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass What is a Baseline indicator? The baseline is essentially a moving average, and is used to determine the overall direction of the market. The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR). Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail. By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend. What is a Confirmation indicator? Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI). The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend. Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the MACD Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators. In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades. What is a Continuation indicator? In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy. What is a Volatility/Volume indicator? Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa. By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements. What is an Exit indicator? The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy. The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, the Average Directional Index (ADX), and the Chandelier Exit. The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses. In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor. Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time. What is an Metamorphosis indicator? The concept of a metamorphosis indicator involves the integration of two or more GKD indicators to generate a compound signal. This is achieved by evaluating the accuracy of each indicator and selecting the signal from the indicator with the highest accuracy. As an illustration, let's consider a scenario where we calculate the accuracy of 10 indicators and choose the signal from the indicator that demonstrates the highest accuracy. The resulting output from the metamorphosis indicator can then be utilized in a GKD-BT backtest by occupying a slot that aligns with the purpose of the metamorphosis indicator. The slot can be a GKD-B, GKD-C, or GKD-E slot, depending on the specific requirements and objectives of the indicator. This allows for seamless integration and utilization of the compound signal within the GKD-BT framework. How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above? Loxx's GKD v2.0 system has five types of modules (indicators/strategies). These modules are: 1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm) 2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm) 3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm) 4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm) 5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm) 6. GKD-M - Metamorphosis module (Metamorphosis, Number 8 in the NNFX algorithm, but not part of the NNFX algorithm) (additional module types will added in future releases) Each module interacts with every module by passing data to A backtest module wherein the various components of the GKD system are combined to create a trading signal. That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy. This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm. What does the application of the GKD trading system look like? Example trading system: Backtest: GKD-BT Baseline Backtest as shown on the chart above Baseline: Hull Moving Average as shown on the chart above Volatility/Volume: Hurst Exponent Confirmation 1: Sherif's HiLo Confirmation 2: uf2018 Continuation: Coppock Curve Exit: Fisher Transform as shown on the chart above Metamorphosis: Baseline Optimizer Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, GKD-M, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD system. █ Giga Kaleidoscope Modularized Trading System Signals Standard Entry 1. GKD-C Confirmation gives signal 2. Baseline agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Confirmation 2 agrees 6. Volatility/Volume agrees 1-Candle Standard Entry 1a. GKD-C Confirmation gives signal 2a. Baseline agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum Next Candle 1b. Price retraced 2b. Baseline agrees 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Volatility/Volume agrees Baseline Entry 1. GKD-B Baseline gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Confirmation 2 agrees 6. Volatility/Volume agrees 7. Confirmation 1 signal was less than 'Maximum Allowable PSBC Bars Back' prior 1-Candle Baseline Entry 1a. GKD-B Baseline gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSBC Bars Back' prior Next Candle 1b. Price retraced 2b. Baseline agrees 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Volatility/Volume agrees Volatility/Volume Entry 1. GKD-V Volatility/Volume gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Confirmation 2 agrees 6. Baseline agrees 7. Confirmation 1 signal was less than 7 candles prior 1-Candle Volatility/Volume Entry 1a. GKD-V Volatility/Volume gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSVVC Bars Back' prior Next Candle 1b. Price retraced 2b. Volatility/Volume agrees 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Baseline agrees Confirmation 2 Entry 1. GKD-C Confirmation 2 gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Volatility/Volume agrees 6. Baseline agrees 7. Confirmation 1 signal was less than 7 candles prior 1-Candle Confirmation 2 Entry 1a. GKD-C Confirmation 2 gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSC2C Bars Back' prior Next Candle 1b. Price retraced 2b. Confirmation 2 agrees 3b. Confirmation 1 agrees 4b. Volatility/Volume agrees 5b. Baseline agrees PullBack Entry 1a. GKD-B Baseline gives signal 2a. Confirmation 1 agrees 3a. Price is beyond 1.0x Volatility of Baseline Next Candle 1b. Price inside Goldie Locks Zone Minimum 2b. Price inside Goldie Locks Zone Maximum 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Volatility/Volume agrees Continuation Entry 1. Standard Entry, 1-Candle Standard Entry, Baseline Entry, 1-Candle Baseline Entry, Volatility/Volume Entry, 1-Candle Volatility/Volume Entry, Confirmation 2 Entry, 1-Candle Confirmation 2 Entry, or Pullback entry triggered previously 2. Baseline hasn't crossed since entry signal trigger 4. Confirmation 1 agrees 5. Baseline agrees 6. Confirmation 2 agrees
Strategia Pine Script®
od loxx
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GKD-BT Giga Confirmation Stack Backtest [Loxx]Giga Kaleidoscope GKD-BT Giga Confirmation Stack Backtest is a Backtesting module included in Loxx's "Giga Kaleidoscope Modularized Trading System". █ GKD-BT Giga Confirmation Stack Backtest The Giga Confirmation Stack Backtest module allows users to perform backtesting on Long and Short signals from the confluence between GKD-C Confirmation 1 and GKD-C Confirmation 2 indicators. This module encompasses two types of backtests: Trading and Full. The Trading backtest permits users to evaluate individual trades, whether Long or Short, one at a time. Conversely, the Full backtest allows users to analyze either Longs or Shorts separately by toggling between them in the settings, enabling the examination of results for each signal type. The Trading backtest emulates actual trading conditions, while the Full backtest assesses all signals, regardless of being Long or Short. Additionally, this backtest module provides the option to test using indicators with 1 to 3 take profits and 1 stop loss. The Trading backtest allows for the use of 1 to 3 take profits, while the Full backtest is limited to 1 take profit. The Trading backtest also offers the capability to apply a trailing take profit. In terms of the percentage of trade removed at each take profit, this backtest module has the following hardcoded values: Take profit 1: 50% of the trade is removed. Take profit 2: 25% of the trade is removed. Take profit 3: 25% of the trade is removed. Stop loss: 100% of the trade is removed. After each take profit is achieved, the stop loss level is adjusted. When take profit 1 is reached, the stop loss is moved to the entry point. Similarly, when take profit 2 is reached, the stop loss is shifted to take profit 1. The trailing take profit feature comes into play after take profit 2 or take profit 3, depending on the number of take profits selected in the settings. The trailing take profit is always activated on the final take profit when 2 or more take profits are chosen. The backtest module also offers the capability to restrict by a specific date range, allowing for simulated forward testing based on past data. Additionally, users have the option to display or hide a trading panel that provides relevant information about the backtest, statistics, and the current trade. It is also possible to activate alerts and toggle sections of the trading panel on or off. On the chart, historical take profit and stop loss levels are represented by horizontal lines overlaid for reference. To utilize this strategy, follow these steps: 1. Adjust the "Confirmation Type" in the GKD-C Confirmation 1 Indicator to "GKD New." 2. GKD-C Confirmation 1 Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-C Confirmation 1 module into the GKD-BT Giga Confirmation Stack Backtest module setting named "Import GKD-C Confirmation 1." 3. Adjust the "Confirmation Type" in the GKD-C Confirmation 2 Indicator to "GKD New." 4. GKD-C Confirmation 2 Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-C Confirmation 2 module into the GKD-BT Giga Confirmation Stack Backtest module setting named "Import GKD-C Confirmation 2." █ Giga Confirmation Stack Backtest Entries Entries are generated from the confluence of a GKD-C Confirmation 1 and GKD-C Confirmation 2 indicators. The Confirmation 1 gives the signal and the Confirmation 2 indicator filters or "approves" the the Confirmation 1 signal. If Confirmation 1 gives a long signal and Confirmation 2 shows a downtrend, then the long signal is rejected. If Confirmation 1 gives a long signal and Confirmation 2 shows an uptrend, then the long signal is approved and sent to the backtest execution engine. █ Volatility Types Included The GKD system utilizes volatility-based take profits and stop losses. Each take profit and stop loss is calculated as a multiple of volatility. Users can also adjust the multiplier values in the settings. This module includes 17 types of volatility: Close-to-Close Parkinson Garman-Klass Rogers-Satchell Yang-Zhang Garman-Klass-Yang-Zhang Exponential Weighted Moving Average Standard Deviation of Log Returns Pseudo GARCH(2,2) Average True Range True Range Double Standard Deviation Adaptive Deviation Median Absolute Deviation Efficiency-Ratio Adaptive ATR Mean Absolute Deviation Static Percent Close-to-Close Close-to-Close volatility is a classic and widely used volatility measure, sometimes referred to as historical volatility. Volatility is an indicator of the speed of a stock price change. A stock with high volatility is one where the price changes rapidly and with a larger amplitude. The more volatile a stock is, the riskier it is. Close-to-close historical volatility is calculated using only a stock's closing prices. It is the simplest volatility estimator. However, in many cases, it is not precise enough. Stock prices could jump significantly during a trading session and return to the opening value at the end. That means that a considerable amount of price information is not taken into account by close-to-close volatility. Despite its drawbacks, Close-to-Close volatility is still useful in cases where the instrument doesn't have intraday prices. For example, mutual funds calculate their net asset values daily or weekly, and thus their prices are not suitable for more sophisticated volatility estimators. Parkinson Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day. The main difference between regular volatility and Parkinson volatility is that the latter uses high and low prices for a day, rather than only the closing price. This is useful as close-to-close prices could show little difference while large price movements could have occurred during the day. Thus, Parkinson's volatility is considered more precise and requires less data for calculation than close-to-close volatility. One drawback of this estimator is that it doesn't take into account price movements after the market closes. Hence, it systematically undervalues volatility. This drawback is addressed in the Garman-Klass volatility estimator. Garman-Klass Garman-Klass is a volatility estimator that incorporates open, low, high, and close prices of a security. Garman-Klass volatility extends Parkinson's volatility by taking into account the opening and closing prices. As markets are most active during the opening and closing of a trading session, it makes volatility estimation more accurate. Garman and Klass also assumed that the process of price change follows a continuous diffusion process (Geometric Brownian motion). However, this assumption has several drawbacks. The method is not robust for opening jumps in price and trend movements. Despite its drawbacks, the Garman-Klass estimator is still more effective than the basic formula since it takes into account not only the price at the beginning and end of the time interval but also intraday price extremes. Researchers Rogers and Satchell have proposed a more efficient method for assessing historical volatility that takes into account price trends. See Rogers-Satchell Volatility for more detail. Rogers-Satchell Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero. Unlike Parkinson and Garman-Klass estimators, Rogers-Satchell incorporates a drift term (mean return not equal to zero). As a result, it provides better volatility estimation when the underlying is trending. The main disadvantage of this method is that it does not take into account price movements between trading sessions. This leads to an underestimation of volatility since price jumps periodically occur in the market precisely at the moments between sessions. A more comprehensive estimator that also considers the gaps between sessions was developed based on the Rogers-Satchel formula in the 2000s by Yang-Zhang. See Yang Zhang Volatility for more detail. Yang-Zhang Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error. Yang-Zhang volatility can be thought of as a combination of the overnight (close-to-open volatility) and a weighted average of the Rogers-Satchell volatility and the day’s open-to-close volatility. It is considered to be 14 times more efficient than the close-to-close estimator. Garman-Klass-Yang-Zhang Garman-Klass-Yang-Zhang (GKYZ) volatility estimator incorporates the returns of open, high, low, and closing prices in its calculation. GKYZ volatility estimator takes into account overnight jumps but not the trend, i.e., it assumes that the underlying asset follows a Geometric Brownian Motion (GBM) process with zero drift. Therefore, the GKYZ volatility estimator tends to overestimate the volatility when the drift is different from zero. However, for a GBM process, this estimator is eight times more efficient than the close-to-close volatility estimator. Exponential Weighted Moving Average The Exponentially Weighted Moving Average (EWMA) is a quantitative or statistical measure used to model or describe a time series. The EWMA is widely used in finance, with the main applications being technical analysis and volatility modeling. The moving average is designed such that older observations are given lower weights. The weights decrease exponentially as the data point gets older – hence the name exponentially weighted. The only decision a user of the EWMA must make is the parameter lambda. The parameter decides how important the current observation is in the calculation of the EWMA. The higher the value of lambda, the more closely the EWMA tracks the original time series. Standard Deviation of Log Returns This is the simplest calculation of volatility. It's the standard deviation of ln(close/close(1)). Pseudo GARCH(2,2) This is calculated using a short- and long-run mean of variance multiplied by ?. ?avg(var;M) + (1 ? ?) avg(var;N) = 2?var/(M+1-(M-1)L) + 2(1-?)var/(M+1-(M-1)L) Solving for ? can be done by minimizing the mean squared error of estimation; that is, regressing L^-1var - avg(var; N) against avg(var; M) - avg(var; N) and using the resulting beta estimate as ?. 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. True Range Double A special case of ATR that attempts to correct for volatility skew. 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 ? 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. Additionally, 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 the standard is significant--not just because of EMA usage, but the efficiency ratio makes it a "bit more logical" in very volatile market conditions. 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. Efficiency-Ratio Adaptive ATR Average True Range (ATR) is a widely used indicator for many occasions in technical analysis. It is calculated as the RMA of the true range. This version adds a "twist": it uses Perry Kaufman's Efficiency Ratio to calculate adaptive true range. 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. Static Percent Static Percent allows the user to insert their own constant percent that will then be used to create take profits and stoploss █ Giga Kaleidoscope Modularized Trading System Core components of an NNFX algorithmic trading strategy The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm: 1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc. 2. Baseline - a moving average to identify price trend 3. Confirmation 1 - a technical indicator used to identify trends 4. Confirmation 2 - a technical indicator used to identify trends 5. Continuation - a technical indicator used to identify trends 6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown 7. Exit - a technical indicator used to determine when a trend is exhausted What is Volatility in the NNFX trading system? In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period. True range is calculated as the maximum of the following values: -Current high minus the current low -Absolute value of the current high minus the previous close -Absolute value of the current low minus the previous close ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses. Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass What is a Baseline indicator? The baseline is essentially a moving average, and is used to determine the overall direction of the market. The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR). Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail. By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend. What is a Confirmation indicator? Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI). The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend. Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the MACD Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators. In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades. What is a Continuation indicator? In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy. What is a Volatility/Volume indicator? Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa. By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements. What is an Exit indicator? The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy. The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, the Average Directional Index (ADX), and the Chandelier Exit. The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses. In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor. Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time. How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above? Loxx's GKD v2.0 system has five types of modules (indicators/strategies). These modules are: 1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm) 2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm) 3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm) 4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm) 5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm) (additional module types will added in future releases) Each module interacts with every module by passing data to A backtest module wherein the various components of the GKD system are combined to create a trading signal. That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy. This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm. What does the application of the GKD trading system look like? Example trading system: Backtest: Confiramtion Stack Backtest Baseline: Hull Moving Average Volatility/Volume: Hurst Exponent Confirmation 1: Fisher Transform as shown on the chart above Confirmation 2: uf2018 as shown on the chart above Continuation: Vortex Exit: Rex Oscillator Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD system.
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GKD-BT Giga Stacks Backtest [Loxx]Giga Kaleidoscope GKD-BT Giga Stacks Backtest is a Backtesting module included in Loxx's "Giga Kaleidoscope Modularized Trading System". █ GKD-BT Giga Stacks Backtest The Giga Stacks Backtest module allows users to perform backtesting on Long and Short signals from the confluence of GKD-B Baseline, GKD-C Confirmation, and GKD-V Volatility/Volume indicators. This module encompasses two types of backtests: Trading and Full. The Trading backtest permits users to evaluate individual trades, whether Long or Short, one at a time. Conversely, the Full backtest allows users to analyze either Longs or Shorts separately by toggling between them in the settings, enabling the examination of results for each signal type. The Trading backtest emulates actual trading conditions, while the Full backtest assesses all signals, regardless of being Long or Short. Additionally, this backtest module provides the option to test using indicators with 1 to 3 take profits and 1 stop loss. The Trading backtest allows for the use of 1 to 3 take profits, while the Full backtest is limited to 1 take profit. The Trading backtest also offers the capability to apply a trailing take profit. In terms of the percentage of trade removed at each take profit, this backtest module has the following hardcoded values: Take profit 1: 50% of the trade is removed. Take profit 2: 25% of the trade is removed. Take profit 3: 25% of the trade is removed. Stop loss: 100% of the trade is removed. After each take profit is achieved, the stop loss level is adjusted. When take profit 1 is reached, the stop loss is moved to the entry point. Similarly, when take profit 2 is reached, the stop loss is shifted to take profit 1. The trailing take profit feature comes into play after take profit 2 or take profit 3, depending on the number of take profits selected in the settings. The trailing take profit is always activated on the final take profit when 2 or more take profits are chosen. The backtest module also offers the capability to restrict by a specific date range, allowing for simulated forward testing based on past data. Additionally, users have the option to display or hide a trading panel that provides relevant information about the backtest, statistics, and the current trade. It is also possible to activate alerts and toggle sections of the trading panel on or off. On the chart, historical take profit and stop loss levels are represented by horizontal lines overlaid for reference. To utilize this strategy, follow these steps (where "Stack XX" denotes the number of the Stack): GKD-B Baseline Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-B Baseline module into the GKD-BT Giga Stacks Backtest module setting named "Stack XX: Import GKD-C, GKD-B, or GKD-V." GKD-V Volatility/Volume Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-V Volatility/Volume module into the GKD-BT Giga Stacks Backtest module setting named "Stack XX: Import GKD-C, GKD-B, or GKD-V." GKD-C Confirmation Import: 1) Adjust the "Confirmation Type" in the GKD-C Confirmation Indicator to "GKD New."; 2) Import the value "Input into NEW GKD-BT Backtest" from the GKD-C Confirmation module into the GKD-BT Giga Stacks Backtest module setting named "Stack XX: Import GKD-C, GKD-B, or GKD." █ Giga Stacks Backtest Entries Entries are generated form the confluence of up to six GKD-B Baseline, GKD-C Confirmation, and GKD-V Volatility/Volume indicators. Signals are generated when all Stacks reach uptrend or downtrend together. Here's how this works. Assume we have the following Stacks and their respective trend on the current candle: Stack 1 indicator is in uptreend Stack 2 indicator is in downtrend Stack 3 indicator is in uptreend Stack 4 indicator is in uptreend All stacks are in uptrend except for Stack 2. If Stack 2 reaches uptrend while Stacks 1, 3, and 4 stay in uptrend, then a long signal is generated. The last Stack to align with all other Stacks will generate a long or short signal. █ Volatility Types Included The GKD system utilizes volatility-based take profits and stop losses. Each take profit and stop loss is calculated as a multiple of volatility. Users can also adjust the multiplier values in the settings. This module includes 17 types of volatility: Close-to-Close Parkinson Garman-Klass Rogers-Satchell Yang-Zhang Garman-Klass-Yang-Zhang Exponential Weighted Moving Average Standard Deviation of Log Returns Pseudo GARCH(2,2) Average True Range True Range Double Standard Deviation Adaptive Deviation Median Absolute Deviation Efficiency-Ratio Adaptive ATR Mean Absolute Deviation Static Percent Close-to-Close Close-to-Close volatility is a classic and widely used volatility measure, sometimes referred to as historical volatility. Volatility is an indicator of the speed of a stock price change. A stock with high volatility is one where the price changes rapidly and with a larger amplitude. The more volatile a stock is, the riskier it is. Close-to-close historical volatility is calculated using only a stock's closing prices. It is the simplest volatility estimator. However, in many cases, it is not precise enough. Stock prices could jump significantly during a trading session and return to the opening value at the end. That means that a considerable amount of price information is not taken into account by close-to-close volatility. Despite its drawbacks, Close-to-Close volatility is still useful in cases where the instrument doesn't have intraday prices. For example, mutual funds calculate their net asset values daily or weekly, and thus their prices are not suitable for more sophisticated volatility estimators. Parkinson Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day. The main difference between regular volatility and Parkinson volatility is that the latter uses high and low prices for a day, rather than only the closing price. This is useful as close-to-close prices could show little difference while large price movements could have occurred during the day. Thus, Parkinson's volatility is considered more precise and requires less data for calculation than close-to-close volatility. One drawback of this estimator is that it doesn't take into account price movements after the market closes. Hence, it systematically undervalues volatility. This drawback is addressed in the Garman-Klass volatility estimator. Garman-Klass Garman-Klass is a volatility estimator that incorporates open, low, high, and close prices of a security. Garman-Klass volatility extends Parkinson's volatility by taking into account the opening and closing prices. As markets are most active during the opening and closing of a trading session, it makes volatility estimation more accurate. Garman and Klass also assumed that the process of price change follows a continuous diffusion process (Geometric Brownian motion). However, this assumption has several drawbacks. The method is not robust for opening jumps in price and trend movements. Despite its drawbacks, the Garman-Klass estimator is still more effective than the basic formula since it takes into account not only the price at the beginning and end of the time interval but also intraday price extremes. Researchers Rogers and Satchell have proposed a more efficient method for assessing historical volatility that takes into account price trends. See Rogers-Satchell Volatility for more detail. Rogers-Satchell Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero. Unlike Parkinson and Garman-Klass estimators, Rogers-Satchell incorporates a drift term (mean return not equal to zero). As a result, it provides better volatility estimation when the underlying is trending. The main disadvantage of this method is that it does not take into account price movements between trading sessions. This leads to an underestimation of volatility since price jumps periodically occur in the market precisely at the moments between sessions. A more comprehensive estimator that also considers the gaps between sessions was developed based on the Rogers-Satchel formula in the 2000s by Yang-Zhang. See Yang Zhang Volatility for more detail. Yang-Zhang Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error. Yang-Zhang volatility can be thought of as a combination of the overnight (close-to-open volatility) and a weighted average of the Rogers-Satchell volatility and the day’s open-to-close volatility. It is considered to be 14 times more efficient than the close-to-close estimator. Garman-Klass-Yang-Zhang Garman-Klass-Yang-Zhang (GKYZ) volatility estimator incorporates the returns of open, high, low, and closing prices in its calculation. GKYZ volatility estimator takes into account overnight jumps but not the trend, i.e., it assumes that the underlying asset follows a Geometric Brownian Motion (GBM) process with zero drift. Therefore, the GKYZ volatility estimator tends to overestimate the volatility when the drift is different from zero. However, for a GBM process, this estimator is eight times more efficient than the close-to-close volatility estimator. Exponential Weighted Moving Average The Exponentially Weighted Moving Average (EWMA) is a quantitative or statistical measure used to model or describe a time series. The EWMA is widely used in finance, with the main applications being technical analysis and volatility modeling. The moving average is designed such that older observations are given lower weights. The weights decrease exponentially as the data point gets older – hence the name exponentially weighted. The only decision a user of the EWMA must make is the parameter lambda. The parameter decides how important the current observation is in the calculation of the EWMA. The higher the value of lambda, the more closely the EWMA tracks the original time series. Standard Deviation of Log Returns This is the simplest calculation of volatility. It's the standard deviation of ln(close/close(1)). Pseudo GARCH(2,2) This is calculated using a short- and long-run mean of variance multiplied by ?. ?avg(var;M) + (1 ? ?) avg(var;N) = 2?var/(M+1-(M-1)L) + 2(1-?)var/(M+1-(M-1)L) Solving for ? can be done by minimizing the mean squared error of estimation; that is, regressing L^-1var - avg(var; N) against avg(var; M) - avg(var; N) and using the resulting beta estimate as ?. 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. True Range Double A special case of ATR that attempts to correct for volatility skew. 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 ? 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. Additionally, 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 the standard is significant--not just because of EMA usage, but the efficiency ratio makes it a "bit more logical" in very volatile market conditions. 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. Efficiency-Ratio Adaptive ATR Average True Range (ATR) is a widely used indicator for many occasions in technical analysis. It is calculated as the RMA of the true range. This version adds a "twist": it uses Perry Kaufman's Efficiency Ratio to calculate adaptive true range. 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. Static Percent Static Percent allows the user to insert their own constant percent that will then be used to create take profits and stoploss █ Giga Kaleidoscope Modularized Trading System Core components of an NNFX algorithmic trading strategy The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm: 1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc. 2. Baseline - a moving average to identify price trend 3. Confirmation 1 - a technical indicator used to identify trends 4. Confirmation 2 - a technical indicator used to identify trends 5. Continuation - a technical indicator used to identify trends 6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown 7. Exit - a technical indicator used to determine when a trend is exhausted What is Volatility in the NNFX trading system? In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period. True range is calculated as the maximum of the following values: -Current high minus the current low -Absolute value of the current high minus the previous close -Absolute value of the current low minus the previous close ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses. Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass What is a Baseline indicator? The baseline is essentially a moving average, and is used to determine the overall direction of the market. The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR). Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail. By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend. What is a Confirmation indicator? Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI). The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend. Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the MACD Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators. In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades. What is a Continuation indicator? In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy. What is a Volatility/Volume indicator? Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa. By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements. What is an Exit indicator? The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy. The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, the Average Directional Index (ADX), and the Chandelier Exit. The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses. In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor. Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time. How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above? Loxx's GKD v2.0 system has five types of modules (indicators/strategies). These modules are: 1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm) 2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm) 3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm) 4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm) 5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm) (additional module types will added in future releases) Each module interacts with every module by passing data to A backtest module wherein the various components of the GKD system are combined to create a trading signal. That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy. This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm. What does the application of the GKD trading system look like? Example trading system: Backtest: Stacks Backtest Baseline: Hull Moving Average Volatility/Volume: Hurst Exponent Confirmation 1: Vorext Confirmation 2: Coppock Curve Continuation: Fisher Transform Exit: Rex Oscillator Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD system.
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GKD-BT Solo Confirmation Super Complex Backtest [Loxx]Giga Kaleidoscope GKD-BT Solo Confirmation Super Complex Backtest is a Backtesting module included in Loxx's "Giga Kaleidoscope Modularized Trading System". █ GKD-BT Solo Confirmation Super Complex Backtest The Solo Confirmation Super Complex Backtest module allows users to perform backtesting on Full GKD Long and Short signals using GKD-C confirmation indicators. These signals are further refined by GKD-B Baseline and GKD-V Volatility/Volume indicators and augmented by an additional GKD-C Confirmation indicator acting as a Continuation indicator. This module serves as a comprehensive tool that falls just below a Full GKD trading system. The key difference is that the GKD-BT Solo Confirmation Super Complex utilizes a single GKD-C Confirmation indicator, while the Full GKD system employs two GKD-C Confirmation indicators. Both the Solo Confirmation Super Complex and the Full GKD systems incorporate an extra GKD-C Confirmation indicator to identify Continuation signals, which provide both longs and shorts on developing trends following an initial trend change. This module encompasses two types of backtests: Trading and Full. The Trading backtest permits users to evaluate individual trades, whether Long or Short, one at a time. Conversely, the Full backtest allows users to analyze either Longs or Shorts separately by toggling between them in the settings, enabling the examination of results for each signal type. The Trading backtest emulates actual trading conditions, while the Full backtest assesses all signals, regardless of being Long or Short. Additionally, this backtest module provides the option to test the core GKD-C Confirmation and GKD-C Continuation indicators with 1 to 3 take profits and 1 stop loss. The Trading backtest allows for the use of 1 to 3 take profits, while the Full backtest is limited to 1 take profit. The Trading backtest also offers the capability to apply a trailing take profit. In terms of the percentage of trade removed at each take profit, this backtest module has the following hardcoded values: Take profit 1: 50% of the trade is removed. Take profit 2: 25% of the trade is removed. Take profit 3: 25% of the trade is removed. Stop loss: 100% of the trade is removed. After each take profit is achieved, the stop loss level is adjusted. When take profit 1 is reached, the stop loss is moved to the entry point. Similarly, when take profit 2 is reached, the stop loss is shifted to take profit 1. The trailing take profit feature comes into play after take profit 2 or take profit 3, depending on the number of take profits selected in the settings. The trailing take profit is always activated on the final take profit when 2 or more take profits are chosen. The backtest module also offers the capability to restrict by a specific date range, allowing for simulated forward testing based on past data. Additionally, users have the option to display or hide a trading panel that provides relevant information about the backtest, statistics, and the current trade. It is also possible to activate alerts and toggle sections of the trading panel on or off. On the chart, historical take profit and stop loss levels are represented by horizontal lines overlaid for reference. To utilize this strategy, follow these steps: 1. GKD-B Baseline Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-B Baseline module into the GKD-BT Solo Confirmation Super Complex Backtest module setting named "Import GKD-B Baseline." 2. GKD-V Volatility/Volume Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-V Volatility/Volume module into the GKD-BT Solo Confirmation Super Complex Backtest module setting named "Import GKD-V Volatility/Volume." 3. Adjust the "Confirmation Type" in the GKD-C Confirmation Indicator to "GKD New." 4. GKD-C Confirmation Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-C Confirmation module into the GKD-BT Solo Confirmation Super Complex Backtest module setting named "Import GKD-C Confirmation." 5. Adjust the "Confirmation Type" in the GKD-C Continuation Indicator to "GKD New." 6. GKD-C Continuation Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-C Continuation module into the GKD-BT Solo Confirmation Super Complex Backtest module setting named "Import GKD-C Continuation." The GKD system utilizes volatility-based take profits and stop losses. Each take profit and stop loss is calculated as a multiple of volatility. Users can also adjust the multiplier values in the settings. In a future update, the option to include a GKD-E Exit indicator will be added to this module to complete a full trading strategy. █ Solo Confirmation Super Complex Backtest Entries Within this module, there are eight distinct types of entries available, which are outlined below: Standard Entry 1-Candle Standard Entry Baseline Entry 1-Candle Baseline Entry Volatility/Volume Entry 1-Candle Volatility/Volume Entry PullBack Entry Continuation Entry Each of these entry types can generate either long or short signals, resulting in a total of 16 signal variations. The user has the flexibility to enable or disable specific entry types and choose which qualifying rules within each entry type are applied to price to determine the final long or short signal. You'll notice that these signals are different form the core GKD signals mentioned towards the end of this description. Signals from the GKD-BT Solo Confirmation Super Complex Backtest are modifided to add additional qualifications to make your finalized trading strategy more dynamic and robust. The following section provides an overview of the various entry types and their corresponding qualifying rules: Standard Entry 1. GKD-C Confirmation gives signal 2. Baseline agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Volatility/Volume agrees 1-Candle Standard Entry 1a. GKD-C Confirmation gives signal 2a. Baseline agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum Next Candle: 1b. Price retraced 2b. Baseline agrees 3b. Confirmation 1 agrees 4b. Volatility/Volume agrees Baseline Entry 1. GKD-B Basline gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Volatility/Volume agrees 6. Confirmation 1 signal was less than 'Maximum Allowable PSBC Bars Back' prior 1-Candle Baseline Entry 1a. GKD-B Basline gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSBC Bars Back' prior Next Candle: 1b. Price retraced 2b. Baseline agrees 3b. Confirmation 1 agrees 4b. Volatility/Volume agrees Volatility/Volume Entry 1. GKD-V Volatility/Volume gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Baseline agrees 6. Confirmation 1 signal was less than 7 candles prior 1-Candle Volatility/Volume Entry 1a. GKD-V Volatility/Volume gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSVVC Bars Back' prior Next Candle: 1b. Price retraced 2b. Volatility/Volume agrees 3b. Confirmation 1 agrees 4b. Baseline agrees PullBack Entry 1a. GKD-B Baseline gives signal 2a. Confirmation 1 agrees 3a. Price is beyond 1.0x Volatility of Baseline Next Candle: 1b. Price inside Goldie Locks Zone Minimum 2b. Price inside Goldie Locks Zone Maximum 3b. Confirmation 1 agrees 4b. Volatility/Volume agrees Continuation Entry 1. Standard Entry, 1-Candle Standard Entry, Baseline Entry, 1-Candle Baseline Entry, Volatility/Volume Entry, 1-Candle Volatility/Volume Entry, or Pullback entry triggered previously 2. Baseline hasn't crossed since entry signal trigger 4. Confirmation 1 agrees 5. Baseline agrees █ Volatility Types Included This module includes 17 types of volatility: Close-to-Close Parkinson Garman-Klass Rogers-Satchell Yang-Zhang Garman-Klass-Yang-Zhang Exponential Weighted Moving Average Standard Deviation of Log Returns Pseudo GARCH(2,2) Average True Range True Range Double Standard Deviation Adaptive Deviation Median Absolute Deviation Efficiency-Ratio Adaptive ATR Mean Absolute Deviation Static Percent Close-to-Close Close-to-Close volatility is a classic and widely used volatility measure, sometimes referred to as historical volatility. Volatility is an indicator of the speed of a stock price change. A stock with high volatility is one where the price changes rapidly and with a larger amplitude. The more volatile a stock is, the riskier it is. Close-to-close historical volatility is calculated using only a stock's closing prices. It is the simplest volatility estimator. However, in many cases, it is not precise enough. Stock prices could jump significantly during a trading session and return to the opening value at the end. That means that a considerable amount of price information is not taken into account by close-to-close volatility. Despite its drawbacks, Close-to-Close volatility is still useful in cases where the instrument doesn't have intraday prices. For example, mutual funds calculate their net asset values daily or weekly, and thus their prices are not suitable for more sophisticated volatility estimators. Parkinson Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day. The main difference between regular volatility and Parkinson volatility is that the latter uses high and low prices for a day, rather than only the closing price. This is useful as close-to-close prices could show little difference while large price movements could have occurred during the day. Thus, Parkinson's volatility is considered more precise and requires less data for calculation than close-to-close volatility. One drawback of this estimator is that it doesn't take into account price movements after the market closes. Hence, it systematically undervalues volatility. This drawback is addressed in the Garman-Klass volatility estimator. Garman-Klass Garman-Klass is a volatility estimator that incorporates open, low, high, and close prices of a security. Garman-Klass volatility extends Parkinson's volatility by taking into account the opening and closing prices. As markets are most active during the opening and closing of a trading session, it makes volatility estimation more accurate. Garman and Klass also assumed that the process of price change follows a continuous diffusion process (Geometric Brownian motion). However, this assumption has several drawbacks. The method is not robust for opening jumps in price and trend movements. Despite its drawbacks, the Garman-Klass estimator is still more effective than the basic formula since it takes into account not only the price at the beginning and end of the time interval but also intraday price extremes. Researchers Rogers and Satchell have proposed a more efficient method for assessing historical volatility that takes into account price trends. See Rogers-Satchell Volatility for more detail. Rogers-Satchell Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero. Unlike Parkinson and Garman-Klass estimators, Rogers-Satchell incorporates a drift term (mean return not equal to zero). As a result, it provides better volatility estimation when the underlying is trending. The main disadvantage of this method is that it does not take into account price movements between trading sessions. This leads to an underestimation of volatility since price jumps periodically occur in the market precisely at the moments between sessions. A more comprehensive estimator that also considers the gaps between sessions was developed based on the Rogers-Satchel formula in the 2000s by Yang-Zhang. See Yang Zhang Volatility for more detail. Yang-Zhang Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error. Yang-Zhang volatility can be thought of as a combination of the overnight (close-to-open volatility) and a weighted average of the Rogers-Satchell volatility and the day’s open-to-close volatility. It is considered to be 14 times more efficient than the close-to-close estimator. Garman-Klass-Yang-Zhang Garman-Klass-Yang-Zhang (GKYZ) volatility estimator incorporates the returns of open, high, low, and closing prices in its calculation. GKYZ volatility estimator takes into account overnight jumps but not the trend, i.e., it assumes that the underlying asset follows a Geometric Brownian Motion (GBM) process with zero drift. Therefore, the GKYZ volatility estimator tends to overestimate the volatility when the drift is different from zero. However, for a GBM process, this estimator is eight times more efficient than the close-to-close volatility estimator. Exponential Weighted Moving Average The Exponentially Weighted Moving Average (EWMA) is a quantitative or statistical measure used to model or describe a time series. The EWMA is widely used in finance, with the main applications being technical analysis and volatility modeling. The moving average is designed such that older observations are given lower weights. The weights decrease exponentially as the data point gets older – hence the name exponentially weighted. The only decision a user of the EWMA must make is the parameter lambda. The parameter decides how important the current observation is in the calculation of the EWMA. The higher the value of lambda, the more closely the EWMA tracks the original time series. Standard Deviation of Log Returns This is the simplest calculation of volatility. It's the standard deviation of ln(close/close(1)). Pseudo GARCH(2,2) This is calculated using a short- and long-run mean of variance multiplied by ?. ?avg(var;M) + (1 ? ?) avg(var;N) = 2?var/(M+1-(M-1)L) + 2(1-?)var/(M+1-(M-1)L) Solving for ? can be done by minimizing the mean squared error of estimation; that is, regressing L^-1var - avg(var; N) against avg(var; M) - avg(var; N) and using the resulting beta estimate as ?. 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. True Range Double A special case of ATR that attempts to correct for volatility skew. 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 ? 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. Additionally, 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 the standard is significant--not just because of EMA usage, but the efficiency ratio makes it a "bit more logical" in very volatile market conditions. 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. Efficiency-Ratio Adaptive ATR Average True Range (ATR) is a widely used indicator for many occasions in technical analysis. It is calculated as the RMA of the true range. This version adds a "twist": it uses Perry Kaufman's Efficiency Ratio to calculate adaptive true range. 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. Static Percent Static Percent allows the user to insert their own constant percent that will then be used to create take profits and stoploss █ Giga Kaleidoscope Modularized Trading System Core components of an NNFX algorithmic trading strategy The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm: 1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc. 2. Baseline - a moving average to identify price trend 3. Confirmation 1 - a technical indicator used to identify trends 4. Confirmation 2 - a technical indicator used to identify trends 5. Continuation - a technical indicator used to identify trends 6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown 7. Exit - a technical indicator used to determine when a trend is exhausted What is Volatility in the NNFX trading system? In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period. True range is calculated as the maximum of the following values: -Current high minus the current low -Absolute value of the current high minus the previous close -Absolute value of the current low minus the previous close ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses. Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass What is a Baseline indicator? The baseline is essentially a moving average, and is used to determine the overall direction of the market. The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR). Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail. By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend. What is a Confirmation indicator? Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI). The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend. Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the MACD Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators. In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades. What is a Continuation indicator? In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy. What is a Volatility/Volume indicator? Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa. By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements. What is an Exit indicator? The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy. The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, the Average Directional Index (ADX), and the Chandelier Exit. The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses. In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor. Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time. How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above? Loxx's GKD v2.0 system has five types of modules (indicators/strategies). These modules are: 1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm) 2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm) 3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm) 4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm) 5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm) (additional module types will added in future releases) Each module interacts with every module by passing data to A backtest module wherein the various components of the GKD system are combined to create a trading signal. That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy. This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm. What does the application of the GKD trading system look like? Example trading system: Backtest: Solo Confirmation Complex Backtest as shown on the chart above Baseline: Hull Moving Average as shown on the chart above Volatility/Volume: Hurst Exponent as shown on the chart above Confirmation 1: Fisher Trasnform as shown on the chart above Confirmation 2: Williams Percent Range Continuation: Vortex as shown on the chart above Exit: Rex Oscillator Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD system. Giga Kaleidoscope Modularized Trading System Signals (based on the NNFX algorithm) Standard Entry 1. GKD-C Confirmation 1 Signal 2. GKD-B Baseline agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees Baseline Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees 6. GKD-C Confirmation 1 signal was less than 7 candles prior Volatility/Volume Entry 1. GKD-V Volatility/Volume signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-B Baseline agrees 6. GKD-C Confirmation 1 signal was less than 7 candles prior Continuation Entry 1. Standard Entry, Baseline Entry, or Pullback; entry triggered previously 2. GKD-B Baseline hasn't crossed since entry signal trigger 3. GKD-C Confirmation Continuation Indicator signals 4. GKD-C Confirmation 1 agrees 5. GKD-B Baseline agrees 6. GKD-C Confirmation 2 agrees 1-Candle Rule Standard Entry 1. GKD-C Confirmation 1 signal 2. GKD-B Baseline agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean Next Candle: 1. Price retraced (Long: close < close or Short: close > close ) 2. GKD-B Baseline agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees 1-Candle Rule Baseline Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 1 signal was less than 7 candles prior Next Candle: 1. Price retraced (Long: close < close or Short: close > close ) 2. GKD-B Baseline agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume Agrees 1-Candle Rule Volatility/Volume Entry 1. GKD-V Volatility/Volume signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 1 signal was less than 7 candles prior Next Candle: 1. Price retraced (Long: close < close or Short: close > close) 2. GKD-B Volatility/Volume agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-B Baseline agrees PullBack Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is beyond 1.0x Volatility of Baseline Next Candle: 1. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 2. GKD-C Confirmation 1 agrees 3. GKD-C Confirmation 2 agrees 4. GKD-V Volatility/Volume Agrees
Strategia Pine Script®
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GKD-BT Solo Confirmation Complex Backtest [Loxx]Giga Kaleidoscope GKD-BT Solo Confirmation Complex Backtest is a Backtesting module included in Loxx's "Giga Kaleidoscope Modularized Trading System". █ GKD-BT Solo Confirmation Complex Backtest The Solo Confirmation Complex Backtest module enables users to perform backtesting on Standard Long and Short signals from GKD-C confirmation indicators, filtered by GKD-B Baseline and GKD-V Volatility/Volume indicators. This module represents a complex form of the Solo Confirmation Backtest in the GKD trading system. It includes two types of backtests: Trading and Full. The Trading backtest allows users to test individual trades, both Long and Short, one at a time. On the other hand, the Full backtest allows users to test either Longs or Shorts by toggling between them in the settings to view the results for each signal type. The Trading backtest simulates real trading, while the Full backtest tests all signals, whether Long or Short. Additionally, this backtest module provides the option to test the GKD-C Confirmation indicator with 1 to 3 take profits and 1 stop loss. The Trading backtest allows for the use of 1 to 3 take profits, while the Full backtest is limited to 1 take profit. The Trading backtest also offers the capability to apply a trailing take profit. In terms of the percentage of trade removed at each take profit, this backtest module has the following hardcoded values: Take profit 1: 50% of the trade is removed. Take profit 2: 25% of the trade is removed. Take profit 3: 25% of the trade is removed. Stop loss: 100% of the trade is removed. After each take profit is achieved, the stop loss level is adjusted. When take profit 1 is reached, the stop loss is moved to the entry point. Similarly, when take profit 2 is reached, the stop loss is shifted to take profit 1. The trailing take profit feature comes into play after take profit 2 or take profit 3, depending on the number of take profits selected in the settings. The trailing take profit is always activated on the final take profit when 2 or more take profits are chosen. The backtest module also offers the capability to restrict by a specific date range, allowing for simulated forward testing based on past data. Additionally, users have the option to display or hide a trading panel that provides relevant information about the backtest, statistics, and the current trade. It is also possible to activate alerts and toggle sections of the trading panel on or off. On the chart, historical take profit and stop loss levels are represented by horizontal lines overlaid for reference. The GKD system utilizes volatility-based take profits and stop losses. Each take profit and stop loss is calculated as a multiple of volatility. Users can also adjust the multiplier values in the settings. To utilize this strategy, follow these steps: 1. GKD-B Baseline Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-B Baseline module into the GKD-BT Solo Confirmation Complex Backtest module setting named "Import GKD-B Baseline indicator." Adjust the "Confirmation Type" in the GKD-C Confirmation Indicator to "GKD New." 2. GKD-C Confirmation Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-C Confirmation module into the GKD-BT Solo Confirmation Complex Backtest module setting named "Import GKD-C Confirmation indicator." 3. GKD-V Volatility/Volume Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-V Volatility/Volume module into the GKD-BT Solo Confirmation Complex Backtest module setting named "Import GKD-V Volatility/Volume indicator." 4. The Solo Confirmation Complex Backtest module exclusively supports Standard Entries, both Long and Short. However, please note that this module uses a modified version of the Standard Entry. In this modified version, long and short signals are directly imported from the Confirmation indicator, and then baseline and volatility filtering is applied. The GKD-B Baseline filter ensures that only trades aligning with the GKD-B Baseline's current trend are accepted. This filter takes into consideration the Goldie Locks Zone, which allows trades where the closing price of the last candle has moved within a minimum XX volatility and a maximum YY volatility range. The GKD-V Volatility/Volume filter allows only trades that meet a minimum threshold of ZZ GKD-V Volatility/Volume, which varies based on the specific GKD-V Volatility/Volume indicator used. The Solo Confirmation Complex Backtest execution engine determines whether signals from the GKD-C Confirmation indicator are accepted or rejected based on two criteria: 1. The GKD-C Confirmation signal must be qualified by the direction of the GKD-B Baseline trend and the GKD-B Baseline's sweet-spot Goldie Locks Zone. 2. Sufficient Volatility/Volume, as indicated by the GKD-V Volatility/Volume indicator, must be present to execute a trade. The purpose of the Solo Confirmation Complex Backtest is to test a GKD-C Confirmation indicator in the presence of macro trend and volatility/volume filtering. Volatility Types Included 17 types of volatility are included in this indicator Close-to-Close Parkinson Garman-Klass Rogers-Satchell Yang-Zhang Garman-Klass-Yang-Zhang Exponential Weighted Moving Average Standard Deviation of Log Returns Pseudo GARCH(2,2) Average True Range True Range Double Standard Deviation Adaptive Deviation Median Absolute Deviation Efficiency-Ratio Adaptive ATR Mean Absolute Deviation Static Percent Close-to-Close Close-to-Close volatility is a classic and widely used volatility measure, sometimes referred to as historical volatility. Volatility is an indicator of the speed of a stock price change. A stock with high volatility is one where the price changes rapidly and with a larger amplitude. The more volatile a stock is, the riskier it is. Close-to-close historical volatility is calculated using only a stock's closing prices. It is the simplest volatility estimator. However, in many cases, it is not precise enough. Stock prices could jump significantly during a trading session and return to the opening value at the end. That means that a considerable amount of price information is not taken into account by close-to-close volatility. Despite its drawbacks, Close-to-Close volatility is still useful in cases where the instrument doesn't have intraday prices. For example, mutual funds calculate their net asset values daily or weekly, and thus their prices are not suitable for more sophisticated volatility estimators. Parkinson Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day. The main difference between regular volatility and Parkinson volatility is that the latter uses high and low prices for a day, rather than only the closing price. This is useful as close-to-close prices could show little difference while large price movements could have occurred during the day. Thus, Parkinson's volatility is considered more precise and requires less data for calculation than close-to-close volatility. One drawback of this estimator is that it doesn't take into account price movements after the market closes. Hence, it systematically undervalues volatility. This drawback is addressed in the Garman-Klass volatility estimator. Garman-Klass Garman-Klass is a volatility estimator that incorporates open, low, high, and close prices of a security. Garman-Klass volatility extends Parkinson's volatility by taking into account the opening and closing prices. As markets are most active during the opening and closing of a trading session, it makes volatility estimation more accurate. Garman and Klass also assumed that the process of price change follows a continuous diffusion process (Geometric Brownian motion). However, this assumption has several drawbacks. The method is not robust for opening jumps in price and trend movements. Despite its drawbacks, the Garman-Klass estimator is still more effective than the basic formula since it takes into account not only the price at the beginning and end of the time interval but also intraday price extremes. Researchers Rogers and Satchell have proposed a more efficient method for assessing historical volatility that takes into account price trends. See Rogers-Satchell Volatility for more detail. Rogers-Satchell Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero. Unlike Parkinson and Garman-Klass estimators, Rogers-Satchell incorporates a drift term (mean return not equal to zero). As a result, it provides better volatility estimation when the underlying is trending. The main disadvantage of this method is that it does not take into account price movements between trading sessions. This leads to an underestimation of volatility since price jumps periodically occur in the market precisely at the moments between sessions. A more comprehensive estimator that also considers the gaps between sessions was developed based on the Rogers-Satchel formula in the 2000s by Yang-Zhang. See Yang Zhang Volatility for more detail. Yang-Zhang Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error. Yang-Zhang volatility can be thought of as a combination of the overnight (close-to-open volatility) and a weighted average of the Rogers-Satchell volatility and the day’s open-to-close volatility. It is considered to be 14 times more efficient than the close-to-close estimator. Garman-Klass-Yang-Zhang Garman-Klass-Yang-Zhang (GKYZ) volatility estimator incorporates the returns of open, high, low, and closing prices in its calculation. GKYZ volatility estimator takes into account overnight jumps but not the trend, i.e., it assumes that the underlying asset follows a Geometric Brownian Motion (GBM) process with zero drift. Therefore, the GKYZ volatility estimator tends to overestimate the volatility when the drift is different from zero. However, for a GBM process, this estimator is eight times more efficient than the close-to-close volatility estimator. Exponential Weighted Moving Average The Exponentially Weighted Moving Average (EWMA) is a quantitative or statistical measure used to model or describe a time series. The EWMA is widely used in finance, with the main applications being technical analysis and volatility modeling. The moving average is designed such that older observations are given lower weights. The weights decrease exponentially as the data point gets older – hence the name exponentially weighted. The only decision a user of the EWMA must make is the parameter lambda. The parameter decides how important the current observation is in the calculation of the EWMA. The higher the value of lambda, the more closely the EWMA tracks the original time series. Standard Deviation of Log Returns This is the simplest calculation of volatility. It's the standard deviation of ln(close/close(1)). Pseudo GARCH(2,2) This is calculated using a short- and long-run mean of variance multiplied by ?. ?avg(var;M) + (1 ? ?) avg(var;N) = 2?var/(M+1-(M-1)L) + 2(1-?)var/(M+1-(M-1)L) Solving for ? can be done by minimizing the mean squared error of estimation; that is, regressing L^-1var - avg(var; N) against avg(var; M) - avg(var; N) and using the resulting beta estimate as ?. 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. True Range Double A special case of ATR that attempts to correct for volatility skew. 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 ? 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. Additionally, 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 the standard is significant--not just because of EMA usage, but the efficiency ratio makes it a "bit more logical" in very volatile market conditions. 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. Efficiency-Ratio Adaptive ATR Average True Range (ATR) is a widely used indicator for many occasions in technical analysis. It is calculated as the RMA of the true range. This version adds a "twist": it uses Perry Kaufman's Efficiency Ratio to calculate adaptive true range. 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. Static Percent Static Percent allows the user to insert their own constant percent that will then be used to create take profits and stoploss █ Giga Kaleidoscope Modularized Trading System Core components of an NNFX algorithmic trading strategy The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm: 1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc. 2. Baseline - a moving average to identify price trend 3. Confirmation 1 - a technical indicator used to identify trends 4. Confirmation 2 - a technical indicator used to identify trends 5. Continuation - a technical indicator used to identify trends 6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown 7. Exit - a technical indicator used to determine when a trend is exhausted What is Volatility in the NNFX trading system? In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period. True range is calculated as the maximum of the following values: -Current high minus the current low -Absolute value of the current high minus the previous close -Absolute value of the current low minus the previous close ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses. Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass What is a Baseline indicator? The baseline is essentially a moving average, and is used to determine the overall direction of the market. The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR). Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail. By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend. What is a Confirmation indicator? Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI). The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend. Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the MACD Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators. In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades. What is a Continuation indicator? In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy. What is a Volatility/Volume indicator? Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa. By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements. What is an Exit indicator? The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy. The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, the Average Directional Index (ADX), and the Chandelier Exit. The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses. In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor. Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time. How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above? Loxx's GKD v2.0 system has five types of modules (indicators/strategies). These modules are: 1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm) 2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm) 3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm) 4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm) 5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm) (additional module types will added in future releases) Each module interacts with every module by passing data to A backtest module wherein the various components of the GKD system are combined to create a trading signal. That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy. This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm. What does the application of the GKD trading system look like? Example trading system: Backtest: Solo Confirmation Complex Backtest as shown on the chart above Baseline: Hull Moving Average as shown on the chart above Volatility/Volume: Hurst Exponent as shown on the chart above Confirmation 1: Fisher Trasnform as shown on the chart above Confirmation 2: Williams Percent Range Continuation: Volatility-Adaptive Rapid RSI T3 Exit: Rex Oscillator Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD system. Giga Kaleidoscope Modularized Trading System Signals (based on the NNFX algorithm) Standard Entry 1. GKD-C Confirmation 1 Signal 2. GKD-B Baseline agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees Baseline Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees 6. GKD-C Confirmation 1 signal was less than 7 candles prior Volatility/Volume Entry 1. GKD-V Volatility/Volume signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-B Baseline agrees 6. GKD-C Confirmation 1 signal was less than 7 candles prior Continuation Entry 1. Standard Entry, Baseline Entry, or Pullback; entry triggered previously 2. GKD-B Baseline hasn't crossed since entry signal trigger 3. GKD-C Confirmation Continuation Indicator signals 4. GKD-C Confirmation 1 agrees 5. GKD-B Baseline agrees 6. GKD-C Confirmation 2 agrees 1-Candle Rule Standard Entry 1. GKD-C Confirmation 1 signal 2. GKD-B Baseline agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean Next Candle: 1. Price retraced (Long: close < close or Short: close > close ) 2. GKD-B Baseline agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees 1-Candle Rule Baseline Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 1 signal was less than 7 candles prior Next Candle: 1. Price retraced (Long: close < close or Short: close > close ) 2. GKD-B Baseline agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume Agrees 1-Candle Rule Volatility/Volume Entry 1. GKD-V Volatility/Volume signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 1 signal was less than 7 candles prior Next Candle: 1. Price retraced (Long: close < close or Short: close > close) 2. GKD-B Volatility/Volume agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-B Baseline agrees PullBack Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is beyond 1.0x Volatility of Baseline Next Candle: 1. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 2. GKD-C Confirmation 1 agrees 3. GKD-C Confirmation 2 agrees 4. GKD-V Volatility/Volume Agrees
Strategia Pine Script®
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GKD-BT Solo Confirmation Simple Backtest [Loxx]Giga Kaleidoscope GKD-BT Solo Confirmation Simple Backtest is a Backtesting module included in Loxx's "Giga Kaleidoscope Modularized Trading System". █ GKD-BT Solo Confirmation Simple Backtest The Solo Confirmation Simple Backtest module enables users to perform Standard Long and Short signals on GKD-C confirmation indicators. This module represents the simplest form of Backtest in the GKD trading system. It includes two types of backtests: Trading and Full. The Trading backtest allows users to test individual trades, both long and short, one at a time. On the other hand, the Full backtest allows users to test either longs or shorts by toggling between them in the settings to view the results for each signal type. The Trading backtest simulates real trading, while the Full backtest tests all signals, whether long or short. Additionally, this backtest module provides the option to test the GKD-C indicator with 1 to 3 take profits and 1 stop loss. The Trading backtest allows for the use of 1 to 3 take profits, while the Full backtest is limited to 1 take profit. The Trading backtest also offers the capability to apply a trailing take profit. In terms of the percentage of trade removed at each take profit, this backtest module has the following hardcoded values: Take profit 1: 50% of the trade is removed Take profit 2: 25% of the trade is removed Take profit 3: 25% of the trade is removed Stop loss: 100% of the trade is removed After each take profit is achieved, the stop loss level is adjusted. When take profit 1 is reached, the stop loss is moved to the entry point. Similarly, when take profit 2 is reached, the stop loss is shifted to take profit 1. The trailing take profit feature comes into play after take profit 2 or take profit 3, depending on the number of take profits selected in the settings. The trailing take profit is always activated on the final take profit when 2 or more take profits are chosen. The backtest also offers the capability to restrict by a specific date range, allowing for simulated forward testing based on past data. Additionally, users have the option to display or hide a trading panel that provides relevant information about the backtest, statistics, and the current trade. It is also possible to activate alerts and toggle sections of the trading panel on or off. On the chart, historical take profit and stop loss levels are represented by horizontal lines overlaid for reference. The GKD system utilizes volatility-based take profits and stop losses. Each take profit and stop loss is calculated as a multiple of volatility. You can change the values of the multipliers in the settings as well. To utilize this strategy, follow these steps: 1. Adjust the "Confirmation Type" in the GKD-C Confirmation Indicator to "GKD New." 2. Import the value "Input into NEW GKD-BT Backtest" into the GKD-BT Solo Confirmation Simple Backtest module (this strategy backtest). **The GKD-BT Solo Confirmation Simple Backtest module exclusively supports Standard Entries, both Long and Short. However, please note that this module uses a modified version of the standard entry, where long and short signals are directly imported from the Confirmation indicator without any baseline or volatility filtering applied.** Volatility Types Included 17 types of volatility are included in this indicator Close-to-Close Parkinson Garman-Klass Rogers-Satchell Yang-Zhang Garman-Klass-Yang-Zhang Exponential Weighted Moving Average Standard Deviation of Log Returns Pseudo GARCH(2,2) Average True Range True Range Double Standard Deviation Adaptive Deviation Median Absolute Deviation Efficiency-Ratio Adaptive ATR Mean Absolute Deviation Static Percent Close-to-Close Close-to-Close volatility is a classic and widely used volatility measure, sometimes referred to as historical volatility. Volatility is an indicator of the speed of a stock price change. A stock with high volatility is one where the price changes rapidly and with a larger amplitude. The more volatile a stock is, the riskier it is. Close-to-close historical volatility is calculated using only a stock's closing prices. It is the simplest volatility estimator. However, in many cases, it is not precise enough. Stock prices could jump significantly during a trading session and return to the opening value at the end. That means that a considerable amount of price information is not taken into account by close-to-close volatility. Despite its drawbacks, Close-to-Close volatility is still useful in cases where the instrument doesn't have intraday prices. For example, mutual funds calculate their net asset values daily or weekly, and thus their prices are not suitable for more sophisticated volatility estimators. Parkinson Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day. The main difference between regular volatility and Parkinson volatility is that the latter uses high and low prices for a day, rather than only the closing price. This is useful as close-to-close prices could show little difference while large price movements could have occurred during the day. Thus, Parkinson's volatility is considered more precise and requires less data for calculation than close-to-close volatility. One drawback of this estimator is that it doesn't take into account price movements after the market closes. Hence, it systematically undervalues volatility. This drawback is addressed in the Garman-Klass volatility estimator. Garman-Klass Garman-Klass is a volatility estimator that incorporates open, low, high, and close prices of a security. Garman-Klass volatility extends Parkinson's volatility by taking into account the opening and closing prices. As markets are most active during the opening and closing of a trading session, it makes volatility estimation more accurate. Garman and Klass also assumed that the process of price change follows a continuous diffusion process (Geometric Brownian motion). However, this assumption has several drawbacks. The method is not robust for opening jumps in price and trend movements. Despite its drawbacks, the Garman-Klass estimator is still more effective than the basic formula since it takes into account not only the price at the beginning and end of the time interval but also intraday price extremes. Researchers Rogers and Satchell have proposed a more efficient method for assessing historical volatility that takes into account price trends. See Rogers-Satchell Volatility for more detail. Rogers-Satchell Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero. Unlike Parkinson and Garman-Klass estimators, Rogers-Satchell incorporates a drift term (mean return not equal to zero). As a result, it provides better volatility estimation when the underlying is trending. The main disadvantage of this method is that it does not take into account price movements between trading sessions. This leads to an underestimation of volatility since price jumps periodically occur in the market precisely at the moments between sessions. A more comprehensive estimator that also considers the gaps between sessions was developed based on the Rogers-Satchel formula in the 2000s by Yang-Zhang. See Yang Zhang Volatility for more detail. Yang-Zhang Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error. Yang-Zhang volatility can be thought of as a combination of the overnight (close-to-open volatility) and a weighted average of the Rogers-Satchell volatility and the day’s open-to-close volatility. It is considered to be 14 times more efficient than the close-to-close estimator. Garman-Klass-Yang-Zhang Garman-Klass-Yang-Zhang (GKYZ) volatility estimator incorporates the returns of open, high, low, and closing prices in its calculation. GKYZ volatility estimator takes into account overnight jumps but not the trend, i.e., it assumes that the underlying asset follows a Geometric Brownian Motion (GBM) process with zero drift. Therefore, the GKYZ volatility estimator tends to overestimate the volatility when the drift is different from zero. However, for a GBM process, this estimator is eight times more efficient than the close-to-close volatility estimator. Exponential Weighted Moving Average The Exponentially Weighted Moving Average (EWMA) is a quantitative or statistical measure used to model or describe a time series. The EWMA is widely used in finance, with the main applications being technical analysis and volatility modeling. The moving average is designed such that older observations are given lower weights. The weights decrease exponentially as the data point gets older – hence the name exponentially weighted. The only decision a user of the EWMA must make is the parameter lambda. The parameter decides how important the current observation is in the calculation of the EWMA. The higher the value of lambda, the more closely the EWMA tracks the original time series. Standard Deviation of Log Returns This is the simplest calculation of volatility. It's the standard deviation of ln(close/close(1)). Pseudo GARCH(2,2) This is calculated using a short- and long-run mean of variance multiplied by ?. ?avg(var;M) + (1 ? ?) avg(var;N) = 2?var/(M+1-(M-1)L) + 2(1-?)var/(M+1-(M-1)L) Solving for ? can be done by minimizing the mean squared error of estimation; that is, regressing L^-1var - avg(var; N) against avg(var; M) - avg(var; N) and using the resulting beta estimate as ?. 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. True Range Double A special case of ATR that attempts to correct for volatility skew. 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 ? 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. Additionally, 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 the standard is significant--not just because of EMA usage, but the efficiency ratio makes it a "bit more logical" in very volatile market conditions. 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. Efficiency-Ratio Adaptive ATR Average True Range (ATR) is a widely used indicator for many occasions in technical analysis. It is calculated as the RMA of the true range. This version adds a "twist": it uses Perry Kaufman's Efficiency Ratio to calculate adaptive true range. 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. Static Percent Static Percent allows the user to insert their own constant percent that will then be used to create take profits and stoploss █ Giga Kaleidoscope Modularized Trading System Core components of an NNFX algorithmic trading strategy The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm: 1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc. 2. Baseline - a moving average to identify price trend 3. Confirmation 1 - a technical indicator used to identify trends 4. Confirmation 2 - a technical indicator used to identify trends 5. Continuation - a technical indicator used to identify trends 6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown 7. Exit - a technical indicator used to determine when a trend is exhausted What is Volatility in the NNFX trading system? In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period. True range is calculated as the maximum of the following values: -Current high minus the current low -Absolute value of the current high minus the previous close -Absolute value of the current low minus the previous close ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses. Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass What is a Baseline indicator? The baseline is essentially a moving average, and is used to determine the overall direction of the market. The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR). Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail. By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend. What is a Confirmation indicator? Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI). The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend. Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the MACD Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators. In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades. What is a Continuation indicator? In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy. What is a Volatility/Volume indicator? Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa. By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements. What is an Exit indicator? The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy. The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, the Average Directional Index (ADX), and the Chandelier Exit. The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses. In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor. Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time. How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above? Loxx's GKD v2.0 system has five types of modules (indicators/strategies). These modules are: 1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm) 2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm) 3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm) 4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm) 5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm) (additional module types will added in future releases) Each module interacts with every module by passing data to A backtest module wherein the various components of the GKD system are combined to create a trading signal. That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy. This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm. What does the application of the GKD trading system look like? Example trading system: Backtest: Solo Confirmation Simple Backtest as shown on the chart above Baseline: Hull Moving Average Volatility/Volume: Hurst Exponent Confirmation 1: Fisher Trasnform as shown on the chart above Confirmation 2: Williams Percent Range Continuation: Volatility-Adaptive Rapid RSI T3 Exit: Rex Oscillator Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD system. Giga Kaleidoscope Modularized Trading System Signals (based on the NNFX algorithm) Standard Entry 1. GKD-C Confirmation 1 Signal 2. GKD-B Baseline agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees Baseline Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees 6. GKD-C Confirmation 1 signal was less than 7 candles prior Volatility/Volume Entry 1. GKD-V Volatility/Volume signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-B Baseline agrees 6. GKD-C Confirmation 1 signal was less than 7 candles prior Continuation Entry 1. Standard Entry, Baseline Entry, or Pullback; entry triggered previously 2. GKD-B Baseline hasn't crossed since entry signal trigger 3. GKD-C Confirmation Continuation Indicator signals 4. GKD-C Confirmation 1 agrees 5. GKD-B Baseline agrees 6. GKD-C Confirmation 2 agrees 1-Candle Rule Standard Entry 1. GKD-C Confirmation 1 signal 2. GKD-B Baseline agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean Next Candle: 1. Price retraced (Long: close < close or Short: close > close ) 2. GKD-B Baseline agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees 1-Candle Rule Baseline Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 1 signal was less than 7 candles prior Next Candle: 1. Price retraced (Long: close < close or Short: close > close ) 2. GKD-B Baseline agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume Agrees 1-Candle Rule Volatility/Volume Entry 1. GKD-V Volatility/Volume signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 1 signal was less than 7 candles prior Next Candle: 1. Price retraced (Long: close < close or Short: close > close) 2. GKD-B Volatility/Volume agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-B Baseline agrees PullBack Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is beyond 1.0x Volatility of Baseline Next Candle: 1. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 2. GKD-C Confirmation 1 agrees 3. GKD-C Confirmation 2 agrees 4. GKD-V Volatility/Volume Agrees
Strategia Pine Script®
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GKD-C QQE of Variety RSI [Loxx]Giga Kaleidoscope GKD-C QQE of Variety RSI is a Confirmation module included in Loxx's "Giga Kaleidoscope Modularized Trading System". █ GKD-C QQE of Variety RSI QQE: A Comprehensive Alternative to the Relative Strength Index The Relative Strength Index (RSI) is a popular technical indicator that measures the speed and change of price movements to help traders identify potential trend reversals, overbought, and oversold conditions. Although the RSI is widely used, it has its limitations, and traders often seek alternative or complementary indicators to improve their market analysis. One such alternative is the Qualitative Quantitative Estimation (QQE) indicator, a comprehensive oscillator that combines the features of the RSI with additional smoothing and volatility adjustments. In the following, we will explore the QQE indicator, its calculation, and its potential benefits compared to using any type of RSI alone. QQE Indicator The QQE indicator was developed by an unknown author and is based on the RSI with additional modifications to enhance its performance. The QQE calculation involves three main steps: 1. The first step is to compute the RSI value for a specified period using the traditional RSI formula. 2. The second step is to apply a smoothing technique, such as the Wilder's smoothing or an exponential moving average (EMA), to the RSI value, resulting in the smoothed RSI. 3. The third step is to calculate the volatility-adjusted upper and lower bands (referred to as the QQE lines) around the smoothed RSI using an ATR-based (Average True Range) multiplier. The QQE indicator is typically displayed as an oscillator with the smoothed RSI line in the middle and the upper and lower QQE lines acting as dynamic boundaries. Comparison with the RSI To better understand the potential benefits of the QQE indicator compared to using any type of RSI alone, let's examine its key features and how they may contribute to improved market analysis. Advantages 1. The QQE indicator provides a more comprehensive view of the market by combining the strengths of the RSI with additional smoothing and volatility adjustments. This may result in a more reliable and accurate reflection of market conditions and price trends. 2. The smoothed RSI line in the QQE oscillator can help filter out noise and reduce the number of false signals often experienced when using the traditional RSI alone, making it easier for traders to identify genuine trend reversals and trading opportunities. 3. The dynamic QQE lines offer an additional layer of information by accounting for market volatility. This can help traders to better gauge the strength of price movements and identify potential support and resistance levels. 4. The QQE indicator can be used as a standalone tool or in combination with other technical indicators, providing traders with greater flexibility in their market analysis. Disadvantages 1. The QQE indicator may be more complex to understand and implement than the traditional RSI due to the additional smoothing and volatility adjustments involved in its calculation. 2. As the QQE indicator is less widely known and used than the RSI, traders may find it more challenging to find resources and support for incorporating this indicator into their trading strategies. Conclusion: The QQE indicator is a versatile and comprehensive alternative to the traditional RSI, offering potential benefits in terms of noise reduction, volatility adjustment, and improved market analysis. However, it is important to recognize its limitations, such as increased complexity and limited resources compared to the RSI. Traders should carefully consider the potential advantages and drawbacks of using the QQE indicator before integrating it into their trading strategies. Ultimately, the choice between the QQE and any type of RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. This indicator includes 3 types of signals 1. Middle cross 2. Levels cross 3. Slow Trend cross This indicator includes 9 types of RSI 1. Regular RSI 2. Slow RSI 3. Ehlers Smoothed RSI 4. Cutler's RSI or Rapid RSI 5. RSI T3 6. RSI DEMA 7. Harris' RSI 8. RSI TEMA 9. Jurik RSX Regular RSI The Relative Strength Index (RSI) is a widely used technical indicator in the field of financial market analysis. Developed by J. Welles Wilder Jr. in 1978, the RSI is a momentum oscillator that measures the speed and change of price movements. It helps traders identify potential trend reversals, overbought, and oversold conditions in a market. The RSI is calculated based on the average gains and losses of an asset over a specified period, typically 14 days. The formula for calculating the RSI is as follows: RSI = 100 - (100 / (1 + RS)) Where: RS (Relative Strength) = Average gain over the specified period / Average loss over the specified period The RSI ranges from 0 to 100, with values above 70 generally considered overbought (potentially indicating that the asset is overvalued and may experience a price decline) and values below 30 considered oversold (potentially indicating that the asset is undervalued and may experience a price increase). Slow RSI The Slow RSI is a variation of the standard RSI, which introduces a smoothing technique to the RSI calculation itself. The primary difference between the Slow RSI and the standard RSI lies in the calculation of the RSI value. In the Slow RSI, the current RSI value is calculated as a moving average of the previous RSI value and the standard RSI value for the current period. The primary advantage of the Slow RSI is that it offers enhanced signal stability, reducing noise and potentially providing more reliable trading signals for traders. Comparison with the original RSI To better understand the potential advantages and disadvantages of the Slow RSI, it is essential to compare its performance against the original RSI. Advantages 1. The Slow RSI provides enhanced signal stability by smoothing the RSI calculation, which can help traders better assess market conditions and identify potential overbought or oversold situations. 2. By offering more stable and reliable signals, the Slow RSI may improve the performance of trading strategies based on the RSI, especially in noisy or choppy market conditions. Disadvantages 1. The smoothing technique employed by the Slow RSI may result in a slower response to changes in price momentum compared to the original RSI. This could lead to delayed signals for entering or exiting trades, which may not be ideal for short-term traders or fast-moving markets. 2. As the Slow RSI is less known and less widely used than the standard RSI, traders may find it more challenging to find resources and support for implementing this variation of the indicator. The Slow RSI is an interesting modification of the standard RSI, offering potential benefits in terms of signal stability and reliability. However, it is crucial to recognize its limitations, such as a potentially slower response to changes in price momentum. Traders should carefully consider the potential advantages and drawbacks of using the Slow RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and the Slow RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. Ehlers Smoothed RSI Ehlers Smoothed RSI is a variation of the standard RSI developed by John F. Ehlers, which introduces a smoothing technique to the price input data. The smoothing process involves averaging the current price with the previous two price values, which helps reduce noise and provide a more accurate representation of price momentum. The calculation of up and down price movements remains similar to the original RSI, but the smoothing technique alters the input data. The primary advantage of Ehlers Smoothed RSI is that it reduces noise and offers a more accurate representation of price momentum, potentially providing more reliable signals for traders. Comparison with the original RSI To better understand the potential advantages and disadvantages of Ehlers Smoothed RSI, it is essential to compare its performance against the original RSI. Advantages 1. Ehlers Smoothed RSI reduces noise by smoothing the price input data, which can help traders better assess market conditions and identify potential overbought or oversold situations. 2. By providing a more accurate representation of price momentum, Ehlers Smoothed RSI may offer more reliable signals for entering or exiting trades, potentially improving the performance of trading strategies based on the RSI. Disadvantages 1. The smoothing technique employed by Ehlers Smoothed RSI may result in a slower response to changes in price momentum compared to the original RSI. This could lead to delayed signals for entering or exiting trades, which may not be ideal for short-term traders or fast-moving markets. 2. As Ehlers Smoothed RSI is less known and less widely used than the standard RSI, traders may find it more challenging to find resources and support for implementing this variation of the indicator. Ehlers Smoothed RSI is an intriguing modification of the standard RSI, offering potential benefits in terms of noise reduction and accuracy. However, it is crucial to recognize its limitations, such as a potentially slower response to changes in price momentum. Traders should carefully consider the potential advantages and drawbacks of using Ehlers Smoothed RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and Ehlers Smoothed RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. Cutler's RSI or Rapid RSI Cutler's RSI is a variation of the standard RSI, which modifies the calculation of average gains and losses. While the original RSI employs exponential moving averages (EMAs) for average gains and losses, Cutler's RSI utilizes simple moving averages (SMAs) instead. This change results in a slightly different behavior of the oscillator compared to the original RSI. The primary advantage of Cutler's RSI is that it offers a simpler calculation method, which can potentially make it easier to understand and implement for traders. Additionally, by using SMAs, Cutler's RSI may provide a more consistent and stable representation of price momentum. Comparison with the original RSI It is essential to recognize the limitations and performance of Cutler's RSI compared to the original RSI to understand its potential advantages and disadvantages better. Advantages 1. Cutler's RSI has a simpler calculation method, using SMAs instead of EMAs. This makes it easier to understand and implement for traders who prefer a more straightforward approach to technical analysis. 2. By using SMAs, Cutler's RSI may provide a more stable and consistent representation of price momentum, which can help traders better assess market conditions and identify potential overbought or oversold situations. Disadvantages 1. The use of SMAs in Cutler's RSI may result in a slower response to changes in price momentum compared to the original RSI. This could lead to delayed signals for entering or exiting trades, which may not be ideal for short-term traders or fast-moving markets. 2. As Cutler's RSI is less known and less widely used than the standard RSI, it may be more challenging to find resources and support for implementing this variation of the indicator. Cutler's RSI is an interesting modification of the standard RSI, offering potential benefits in terms of simplicity and stability. However, it is crucial to recognize its limitations, such as a potentially slower response to changes in price momentum. Traders should carefully consider the potential advantages and drawbacks of using Cutler's RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and Cutler's RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. RSI T3 The T3 RSI is a variation of the standard RSI that introduces the Triple Smoothed Exponential Moving Average (T3) into the calculation process. The primary difference between the T3 RSI and the standard RSI lies in the calculation of the average gains and losses. Instead of using simple moving averages or exponential moving averages, the T3 RSI utilizes T3 to calculate the average gains and losses for up and down price movements. The primary advantage of the T3 RSI is that it offers enhanced responsiveness and accuracy compared to the original RSI, potentially providing more reliable trading signals for traders. Comparison with the original RSI To better understand the potential advantages and disadvantages of the T3 RSI, it is essential to compare its performance against the original RSI. Advantages 1. The T3 RSI provides enhanced responsiveness and accuracy by incorporating the Triple Smoothed Exponential Moving Average into the calculation of average gains and losses. This can help traders better assess market conditions and identify potential overbought or oversold situations. 2. By offering more responsive and accurate signals, the T3 RSI may improve the performance of trading strategies based on the RSI, especially in fast-moving markets or during periods of high price volatility. Disadvantages 1. The T3 RSI's increased responsiveness may result in more frequent trading signals, which could lead to higher trading costs or a higher likelihood of false signals. 2. As the T3 RSI is less known and less widely used than the standard RSI, traders may find it more challenging to find resources and support for implementing this variation of the indicator. The T3 RSI is an innovative modification of the standard RSI, offering potential benefits in terms of responsiveness and accuracy. However, it is crucial to recognize its limitations, such as a potentially higher likelihood of false signals due to increased responsiveness. Traders should carefully consider the potential advantages and drawbacks of using the T3 RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and the T3 RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. RSI DEMA The DEMA RSI is a variation of the standard RSI that introduces the Double Exponential Moving Average (DEMA) into the calculation process. The primary difference between the DEMA RSI and the standard RSI lies in the calculation of the average gains and losses. Instead of using simple moving averages or exponential moving averages, the DEMA RSI utilizes DEMA to calculate the average gains and losses for up and down price movements. The primary advantage of the DEMA RSI is that it offers enhanced responsiveness and accuracy compared to the original RSI, potentially providing more reliable trading signals for traders. Comparison with the original RSI To better understand the potential advantages and disadvantages of the DEMA RSI, it is essential to compare its performance against the original RSI. Advantages 1. The DEMA RSI provides enhanced responsiveness and accuracy by incorporating the Double Exponential Moving Average into the calculation of average gains and losses. This can help traders better assess market conditions and identify potential overbought or oversold situations. 2. By offering more responsive and accurate signals, the DEMA RSI may improve the performance of trading strategies based on the RSI, especially in fast-moving markets or during periods of high price volatility. Disadvantages 1. The DEMA RSI's increased responsiveness may result in more frequent trading signals, which could lead to higher trading costs or a higher likelihood of false signals. 2. As the DEMA RSI is less known and less widely used than the standard RSI, traders may find it more challenging to find resources and support for implementing this variation of the indicator. The DEMA RSI is an innovative modification of the standard RSI, offering potential benefits in terms of responsiveness and accuracy. However, it is crucial to recognize its limitations, such as a potentially higher likelihood of false signals due to increased responsiveness. Traders should carefully consider the potential advantages and drawbacks of using the DEMA RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and the DEMA RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. Harris' RSI Harris' RSI is a variation of the standard RSI, designed to address some of its limitations and improve its performance in detecting potential trend reversals and filtering out noise. The key difference between the Harris' RSI and the standard RSI lies in the calculation of average gains and losses. While the standard RSI calculation uses exponential moving averages (EMAs) of gains and losses, Harris' RSI uses a different approach to compute the average gains and losses based on the number of up and down price movements. The primary advantage of Harris' RSI is that it aims to provide a more adaptive and responsive indicator, making it better suited for detecting potential trend reversals and filtering out noise in the market. By taking into account the number of up and down price movements, Harris' RSI can be more sensitive to changes in the trend, potentially providing earlier signals for entering or exiting trades. Comparison with the original RSI While Harris' RSI offers potential improvements over the standard RSI, it is essential to recognize its limitations and compare its performance against the original RSI. Advantages 1. Harris' RSI can potentially provide earlier signals for trend reversals due to its sensitivity to the number of up and down price movements. This can help traders to identify better entry and exit points in the market. 2. By focusing on the number of up and down price movements, Harris' RSI can filter out noise in the market, reducing the likelihood of false signals that may lead to losing trades. Disadvantages 1. The increased sensitivity of Harris' RSI to price movements can lead to more frequent signals, which may result in overtrading and increased trading costs. 2. Harris' RSI is less known and less widely used than the standard RSI, which may make it more challenging to find resources and support for implementing this variation of the indicator. Harris' RSI is an interesting variation of the standard RSI, offering potential advantages in detecting trend reversals and filtering out noise. However, like any technical indicator, it has its limitations and may not be suitable for all trading styles or market conditions. Traders should carefully consider the potential benefits and drawbacks of using Harris' RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and Harris' RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. RSI TEMA The TEMA RSI is a variation of the standard RSI that introduces the Triple Exponential Moving Average (TEMA) into the calculation process. The primary difference between the TEMA RSI and the standard RSI lies in the calculation of the average gains and losses. Instead of using simple moving averages or exponential moving averages, the TEMA RSI utilizes TEMA to calculate the average gains and losses for up and down price movements. The primary advantage of the TEMA RSI is that it offers enhanced responsiveness and accuracy compared to the original RSI, potentially providing more reliable trading signals for traders. Comparison with the original RSI To better understand the potential advantages and disadvantages of the TEMA RSI, it is essential to compare its performance against the original RSI. Advantages 1. The TEMA RSI provides enhanced responsiveness and accuracy by incorporating the Triple Exponential Moving Average into the calculation of average gains and losses. This can help traders better assess market conditions and identify potential overbought or oversold situations. 2. By offering more responsive and accurate signals, the TEMA RSI may improve the performance of trading strategies based on the RSI, especially in fast-moving markets or during periods of high price volatility. Disadvantages 1. The TEMA RSI's increased responsiveness may result in more frequent trading signals, which could lead to higher trading costs or a higher likelihood of false signals. 2. As the TEMA RSI is less known and less widely used than the standard RSI, traders may find it more challenging to find resources and support for implementing this variation of the indicator. The TEMA RSI is an innovative modification of the standard RSI, offering potential benefits in terms of responsiveness and accuracy. However, it is crucial to recognize its limitations, such as a potentially higher likelihood of false signals due to increased responsiveness. Traders should carefully consider the potential advantages and drawbacks of using the TEMA RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and the TEMA RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. Jurik RSX The Jurik RSX, developed by Mark Jurik, is a variation of the standard RSI that aims to provide a smoother and more responsive indicator by applying a unique smoothing algorithm based on a series of recursive calculations. The Jurik RSX calculates the price momentum (mom) and the absolute price momentum (moa) using a three-stage filtering process, which ultimately results in a smoother and more responsive output compared to the original RSI. Comparison with the original RSI To better understand the potential benefits and drawbacks of the Jurik RSX, it is essential to compare its performance against the original RSI. Advantages 1. The Jurik RSX offers enhanced responsiveness and smoothness due to its unique recursive filtering process, allowing traders to better identify potential trend reversals, overbought, and oversold conditions. 2. The improved responsiveness of the Jurik RSX may result in more timely trading signals, helping traders to capitalize on opportunities more effectively, especially in fast-moving markets or during periods of high price volatility. Disadvantages 1. The increased complexity of the Jurik RSX calculation may make it more challenging for traders to understand and implement compared to the original RSI. 2. As the Jurik RSX is less known and less widely used than the standard RSI, traders may find it more difficult to find resources and support for implementing this variation of the indicator. The Jurik RSX is an innovative modification of the standard RSI, offering potential benefits in terms of responsiveness and smoothness. However, it is crucial to recognize its limitations, such as increased complexity and limited resources compared to the original RSI. Traders should carefully consider the potential advantages and drawbacks of using the Jurik RSX before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and the Jurik RSX will depend on individual traders' preferences and the specific market conditions they are analyzing. Additional Features This indicator allows you to select from 33 source types. They are as follows: Close Open High Low Median Typical Weighted Average Average Median Body Trend Biased Trend Biased (Extreme) HA Close HA Open HA High HA Low HA Median HA Typical HA Weighted HA Average HA Average Median Body HA Trend Biased HA Trend Biased (Extreme) HAB Close HAB Open HAB High HAB Low HAB Median HAB Typical HAB Weighted HAB Average HAB Average Median Body HAB Trend Biased HAB Trend Biased (Extreme) What are Heiken Ashi "better" candles? Heiken Ashi "better" candles are a modified version of the standard Heiken Ashi candles, which are a popular charting technique used in technical analysis. Heiken Ashi candles help traders identify trends and potential reversal points by smoothing out price data and reducing market noise. The "better formula" was proposed by Sebastian Schmidt in an article published by BNP Paribas in Warrants & Zertifikate, a German magazine, in August 2004. The aim of this formula is to further improve the smoothing of the Heiken Ashi chart and enhance its effectiveness in identifying trends and reversals. Standard Heiken Ashi candles are calculated using the following formulas: Heiken Ashi Close = (Open + High + Low + Close) / 4 Heiken Ashi Open = (Previous Heiken Ashi Open + Previous Heiken Ashi Close) / 2 Heiken Ashi High = Max (High, Heiken Ashi Open, Heiken Ashi Close) Heiken Ashi Low = Min (Low, Heiken Ashi Open, Heiken Ashi Close) The "better formula" modifies the standard Heiken Ashi calculation by incorporating additional smoothing, which can help reduce noise and make it easier to identify trends and reversals. The modified formulas for Heiken Ashi "better" candles are as follows: Better Heiken Ashi Close = (Open + High + Low + Close) / 4 Better Heiken Ashi Open = (Previous Better Heiken Ashi Open + Previous Better Heiken Ashi Close) / 2 Better Heiken Ashi High = Max (High, Better Heiken Ashi Open, Better Heiken Ashi Close) Better Heiken Ashi Low = Min (Low, Better Heiken Ashi Open, Better Heiken Ashi Close) Smoothing Factor = 2 / (N + 1), where N is the chosen period for smoothing Smoothed Better Heiken Ashi Open = (Better Heiken Ashi Open * Smoothing Factor) + (Previous Smoothed Better Heiken Ashi Open * (1 - Smoothing Factor)) Smoothed Better Heiken Ashi Close = (Better Heiken Ashi Close * Smoothing Factor) + (Previous Smoothed Better Heiken Ashi Close * (1 - Smoothing Factor)) The smoothed Better Heiken Ashi Open and Close values are then used to calculate the smoothed Better Heiken Ashi High and Low values, resulting in "better" candles that provide a clearer representation of the market trend and potential reversal points. It's important to note that, like any other technical analysis tool, Heiken Ashi "better" candles are not foolproof and should be used in conjunction with other indicators and analysis techniques to make well-informed trading decisions. Heiken Ashi "better" candles, as mentioned previously, provide a clearer representation of market trends and potential reversal points by reducing noise and smoothing out price data. When using these candles in conjunction with other technical analysis tools and indicators, traders can gain valuable insights into market behavior and make more informed decisions. To effectively use Heiken Ashi "better" candles in your trading strategy, consider the following tips: Trend Identification: Heiken Ashi "better" candles can help you identify the prevailing trend in the market. When the majority of the candles are green (or another color, depending on your chart settings) and there are no or few lower wicks, it may indicate a strong uptrend. Conversely, when the majority of the candles are red (or another color) and there are no or few upper wicks, it may signal a strong downtrend. Trend Reversals: Look for potential trend reversals when a change in the color of the candles occurs, especially when accompanied by longer wicks. For example, if a green candle with a long lower wick is followed by a red candle, it could indicate a bearish reversal. Similarly, a red candle with a long upper wick followed by a green candle may suggest a bullish reversal. Support and Resistance: You can use Heiken Ashi "better" candles to identify potential support and resistance levels. When the candles are consistently moving in one direction and then suddenly change color with longer wicks, it could indicate the presence of a support or resistance level. Stop-Loss and Take-Profit: Using Heiken Ashi "better" candles can help you manage risk by determining optimal stop-loss and take-profit levels. For instance, you can place your stop-loss below the low of the most recent green candle in an uptrend or above the high of the most recent red candle in a downtrend. Confirming Signals: Heiken Ashi "better" candles should be used in conjunction with other technical indicators, such as moving averages, oscillators, or chart patterns, to confirm signals and improve the accuracy of your analysis. In this implementation, you have the choice of AMA, KAMA, or T3 smoothing. These are as follows: Kaufman Adaptive Moving Average (KAMA) The Kaufman Adaptive Moving Average (KAMA) is a type of adaptive moving average used in technical analysis to smooth out price fluctuations and identify trends. The KAMA adjusts its smoothing factor based on the market's volatility, making it more responsive in volatile markets and smoother in calm markets. The KAMA is calculated using three different efficiency ratios that determine the appropriate smoothing factor for the current market conditions. These ratios are based on the noise level of the market, the speed at which the market is moving, and the length of the moving average. The KAMA is a popular choice among traders who prefer to use adaptive indicators to identify trends and potential reversals. Adaptive Moving Average The Adaptive Moving Average (AMA) is a type of moving average that adjusts its sensitivity to price movements based on market conditions. It uses a ratio between the current price and the highest and lowest prices over a certain lookback period to determine its level of smoothing. The AMA can help reduce lag and increase responsiveness to changes in trend direction, making it useful for traders who want to follow trends while avoiding false signals. The AMA is calculated by multiplying a smoothing constant with the difference between the current price and the previous AMA value, then adding the result to the previous AMA value. T3 The T3 moving average is a type of technical indicator used in financial analysis to identify trends in price movements. It is similar to the Exponential Moving Average (EMA) and the Double Exponential Moving Average (DEMA), but uses a different smoothing algorithm. The T3 moving average is calculated using a series of exponential moving averages that are designed to filter out noise and smooth the data. The resulting smoothed data is then weighted with a non-linear function to produce a final output that is more responsive to changes in trend direction. The T3 moving average can be customized by adjusting the length of the moving average, as well as the weighting function used to smooth the data. It is commonly used in conjunction with other technical indicators as part of a larger trading strategy. █ Giga Kaleidoscope Modularized Trading System Core components of an NNFX algorithmic trading strategy The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm: 1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc. 2. Baseline - a moving average to identify price trend 3. Confirmation 1 - a technical indicator used to identify trends 4. Confirmation 2 - a technical indicator used to identify trends 5. Continuation - a technical indicator used to identify trends 6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown 7. Exit - a technical indicator used to determine when a trend is exhausted What is Volatility in the NNFX trading system? In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period. True range is calculated as the maximum of the following values: -Current high minus the current low -Absolute value of the current high minus the previous close -Absolute value of the current low minus the previous close ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses. Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass What is a Baseline indicator? The baseline is essentially a moving average, and is used to determine the overall direction of the market. The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR). Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail. By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend. What is a Confirmation indicator? Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI). The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend. Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the MACD Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators. In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades. What is a Continuation indicator? In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy. What is a Volatility/Volume indicator? Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa. By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements. What is an Exit indicator? The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy. The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, the Average Directional Index (ADX), and the Chandelier Exit. The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses. In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor. Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time. How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above? Loxx's GKD v1.0 system has five types of modules (indicators/strategies). These modules are: 1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm) 2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm) 3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm) 4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm) 5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm) (additional module types will added in future releases) Each module interacts with every module by passing data between modules. Data is passed between each module as described below: GKD-B => GKD-V => GKD-C(1) => GKD-C(2) => GKD-C(Continuation) => GKD-E => GKD-BT That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy. This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm. What does the application of the GKD trading system look like? Example trading system: Backtest: Strategy with 1-3 take profits, trailing stop loss, multiple types of PnL volatility, and 2 backtesting styles Baseline: Hull Moving Average Volatility/Volume: Hurst Exponent Confirmation 1: QQE of Variety RSI as shown on the chart above Confirmation 2: Williams Percent Range Continuation: QQE of Variety RSI Exit: Rex Oscillator Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD protocol chain. Giga Kaleidoscope Modularized Trading System Signals (based on the NNFX algorithm) Standard Entry 1. GKD-C Confirmation 1 Signal 2. GKD-B Baseline agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees Baseline Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees 6. GKD-C Confirmation 1 signal was less than 7 candles prior Volatility/Volume Entry 1. GKD-V Volatility/Volume signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 2 agrees 5. GKD-B Baseline agrees 6. GKD-C Confirmation 1 signal was less than 7 candles prior Continuation Entry 1. Standard Entry, Baseline Entry, or Pullback; entry triggered previously 2. GKD-B Baseline hasn't crossed since entry signal trigger 3. GKD-C Confirmation Continuation Indicator signals 4. GKD-C Confirmation 1 agrees 5. GKD-B Baseline agrees 6. GKD-C Confirmation 2 agrees 1-Candle Rule Standard Entry 1. GKD-C Confirmation 1 signal 2. GKD-B Baseline agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean Next Candle: 1. Price retraced (Long: close < close or Short: close > close ) 2. GKD-B Baseline agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume agrees 1-Candle Rule Baseline Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 1 signal was less than 7 candles prior Next Candle: 1. Price retraced (Long: close < close or Short: close > close ) 2. GKD-B Baseline agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-V Volatility/Volume Agrees 1-Candle Rule Volatility/Volume Entry 1. GKD-V Volatility/Volume signal 2. GKD-C Confirmation 1 agrees 3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 4. GKD-C Confirmation 1 signal was less than 7 candles prior Next Candle: 1. Price retraced (Long: close < close or Short: close > close) 2. GKD-B Volatility/Volume agrees 3. GKD-C Confirmation 1 agrees 4. GKD-C Confirmation 2 agrees 5. GKD-B Baseline agrees PullBack Entry 1. GKD-B Baseline signal 2. GKD-C Confirmation 1 agrees 3. Price is beyond 1.0x Volatility of Baseline Next Candle: 1. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean 2. GKD-C Confirmation 1 agrees 3. GKD-C Confirmation 2 agrees 4. GKD-V Volatility/Volume Agrees ]█ Setting up the GKD The GKD system involves chaining indicators together. These are the steps to set this up. Use a GKD-C indicator alone on a chart 1. Inside the GKD-C indicator, change the "Confirmation Type" setting to "Solo Confirmation Simple" Use a GKD-V indicator alone on a chart **nothing, it's already useable on the chart without any settings changes Use a GKD-B indicator alone on a chart **nothing, it's already useable on the chart without any settings changes Baseline (Baseline, Backtest) 1. Import the GKD-B Baseline into the GKD-BT Backtest: "Input into Volatility/Volume or Backtest (Baseline testing)" 2. Inside the GKD-BT Backtest, change the setting "Backtest Special" to "Baseline" Volatility/Volume (Volatility/Volume, Backte st) 1. Inside the GKD-V indicator, change the "Testing Type" setting to "Solo" 2. Inside the GKD-V indicator, change the "Signal Type" setting to "Crossing" (neither traditional nor both can be backtested) 3. Import the GKD-V indicator into the GKD-BT Backtest: "Input into C1 or Backtest" 4. Inside the GKD-BT Backtest, change the setting "Backtest Special" to "Volatility/Volume" 5. Inside the GKD-BT Backtest, a) change the setting "Backtest Type" to "Trading" if using a directional GKD-V indicator; or, b) change the setting "Backtest Type" to "Full" if using a directional or non-directional GKD-V indicator (non-directional GKD-V can only test Longs and Shorts separately) 6. If "Backtest Type" is set to "Full": Inside the GKD-BT Backtest, change the setting "Backtest Side" to "Long" or "Short 7. If "Backtest Type" is set to "Full": To allow the system to open multiple orders at one time so you test all Longs or Shorts, open the GKD-BT Backtest, click the tab "Properties" and then insert a value of something like 10 orders into the "Pyramiding" settings. This will allow 10 orders to be opened at one time which should be enough to catch all possible Longs or Shorts. Solo Confirmation Simple (Confirmation, Backtest) 1. Inside the GKD-C indicator, change the "Confirmation Type" setting to "Solo Confirmation Simple" 1. Import the GKD-C indicator into the GKD-BT Backtest: "Input into Backtest" 2. Inside the GKD-BT Backtest, change the setting "Backtest Special" to "Solo Confirmation Simple" Solo Confirmation Complex without Exits (Baseline, Volatility/Volume, Confirmation, Backtest) 1. Inside the GKD-V indicator, change the "Testing Type" setting to "Chained" 2. Import the GKD-B Baseline into the GKD-V indicator: "Input into Volatility/Volume or Backtest (Baseline testing)" 3. Inside the GKD-C indicator, change the "Confirmation Type" setting to "Solo Confirmation Complex" 4. Import the GKD-V indicator into the GKD-C indicator: "Input into C1 or Backtest" 5. Inside the GKD-BT Backtest, change the setting "Backtest Special" to "GKD Full wo/ Exits" 6. Import the GKD-C into the GKD-BT Backtest: "Input into Exit or Backtest" Solo Confirmation Complex with Exits (Baseline, Volatility/Volume, Confirmation, Exit, Backtest) 1. Inside the GKD-V indicator, change the "Testing Type" setting to "Chained" 2. Import the GKD-B Baseline into the GKD-V indicator: "Input into Volatility/Volume or Backtest (Baseline testing)" 3. Inside the GKD-C indicator, change the "Confirmation Type" setting to "Solo Confirmation Complex" 4. Import the GKD-V indicator into the GKD-C indicator: "Input into C1 or Backtest" 5. Import the GKD-C indicator into the GKD-E indicator: "Input into Exit" 6. Inside the GKD-BT Backtest, change the setting "Backtest Special" to "GKD Full w/ Exits" 7. Import the GKD-E into the GKD-BT Backtest: "Input into Backtest" Full GKD without Exits (Baseline, Volatility/Volume, Confirmation 1, Confirmation 2, Continuation, Backtest) 1. Inside the GKD-V indicator, change the "Testing Type" setting to "Chained" 2. Import the GKD-B Baseline into the GKD-V indicator: "Input into Volatility/Volume or Backtest (Baseline testing)" 3. Inside the GKD-C 1 indicator, change the "Confirmation Type" setting to "Confirmation 1" 4. Import the GKD-V indicator into the GKD-C 1 indicator: "Input into C1 or Backtest" 5. Inside the GKD-C 2 indicator, change the "Confirmation Type" setting to "Confirmation 2" 6. Import the GKD-C 1 indicator into the GKD-C 2 indicator: "Input into C2" 7. Inside the GKD-C Continuation indicator, change the "Confirmation Type" setting to "Continuation" 8. Inside the GKD-BT Backtest, change the setting "Backtest Special" to "GKD Full wo/ Exits" 9. Import the GKD-E into the GKD-BT Backtest: "Input into Exit or Backtest" Full GKD with Exits (Baseline, Volatility/Volume, Confirmation 1, Confirmation 2, Continuation, Exit, Backtest) 1. Inside the GKD-V indicator, change the "Testing Type" setting to "Chained" 2. Import the GKD-B Baseline into the GKD-V indicator: "Input into Volatility/Volume or Backtest (Baseline testing)" 3. Inside the GKD-C 1 indicator, change the "Confirmation Type" setting to "Confirmation 1" 4. Import the GKD-V indicator into the GKD-C 1 indicator: "Input into C1 or Backtest" 5. Inside the GKD-C 2 indicator, change the "Confirmation Type" setting to "Confirmation 2" 6. Import the GKD-C 1 indicator into the GKD-C 2 indicator: "Input into C2" 7. Inside the GKD-C Continuation indicator, change the "Confirmation Type" setting to "Continuation" 8. Import the GKD-C Continuation indicator into the GKD-E indicator: "Input into Exit" 9. Inside the GKD-BT Backtest, change the setting "Backtest Special" to "GKD Full w/ Exits" 10. Import the GKD-E into the GKD-BT Backtest: "Input into Backtest" Baseline + Volatility/Volume (Baseline, Volatility/Volume, Backtest) 1. Inside the GKD-V indicator, change the "Testing Type" setting to "Baseline + Volatility/Volume" 2. Inside the GKD-V indicator, make sure the "Signal Type" setting is set to "Traditional" 3. Import the GKD-B Baseline into the GKD-V indicator: "Input into Volatility/Volume or Backtest (Baseline testing)" 4. Inside the GKD-BT Backtest, change the setting "Backtest Special" to "Baseline + Volatility/Volume" 5. Import the GKD-V into the GKD-BT Backtest: "Input into C1 or Backtest" 6. Inside the GKD-BT Backtest, change the setting "Backtest Type" to "Full". For this backtest, you must test Longs and Shorts separately 7. To allow the system to open multiple orders at one time so you can test all Longs or Shorts, open the GKD-BT Backtest, click the tab "Properties" and then insert a value of something like 10 orders into the "Pyramiding" settings. This will allow 10 orders to be opened at one time which should be enough to catch all possible Longs or Shorts. Requirements Inputs Confirmation 1: GKD-V Volatility / Volume indicator Confirmation 2: GKD-C Confirmation indicator Continuation: GKD-C Confirmation indicator Solo Confirmation Simple: GKD-B Baseline Solo Confirmation Complex: GKD-V Volatility / Volume indicator Solo Confirmation Super Complex: GKD-V Volatility / Volume indicator Stacked 1: None Stacked 2+: GKD-C, GKD-V, or GKD-B Stacked 1 Outputs Confirmation 1: GKD-C Confirmation 2 indicator Confirmation 2: GKD-C Continuation indicator Continuation: GKD-E Exit indicator Solo Confirmation Simple: GKD-BT Backtest Solo Confirmation Complex: GKD-BT Backtest or GKD-E Exit indicator Solo Confirmation Super Complex: GKD-C Continuation indicator Stacked 1: GKD-C, GKD-V, or GKD-B Stacked 2+ Stacked 2+: GKD-C, GKD-V, or GKD-B Stacked 2+ or GKD-BT Backtest Additional features will be added in future releases.
Wskaźnik Pine Script®
od loxx
EAOBS by MIGVersion 1 1. Strategy Overview Objective: Capitalize on breakout movements in Ethereum (ETH) price after the Asian open pre-market session (7:00 PM–7:59 PM EST) by identifying high and low prices during the session and trading breakouts above the high or below the low. Timeframe: Any (script is timeframe-agnostic, but align with session timing). Session: Pre-market session (7:00 PM–7:59 PM EST, adjustable for other time zones, e.g., 12:00 AM–12:59 AM GMT). Risk-Reward Ratios (R:R): Targets range from 1.2:1 to 5.2:1, with a fixed stop loss. Instrument: Ethereum (ETH/USD or ETH-based pairs). 2. Market Setup Session Monitoring: Monitor ETH price action during the pre-market session (7:00 PM–7:59 PM EST), which aligns with the Asian market open (e.g., 9:00 AM–9:59 AM JST). The script tracks the highest high and lowest low during this session. Breakout Triggers: Buy Signal: Price breaks above the session’s high after the session ends (7:59 PM EST). Sell Signal: Price breaks below the session’s low after the session ends. Visualization: The session is highlighted on the chart with a white background. Horizontal lines are drawn at the session’s high and low, extended for 30 bars, along with take-profit (TP) and stop-loss (SL) levels. 3. Entry Rules Long (Buy) Entry: Enter a long position when the price breaks above the session’s high price after 7:59 PM EST. Entry price: Just above the session high (e.g., add a small buffer, like 0.1–0.5%, to avoid false breakouts, depending on volatility). Short (Sell) Entry: Enter a short position when the price breaks below the session’s low price after 7:59 PM EST. Entry price: Just below the session low (e.g., subtract a small buffer, like 0.1–0.5%). Confirmation: Use a candlestick close above/below the breakout level to confirm the entry. Optionally, add volume confirmation or a momentum indicator (e.g., RSI or MACD) to filter out weak breakouts. Position Size: Calculate position size based on risk tolerance (e.g., 1–2% of account per trade). Risk is determined by the stop-loss distance (10 points, as defined in the script). 4. Exit Rules Take-Profit Levels (in points, based on script inputs):TP1: 12 points (1.2:1 R:R). TP2: 22 points (2.2:1 R:R). TP3: 32 points (3.2:1 R:R). TP4: 42 points (4.2:1 R:R). TP5: 52 points (5.2:1 R:R). Example for Long: If session high is 3000, TP levels are 3012, 3022, 3032, 3042, 3052. Example for Short: If session low is 2950, TP levels are 2938, 2928, 2918, 2908, 2898. Strategy: Scale out of the position (e.g., close 20% at TP1, 20% at TP2, etc.) or take full profit at a preferred TP level based on market conditions. Stop-Loss: Fixed at 10 points from the entry. Long SL: Session high - 10 points (e.g., entry at 3000, SL at 2990). Short SL: Session low + 10 points (e.g., entry at 2950, SL at 2960). Trailing Stop (Optional):After reaching TP2 or TP3, consider trailing the stop to lock in profits (e.g., trail by 10–15 points below the current price). 5. Risk Management per Trade: Limit risk to 1–2% of your trading account per trade. Calculate position size: Account Size × Risk % ÷ (Stop-Loss Distance × ETH Price per Point). Example: $10,000 account, 1% risk = $100. If SL = 10 points and 1 point = $1, position size = $100 ÷ 10 = 0.1 ETH. Daily Risk Limit: Cap daily losses at 3–5% of the account to avoid overtrading. Maximum Exposure: Avoid taking both long and short positions simultaneously unless using separate accounts or strategies. Volatility Consideration: Adjust position size during high-volatility periods (e.g., major news events like Ethereum upgrades or macroeconomic announcements). 6. Trade Management Monitoring :Watch for breakouts after 7:59 PM EST. Monitor price action near TP and SL levels using alerts or manual checks. Trade Duration: Breakout lines extend for 30 bars (script parameter). Close trades if no TP or SL is hit within this period, or reassess based on market conditions. Adjustments: If the market shows strong momentum, consider holding beyond TP5 with a trailing stop. If the breakout fails (e.g., price reverses before TP1), exit early to minimize losses. 7. Additional Considerations Market Conditions: The 7:00 PM–7:59 PM EST session aligns with the Asian market open (e.g., Tokyo Stock Exchange open at 9:00 AM JST), which may introduce higher volatility due to Asian trading activity. Avoid trading during low-liquidity periods or extreme volatility (e.g., major crypto news). Check for upcoming events (e.g., Ethereum network upgrades, ETF decisions) that could impact price. Backtesting: Test the strategy on historical ETH data using the session high/low breakouts for the 7:00 PM–7:59 PM EST window to validate performance. Adjust TP/SL levels based on backtest results if needed. Broker and Fees: Use a low-fee crypto exchange (e.g., Binance, Kraken, Coinbase Pro) to maximize R:R. Account for trading fees and slippage in your position sizing. Time zone Adjustment: Adjust session time input for your time zone (e.g., "0000-0059" for GMT). Ensure your trading platform’s clock aligns with the script’s time zone (default: America/New_York). 8. Example Trade Scenario: Session (7:00 PM–7:59 PM EST) records a high of 3050 and a low of 3000. Long Trade: Entry: Price breaks above 3050 (e.g., enter at 3051). TP Levels: 3063 (TP1), 3073 (TP2), 3083 (TP3), 3093 (TP4), 3103 (TP5). SL: 3040 (3050 - 10). Position Size: For a $10,000 account, 1% risk = $100. SL = 11 points ($11). Size = $100 ÷ 11 = ~0.09 ETH. Short Trade: Entry: Price breaks below 3000 (e.g., enter at 2999). TP Levels: 2987 (TP1), 2977 (TP2), 2967 (TP3), 2957 (TP4), 2947 (TP5). SL: 3010 (3000 + 10). Position Size: Same as above, ~0.09 ETH. Execution: Set alerts for breakouts, enter with limit orders, and monitor TPs/SL. 9. Tools and Setup Platform: Use TradingView to implement the Pine Script and visualize breakout levels. Alerts: Set price alerts for breakouts above the session high or below the session low after 7:59 PM EST. Set alerts for TP and SL levels. Chart Settings: Use a 1-minute or 5-minute chart for precise session tracking. Overlay the script to see high/low lines, TP levels, and SL levels. Optional Indicators: Add RSI (e.g., avoid overbought/oversold breakouts) or volume to confirm breakouts. 10. Risk Warnings Crypto Volatility: ETH is highly volatile; unexpected news can cause rapid price swings. False Breakouts: Breakouts may fail, especially in low-volume sessions. Use confirmation signals. Leverage: Avoid high leverage (e.g., >5x) to prevent liquidation during volatile moves. Session Accuracy: Ensure correct session timing for your time zone to avoid misaligned entries. 11. Performance Tracking Journaling :Record each trade’s entry, exit, R:R, and outcome. Note market conditions (e.g., trending, ranging, news-driven). Review: Weekly: Assess win rate, average R:R, and adherence to the plan. Monthly: Adjust TP/SL or session timing based on performance.
Wskaźnik Pine Script®
od levijames7
GKD-BT Multi-Ticker Baseline Backtest [Loxx]The Giga Kaleidoscope GKD-BT Multi-Ticker Baseline Backtest is a backtesting module included in Loxx's "Giga Kaleidoscope Modularized Trading System." █ Giga Kaleidoscope GKD-BT Multi-Ticker Baseline Backtest The Multi-Ticker SCSC Backtest is a Solo Confirmation Super Complex backtest that allows traders to test GKD-B Multi-Ticker Baseline series baselines indicators filtered. The purpose of this backtest is to enable traders to quickly evaluate the viability of a Baseline across hundreds of tickers within 30-60 minutes. The backtest module supports testing with 1 take profit and 1 stop loss. It also offers the option to limit testing to a specific date range, allowing simulated forward testing using historical data. This backtest module only includes standard long and short signals. Additionally, users can choose to display or hide a trading panel that provides relevant information about the backtest, statistics, and the current trade. Traders can also select a highlighting threshold for Total Percent Wins and Percent Profitable, and Profit Factor. To use this indicator: 1. Import 1-10 tickers into the GKD-B Multi-Ticker Baseline indicator 2. Import the value "Input into NEW GKD-BT Multi-ticker Backtest" from the GKD-B Multi-Ticker Baseline indicator (Volatility-Adaptive, Stepped, etc.) into the GKD-BT Multi-Ticker Baseline Backtest. 3. Import the same 1-10 tickers from number step 1 above into the GKD-BT Multi-Ticker Baseline Backtest indicator into the text area field "Input Tickers separated by commas". 3. When importing tickers, ensure that you import the same type of tickers for all 1-10 tickers. For example, test only FX or Cryptocurrency or Stocks. Do not combine different tradable asset types. 4. Make sure that your chart is set to a ticker that corresponds to the tradable asset type. For cryptocurrency testing, set the chart to BTCUSDT. For Forex testing, set the chart to EURUSD. This backtest includes the following metrics: 1. Net profit: Overall profit or loss achieved. 2. Total Closed Trades: Total number of closed trades, both winning and losing. 3. Total Percent Wins: Total wins, whether long or short, for the selected time interval regardless of commissions and other profit-modifying add-ons. 4. Percent Profitable: Total wins, whether long or short, that are also profitable, taking commissions into account. 5. Profit Factor: The ratio of gross profits to gross losses, indicating how much money the strategy made for every unit of money it lost. 6. Average Profit per Trade: The average gain or loss per trade, calculated by dividing the net profit by the total number of closed trades. 7. Average Number of Bars in Trade: The average number of bars that elapsed during trades for all closed trades. Summary of notable settings: Input Tickers separated by commas: Allows the user to input tickers separated by commas, specifying the symbols or tickers of financial instruments used in the backtest. The tickers should follow the format "EXCHANGE:TICKER" (e.g., "NASDAQ:AAPL, NYSE:MSFT"). Import GKD-B Baseline: Imports the "GKD-B Multi-Ticker Baseline" indicator. Initial Capital: Represents the starting account balance for the backtest, denominated in the base currency of the trading account. Order Size: Determines the quantity of contracts traded in each trade. Order Type: Specifies the type of order used in the backtest, either "Contracts" or "% Equity." Commission: Represents the commission per order or transaction cost incurred in each trade. **the backtest data rendered to the chart above uses $5 commission per trade and 10% equity per trade with $1 million initial capital. Each backtest result for each ticker assumes these same inputs. The results are NOT cumulative, they are separate and isolated per ticker and trading side, long or short** █ Volatility Types included The GKD system utilizes volatility-based take profits and stop losses. Each take profit and stop loss is calculated as a multiple of volatility. You can change the values of the multipliers in the settings as well. This module includes 17 types of volatility: Close-to-Close Parkinson Garman-Klass Rogers-Satchell Yang-Zhang Garman-Klass-Yang-Zhang Exponential Weighted Moving Average Standard Deviation of Log Returns Pseudo GARCH(2,2) Average True Range True Range Double Standard Deviation Adaptive Deviation Median Absolute Deviation Efficiency-Ratio Adaptive ATR Mean Absolute Deviation Static Percent Various volatility estimators and indicators that investors and traders can use to measure the dispersion or volatility of a financial instrument's price. Each estimator has its strengths and weaknesses, and the choice of estimator should depend on the specific needs and circumstances of the user. Close-to-Close Close-to-Close volatility is a classic and widely used volatility measure, sometimes referred to as historical volatility. Volatility is an indicator of the speed of a stock price change. A stock with high volatility is one where the price changes rapidly and with a larger amplitude. The more volatile a stock is, the riskier it is. Close-to-close historical volatility is calculated using only a stock's closing prices. It is the simplest volatility estimator. However, in many cases, it is not precise enough. Stock prices could jump significantly during a trading session and return to the opening value at the end. That means that a considerable amount of price information is not taken into account by close-to-close volatility. Despite its drawbacks, Close-to-Close volatility is still useful in cases where the instrument doesn't have intraday prices. For example, mutual funds calculate their net asset values daily or weekly, and thus their prices are not suitable for more sophisticated volatility estimators. Parkinson Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day. The main difference between regular volatility and Parkinson volatility is that the latter uses high and low prices for a day, rather than only the closing price. This is useful as close-to-close prices could show little difference while large price movements could have occurred during the day. Thus, Parkinson's volatility is considered more precise and requires less data for calculation than close-to-close volatility. One drawback of this estimator is that it doesn't take into account price movements after the market closes. Hence, it systematically undervalues volatility. This drawback is addressed in the Garman-Klass volatility estimator. Garman-Klass Garman-Klass is a volatility estimator that incorporates open, low, high, and close prices of a security. Garman-Klass volatility extends Parkinson's volatility by taking into account the opening and closing prices. As markets are most active during the opening and closing of a trading session, it makes volatility estimation more accurate. Garman and Klass also assumed that the process of price change follows a continuous diffusion process (Geometric Brownian motion). However, this assumption has several drawbacks. The method is not robust for opening jumps in price and trend movements. Despite its drawbacks, the Garman-Klass estimator is still more effective than the basic formula since it takes into account not only the price at the beginning and end of the time interval but also intraday price extremes. Researchers Rogers and Satchell have proposed a more efficient method for assessing historical volatility that takes into account price trends. See Rogers-Satchell Volatility for more detail. Rogers-Satchell Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero. Unlike Parkinson and Garman-Klass estimators, Rogers-Satchell incorporates a drift term (mean return not equal to zero). As a result, it provides better volatility estimation when the underlying is trending. The main disadvantage of this method is that it does not take into account price movements between trading sessions. This leads to an underestimation of volatility since price jumps periodically occur in the market precisely at the moments between sessions. A more comprehensive estimator that also considers the gaps between sessions was developed based on the Rogers-Satchel formula in the 2000s by Yang-Zhang. See Yang Zhang Volatility for more detail. Yang-Zhang Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error. Yang-Zhang volatility can be thought of as a combination of the overnight (close-to-open volatility) and a weighted average of the Rogers-Satchell volatility and the day’s open-to-close volatility. It is considered to be 14 times more efficient than the close-to-close estimator. Garman-Klass-Yang-Zhang Garman-Klass-Yang-Zhang (GKYZ) volatility estimator incorporates the returns of open, high, low, and closing prices in its calculation. GKYZ volatility estimator takes into account overnight jumps but not the trend, i.e., it assumes that the underlying asset follows a Geometric Brownian Motion (GBM) process with zero drift. Therefore, the GKYZ volatility estimator tends to overestimate the volatility when the drift is different from zero. However, for a GBM process, this estimator is eight times more efficient than the close-to-close volatility estimator. Exponential Weighted Moving Average The Exponentially Weighted Moving Average (EWMA) is a quantitative or statistical measure used to model or describe a time series. The EWMA is widely used in finance, with the main applications being technical analysis and volatility modeling. The moving average is designed such that older observations are given lower weights. The weights decrease exponentially as the data point gets older – hence the name exponentially weighted. The only decision a user of the EWMA must make is the parameter lambda. The parameter decides how important the current observation is in the calculation of the EWMA. The higher the value of lambda, the more closely the EWMA tracks the original time series. Standard Deviation of Log Returns This is the simplest calculation of volatility. It's the standard deviation of ln(close/close(1)). Pseudo GARCH(2,2) This is calculated using a short- and long-run mean of variance multiplied by ?. avg(var;M) + (1 ? ?) avg(var;N) = 2?var/(M+1-(M-1)L) + 2(1-?)var/(M+1-(M-1)L) Solving for ? can be done by minimizing the mean squared error of estimation; that is, regressing L^-1var - avg(var; N) against avg(var; M) - avg(var; N) and using the resulting beta estimate as ?. 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. True Range Double A special case of ATR that attempts to correct for volatility skew. 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 ? 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. Additionally, 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 the standard is significant--not just because of EMA usage, but the efficiency ratio makes it a "bit more logical" in very volatile market conditions. 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, a manual recreation of the quantile function in Pine Script is used. This is so users have a full inside view into how this is calculated. Efficiency-Ratio Adaptive ATR Average True Range (ATR) is a widely used indicator for many occasions in technical analysis. It is calculated as the RMA of the true range. This version adds a "twist": it uses Perry Kaufman's Efficiency Ratio to calculate adaptive true range. 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. █ Giga Kaleidoscope Modularized Trading System Core components of an NNFX algorithmic trading strategy The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm: 1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc. 2. Baseline - a moving average to identify price trend 3. Confirmation 1 - a technical indicator used to identify trends 4. Confirmation 2 - a technical indicator used to identify trends 5. Continuation - a technical indicator used to identify trends 6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown 7. Exit - a technical indicator used to determine when a trend is exhausted 8. Metamorphosis - a technical indicator that produces a compound signal from the combination of other GKD indicators* *(not part of the NNFX algorithm) What is Volatility in the NNFX trading system? In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period. True range is calculated as the maximum of the following values: -Current high minus the current low -Absolute value of the current high minus the previous close -Absolute value of the current low minus the previous close ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses. Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass What is a Baseline indicator? The baseline is essentially a moving average, and is used to determine the overall direction of the market. The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR). Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail. By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend. What is a Confirmation indicator? Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI). The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend. Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the MACD Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators. In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades. What is a Continuation indicator? In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy. What is a Volatility/Volume indicator? Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa. By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements. What is an Exit indicator? The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy. The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, and the Average Directional Index (ADX). The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses. In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor. Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time. What is an Metamorphosis indicator? The concept of a metamorphosis indicator involves the integration of two or more GKD indicators to generate a compound signal. This is achieved by evaluating the accuracy of each indicator and selecting the signal from the indicator with the highest accuracy. As an illustration, let's consider a scenario where we calculate the accuracy of 10 indicators and choose the signal from the indicator that demonstrates the highest accuracy. The resulting output from the metamorphosis indicator can then be utilized in a GKD-BT backtest by occupying a slot that aligns with the purpose of the metamorphosis indicator. The slot can be a GKD-B, GKD-C, or GKD-E slot, depending on the specific requirements and objectives of the indicator. This allows for seamless integration and utilization of the compound signal within the GKD-BT framework. How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above? Loxx's GKD v2.0 system has five types of modules (indicators/strategies). These modules are: 1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm) 2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm) 3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm) 4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm) 5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm) 6. GKD-M - Metamorphosis module (Metamorphosis, Number 8 in the NNFX algorithm, but not part of the NNFX algorithm) (additional module types will added in future releases) Each module interacts with every module by passing data to A backtest module wherein the various components of the GKD system are combined to create a trading signal. That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy. This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm. What does the application of the GKD trading system look like? Example trading system: Backtest: Multi-Ticker CC Backtest Baseline: Hull Moving Average Volatility/Volume: Hurst Exponent Confirmation 1: Advance Trend Pressure as shown on the chart above Confirmation 2: uf2018 Continuation: Coppock Curve Exit: Rex Oscillator Metamorphosis: Baseline Optimizer Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, GKD-M, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD system. █ Giga Kaleidoscope Modularized Trading System Signals Standard Entry 1. GKD-C Confirmation gives signal 2. Baseline agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Confirmation 2 agrees 6. Volatility/Volume agrees 1-Candle Standard Entry 1a. GKD-C Confirmation gives signal 2a. Baseline agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum Next Candle 1b. Price retraced 2b. Baseline agrees 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Volatility/Volume agrees Baseline Entry 1. GKD-B Baseline gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Confirmation 2 agrees 6. Volatility/Volume agrees 7. Confirmation 1 signal was less than 'Maximum Allowable PSBC Bars Back' prior 1-Candle Baseline Entry 1a. GKD-B Baseline gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSBC Bars Back' prior Next Candle 1b. Price retraced 2b. Baseline agrees 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Volatility/Volume agrees Volatility/Volume Entry 1. GKD-V Volatility/Volume gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Confirmation 2 agrees 6. Baseline agrees 7. Confirmation 1 signal was less than 7 candles prior 1-Candle Volatility/Volume Entry 1a. GKD-V Volatility/Volume gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSVVC Bars Back' prior Next Candle 1b. Price retraced 2b. Volatility/Volume agrees 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Baseline agrees Confirmation 2 Entry 1. GKD-C Confirmation 2 gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Volatility/Volume agrees 6. Baseline agrees 7. Confirmation 1 signal was less than 7 candles prior 1-Candle Confirmation 2 Entry 1a. GKD-C Confirmation 2 gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSC2C Bars Back' prior Next Candle 1b. Price retraced 2b. Confirmation 2 agrees 3b. Confirmation 1 agrees 4b. Volatility/Volume agrees 5b. Baseline agrees PullBack Entry 1a. GKD-B Baseline gives signal 2a. Confirmation 1 agrees 3a. Price is beyond 1.0x Volatility of Baseline Next Candle 1b. Price inside Goldie Locks Zone Minimum 2b. Price inside Goldie Locks Zone Maximum 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Volatility/Volume agrees Continuation Entry 1. Standard Entry, 1-Candle Standard Entry, Baseline Entry, 1-Candle Baseline Entry, Volatility/Volume Entry, 1-Candle Volatility/Volume Entry, Confirmation 2 Entry, 1-Candle Confirmation 2 Entry, or Pullback entry triggered previously 2. Baseline hasn't crossed since entry signal trigger 4. Confirmation 1 agrees 5. Baseline agrees 6. Confirmation 2 agrees
Wskaźnik Pine Script®
od loxx
1
RSI & Backed-Weighted MA StrategyRSI & MA Strategy : INTRODUCTION : This strategy is based on two well-known indicators that work best together: the Relative Strength Index (RSI) and the Moving Average (MA). We're going to use the RSI as a trend-follower indicator, rather than a reversal indicator as most are used to. To the signals sent by the RSI, we'll add a condition on the chart's MA, filtering out irrelevant signals and considerably increasing our winning rate. This is a medium/long-term strategy. There's also a money management method enabling us to reinvest part of the profits or reduce the size of orders in the event of substantial losses. RSI : The RSI is one of the best-known and most widely used indicators in trading. Its purpose is to warn traders when an asset is overbought or oversold. It was designed to send reversal signals, but we're going to use it as a trend indicator by increasing its length to 20. The RSI formula is as follows : RSI (n) = 100 - (100 / (1 + (H (n)/L (n)))) With n the length of the RSI, H(n) the average of days closing above the open and L(n) the average of days closing below the open. MA : The Moving Average is also widely used in technical analysis, to smooth out variations in an asset. The SMA formula is as follows : SMA (n) = (P1 + P2 + ... + Pn) / n where n is the length of the MA. However, an SMA does not weight any of its terms, which means that the price 10 days ago has the same importance as the price 2 days ago or today's price... That's why in this strategy we use a RWMA, i.e. a back-weighted moving average. It weights old prices more heavily than new ones. This will enable us to limit the impact of short-term variations and focus on the trend that was dominating. The RWMA used weights : The 4 most recent terms by : 100 / (4+(n-4)*1.30) The other oldest terms by : weight_4_first_term*1.30 So the older terms are weighted 1.30 more than the more recent ones. The moving average thus traces a trend that accentuates past values and limits the noise of short-term variations. PARAMETERS : RSI Length : Lenght of RSI. Default is 20. MA Type : Choice between a SMA or a RWMA which permits to minimize the impact of short term reversal. Default is RWMA. MA Length : Length of the selected MA. Default is 19. RSI Long Signal : Minimum value of RSI to send a LONG signal. Default is 60. RSI Short signal : Maximum value of RSI to send a SHORT signal. Default is 40. ROC MA Long Signal : Maximum value of Rate of Change MA to send a LONG signal. Default is 0. ROC MA Short signal : Minimum value of Rate of Change MA to send a SHORT signal. Default is 0. TP activation in multiple of ATR : Threshold value to trigger trailing stop Take Profit. This threshold is calculated as multiple of the ATR (Average True Range). Default value is 5 meaning that to trigger the trailing TP the price need to move 5*ATR in the right direction. Trailing TP in percentage : Percentage value of trailing Take Profit. This Trailing TP follows the profit if it increases, remaining selected percentage below it, but stops if the profit decreases. Default is 3%. Fixed Ratio : This is the amount of gain or loss at which the order quantity is changed. Default is 400, which means that for each $400 gain or loss, the order size is increased or decreased by a user-selected amount. Increasing Order Amount : This is the amount to be added to or subtracted from orders when the fixed ratio is reached. The default is $200, which means that for every $400 gain, $200 is reinvested in the strategy. On the other hand, for every $400 loss, the order size is reduced by $200. Initial capital : $1000 Fees : Interactive Broker fees apply to this strategy. They are set at 0.18% of the trade value. Slippage : 3 ticks or $0.03 per trade. Corresponds to the latency time between the moment the signal is received and the moment the order is executed by the broker. Important : A bot has been used to test the different parameters and determine which ones maximize return while limiting drawdown. This strategy is the most optimal on BITSTAMP:ETHUSD with a timeframe set to 6h. Parameters are set as follows : MA type: RWMA MA Length: 19 RSI Long Signal: >60 RSI Short Signal : <40 ROC MA Long Signal : <0 ROC MA Short Signal : >0 TP Activation in multiple ATR : 5 Trailing TP in percentage : 3 ENTER RULES : The principle is very simple: If the asset is overbought after a bear market, we are LONG. If the asset is oversold after a bull market, we are SHORT. We have defined a bear market as follows : Rate of Change (20) RWMA < 0 We have defined a bull market as follows : Rate of Change (20) RWMA > 0 The Rate of Change is calculated using this formula : (RWMA/RWMA(20) - 1)*100 Overbought is defined as follows : RSI > 60 Oversold is defined as follows : RSI < 40 LONG CONDITION : RSI > 60 and (RWMA/RWMA(20) - 1)*100 < -1 SHORT CONDITION : RSI < 40 and (RWMA/RWMA(20) - 1)*100 > 1 EXIT RULES FOR WINNING TRADE : We have a trailing TP allowing us to exit once the price has reached the "TP Activation in multiple ATR" parameter, i.e. 5*ATR by default in the profit direction. TP trailing is triggered at this point, not limiting our gains, and securing our profits at 3% below this trigger threshold. Remember that the True Range is : maximum(H-L, H-C(1), C-L(1)) with C : Close, H : High, L : Low The Average True Range is therefore the average of these TRs over a length defined by default in the strategy, i.e. 20. RISK MANAGEMENT : This strategy may incur losses. The method for limiting losses is to set a Stop Loss equal to 3*ATR. This means that if the price moves against our position and reaches three times the ATR, we exit with a loss. Sometimes the ATR can result in a SL set below 10% of the trade value, which is not acceptable. In this case, we set the SL at 10%, limiting losses to a maximum of 10%. MONEY MANAGEMENT : The fixed ratio method was used to manage our gains and losses. For each gain of an amount equal to the value of the fixed ratio, we increase the order size by a value defined by the user in the "Increasing order amount" parameter. Similarly, each time we lose an amount equal to the value of the fixed ratio, we decrease the order size by the same user-defined value. This strategy increases both performance and drawdown. Enjoy the strategy and don't forget to take the trade :)
Strategia Pine Script®
od geneZ_fi
1
Machine Learning: SuperTrend Strategy TP/SL [YinYangAlgorithms]The SuperTrend is a very useful Indicator to display when trends have shifted based on the Average True Range (ATR). Its underlying ideology is to calculate the ATR using a fixed length and then multiply it by a factor to calculate the SuperTrend +/-. When the close crosses the SuperTrend it changes direction. This Strategy features the Traditional SuperTrend Calculations with Machine Learning (ML) and Take Profit / Stop Loss applied to it. Using ML on the SuperTrend allows for the ability to sort data from previous SuperTrend calculations. We can filter the data so only previous SuperTrends that follow the same direction and are within the distance bounds of our k-Nearest Neighbour (KNN) will be added and then averaged. This average can either be achieved using a Mean or with an Exponential calculation which puts added weight on the initial source. Take Profits and Stop Losses are then added to the ML SuperTrend so it may capitalize on Momentum changes meanwhile remaining in the Trend during consolidation. By applying Machine Learning logic and adding a Take Profit and Stop Loss to the Traditional SuperTrend, we may enhance its underlying calculations with potential to withhold the trend better. The main purpose of this Strategy is to minimize losses and false trend changes while maximizing gains. This may be achieved by quick reversals of trends where strategic small losses are taken before a large trend occurs with hopes of potentially occurring large gain. Due to this logic, the Win/Loss ratio of this Strategy may be quite poor as it may take many small marginal losses where there is consolidation. However, it may also take large gains and capitalize on strong momentum movements. Tutorial: In this example above, we can get an idea of what the default settings may achieve when there is momentum. It focuses on attempting to hit the Trailing Take Profit which moves in accord with the SuperTrend just with a multiplier added. When momentum occurs it helps push the SuperTrend within it, which on its own may act as a smaller Trailing Take Profit of its own accord. We’ve highlighted some key points from the last example to better emphasize how it works. As you can see, the White Circle is where profit was taken from the ML SuperTrend simply from it attempting to switch to a Bullish (Buy) Trend. However, that was rejected almost immediately and we went back to our Bearish (Sell) Trend that ended up resulting in our Take Profit being hit (Yellow Circle). This Strategy aims to not only capitalize on the small profits from SuperTrend to SuperTrend but to also capitalize when the Momentum is so strong that the price moves X% away from the SuperTrend and is able to hit the Take Profit location. This Take Profit addition to this Strategy is crucial as momentum may change state shortly after such drastic price movements; and if we were to simply wait for it to come back to the SuperTrend, we may lose out on lots of potential profit. If you refer to the Yellow Circle in this example, you’ll notice what was talked about in the Summary/Overview above. During periods of consolidation when there is little momentum and price movement and we don’t have any Stop Loss activated, you may see ‘Signal Flashing’. Signal Flashing is when there are Buy and Sell signals that keep switching back and forth. During this time you may be taking small losses. This is a normal part of this Strategy. When a signal has finally been confirmed by Momentum, is when this Strategy shines and may produce the profit you desire. You may be wondering, what causes these jagged like patterns in the SuperTrend? It's due to the ML logic, and it may be a little confusing, but essentially what is happening is the Fast Moving SuperTrend and the Slow Moving SuperTrend are creating KNN Min and Max distances that are extreme due to (usually) parabolic movement. This causes fewer values to be added to and averaged within the ML and causes less smooth and more exponential drastic movements. This is completely normal, and one of the perks of using k-Nearest Neighbor for ML calculations. If you don’t know, the Min and Max Distance allowed is derived from the most recent(0 index of data array) to KNN Length. So only SuperTrend values that exhibit distances within these Min/Max will be allowed into the average. Since the KNN ML logic can cause these exponential movements in the SuperTrend, they likewise affect its Take Profit. The Take Profit may benefit from this movement like displayed in the example above which helped it claim profit before then exhibiting upwards movement. By default our Stop Loss Multiplier is kept quite low at 0.0000025. Keeping it low may help to reduce some Signal Flashing while not taking extra losses more so than not using it at all. However, if we increase it even more to say 0.005 like is shown in the example above. It can really help the trend keep momentum. Please note, although previous results don’t imply future results, at 0.0000025 Stop Loss we are currently exhibiting 69.27% profit while at 0.005 Stop Loss we are exhibiting 33.54% profit. This just goes to show that although there may be less Signal Flashing, it may not result in more profit. We will conclude our Tutorial here. Hopefully this has given you some insight as to how Machine Learning, combined with Trailing Take Profit and Stop Loss may have positive effects on the SuperTrend when turned into a Strategy. Settings: SuperTrend: ATR Length: ATR Length used to create the Original Supertrend. Factor: Multiplier used to create the Original Supertrend. Stop Loss Multiplier: 0 = Don't use Stop Loss. Stop loss can be useful for helping to prevent false signals but also may result in more loss when hit and less profit when switching trends. Take Profit Multiplier: Take Profits can be useful within the Supertrend Strategy to stop the price reverting all the way to the Stop Loss once it's been profitable. Machine Learning: Only Factor Same Trend Direction: Very useful for ensuring that data used in KNN is not manipulated by different SuperTrend Directional data. Please note, it doesn't affect KNN Exponential. Rationalized Source Type: Should we Rationalize only a specific source, All or None? Machine Learning Type: Are we using a Simple ML Average, KNN Mean Average, KNN Exponential Average or None? Machine Learning Smoothing Type: How should we smooth our Fast and Slow ML Datas to be used in our KNN Distance calculation? SMA, EMA or VWMA? KNN Distance Type: We need to check if distance is within the KNN Min/Max distance, which distance checks are we using. Machine Learning Length: How far back is our Machine Learning going to keep data for. k-Nearest Neighbour (KNN) Length: How many k-Nearest Neighbours will we account for? Fast ML Data Length: What is our Fast ML Length?? This is used with our Slow Length to create our KNN Distance. Slow ML Data Length: What is our Slow ML Length?? This is used with our Fast Length to create our KNN Distance. If you have any questions, comments, ideas or concerns please don't hesitate to contact us. HAPPY TRADING!
Strategia Pine Script®
od YinYangAlgorithms
11
[blackcat] L1 MartinGale Scalping Strategy**MartinGale Strategy** is a popular money management strategy used in trading. It is commonly applied in situations where the trader aims to recover from a losing streak by increasing the position size after each loss. In the MartinGale Strategy, after a losing trade, the trader doubles the position size for the next trade. This is done in the hopes that a winning trade will eventually occur, which will not only recover the previous losses but also generate a profit. The idea behind the MartinGale Strategy is to take advantage of the law of averages. By increasing the position size after each loss, the strategy assumes that eventually, a winning trade will occur, which will not only cover the previous losses but also generate a profit. This can be especially appealing for traders looking for a quick recovery from a losing streak. However, it is important to note that the MartinGale Strategy carries significant risks. If a trader experiences a prolonged losing streak or lacks sufficient capital, the strategy can lead to substantial losses. The strategy's reliance on the assumption of a winning trade can be dangerous, as there is no guarantee that a winning trade will occur within a certain timeframe. Traders considering implementing the MartinGale Strategy should carefully assess their risk tolerance and thoroughly understand the potential drawbacks. It is crucial to have a solid risk management plan in place to mitigate potential losses. Additionally, traders should be aware that the strategy may not be suitable for all market conditions and may require adjustments based on market volatility. In summary, the MartinGale Strategy is a money management strategy that involves increasing the position size after each loss in an attempt to recover from a losing streak. While it can offer the potential for quick recovery, it also comes with significant risks that traders should carefully consider before implementing it in their trading approach. The MartinGale Scalping Strategy is a trading strategy designed to generate profits through frequent trades. It utilizes a combination of moving average crossovers and crossunders to generate entry and exit signals. The strategy is implemented in TradingView's Pine Script language. The strategy begins by defining input variables such as take profit and stop loss levels, as well as the trading mode (long, short, or bidirectional). It then sets a rule to allow only long entries if the trading mode is set to "Long". The strategy logic is defined using SMA (Simple Moving Average) crossover and crossunder signals. It calculates a short-term SMA (SMA3) and a longer-term SMA (SMA8), and plots them on the chart. The crossoverSignal and crossunderSignal variables are used to track the occurrence of the crossover and crossunder events, while the crossoverState and crossunderState variables determine the state of the crossover and crossunder conditions. The strategy execution is based on the current position size. If the position size is zero (no open positions), the strategy checks for crossover and crossunder events. If a crossover event occurs and the trading mode allows long entries, a long position is entered. The entry price, stop price, take profit price, and stop loss price are calculated based on the current close price and the SMA8 value. Similarly, if a crossunder event occurs and the trading mode allows short entries, a short position is entered with the corresponding price calculations. If there is an existing long position and the current close price reaches either the take profit price or the stop loss price, and a crossunder event occurs, the long position is closed. The entry price, stop price, take profit price, and stop loss price are reset to zero. Likewise, if there is an existing short position and the current close price reaches either the take profit price or the stop loss price, and a crossover event occurs, the short position is closed and the price variables are reset. The strategy also plots entry and exit points on the chart using plotshape function. It displays a triangle pointing up for a buy entry, a triangle pointing down for a buy exit, a triangle pointing down for a sell entry, and a triangle pointing up for a sell exit. Overall, the MartinGale Scalping Strategy aims to capture small profits by taking advantage of short-term moving average crossovers and crossunders. It incorporates risk management through take profit and stop loss levels, and allows for different trading modes to accommodate different market conditions.
Strategia Pine Script®
od blackcat1402
GKD-E Variety RSI [Loxx]The Giga Kaleidoscope GKD-E Variety RSI is a confirmation module included in Loxx's "Giga Kaleidoscope Modularized Trading System." █ GKD-E Variety RSI This indicator is an RSI indicator with the following 9 RSI types to be used for exit signals in the GKD trading system. This indicator includes 9 types of RSI 1. Regular RSI 2. Slow RSI 3. Ehlers Smoothed RSI 4. Cutler's RSI or Rapid RSI 5. RSI T3 6. RSI DEMA 7. Harris' RSI 8. RSI TEMA 9. Jurik RSX Regular RSI The Relative Strength Index (RSI) is a widely used technical indicator in the field of financial market analysis. Developed by J. Welles Wilder Jr. in 1978, the RSI is a momentum oscillator that measures the speed and change of price movements. It helps traders identify potential trend reversals, overbought, and oversold conditions in a market. The RSI is calculated based on the average gains and losses of an asset over a specified period, typically 14 days. The formula for calculating the RSI is as follows: RSI = 100 - (100 / (1 + RS)) Where: RS (Relative Strength) = Average gain over the specified period / Average loss over the specified period The RSI ranges from 0 to 100, with values above 70 generally considered overbought (potentially indicating that the asset is overvalued and may experience a price decline) and values below 30 considered oversold (potentially indicating that the asset is undervalued and may experience a price increase). Slow RSI The Slow RSI is a variation of the standard RSI, which introduces a smoothing technique to the RSI calculation itself. The primary difference between the Slow RSI and the standard RSI lies in the calculation of the RSI value. In the Slow RSI, the current RSI value is calculated as a moving average of the previous RSI value and the standard RSI value for the current period. The primary advantage of the Slow RSI is that it offers enhanced signal stability, reducing noise and potentially providing more reliable trading signals for traders. Comparison with the original RSI To better understand the potential advantages and disadvantages of the Slow RSI, it is essential to compare its performance against the original RSI. Advantages 1. The Slow RSI provides enhanced signal stability by smoothing the RSI calculation, which can help traders better assess market conditions and identify potential overbought or oversold situations. 2. By offering more stable and reliable signals, the Slow RSI may improve the performance of trading strategies based on the RSI, especially in noisy or choppy market conditions. Disadvantages 1. The smoothing technique employed by the Slow RSI may result in a slower response to changes in price momentum compared to the original RSI. This could lead to delayed signals for entering or exiting trades, which may not be ideal for short-term traders or fast-moving markets. 2. As the Slow RSI is less known and less widely used than the standard RSI, traders may find it more challenging to find resources and support for implementing this variation of the indicator. The Slow RSI is an interesting modification of the standard RSI, offering potential benefits in terms of signal stability and reliability. However, it is crucial to recognize its limitations, such as a potentially slower response to changes in price momentum. Traders should carefully consider the potential advantages and drawbacks of using the Slow RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and the Slow RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. Ehlers Smoothed RSI Ehlers Smoothed RSI is a variation of the standard RSI developed by John F. Ehlers, which introduces a smoothing technique to the price input data. The smoothing process involves averaging the current price with the previous two price values, which helps reduce noise and provide a more accurate representation of price momentum. The calculation of up and down price movements remains similar to the original RSI, but the smoothing technique alters the input data. The primary advantage of Ehlers Smoothed RSI is that it reduces noise and offers a more accurate representation of price momentum, potentially providing more reliable signals for traders. Comparison with the original RSI To better understand the potential advantages and disadvantages of Ehlers Smoothed RSI, it is essential to compare its performance against the original RSI. Advantages 1. Ehlers Smoothed RSI reduces noise by smoothing the price input data, which can help traders better assess market conditions and identify potential overbought or oversold situations. 2. By providing a more accurate representation of price momentum, Ehlers Smoothed RSI may offer more reliable signals for entering or exiting trades, potentially improving the performance of trading strategies based on the RSI. Disadvantages 1. The smoothing technique employed by Ehlers Smoothed RSI may result in a slower response to changes in price momentum compared to the original RSI. This could lead to delayed signals for entering or exiting trades, which may not be ideal for short-term traders or fast-moving markets. 2. As Ehlers Smoothed RSI is less known and less widely used than the standard RSI, traders may find it more challenging to find resources and support for implementing this variation of the indicator. Ehlers Smoothed RSI is an intriguing modification of the standard RSI, offering potential benefits in terms of noise reduction and accuracy. However, it is crucial to recognize its limitations, such as a potentially slower response to changes in price momentum. Traders should carefully consider the potential advantages and drawbacks of using Ehlers Smoothed RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and Ehlers Smoothed RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. Cutler's RSI or Rapid RSI Cutler's RSI is a variation of the standard RSI, which modifies the calculation of average gains and losses. While the original RSI employs exponential moving averages (EMAs) for average gains and losses, Cutler's RSI utilizes simple moving averages (SMAs) instead. This change results in a slightly different behavior of the oscillator compared to the original RSI. The primary advantage of Cutler's RSI is that it offers a simpler calculation method, which can potentially make it easier to understand and implement for traders. Additionally, by using SMAs, Cutler's RSI may provide a more consistent and stable representation of price momentum. Comparison with the original RSI It is essential to recognize the limitations and performance of Cutler's RSI compared to the original RSI to understand its potential advantages and disadvantages better. Advantages 1. Cutler's RSI has a simpler calculation method, using SMAs instead of EMAs. This makes it easier to understand and implement for traders who prefer a more straightforward approach to technical analysis. 2. By using SMAs, Cutler's RSI may provide a more stable and consistent representation of price momentum, which can help traders better assess market conditions and identify potential overbought or oversold situations. Disadvantages 1. The use of SMAs in Cutler's RSI may result in a slower response to changes in price momentum compared to the original RSI. This could lead to delayed signals for entering or exiting trades, which may not be ideal for short-term traders or fast-moving markets. 2. As Cutler's RSI is less known and less widely used than the standard RSI, it may be more challenging to find resources and support for implementing this variation of the indicator. Cutler's RSI is an interesting modification of the standard RSI, offering potential benefits in terms of simplicity and stability. However, it is crucial to recognize its limitations, such as a potentially slower response to changes in price momentum. Traders should carefully consider the potential advantages and drawbacks of using Cutler's RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and Cutler's RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. RSI T3 The T3 RSI is a variation of the standard RSI that introduces the Triple Smoothed Exponential Moving Average (T3) into the calculation process. The primary difference between the T3 RSI and the standard RSI lies in the calculation of the average gains and losses. Instead of using simple moving averages or exponential moving averages, the T3 RSI utilizes T3 to calculate the average gains and losses for up and down price movements. The primary advantage of the T3 RSI is that it offers enhanced responsiveness and accuracy compared to the original RSI, potentially providing more reliable trading signals for traders. Comparison with the original RSI To better understand the potential advantages and disadvantages of the T3 RSI, it is essential to compare its performance against the original RSI. Advantages 1. The T3 RSI provides enhanced responsiveness and accuracy by incorporating the Triple Smoothed Exponential Moving Average into the calculation of average gains and losses. This can help traders better assess market conditions and identify potential overbought or oversold situations. 2. By offering more responsive and accurate signals, the T3 RSI may improve the performance of trading strategies based on the RSI, especially in fast-moving markets or during periods of high price volatility. Disadvantages 1. The T3 RSI's increased responsiveness may result in more frequent trading signals, which could lead to higher trading costs or a higher likelihood of false signals. 2. As the T3 RSI is less known and less widely used than the standard RSI, traders may find it more challenging to find resources and support for implementing this variation of the indicator. The T3 RSI is an innovative modification of the standard RSI, offering potential benefits in terms of responsiveness and accuracy. However, it is crucial to recognize its limitations, such as a potentially higher likelihood of false signals due to increased responsiveness. Traders should carefully consider the potential advantages and drawbacks of using the T3 RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and the T3 RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. RSI DEMA The DEMA RSI is a variation of the standard RSI that introduces the Double Exponential Moving Average (DEMA) into the calculation process. The primary difference between the DEMA RSI and the standard RSI lies in the calculation of the average gains and losses. Instead of using simple moving averages or exponential moving averages, the DEMA RSI utilizes DEMA to calculate the average gains and losses for up and down price movements. The primary advantage of the DEMA RSI is that it offers enhanced responsiveness and accuracy compared to the original RSI, potentially providing more reliable trading signals for traders. Comparison with the original RSI To better understand the potential advantages and disadvantages of the DEMA RSI, it is essential to compare its performance against the original RSI. Advantages 1. The DEMA RSI provides enhanced responsiveness and accuracy by incorporating the Double Exponential Moving Average into the calculation of average gains and losses. This can help traders better assess market conditions and identify potential overbought or oversold situations. 2. By offering more responsive and accurate signals, the DEMA RSI may improve the performance of trading strategies based on the RSI, especially in fast-moving markets or during periods of high price volatility. Disadvantages 1. The DEMA RSI's increased responsiveness may result in more frequent trading signals, which could lead to higher trading costs or a higher likelihood of false signals. 2. As the DEMA RSI is less known and less widely used than the standard RSI, traders may find it more challenging to find resources and support for implementing this variation of the indicator. The DEMA RSI is an innovative modification of the standard RSI, offering potential benefits in terms of responsiveness and accuracy. However, it is crucial to recognize its limitations, such as a potentially higher likelihood of false signals due to increased responsiveness. Traders should carefully consider the potential advantages and drawbacks of using the DEMA RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and the DEMA RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. Harris' RSI Harris' RSI is a variation of the standard RSI, designed to address some of its limitations and improve its performance in detecting potential trend reversals and filtering out noise. The key difference between the Harris' RSI and the standard RSI lies in the calculation of average gains and losses. While the standard RSI calculation uses exponential moving averages (EMAs) of gains and losses, Harris' RSI uses a different approach to compute the average gains and losses based on the number of up and down price movements. The primary advantage of Harris' RSI is that it aims to provide a more adaptive and responsive indicator, making it better suited for detecting potential trend reversals and filtering out noise in the market. By taking into account the number of up and down price movements, Harris' RSI can be more sensitive to changes in the trend, potentially providing earlier signals for entering or exiting trades. Comparison with the original RSI While Harris' RSI offers potential improvements over the standard RSI, it is essential to recognize its limitations and compare its performance against the original RSI. Advantages 1. Harris' RSI can potentially provide earlier signals for trend reversals due to its sensitivity to the number of up and down price movements. This can help traders to identify better entry and exit points in the market. 2. By focusing on the number of up and down price movements, Harris' RSI can filter out noise in the market, reducing the likelihood of false signals that may lead to losing trades. Disadvantages 1. The increased sensitivity of Harris' RSI to price movements can lead to more frequent signals, which may result in overtrading and increased trading costs. 2. Harris' RSI is less known and less widely used than the standard RSI, which may make it more challenging to find resources and support for implementing this variation of the indicator. Harris' RSI is an interesting variation of the standard RSI, offering potential advantages in detecting trend reversals and filtering out noise. However, like any technical indicator, it has its limitations and may not be suitable for all trading styles or market conditions. Traders should carefully consider the potential benefits and drawbacks of using Harris' RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and Harris' RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. RSI TEMA The TEMA RSI is a variation of the standard RSI that introduces the Triple Exponential Moving Average (TEMA) into the calculation process. The primary difference between the TEMA RSI and the standard RSI lies in the calculation of the average gains and losses. Instead of using simple moving averages or exponential moving averages, the TEMA RSI utilizes TEMA to calculate the average gains and losses for up and down price movements. The primary advantage of the TEMA RSI is that it offers enhanced responsiveness and accuracy compared to the original RSI, potentially providing more reliable trading signals for traders. Comparison with the original RSI To better understand the potential advantages and disadvantages of the TEMA RSI, it is essential to compare its performance against the original RSI. Advantages 1. The TEMA RSI provides enhanced responsiveness and accuracy by incorporating the Triple Exponential Moving Average into the calculation of average gains and losses. This can help traders better assess market conditions and identify potential overbought or oversold situations. 2. By offering more responsive and accurate signals, the TEMA RSI may improve the performance of trading strategies based on the RSI, especially in fast-moving markets or during periods of high price volatility. Disadvantages 1. The TEMA RSI's increased responsiveness may result in more frequent trading signals, which could lead to higher trading costs or a higher likelihood of false signals. 2. As the TEMA RSI is less known and less widely used than the standard RSI, traders may find it more challenging to find resources and support for implementing this variation of the indicator. The TEMA RSI is an innovative modification of the standard RSI, offering potential benefits in terms of responsiveness and accuracy. However, it is crucial to recognize its limitations, such as a potentially higher likelihood of false signals due to increased responsiveness. Traders should carefully consider the potential advantages and drawbacks of using the TEMA RSI compared to the original RSI before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and the TEMA RSI will depend on individual traders' preferences and the specific market conditions they are analyzing. Jurik RSX The Jurik RSX, developed by Mark Jurik, is a variation of the standard RSI that aims to provide a smoother and more responsive indicator by applying a unique smoothing algorithm based on a series of recursive calculations. The Jurik RSX calculates the price momentum (mom) and the absolute price momentum (moa) using a three-stage filtering process, which ultimately results in a smoother and more responsive output compared to the original RSI. Comparison with the original RSI To better understand the potential benefits and drawbacks of the Jurik RSX, it is essential to compare its performance against the original RSI. Advantages 1. The Jurik RSX offers enhanced responsiveness and smoothness due to its unique recursive filtering process, allowing traders to better identify potential trend reversals, overbought, and oversold conditions. 2. The improved responsiveness of the Jurik RSX may result in more timely trading signals, helping traders to capitalize on opportunities more effectively, especially in fast-moving markets or during periods of high price volatility. Disadvantages 1. The increased complexity of the Jurik RSX calculation may make it more challenging for traders to understand and implement compared to the original RSI. 2. As the Jurik RSX is less known and less widely used than the standard RSI, traders may find it more difficult to find resources and support for implementing this variation of the indicator. The Jurik RSX is an innovative modification of the standard RSI, offering potential benefits in terms of responsiveness and smoothness. However, it is crucial to recognize its limitations, such as increased complexity and limited resources compared to the original RSI. Traders should carefully consider the potential advantages and drawbacks of using the Jurik RSX before incorporating it into their trading strategies. Ultimately, the choice between the original RSI and the Jurik RSX will depend on individual traders' preferences and the specific market conditions they are analyzing. █ Giga Kaleidoscope Modularized Trading System Core components of an NNFX algorithmic trading strategy The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm: 1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc. 2. Baseline - a moving average to identify price trend 3. Confirmation 1 - a technical indicator used to identify trends 4. Confirmation 2 - a technical indicator used to identify trends 5. Continuation - a technical indicator used to identify trends 6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown 7. Exit - a technical indicator used to determine when a trend is exhausted 8. Metamorphosis - a technical indicator that produces a compound signal from the combination of other GKD indicators* *(not part of the NNFX algorithm) What is Volatility in the NNFX trading system? In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period. True range is calculated as the maximum of the following values: -Current high minus the current low -Absolute value of the current high minus the previous close -Absolute value of the current low minus the previous close ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses. Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass What is a Baseline indicator? The baseline is essentially a moving average, and is used to determine the overall direction of the market. The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR). Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail. By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend. What is a Confirmation indicator? Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI). The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend. Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the MACD Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators. In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades. What is a Continuation indicator? In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy. What is a Volatility/Volume indicator? Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa. By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements. What is an Exit indicator? The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy. The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, the Average Directional Index (ADX), and the Chandelier Exit. The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses. In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor. Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time. What is an Metamorphosis indicator? The concept of a metamorphosis indicator involves the integration of two or more GKD indicators to generate a compound signal. This is achieved by evaluating the accuracy of each indicator and selecting the signal from the indicator with the highest accuracy. As an illustration, let's consider a scenario where we calculate the accuracy of 10 indicators and choose the signal from the indicator that demonstrates the highest accuracy. The resulting output from the metamorphosis indicator can then be utilized in a GKD-BT backtest by occupying a slot that aligns with the purpose of the metamorphosis indicator. The slot can be a GKD-B, GKD-C, or GKD-E slot, depending on the specific requirements and objectives of the indicator. This allows for seamless integration and utilization of the compound signal within the GKD-BT framework. How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above? Loxx's GKD v2.0 system has five types of modules (indicators/strategies). These modules are: 1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm) 2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm) 3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm) 4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm) 5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm) 6. GKD-M - Metamorphosis module (Metamorphosis, Number 8 in the NNFX algorithm, but not part of the NNFX algorithm) (additional module types will added in future releases) Each module interacts with every module by passing data to A backtest module wherein the various components of the GKD system are combined to create a trading signal. That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy. This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm. What does the application of the GKD trading system look like? Example trading system: Backtest: Multi-Ticker CC Backtest Baseline: Hull Moving Average Volatility/Volume: Hurst Exponent Confirmation 1: Advance Trend Pressure as shown on the chart above Confirmation 2: uf2018 Continuation: Coppock Curve Exit: Rex Oscillator Metamorphosis: Baseline Optimizer Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, GKD-M, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD system. █ Giga Kaleidoscope Modularized Trading System Signals Standard Entry 1. GKD-C Confirmation gives signal 2. Baseline agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Confirmation 2 agrees 6. Volatility/Volume agrees 1-Candle Standard Entry 1a. GKD-C Confirmation gives signal 2a. Baseline agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum Next Candle 1b. Price retraced 2b. Baseline agrees 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Volatility/Volume agrees Baseline Entry 1. GKD-B Baseline gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Confirmation 2 agrees 6. Volatility/Volume agrees 7. Confirmation 1 signal was less than 'Maximum Allowable PSBC Bars Back' prior 1-Candle Baseline Entry 1a. GKD-B Baseline gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSBC Bars Back' prior Next Candle 1b. Price retraced 2b. Baseline agrees 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Volatility/Volume agrees Volatility/Volume Entry 1. GKD-V Volatility/Volume gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Confirmation 2 agrees 6. Baseline agrees 7. Confirmation 1 signal was less than 7 candles prior 1-Candle Volatility/Volume Entry 1a. GKD-V Volatility/Volume gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSVVC Bars Back' prior Next Candle 1b. Price retraced 2b. Volatility/Volume agrees 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Baseline agrees Confirmation 2 Entry 1. GKD-C Confirmation 2 gives signal 2. Confirmation 1 agrees 3. Price inside Goldie Locks Zone Minimum 4. Price inside Goldie Locks Zone Maximum 5. Volatility/Volume agrees 6. Baseline agrees 7. Confirmation 1 signal was less than 7 candles prior 1-Candle Confirmation 2 Entry 1a. GKD-C Confirmation 2 gives signal 2a. Confirmation 1 agrees 3a. Price inside Goldie Locks Zone Minimum 4a. Price inside Goldie Locks Zone Maximum 5a. Confirmation 1 signal was less than 'Maximum Allowable PSC2C Bars Back' prior Next Candle 1b. Price retraced 2b. Confirmation 2 agrees 3b. Confirmation 1 agrees 4b. Volatility/Volume agrees 5b. Baseline agrees PullBack Entry 1a. GKD-B Baseline gives signal 2a. Confirmation 1 agrees 3a. Price is beyond 1.0x Volatility of Baseline Next Candle 1b. Price inside Goldie Locks Zone Minimum 2b. Price inside Goldie Locks Zone Maximum 3b. Confirmation 1 agrees 4b. Confirmation 2 agrees 5b. Volatility/Volume agrees Continuation Entry 1. Standard Entry, 1-Candle Standard Entry, Baseline Entry, 1-Candle Baseline Entry, Volatility/Volume Entry, 1-Candle Volatility/Volume Entry, Confirmation 2 Entry, 1-Candle Confirmation 2 Entry, or Pullback entry triggered previously 2. Baseline hasn't crossed since entry signal trigger 4. Confirmation 1 agrees 5. Baseline agrees 6. Confirmation 2 agrees
Wskaźnik Pine Script®
od loxx
SOFEX High-End Indicators + BacktestingBINANCE:BTCUSDT.P BINANCE:ETHUSDT.P Introducing the first publicly available suite of indicators for Bitcoin and Ethereum by Sofex - the High-End Indicators & Backtesting System. 🔬 Trading Philosophy The High-End Indicators & Backtesting system offers both trend-following and mean-reversal algorithms to provide traders with a deep insight into the highly volatile cryptocurrency markets, known for their market noise and vulnerability to manipulation. With these factors in mind, our indicators are designed to sidestep most potentially false signals. This is facilitated further by the "middle-ground" time frame (1 Hour) we use. Our focus is on the two largest cryptocurrencies: Bitcoin and Ethereum , which provide high liquidity, necessary for reliable trading. Therefore, we recommend using our suite on these markets. The backtesting version of the Sofex High-End Indicators includes mainly trend-following indicators. This is because our trading vision is that volatility in cryptocurrency markets is a tool that should be used carefully, and many times avoided. Furthermore, mean-reversal trading can lead to short-term profits, but we have found it less than ideal for long-term trading. The script does not aim to make a lot of trades, or to always remain in a position and switch from long to short. Many times there is no direction and the market is in "random walk mode", and chasing trades is futile. Based on our experience, it is preferable if traders remain neutral the majority of the time and only enter trades that can be exited in the foreseeable future. Trading just for the sake of it ultimately leads to loss in the long-run. Expectations of performance should be realistic. We also focus on a balanced take-profit to stop-loss ratio. In the default set-up of the script, that is a 2% : 2% (1:1) ratio. A relatively low stop loss and take profit build onto our idea that positions should be exited promptly. There are many options to edit these values, including enabling trailing take profit and stop loss. Traders can also completely turn off TP and SL levels, and rely on opposing signals to exit and enter new trades. Extreme scenarios can happen on the cryptocurrency markets, and disabling stop-loss levels completely is not recommended. The position size should be monitored since all of it is at risk with no stop-loss. We take pride in presenting this comprehensive suite of trading indicators, designed for both manual and automated use. Although automated use leads to increased efficiency, traders are free to incorporate any of our indicators into their own manual trading strategy. ⚙️ Indicators By default, all indicators are enabled for both Long and Short trades. Extreme Trend Breakouts The Extreme Trend Breakouts indicator seeks to follow breakouts of support and resistance levels, while also accounting for the unfortunate fact that false signals can be generated on these levels. The indicator combines trend-breakout strategies with various other volatility and direction measurements. It works best in the beginning of trends. Underpinning this indicator are renowned Perry Kaufman's Adaptive Moving Averages (PKAMA) alongside our proprietary adaptive moving averages. These dynamic indicators adjust their parameters based on recent price movements, attempting to catch trends while maintaining consistent performance in the long run. In addition, our modification of the TTM Squeeze indicator further enhances the Extreme Trend Breakouts indicator, making it more responsive, especially during the initial stages of trends and filtering of "flat" markets. High-Volatility Trend Follower The High-Volatility Trend Follower indicator is based around the logic of evading market conditions where volatility is low (choppy markets) and aggressively following confirmed trends. The indicator works best during strong trends, however, it has the downside of entering trades at trend tops or bottoms. This indicator also leverages our proprietary adaptive moving averages to identify and follow high-volatility trends effectively. Furthermore, it uses the Average Directional Index, Aroon Oscillator, ATR and a modified version of VWAP, to categorize trends into weak or strong ones. The VWAP indicator is used to identify the monetary (volume) inflow into a given trend, further helping to avoid short-term manipulations. Low-Volatility Reversal The Low-Volatility Reversal aims at plugging the holes that trend-following indicators ignore. It specifically looks for choppy markets. Using proven concepts such as Relative Strength Index and volume measurements, among others, this indicator finds local tops and bottoms with good accuracy. It works best in choppy markets with low to medium volatility. It has a downside that all reversals have, losing trades at the end of choppy markets and in the beginning of big trends. This indicator, like the others, employs PKAMA in conjunction with our proprietary adaptive moving averages, and an Average PSAR indicator to seek out "sideways" markets. Furthermore, Bollinger Bands with an adaptive basis line is used, with the idea of trading against the short-term trends by looking at big deviations in price movement. The above mentioned indicators attempt to catch local tops and bottoms in markets. Adaptive Trend Convergence The Adaptive Trend Convergence aims at following trends while avoiding entering positions at local bottoms and tops. It does so by comparing a number of adaptive moving averages and looking for convergence among them. Adaptive filtering techniques for avoiding choppy markets are also used. This indicator utilizes our proprietary adaptive moving averages, and an Average Price Range indicator to identify trend convergence and divergence effectively, preventing false signals during volatile market phases. It also makes use of Bollinger Bands with an adaptive moving average basis line and price-action adjusted deviation. Contrasting to the Low-Volatility Reversal condition described above, the Bollinger Bands used here attempt to follow breakouts outside of the lower and upper bands. Double-Filtered Channel Breakouts The Double-Filtered Channel Breakouts indicator is made out of adaptive channel-identifying indicators. The indicator then follows trends that significantly diverge from the established channels. This aims at following extreme trends, where rapid, continuous movements in either direction occur. This indicator works best in very strong trends and follows them relentlessly. However, these strong trends can end in strong reversals, and the indicator can be stopped out on the last trade. Our Double-Filtered Channel Breakouts indicator is built on a foundation of adaptive channel indicators. We've harnessed the power of Keltner Channels and Bollinger Band Channels, with a similar approach used in the Adaptive Trend Convergence indicator. The basis and upper/lower bands of the channels do not rely on fixed deviation parameters, rather on adaptive ones, based on price action and volatility. This combination seeks to identify and follows extreme trends. Direction Tracker The Direction Tracker indicator is made out of a central slower, adaptive moving average that clearly recognizes global, long-term trends. Combined with direction and range indicators, among others, this indicator excels at finding the long-term trend and ignoring temporary pullbacks in the opposite direction. It works best at the beginning and middle of long and strong trends. It can fail at the end of trends and on very strong historical resistance lines (where sharp reversals are common). Our Direction Tracker indicator integrates an adaptive SuperTrend indicator into its core, alongside our proprietary adaptive moving averages, to accurately identify and track long-term trends while mitigating temporary pullbacks. Furthermore, it uses Average True Range, ADX and other volatility indicators to attempt to catch unusual moves on the market early-on. 📟 Parameters Menu To offer traders flexibility, our system comes with a comprehensive parameter menu: Preset Selection : Choose between Bitcoin or Ethereum presets to tailor the indicators to your preferred cryptocurrency market. Global Signal Direction: Set the global signal direction as Long, Short, or Both, depending on your trading strategy. Global Sensitivity Parameter : Adjust the system's sensitivity to adapt to different trend-following conditions, particularly beneficial during higher-strength trends. Source of Signals : Toggle individual indicators on or off according to your preference. By default, all indicators are enabled. Customize the indicators to trade Long, Short, or Both, aligning them with your desired market exposure. Confirmation of Signals : Set the minimum number of confirmed signals on the same bar, ensuring signals are generated only when specific confirmation criteria are met. The default value is one, and it can be adjusted for both Long and Short signals. Exit of Signals : You have options regarding Take-Profit (TP) and Stop-Loss (SL) levels. Enable TP/SL levels to exit trades at predetermined levels, or disable them to rely on direction changes for exits. Be aware that removing stop losses can introduce additional risk, and position sizing should be carefully monitored. By enabling Trailing TP/SL, the system switches to a trailing approach, allowing you to: - Place an initial customizable SL. - Specify a level (%) for the Trailing SL to become active. - When the activation level is reached, the system moves the trailing stop by a given Offset (%). Additionally, you can enable exit at break-even, where the system places an exit order when the trail activation level is reached, accounting for fees and slippage. Alert Messages : Define the fields for alert messages based on specific conditions. You can set up alerts to receive email, SMS, and in-app notifications. If you use webhooks for alerts, exercise caution, as these alerts can potentially execute trades without human supervision. Backtesting : Default backtesting parameters are set to provide realistic backtesting performance: - 0.04% Commission per trade (for both entries and exits) - 3 ticks Slippage (highly dependent on exchange) - Initial capital of $1000 - Order size of $1000 While the order size is equal to the initial capital, the script employs a 2% stop-loss order to limit losses and attempts to prevent risky trades from creating big losses. The order size is a set dollar value, so that the backtesting performance is linear, instead of using % of capital which may result in unrealistic backtesting performance. Risk Disclaimer Please be aware that backtesting results, while valuable for statistical overview, do not guarantee future performance in any way. Cryptocurrency markets are inherently volatile and risky. Always trade responsibly and do not risk more than you can afford to lose.
Strategia Pine Script®
od sofex
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