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Bachelier 1900 Option Pricing Model w/ Numerical Greeks [Loxx]Bachelier 1900 Option Pricing Model w/ Numerical Greeks is an adaptation of the Bachelier 1900 Option Pricing Model in Pine Script. The following information is an except from Espen Gaarder Haug's book "Option Pricing Formulas" Before Black Scholes Merton The curious reader may be asking how people priced options before the BSM breakthrough was published in 1973. This section offers a quick overview of some of the most important precursors to the BSM model. As early as 1900, Louis Bachelier published his now famous work on option pricing. In contrast to Black, Scholes, and Merton, Bachelier assumed a normal distribution for the asset price—in other words, an arithmetic Brownian motion process: dS = sigma * dz Where S is the asset price and dz is a Wiener process. This implies a positive probability for observing a negative asset price—a feature that is not popular for stocks and any other asset with limited liability features. The current call price is the expected price at expiration. This argument yields: c = (S - X)*N(d1) + v * T^0.5 * n(d1) and for a put option we get p = (S - X)*N(-d1) + v * T^0.5 * n(d1) where d1 = (S - X) / (v * T^0.5) Inputs S = Stock price. X = Strike price of option. T = Time to expiration in years. v = Volatility of the underlying asset price cnd(x) = The cumulative normal distribution function nd(x) = The standard normal density function Numerical Greeks or Greeks by Finite Difference Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. ( via VinegarHill FinanceLabs ) Things to know Volatility for this model is price, so dollars or whatever currency you're using. Historical volatility is also reported in currency. There is no risk-free rate input There is no dividend adjustment input
Indicador Pine Script™
por loxx
Black Scholes Option Pricing Model w/ Greeks [Loxx]The Black Scholes Merton model If you are new to options I strongly advise you to profit from Robert Shiller's lecture on same . It combines practical market insights with a strong authoritative grasp of key models in option theory. He explains many of the areas covered below and in the following pages with a lot intuition and relatable anecdotage. We start here with Black Scholes Merton which is probably the most popular option pricing framework, due largely to its simplicity and ease in terms of implementation. The closed-form solution is efficient in terms of speed and always compares favorably relative to any numerical technique. The Black–Scholes–Merton model is a mathematical go-to model for estimating the value of European calls and puts. In the early 1970’s, Myron Scholes, and Fisher Black made an important breakthrough in the pricing of complex financial instruments. Robert Merton simultaneously was working on the same problem and applied the term Black-Scholes model to describe new generation of pricing. The Black Scholes (1973) contribution developed insights originally proposed by Bachelier 70 years before. In 1997, Myron Scholes and Robert Merton received the Nobel Prize for Economics. Tragically, Fisher Black died in 1995. The Black–Scholes formula presents a theoretical estimate (or model estimate) of the price of European-style options independently of the risk of the underlying security. Future payoffs from options can be discounted using the risk-neutral rate. Earlier academic work on options (e.g., Malkiel and Quandt 1968, 1969) had contemplated using either empirical, econometric analyses or elaborate theoretical models that possessed parameters whose values could not be calibrated directly. In contrast, Black, Scholes, and Merton’s parameters were at their core simple and did not involve references to utility or to the shifting risk appetite of investors. Below, we present a standard type formula, where: c = Call option value, p = Put option value, S=Current stock (or other underlying) price, K or X=Strike price, r=Risk-free interest rate, q = dividend yield, T=Time to maturity and N denotes taking the normal cumulative probability. b = (r - q) = cost of carry. (via VinegarHill-Financelab ) Things to know This can only be used on the daily timeframe You must select the option type and the greeks you wish to show This indicator is a work in process, functions may be updated in the future. I will also be adding additional greeks as I code them or they become available in finance literature. This indictor contains 18 greeks. Many more will be added later. Inputs Spot price: select from 33 different types of price inputs Calculation Steps: how many iterations to be used in the BS model. In practice, this number would be anywhere from 5000 to 15000, for our purposes here, this is limited to 300 Strike Price: the strike price of the option you're wishing to model % Implied Volatility: here you can manually enter implied volatility Historical Volatility Period: the input period for historical volatility ; historical volatility isn't used in the BS process, this is to serve as a sort of benchmark for the implied volatility , Historical Volatility Type: choose from various types of implied volatility , search my indicators for details on each of these Option Base Currency: this is to calculate the risk-free rate, this is used if you wish to automatically calculate the risk-free rate instead of using the manual input. this uses the 10 year bold yield of the corresponding country % Manual Risk-free Rate: here you can manually enter the risk-free rate Use manual input for Risk-free Rate? : choose manual or automatic for risk-free rate % Manual Yearly Dividend Yield: here you can manually enter the yearly dividend yield Adjust for Dividends?: choose if you even want to use use dividends Automatically Calculate Yearly Dividend Yield? choose if you want to use automatic vs manual dividend yield calculation Time Now Type: choose how you want to calculate time right now, see the tool tip Days in Year: choose how many days in the year, 365 for all days, 252 for trading days, etc Hours Per Day: how many hours per day? 24, 8 working hours, or 6.5 trading hours Expiry date settings: here you can specify the exact time the option expires The Black Scholes Greeks The Option Greek formulae express the change in the option price with respect to a parameter change taking as fixed all the other inputs. ( Haug explores multiple parameter changes at once .) One significant use of Greek measures is to calibrate risk exposure. A market-making financial institution with a portfolio of options, for instance, would want a snap shot of its exposure to asset price, interest rates, dividend fluctuations. It would try to establish impacts of volatility and time decay. In the formulae below, the Greeks merely evaluate change to only one input at a time. In reality, we might expect a conflagration of changes in interest rates and stock prices etc. (via VigengarHill-Financelab ) First-order Greeks Delta: Delta measures the rate of change of the theoretical option value with respect to changes in the underlying asset's price. Delta is the first derivative of the value Vega: Vegameasures sensitivity to volatility. Vega is the derivative of the option value with respect to the volatility of the underlying asset. Theta: Theta measures the sensitivity of the value of the derivative to the passage of time (see Option time value): the "time decay." Rho: Rho measures sensitivity to the interest rate: it is the derivative of the option value with respect to the risk free interest rate (for the relevant outstanding term). Lambda: Lambda, Omega, or elasticity is the percentage change in option value per percentage change in the underlying price, a measure of leverage, sometimes called gearing. Epsilon: Epsilon, also known as psi, is the percentage change in option value per percentage change in the underlying dividend yield, a measure of the dividend risk. The dividend yield impact is in practice determined using a 10% increase in those yields. Obviously, this sensitivity can only be applied to derivative instruments of equity products. Second-order Greeks Gamma: Measures the rate of change in the delta with respect to changes in the underlying price. Gamma is the second derivative of the value function with respect to the underlying price. Vanna: Vanna, also referred to as DvegaDspot and DdeltaDvol, is a second order derivative of the option value, once to the underlying spot price and once to volatility. It is mathematically equivalent to DdeltaDvol, the sensitivity of the option delta with respect to change in volatility; or alternatively, the partial of vega with respect to the underlying instrument's price. Vanna can be a useful sensitivity to monitor when maintaining a delta- or vega-hedged portfolio as vanna will help the trader to anticipate changes to the effectiveness of a delta-hedge as volatility changes or the effectiveness of a vega-hedge against change in the underlying spot price. Charm: Charm or delta decay measures the instantaneous rate of change of delta over the passage of time. Vomma: Vomma, volga, vega convexity, or DvegaDvol measures second order sensitivity to volatility. Vomma is the second derivative of the option value with respect to the volatility, or, stated another way, vomma measures the rate of change to vega as volatility changes. Veta: Veta or DvegaDtime measures the rate of change in the vega with respect to the passage of time. Veta is the second derivative of the value function; once to volatility and once to time. Vera: Vera (sometimes rhova) measures the rate of change in rho with respect to volatility. Vera is the second derivative of the value function; once to volatility and once to interest rate. Third-order Greeks Speed: Speed measures the rate of change in Gamma with respect to changes in the underlying price. Zomma: Zomma measures the rate of change of gamma with respect to changes in volatility. Color: Color, gamma decay or DgammaDtime measures the rate of change of gamma over the passage of time. Ultima: Ultima measures the sensitivity of the option vomma with respect to change in volatility. Dual Delta: Dual Delta determines how the option price changes in relation to the change in the option strike price; it is the first derivative of the option price relative to the option strike price Dual Gamma: Dual Gamma determines by how much the coefficient will changedual delta when the option strike price changes; it is the second derivative of the option price relative to the option strike price. Related Indicators Cox-Ross-Rubinstein Binomial Tree Options Pricing Model Implied Volatility Estimator using Black Scholes Boyle Trinomial Options Pricing Model
Indicador Pine Script™
por loxx
7
Boyle Trinomial Options Pricing Model [Loxx]Boyle Trinomial Options Pricing Model is an options pricing indicator that builds an N-order trinomial tree to price American and European options. This is different form the Binomial model in that the Binomial assumes prices can only go up and down wheres the Trinomial model assumes prices can go up, down, or sideways (shoutout to the "crab" market enjoyers). This method also allows for dividend adjustment. The Trinomial Tree via VinegarHill Finance Labs A two-jump process for the asset price over each discrete time step was developed in the binomial lattice. Boyle expanded this frame of reference and explored the feasibility of option valuation by allowing for an extra jump in the stochastic process. In keeping with Black Scholes, Boyle examined an asset (S) with a lognormal distribution of returns. Over a small time interval, this distribution can be approximated by a three-point jump process in such a way that the expected return on the asset is the riskless rate, and the variance of the discrete distribution is equal to the variance of the corresponding lognormal distribution. The three point jump process was introduced by Phelim Boyle (1986) as a trinomial tree to price options and the effect has been momentous in the finance literature. Perhaps shamrock mythology or the well-known ballad associated with Brendan Behan inspired the Boyle insight to include a third jump in lattice valuation. His trinomial paper has spawned a huge amount of ground breaking research. In the trinomial model, the asset price S is assumed to jump uS or mS or dS after one time period (dt = T/n), where u > m > d. Joshi (2008) point out that the trinomial model is characterized by the following five parameters: (1) the probability of an up move pu, (2) the probability of an down move pd, (3) the multiplier on the stock price for an up move u, (4) the multiplier on the stock price for a middle move m, (5) the multiplier on the stock price for a down move d. A recombining tree is computationally more efficient so we require: ud = m*m M = exp (r∆t), V = exp (σ 2∆t), dt or ∆t = T/N where where N is the total number of steps of a trinomial tree. For a tree to be risk-neutral, the mean and variance across each time steps must be asymptotically correct. Boyle (1986) chose the parameters to be: m = 1, u = exp(λσ√ ∆t), d = 1/u pu =( md − M(m + d) + (M^2)*V )/ (u − d)(u − m) , pd =( um − M(u + m) + (M^2)*V )/ (u − d)(m − d) Boyle suggested that the choice of value for λ should exceed 1 and the best results were obtained when λ is approximately 1.20. One approach to constructing trinomial trees is to develop two steps of a binomial in combination as a single step of a trinomial tree. This can be engineered with many binomials CRR(1979), JR(1979) and Tian (1993) where the volatility is constant. Further reading: A Lattice Framework for Option Pricing with Two State Trinomial tree via wikipedia Inputs Spot price: select from 33 different types of price inputs Calculation Steps: how many iterations to be used in the Trinomial model. In practice, this number would be anywhere from 5000 to 15000, for our purposes here, this is limited to 220. Strike Price: the strike price of the option you're wishing to model Market Price: this is the market price of the option; choose, last, bid, or ask to see different results Historical Volatility Period: the input period for historical volatility ; historical volatility isn't used in the Trinomial model, this is to serve as a comparison, even though historical volatility is from price movement of the underlying asset where as implied volatility is the volatility of the option Historical Volatility Type: choose from various types of implied volatility , search my indicators for details on each of these Option Base Currency: this is to calculate the risk-free rate, this is used if you wish to automatically calculate the risk-free rate instead of using the manual input. this uses the 10 year bold yield of the corresponding country % Manual Risk-free Rate: here you can manually enter the risk-free rate Use manual input for Risk-free Rate? : choose manual or automatic for risk-free rate % Manual Yearly Dividend Yield: here you can manually enter the yearly dividend yield Adjust for Dividends?: choose if you even want to use use dividends Automatically Calculate Yearly Dividend Yield? choose if you want to use automatic vs manual dividend yield calculation Time Now Type: choose how you want to calculate time right now, see the tool tip Days in Year: choose how many days in the year, 365 for all days, 252 for trading days, etc Hours Per Day: how many hours per day? 24, 8 working hours, or 6.5 trading hours Expiry date settings: here you can specify the exact time the option expires Included Option pricing panel Loxx's Expanded Source Types Related indicators Implied Volatility Estimator using Black Scholes Cox-Ross-Rubinstein Binomial Tree Options Pricing Model
Indicador Pine Script™
por loxx
Implied Volatility Estimator using Black Scholes [Loxx]Implied Volatility Estimator using Black Scholes derives a estimation of implied volatility using the Black Scholes options pricing model. The Bisection algorithm is used for our purposes here. This includes the ability to adjust for dividends. Implied Volatility The implied volatility (IV) of an option contract is that value of the volatility of the underlying instrument which, when input in an option pricing model (such as Black–Scholes), will return a theoretical value equal to the current market price of that option. The VIX , in contrast, is a model-free estimate of Implied Volatility. The latter is viewed as being important because it represents a measure of risk for the underlying asset. Elevated Implied Volatility suggests that risks to underlying are also elevated. Ordinarily, to estimate implied volatility we rely upon Black-Scholes (1973). This implies that we are prepared to accept the assumptions of Black Scholes (1973). Inputs Spot price: select from 33 different types of price inputs Strike Price: the strike price of the option you're wishing to model Market Price: this is the market price of the option; choose, last, bid, or ask to see different results Historical Volatility Period: the input period for historical volatility ; historical volatility isn't used in the Bisection algo, this is to serve as a comparison, even though historical volatility is from price movement of the underlying asset where as implied volatility is the volatility of the option Historical Volatility Type: choose from various types of implied volatility , search my indicators for details on each of these Option Base Currency: this is to calculate the risk-free rate, this is used if you wish to automatically calculate the risk-free rate instead of using the manual input. this uses the 10 year bold yield of the corresponding country % Manual Risk-free Rate: here you can manually enter the risk-free rate Use manual input for Risk-free Rate? : choose manual or automatic for risk-free rate % Manual Yearly Dividend Yield: here you can manually enter the yearly dividend yield Adjust for Dividends?: choose if you even want to use use dividends Automatically Calculate Yearly Dividend Yield? choose if you want to use automatic vs manual dividend yield calculation Time Now Type: choose how you want to calculate time right now, see the tool tip Days in Year: choose how many days in the year, 365 for all days, 252 for trading days, etc Hours Per Day: how many hours per day? 24, 8 working hours, or 6.5 trading hours Expiry date settings: here you can specify the exact time the option expires *** the algorithm inputs for low and high aren't to be changed unless you're working through the mathematics of how Bisection works. Included Option pricing panel Loxx's Expanded Source Types Related Indicators Cox-Ross-Rubinstein Binomial Tree Options Pricing Model
Indicador Pine Script™
por loxx
1
Cox-Ross-Rubinstein Binomial Tree Options Pricing Model [Loxx]Cox-Ross-Rubinstein Binomial Tree Options Pricing Model is an options pricing panel calculated using an N-iteration (limited to 300 in Pine Script due to matrices size limits) "discrete-time" (lattice based) method to approximate the closed-form Black–Scholes formula. Joshi (2008) outlined varying binomial options pricing model furnishes a numerical approach for the valuation of options. Significantly, the American analogue can be estimated using the binomial tree. This indicator is the complex calculation for Binomial option pricing. Most folks take a shortcut and only calculate 2 iterations. I've coded this to allow for up to 300 iterations. This can be used to price American Puts/Calls and European Puts/Calls. I'll be updating this indicator will be updated with additional features over time. If you would like to learn more about options, I suggest you check out the book textbook Options, Futures and other Derivative by John C Hull. ***This indicator only works on the daily timeframe!*** A quick graphic of what this all means: In the graphic, "n" are the steps, in this case we can do up to 300, in production we'd need to do 5-15K. That's a lot of steps! You can see here how the binomial tree fans out. As I said previously, most folks only calculate 2 steps, here we are calculating up to 300. Want to learn more about Simple Introduction to Cox, Ross Rubinstein (1979) ? Watch this short series "Introduction to Basic Cox, Ross and Rubinstein (1979) model." Limitations of Black Scholes options pricing model This is a widely used and well-known options pricing model, factors in current stock price, options strike price, time until expiration (denoted as a percent of a year), and risk-free interest rates. The Black-Scholes Model is quick in calculating any number of option prices. But the model cannot accurately calculate American options, since it only considers the price at an option's expiration date. American options are those that the owner may exercise at any time up to and including the expiration day. What are Binomial Trees in options pricing? A useful and very popular technique for pricing an option involves constructing a binomial tree. This is a diagram representing different possible paths that might be followed by the stock price over the life of an option. The underlying assumption is that the stock price follows a random walk. In each time step, it has a certain probability of moving up by a certain percentage amount and a certain probability of moving down by a certain percentage amount. In the limit, as the time step becomes smaller, this model is the same as the Black–Scholes–Merton model. What is the Binomial options pricing model ? This model uses a tree diagram with volatility factored in at each level to show all possible paths an option's price can take, then works backward to determine one price. The benefit of the Binomial Model is that you can revisit it at any point for the possibility of early exercise. Early exercise is executing the contract's actions at its strike price before the contract's expiration. Early exercise only happens in American-style options. However, the calculations involved in this model take a long time to determine, so this model isn't the best in rushed situations. What is the Cox-Ross-Rubinstein Model? The Cox-Ross-Rubinstein binomial model can be used to price European and American options on stocks without dividends, stocks and stock indexes paying a continuous dividend yield, futures, and currency options. Option pricing is done by working backwards, starting at the terminal date. Here we know all the possible values of the underlying price. For each of these, we calculate the payoffs from the derivative, and find what the set of possible derivative prices is one period before. Given these, we can find the option one period before this again, and so on. Working ones way down to the root of the tree, the option price is found as the derivative price in the first node. Inputs Spot price: select from 33 different types of price inputs Calculation Steps: how many iterations to be used in the Binomial model. In practice, this number would be anywhere from 5000 to 15000, for our purposes here, this is limited to 300 Strike Price: the strike price of the option you're wishing to model % Implied Volatility: here you can manually enter implied volatility Historical Volatility Period: the input period for historical volatility; historical volatility isn't used in the CRRBT process, this is to serve as a sort of benchmark for the implied volatility, Historical Volatility Type: choose from various types of implied volatility, search my indicators for details on each of these Option Base Currency: this is to calculate the risk-free rate, this is used if you wish to automatically calculate the risk-free rate instead of using the manual input. this uses the 10 year bold yield of the corresponding country % Manual Risk-free Rate: here you can manually enter the risk-free rate Use manual input for Risk-free Rate? : choose manual or automatic for risk-free rate % Manual Yearly Dividend Yield: here you can manually enter the yearly dividend yield Adjust for Dividends?: choose if you even want to use use dividends Automatically Calculate Yearly Dividend Yield? choose if you want to use automatic vs manual dividend yield calculation Time Now Type: choose how you want to calculate time right now, see the tool tip Days in Year: choose how many days in the year, 365 for all days, 252 for trading days, etc Hours Per Day: how many hours per day? 24, 8 working hours, or 6.5 trading hours Expiry date settings: here you can specify the exact time the option expires Take notes: Futures don't risk free yields. If you are pricing options of futures, then the risk-free rate is zero. Dividend yields are calculated using TradingView's internal dividend values This indicator only works on the daily timeframe Included Option pricing panel Loxx's Expanded Source Types
Indicador Pine Script™
por loxx
1
Simple Moving Averge StrategySimple Vs. Exponential Moving Averages Formula for Exponential Moving Average (EMA) \begin{aligned} &\begin{aligned} EMA_{\text{Today}}=&\left(\text{Value}_{\text{Today}}\ast\left(\frac{\text{Smoothing}}{1+\text{Days}}\right)\right)\\ &+EMA_{\text{Yesterday}}\ast\left(1-\left(\frac{\text{Smoothing}}{1+\text{Days}}\right)\right)\end{aligned}\\ &\textbf{where:}\\ &EMA=\text{Exponential moving average} \end{aligned} ​ EMA Today ​ = ​ (Value Today ​ ∗( 1+Days Smoothing ​ )) +EMA Yesterday ​ ∗(1−( 1+Days Smoothing ​ )) ​ where: EMA=Exponential moving average ​  While there are many possible choices for the smoothing factor, the most common choice is:
Estratégia Pine Script™
por xoussamachoubix
5MSM MAHESH 15It´s just the histogram of the MACD . (Actually it´s not a histogram, I like the Area visualisation more. But you can switch.) 5min stock market property When I´m using the MACD , I´m just searching for a divergence between Price and the MACD-histogram. I´m not interested in the MACD-signalline or the MACD-line in any way. As you can see, The omission of them leads to better visualisation. It´s much easier to spot a divergence. On the one hand because that way the histogram scales bigger, on the other hand becauce the lines can´t overdraw the histogram. Rules bullish Divergence: Price makes a lower low, oscillator makes higher low. Rules bearish Divergence: Price makes a higher high, oscillator makes lower high.
Indicador Pine Script™
por patrick199415
VolatilityVolatility - The amount of price deviation in the specified time interval. The calculation is made from the opening point to the closing point, and the maximum and minimum deviation between them is also included. Any timeframes are supported. Available information: the start date of the calculation (according to the time zone of the exchange), the current volatility from the initial opening point or from the last closing point, the total volatility for all periods. An indicator of useful use in everyday work. Thanks for your attention!
Indicador Pine Script™
por StCogitans
6
HPI for crypto [ptt]The Herrick Payoff Index is designed to show the amount of money flowing into or out of a futures contract. This indicator uses open interest (from Binance PERP like this BTCUSDTPERP_OI) from during its calculations, therefore, the pairs being analyzed must contain open interest data on Binance. The indicator only works with USDT pairs! Like RVNUSDT, BTCUSDT... does not work with USD pairs! The indicator works in two mode. Index mode - when the values moving 0-100 In this case, if the value below 10, it shows the money is flowing out of the futures contract and near the local bottom. If the value above 90, it shows the money is flowing into the futures contract and near the local top. (The two trigger can be modified, the default is low:10 and high:90) Oscillator mode - when the values moving around the origo (0) In this case, if the value above 0 (green), it shows the money is flowing into the futures contract, this is bullish If the value below 0 (red), it shows the money is flowing out of the futures contract, this is bearish
Indicador Pine Script™
por puttoAZ
11
Strategy BackTest Display Statistics - TraderHalaiThis script was born out of my quest to be able to display strategy back test statistics on charts to allow for easier backtesting on devices that do not natively support backtest engine (such as mobile phones, when I am backtesting from away from my computer). There are already a few good ones on TradingView, but most / many are too complicated for my needs. Found an excellent display backtest engine by 'The Art of Trading'. This script is a snippet of his hard work, with some very minor tweaks and changes. Much respect to the original author. Full credit to the original author of this script. It can be found here: www.tradingview.com I decided to modify the script by simplifying it down and make it easier to integrate into existing strategies, using simple copy and paste, by relying on existing tradingview strategy backtester inputs. I have also added 3 additional performance metrics: - Max Run Up - Average Win per trade - Average Loss per trade As this is a work in progress, I will look to add in more performance metrics in future, as I further develop this script. Feel free to use this display panel in your scripts and strategies. Thanks and enjoy :)
Estratégia Pine Script™
por TraderHalai
4
Grid Settings & MMThis script is designed to help you plan your grid trading or when averaging your position in the spot market. The script has a small error (due to the simplification of the code), it does not take into account the size of the commission. You can set any values on all parameters on any timeframe, except for the number of orders in the grid (from 2 to 5). The usage algorithm is quite simple: 1. Connect the script 2. Install a Fibo grid on the chart - optional (settings at the bottom of the description) 3.On the selected pair, determine the HighPrice & LowPrice levels and insert their values 4.Evaluate grid data (levels, estimated profit ’%’, possible profit ‘$’...) And it's all) Block of variables for calculating grid and MM parameters Variables used regularly --- HighPrice and LowPrice - constant update when changing pairs --- Deposit - deposit amount - periodically set the actual amount Variables that do not require permanent changes --- Grids - set the planned number of grids, default 5 --- Steps - the planned number of orders in the grid, by default 5 --- C_Order - coefficient of increasing the size of orders in the base coin, by default 1.2 --- C_Price - trading levels offset coefficient, default 1.1 --- FirstLevel - location of the first buy level, default 0.5 --- Back_HL - number of candles back, default 150 *** For C_Order and C_Price variables, the value 1 means the same order size and the same distance between buy levels. The fibo grid is used for visualization, you can do without it, ! it is not tied to the script code ! You can calculate the levels of the Fibo grid using the formula: (level price - minimum price) / (maximum price - minimum price) For default values, grid levels are as follows: 1 ... 0.5 2...0.359 3 ... 0.211 4...0.0564 5...-0.1043 Short description: in the upper right corner --- indicator of the price movement for the last 150 candles, in % !!! there is no task here to "catch" the peak values - only a relative estimate. in the upper left corner --- total amount of the deposit --- the planned number of grids --- “cost” of one grid --- the size of the estimated profit depending on the specified HighPrice & LowPrice in the lower left corner --- Buy - price levels for buy orders --- Amount - the number of purchased coins in the corresponding order --- Sell - levels of profit taking by the sum of market orders in the grid --- $$$ - the sum of all orders in the grid, taking into account the last active order --- TP - profit amount by the amount of orders in the grid
Indicador Pine Script™
por avgtrade
1