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MZ Adaptive Ichimoku Cloud (Volume, Volatility, Chikou Filter) This study is a functional enhancement to conventionally used Ichimoku Clouds . It uses particular effective adaptive parameters (Relative Volume Strength Index (MZ RVSI ), Volatility and Chikou Backward Trend Filter) to adapt dynamic lengths for Kijun-sen, Tenkan-sen, Senkou-span and Chikou .
This study uses complete available Ichimoku Clouds trading methodology to provide trade confirmations. Its still in experimental phase so will be updated accordingly.
ADAPTIVE LENGTH PARAMETERS
Relative Volume Strength Index (MZ RVSI )
For adaptive length, I tried using Volume and for this purpose I used my Relative Volume Strength Index " RVSI " indicator. RVSI is the best way to detect if Volume is going for a breakout or not and based on that indication length changes.
RVSI breaking above provided value would indicate Volume breakout and hence dynamic length would accordingly make Ichimoku Clouds more over-fitted to better act as support and resistance . Similar case would happen if Volume goes down and dynamic length becomes more under-fit.
Original RVSI Library and study can be found here:
Volatility
Average true range is used as volatility measurement and detection tool. Dual ATR condition would decide over-fitting or under-fitting of curve.
Chikou Backward Trend Filter
Chikou is basically close value of ticker offset to close and it is a good for indicating if close value has crossed potential Support/Resistance zone from past. Chikou is usually used with 26 period.
Chikou filter uses a lookback length calculated from provided lookback percentage and checks if trend was bullish or bearish within that lookback period.
Original Chikou Filter library and study can be found here:
ADAPTIVE ICHIMOKU CLOUD
Tenkan-Sen (Conversion Line)
Tenkan-sen is a moving average that is calculated by taking the average of the high and the low for the last nine periods conventionally but in this study its length is dynamically adapted based on Volume, Volatility and Chikou filter. Default adaption range is set to 9-30 which I found universally applicable to almost every market on all time-frames.
Kijun-Sen (Base Line)
The Kijun-Sen is usually considered a support/resistance line which also acts as an indicator of price movements in the future and takes a longer period into consideration, usually 26 periods compared to Tenkan-Sen’s nine periods is used conventionally. In this study, its length is set to vary in range of 20-60 based on adaptive parameters.
Senkou-Span (Leading Span)
Senkou-Span A : Senkou Span A is the average of the highs and lows of Tenkan-Sen and Kijun-Sen so it automatically adapts accroding to dynamic lengths of Tenkan and Kijun.
Senkou-Span B : Senkou Span B is usually calculated by averaging highs and lows of the past 52 periods and plotting it 26 points to the right but this study uses adaptive parameters to adapt its dynamic length in range of 50-120 which makes Kumo (Ichimoku Cloud) a better area for support and resistance. I don’t consider its necessary to adapt Kumo’s displacement to the right, so I used conventional 26 period as offset.
Chikou -Span (Lagging Span)
The Chikou Span, also known as the lagging span is formed by taking the price source and offsetting it back 26 periods to the left but I used adaptive length in range 26-50 which makes this tool a better option to check for Chikou -Price cross check in wide range.
TRADE SIGNALS & CONFIRMATIONS
Volume : RVSI used to detect volume breakout about given point. By default, On Balance Volume based RVSI is selected for all dynamic length adaption and also for trade confirmations.
Cross(Tenkan,Kijun) : Easiest way to detect trend as if Tenkan is above Kijun then market is uptrend and vice versa.
Volatility : High volatility is a good way to confirm if price is on the move or not.
Tenkan = Kijun : Because of a wide range of Tenkan and Kijun length; their value can become equal before reversal.
Chikou > Source : A very conventional way to detect price momentum as if Chikou is above price then market is in uptrend and vice versa.
Chikou Momentum : Another simpler way to represent Chikou > Source as if momentum of price source is uptrend then price will tend to follow.
Source > Kumo : Using the best tool of Ichimoku Clouds i.e. Kumo. If price crosses both Senkou-Span A & B then market has broken potential resistance leading to a good uptrend and vice versa.
Source > Tenkan : Better way to detect price trend in short term.
Chikou Backward Trend Filter : Different from Chikou >Source in a way that Chikou filter makes sure that price crosses highest/lowest within defined period.
CHARTING
Bars Coloring : Bars coloring is set as following :
src > tenkan-Sen and src > kijun-Sen : Strong uptrend detection and shown by green bars.
src < tenkan-Sen and src < kijun-Sen : Strong downtrend detection and shown by green bars.
src > tenkan-Sen and src < kijun-Sen : Better way to detect bottom reversals as if price comes above tenkan but remains below kijun; that’s early signs of recovery. Light red bars are used for this by default.
src < tenkan-Sen and src > kijun-Sen : Better way to detect top reversals as if price comes below tenkan but remains above kijun; that’s early signs of losing potential in uptrend. Dark Grey bars are used for this by default.
Kumo Coloring : Following steps are used to derive Kumo’s dynamic color:
Average of Senkou-span A and B is calculated.
RSI with 14 period of that average is calculated.
Gradient color based on calculated RSI values with 0-100 range is derived which is final Kumo color.
Chikou Span Coloring : Dynamic coloring from Chikou Filter is used as Indicator’s Chikou ’s color.
Signals Overlay : Red and Green small triangles are used as signals overlay.
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Aggregated Money Flow Index - InFinitoModified Version of In-Built Money Flow Index Indicator. Aggregated Volume is used for it's calculation + a couple of other features.
Aggregation code originally from Crypt0rus
***The indicator can be used for any coin/symbol to aggregate volume , but it has to be set up manually***
***The indicator can be used with specific symbol data only by disabling the aggregation option, which allows for it to be used on any symbol***
- Calculated based on Aggregated Volume instead of by symbol volume . Using aggregated data makes it more accurate and allows to compare volume flow between different kinds of markets (Spot, Futures , Perpetuals, Futures+Perpetuals and All Volume ).
- As well, in order to make the data as accurate as possible, the data from each exchange aggregated is normalized to report always in terms of 1 BTC . In case this indicator is used for another symbol, the calculations can be adjusted manually to make it always report data in terms of 1 contract/coin.
- Added Moving Average ( SMA , EMA , WMA , RMA, VWMA ) that can be plotted to the MFI
- Added 10/90 level and 45/55 range level
Things to look for:
- Divergences: Can be a very good reversal signal
- MA crossovers & Oversold/Overbought levels crossover: With proper confluence, entering a position at MA crossover and exiting at oversold/overbought levels can give very good swing setups (Or scalps on LTF)
- Center range retests: Once in a trend, retesting the middle range can give very good entries and confirmations of the trend
- Confluence of the latter: In combination, if more than one of these occur at the same time it can give more clarity regarding the current state of the market. Indicador
Aggregated Chaikin Money Flow - InFinitoModified Version of In-Built Chaikin Money Flow Indicator. Aggregated Volume is used for it's calculation + a couple of other features.
Aggregation code originally from Crypt0rus
***The indicator can be used for any coin/symbol to aggregate volume , but it has to be set up manually***
***The indicator can be used with specific symbol data only by disabling the aggregation option, which allows for it to be used on any symbol***
- Calculated based on Aggregated Volume instead of by symbol volume. Using aggregated data makes it more accurate and allows to compare volume flow between different kinds of markets (Spot, Futures , Perpetuals, Futures+Perpetuals and All Volume ).
- As well, in order to make the data as accurate as possible, the data from each exchange aggregated is normalized to report always in terms of 1 BTC. In case this indicator is used for another symbol, the calculations can be adjusted manually to make it always report data in terms of 1 contract/coin.
- Added Moving Average ( SMA , EMA , WMA , RMA, VWMA) that can be plotted to the CMF
- Changed 0 line to a small range which tends to be more relevant than the 0 line. This range can be manually modified
Things to look for:
- Divergences: Can be a very good reversal signal
- MA crossovers: Can be a very good confluent Buy/Sell signal
- Center range retests: CMF is normally defined as bullish above 0 and bearish below 0. In this case it is above or below the middle range. Even if the start of the move was missed. The retest of the middle range can give very good entries.
- Confluence of the latter
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Aggregated On Balance Volume - InFinitoOn Balance Volume calculated with aggregated and normalized volume data and a few other features:
Aggregation code originally from Crypt0rus
Candle Plotting code from LonesomeTheBlue
***The indicator can be used for any coin/symbol to aggregate volume, but it has to be set up manually***
As normal OBV, this indicator can be used to find divergences and to have an idea of volume flow. Using aggregated data makes it more accurate and allows to compare volume flow between different kinds of markets (Spot, Futures, Perpetuals, Futures+Perpetuals and All Volume).
As well, in order to make the data as accurate as possible, the data from each exchange aggregated is normalized to report always in terms of 1 BTC. In case this indicator is used for another symbol, the calculations can be adjusted manually to make it always report data in terms of 1 contract/coin.
Extra features:
- Based off LonesomeTheBlue, OBV can be plotted as candles and as Heiken Aishi candles (which give wick information)
- A Moving Average (SMA, EMA, WMA, RMA, VWMA) can be plotted to the OBV. This can be used as a confluent signal to enter a trade on a crossover or to know the strength of the current move.
- The OBV basis can be reset to 0 periodically, making it more oscillator-like and allowing to focus only on a certain period of time.
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TRADING MADE SIMPLEThis indicator shows market structure. The standard method of using Williams Highs and Lows as pivots, is something of an approximation.
What's original here is that we follow rules to confirm Local Highs and Local Lows, and strictly enforce that a Low can only follow a confirmed High and vice-versa.
-- Highs and Lows
To confirm a candle as a Local High, you need a later candle to Close below its Low. To confirm a Local Low, you need a Close above its High.
A Low can only follow a High (after it's been confirmed). You can't go e.g High, High, Low, Low, only High, Low, High, Low.
When price makes Higher Highs and Higher Lows, market structure is said to be bullish. When price makes Lower Lows and Lower Highs, it's bearish.
I've defined the in-between Highs and Lows as "Ranging", meaning, neutral. They could be trend continuation or reversal.
-- Bullish/Bearish Breaks
A Bullish break in market structure is when the Close of the current candle goes higher than the previous confirmed Local High.
A Bearish Break is when the Close of the current candle goes lower than the most recent confirmed Local Low.
I chose to use Close rather than High to reduce edge case weirdness. The breaking candle often ends up being a big one, thus the close of that candle can be a poor entry.
You can get live warnings by setting the alert to Options: Only Once, because during a candle, the current price is taken as the Close.
Breaks are like early warnings of a change in market bias, because you're not waiting for a High or Low to be formed and confirmed.
Buy The Dip / Sell The Rally
Buy The Dip is a label I gave to the first Higher Low in a bullish market structure. Sell The Rally is the first Lower High in a bearish market structure.
These *might* be good buying/selling opportunities, but you still need to do your own analysis to confirm that.
== USAGE ==
The point of knowing market structure is so you don't make bullish bets in a bearish market and vice versa -
or if you do at least you're aware that that's what you're doing, and hopefully have some overwhelmingly good reason to do so.
These are not signals to be traded on their own. You still need a trade thesis. Use with support & resistance and your other favourite indicators.
Works on any market on any timeframe. Be aware that market structure will be different on different timeframes.
IMPORTANT: If you're not seeing what you expect, check your settings and re-read this entire description carefully. Confirming Highs and Lows can get deceptively complex.
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DAYOFWEEK performance1 -Objective
"What is the ''best'' day to trade .. Monday, Tuesday...."
This script aims to determine if there are different results depending on the day of the week.
The way it works is by dividing data by day of the week (Monday, Tuesday, Wednesday ... ) and perform calculations for each day of the week.
1 - Objective
2 - Features
3 - How to use (Examples)
4 - Inputs
5 - Limitations
6 - Notes
7 - Final Tooughs
2 - Features
AVG OPEN-CLOSE
Calculate de Percentage change from day open to close
Green % (O-C)
Percentage of days green (open to close)
Average Change
Absolute day change (O-C)
AVG PrevD. Close-Close
Percentage change from the previous day close to the day of the week close
(Example: Monday (C-C) = Friday Close to Monday close
Tuesday (C-C) = Monday C. to Tuesday C.
Green % (C1-C)
Percentage of days green (open to close)
AVG Volume
Day of the week Average Volume
Notes:
*Mon(Nº) - Nº = Number days is currently calculated
Example: Monday (12) calculation based on the last 12 Mondays. Note: Discrepancies in numbers example Monday (12) - Friday (11) depend on the initial/end date or the market was closed (Holidays).
3 - How to use (Examples)
For the following example, NASDAQ:AAPL from 1 Jan 21 to 1 Jul 21 the results are following.
The highest probability of a Close being higher than the Open is Monday with 52.17 % and the Lowest Tuesday with 38.46 %. Meaning that there's a higher chance (for NASDAQ:AAPL ) of closing at a higher value on Monday while the highest chance of closing is lower is Tuesday. With an average gain on Tuesday of 0.21%
Long - The best day to buy (long) at open (on average) is Monday with a 52.2% probability of closing higher
Short - The best day to sell (short) at open (on average) is Tuesday with a 38.5% probability of closing higher (better chance of closing lower)
Since the values change from ticker to ticker, there is a substantial change in the percentages and days of the week. For example let's compare the previous example ( NASDAQ:AAPL ) to NYSE:GM (same settings)
For the same period, there is a substantial difference where there is a 62.5% probability Friday to close higher than the open, while Tuesday there is only a 28% probability.
With an average gain of 0.59% on Friday and an average loss of -0.34%
Also, the size of the table (number of days ) depends if the ticker is traded or not on that day as an example COINBASE:BTCUSD
4 - Inputs
DATE RANGE
Initial Date - Date from which the script will start the calculation.
End Date - Date to which the script will calculate.
TABLE SETTINGS
Text Color - Color of the displayed text
Cell Color - Background color of table cells
Header Color - Color of the column and row names
Table Location - Change the position where the table is located.
Table Size - Changes text size and by consequence the size of the table
5 - LIMITATIONS
The code determines average values based on the stored data, therefore, the range (Initial data) is limited to the first bar time.
As a consequence the lower the timeframe the shorter the initial date can be and fewer weeks can be calculated. To warn about this limitation there's a warning text that appears in case the initial date exceeds the bar limit.
Example with initial date 1 Jan 2021 and end date 18 Jul 2021 in 5m and 10 m timeframe:
6 - Notes and Disclosers
The script can be moved around to a new pane if need. -> Object Tree > Right Click Script > Move To > New pane
The code has not been tested in higher subscriptions tiers that allow for more bars and as a consequence more data, but as far I can tell, it should work without problems and should be in fact better at lower timeframes since it allows more weeks.
The values displayed represent previous data and at no point is guaranteed future values
7 - Final Tooughs
This script was quite fun to work on since it analysis behavioral patterns (since from an abstract point a Tuesday is no different than a Thursday), but after analyzing multiple tickers there are some days that tend to close higher than the open.
PS: If you find any mistake ex: code/misspelling please comment.
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