Machine Learning: VWAP [YinYangAlgorithms]Machine Learning: VWAP aims to use Machine Learning to Identify the best location to Anchor the VWAP at. Rather than using a traditional fixed length or simply adjusting based on a Date / Time; by applying Machine Learning we may hope to identify crucial areas which make sense to reset the VWAP and start anew. VWAP’s may act similar to a Bollinger Band in the sense that they help to identify both Overbought and Oversold Price locations based on previous movements and help to identify how far the price may move within the current Trend. However, unlike Bollinger Bands, VWAPs have the ability to parabolically get quite spaced out and also reset. For this reason, the price may never actually go from the Lower to the Upper and vice versa (when very spaced out; when the Upper and Lower zones are narrow, it may bounce between the two). The reason for this is due to how the anchor location is calculated and in this specific Indicator, how it changes anchors based on price movement calculated within Machine Learning.
This Indicator changes the anchor if the Low < Lowest Low of a length of X and likewise if the High > Highest High of a length of X. This logic is applied within a Machine Learning standpoint that likewise amplifies this Lookback Length by adding a Machine Learning Length to it and increasing the lookback length even further.
Due to how the anchor for this VWAP changes, you may notice that the Basis Line (Orange) may act as a Trend Identifier. When the Price is above the basis line, it may represent a bullish trend; and likewise it may represent a bearish trend when below it. You may also notice what may happen is when the trend occurs, it may push all the way to the Upper or Lower levels of this VWAP. It may then proceed to move horizontally until the VWAP expands more and it may gain more movement; or it may correct back to the Basis Line. If it corrects back to the basis line, what may happen is it either uses the Basis Line as a Support and continues in its current direction, or it will change the VWAP anchor and start anew.
Tutorial:
If we zoom in on the most recent VWAP we can see how it expands. Expansion may be caused by time but generally it may be caused by price movement and volume. Exponential Price movement causes the VWAP to expand, even if there are corrections to it. However, please note Volume adds a large weighted factor to the calculation; hence Volume Weighted Average Price (VWAP).
If you refer to the white circle in the example above; you’ll be able to see that the VWAP expanded even while the price was correcting to the Basis line. This happens due to exponential movement which holds high volume. If you look at the volume below the white circle, you’ll notice it was very large; however even though there was exponential price movement after the white circle, since the volume was low, the VWAP didn’t expand much more than it already had.
There may be times where both Volume and Price movement isn’t significant enough to cause much of an expansion. During this time it may be considered to be in a state of consolidation. While looking at this example, you may also notice the color switch from red to green to red. The color of the VWAP is related to the movement of the Basis line (Orange middle line). When the current basis is > the basis of the previous bar the color of the VWAP is green, and when the current basis is < the basis of the previous bar, the color of the VWAP is red. The color may help you gauge the current directional movement the price is facing within the VWAP.
You may have noticed there are signals within this Indicator. These signals are composed of Green and Red Triangles which represent potential Bullish and Bearish momentum changes. The Momentum changes happen when the Signal Type:
The High/Low or Close (You pick in settings)
Crosses one of the locations within the VWAP.
Bullish Momentum change signals occur when :
Signal Type crosses OVER the Basis
Signal Type crosses OVER the lower level
Bearish Momentum change signals occur when:
Signal Type crosses UNDER the Basis
Signal Type Crosses UNDER the upper level
These signals may represent locations where momentum may occur in the direction of these signals. For these reasons there are also alerts available to be set up for them.
If you refer to the two circles within the example above, you may see that when the close goes above the basis line, how it mat represents bullish momentum. Likewise if it corrects back to the basis and the basis acts as a support, it may continue its bullish momentum back to the upper levels again. However, if you refer to the red circle, you’ll see if the basis fails to act as a support, it may then start to correct all the way to the lower levels, or depending on how expanded the VWAP is, it may just reset its anchor due to such drastic movement.
You also have the ability to disable Machine Learning by setting ‘Machine Learning Type’ to ‘None’. If this is done, it will go off whether you have it set to:
Bullish
Bearish
Neutral
For the type of VWAP you want to see. In this example above we have it set to ‘Bullish’. Non Machine Learning VWAP are still calculated using the same logic of if low < lowest low over length of X and if high > highest high over length of X.
Non Machine Learning VWAP’s change much quicker but may also allow the price to correct from one side to the other without changing VWAP Anchor. They may be useful for breaking up a trend into smaller pieces after momentum may have changed.
Above is an example of how the Non Machine Learning VWAP looks like when in Bearish. As you can see based on if it is Bullish or Bearish is how it favors the trend to be and may likewise dictate when it changes the Anchor.
When set to neutral however, the Anchor may change quite quickly. This results in a still useful VWAP to help dictate possible zones that the price may move within, but they’re also much tighter zones that may not expand the same way.
We will conclude this Tutorial here, hopefully this gives you some insight as to why and how Machine Learning VWAPs may be useful; as well as how to use them.
Settings:
VWAP:
VWAP Type: Type of VWAP. You can favor specific direction changes or let it be Neutral where there is even weight to both. Please note, these do not apply to the Machine Learning VWAP.
Source: VWAP Source. By default VWAP usually uses HLC3; however OHLC4 may help by providing more data.
Lookback Length: The Length of this VWAP when it comes to seeing if the current High > Highest of this length; or if the current Low is < Lowest of this length.
Standard VWAP Multiplier: This multiplier is applied only to the Standard VWMA. This is when 'Machine Learning Type' is set to 'None'.
Machine Learning:
Use Rational Quadratics: Rationalizing our source may be beneficial for usage within ML calculations.
Signal Type: Bullish and Bearish Signals are when the price crosses over/under the basis, as well as the Upper and Lower levels. These may act as indicators to where price movement may occur.
Machine Learning Type: Are we using a Simple ML Average, KNN Mean Average, KNN Exponential Average or None?
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!
Trendpattern
SizeblockPrice change indicator in the form of diagonal rows.
The calculation is based on the percentage or tick deviation of the price movement (indicated in the "Deviation" parameter), which is displayed on the chart in the form of rows.
The row consists of the base middle line, upper and lower limits:
The middle line is the basis for the upper and lower limits of the current row.
The upper and lower limits are deviations from the base middle line of the current row.
The base middle line is equal to the upper or lower limits of the previous row (if the price changes rapidly in one time interval, then the base middle line of the current row is greater than the upper limit of the previous row or less than the lower limit of the previous row by an equal number of deviations depending on the direction of price movement). At the beginning of the calculation, the base middle line is equal to the initial value of the first row.
The "Quantity" parameter determines the deviation for the upper or lower limits depending on the direction of the price movement, and the "U-turn" parameter determines the deviation for changing the direction of the price movement.
The rule for constructing a new row:
The "Source" parameter accepts, depending on the choice, the price of high, low values or the closing price from the time interval of the chart.
When the price reaches the upper or lower limits of the row and goes beyond them, a new row is formed with the same parameters for deviation of the upper and lower limits from the base middle line, depending on the direction of price movement.
By adjusting certain deviations, you can clearly see the local trend and reversal points on the chart.
A useful tool for tracking price direction.
Thanks for your attention!
Trendy Bars CounterTrendy Bars Counter indicates the number of bars in trend.
Green: If trend is up
Red: If trend is down
Gray: If there is no trend
Minimum Number Of Trendy Bars: if trendy bars count is greater than this value trendy bars count will be plotted
VWAP with CharacterizationThis indicator is a visual representation of the VWAP (Volume Weighted Average Price), it calculates the weighted average price based on trading volume. Essentially, it provides a measure of the average price at which an asset has traded during a given period, but with a particular focus on trading volume. In our case, the indicator calculates the VWAP for the current trading symbol, using a predefined simple moving average (SMA) with a period of 14. This volume-weighted moving average offers a clearer view of the behavior of the VWAP and, of consequence of market dynamics.
One of the distinctive features of this indicator is its ability to provide a more "linear" representation of the data. This means that the data is "smoothed" to remove noise, allowing you to more easily identify the direction of the market trend. This smoother representation is especially useful because the financial market can be subject to significant fluctuations and volatility, and this indicator can help get a more stable view of the trend.
The indicator also offers a visualization of the market trend in a very intuitive way. Using an evaluation of the highs and lows of the last 10 days, determine whether the market is in an uptrend, downtrend, or no trend at all. To make this evaluation even clearer and more immediate, the indicator line is colored dynamically. When the trend is bullish, the line is blue, while in case of a bearish trend, it takes on a distinctive color, such as pink. If the trend is not defined, the line will be colored differently, for example light yellow. This coloration gives traders an immediate visual indication of the prevailing trend, allowing them to make more informed decisions regarding trading operations.
One potential strategy involves watching candles when they cross the VWAP line strongly. If, for example, a candlestick breaks above the VWAP line, we may look for retest areas near key support levels to gauge a potential long entry. In other words, we would consider that the price may have the potential to rise further after breaking above the VWAP line, and we would look to enter a long position to take advantage of this opportunity.
On the other hand, if a candlestick crosses below the VWAP line, we might consider looking for retest areas near the VWAP line itself, which now serves as potential resistance. This could indicate a possible short entry opportunity, as the price may struggle to break above the resistance represented by the VWAP line after breaking it down. In this case, we would look to take advantage of the expected continuation of the downtrend.
In both cases, the idea is to exploit significant movements across the VWAP line as signals of potential reversal or continuation of the trend. This strategy can help identify key entry points based on price behavior relative to the VWAP line.
Advanced Choppiness Indicator with CPMA"The Advanced Choppiness Indicator with CPMA is a technical analysis tool designed to assist traders in identifying choppy market conditions and determining trend direction. It combines two key components: the Choppiness Index and a Custom Price Moving Average (CPMA).
The Choppiness Index is calculated using the Average True Range (ATR), which measures market volatility. It compares the ATR to the highest high and lowest low over a specified period. A higher Choppiness Index value indicates choppier market conditions, while a lower value suggests smoother and more directional price movements.
The CPMA is a custom moving average that takes into account various price types, including the close, high, low, and other combinations. It calculates the average of these price types over a specific length. The CPMA provides a smoother trend line that can help identify support and resistance levels more accurately than traditional moving averages.
When using this indicator, pay attention to the following elements:
Yellow range boxes: These indicate choppy zones, where market conditions are characterized by low momentum and erratic price action. Avoid entering trades during these periods.
Histogram bars: Green bars suggest an uptrend, while red bars indicate a downtrend. These bars are based on the CPMA and can help confirm the prevailing trend direction.
CPMA angle: The angle of the CPMA line provides further insight into the trend. A positive angle indicates an uptrend, while a negative angle suggests a downtrend.
Choppiness thresholds: The indicator includes user-defined thresholds for choppiness. Values above the high threshold indicate high choppiness, while values below the low threshold suggest low choppiness.
Trade decisions: Consider the information provided by the indicator to make informed trading decisions. Avoid trading during choppy zones and consider entering trades in the direction of the prevailing trend.
Remember that the indicator's parameters, such as ATR length and CPMA length, can be adjusted to suit your trading preferences and timeframe. However, it's important to use this indicator in conjunction with other technical analysis tools and your trading strategy for comprehensive market analysis."
By combining the Choppiness Index, CPMA, and other visual cues, this indicator aims to help traders identify suitable trading conditions and make more informed decisions based on market trends and volatility.
Donchian Trend V1The Donchian Trend strategy is a trend-following approach that uses the Donchian Channels indicator to identify potential entry and exit points in a security. The Donchian Channels are formed by taking the highest high and the lowest low prices over a specified period and plotting them as upper and lower channels around the current price. The width of the channels indicates the level of volatility in the market.
In this strategy, the Donchian Channels are used as a trend filter to determine the direction of the market. When the price is above the upper channel, it suggests an uptrend, and when the price is below the lower channel, it indicates a downtrend. The length of the Donchian Channels is a key parameter in the strategy, as it determines the look-back period for identifying the high and low prices.
Additional Logic: To further refine the entry and exit signals, The script uses two moving averages, a fast one (MA5) and a slow one (MA45), to identify trends and generate trading signals. When the fast moving average crosses above the slow moving average, a buy signal is generated, indicating that the market is trending upwards. Conversely, when the fast moving average crosses below the slow moving average, a sell signal is generated, indicating that the market is trending downwards.
Evaluation: The script was backtested on historical price data for the pair. The backtest results showed that the script was able to generate a net profit of , with a profit factor of and a Sharpe ratio of . The script also includes metrics such as the number of winning and losing trades, the average trade, and the largest winning and losing trades.
The strategy is evaluated based on its net profit, gross profit, gross loss, max run-up, max drawdown, buy & hold return, Sharpe ratio, Sortino ratio, and profit factor. The parameters used in the backtest include a Donchian Channel length of 42, which corresponds to a weekly time with divide of 4h time frame, and a short-term MA of 5 and a long-term MA of 45 for more accurate entry and exit signals.
Disclaimer: This script is for educational and research purposes only and should not be used for trading with real money without further testing and validation. Past performance is not indicative of future results.
1-2-3 Pattern (Expo)█ Overview
The 1-2-3 pattern is the most basic and important formation in the market. Almost every great market move has started with this formation. That is why you must use this pattern to detect the next big trend. In fact, every trader has used the 1-2-3 formation to detect a trend change without realizing it.
Our 1-2-3 Pattern (Expo) indicator helps traders quickly identify the 1-2-3 Reversal Pattern automatically. By analyzing the price action data, the indicator shows the pattern in real-time. When the pattern is discovered, the 1-2-3 Pattern (Expo) Indicator notifies you via its built-in alert feature! Catching the upcoming big move can't be that much simpler.
█ How to use
The 1-2-3 pattern is used to spot trend reversals. The pattern indicates that a trend is coming to an end and a new one is forming.
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Disclaimer
The information contained in my Scripts/Indicators/Ideas/Algos/Systems does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
My Scripts/Indicators/Ideas/Algos/Systems are only for educational purposes!
TrenderTrender is an indicator that compiles trend-following ideas in a complete friendly-custom indicator. Based on classic arithmetic moving averages, exponential moving averages, volume and a little bit of Fibonacci. Indicator built and usable in TradingView, focused only for easy visualization of the trend.
