Começar

Volatilidade

Rolling Midpoint Engine [AGPro Series]Rolling Midpoint Engine ### Overview Rolling Midpoint Engine is an on-chart study that converts the geometric midpoint of the last N bars' high-low range into a living control line. The midline is tracked through three behavioral states — Accepted Above, Accepted Below, and Fight — and a fourth modifier (Strong) highlights high-conviction acceptance beyond an ATR threshold. The goal is to surface how price behaves around a single dominant reference level, not to predict direction or issue trade signals. ### Unique Edge Most midpoint tools plot a static line and let the user eyeball whether price accepts or rejects it. Rolling Midpoint Engine formalises that observation into a finite state machine that requires consecutive body-closes on one side of the midline before declaring acceptance. This filters single-bar noise and distinguishes casual tags from genuine commitment. The ATR-based Strong modifier adds a second axis of information — how firmly the current side is being held — without multiplying states or cluttering the chart with additional lines. ### Methodology The midline is computed as the average of the highest high and the lowest low over a user-defined rolling window. Optional light EMA smoothing reduces visual jitter without materially shifting the level; a Strict Reset mode disables smoothing for pure rolling output. Acceptance is evaluated through two streak counters tracking consecutive closes (or full bars, if the user prefers a stricter rule) on each side of the midline. When a streak reaches the Acceptance Bars threshold, the state transitions to Accepted Above or Accepted Below. If the running streak is positive but below threshold, the state is Fight. A Strong flag activates whenever the current distance from the midline exceeds a configurable ATR multiple. All logic uses confirmed bar closes. The script does not repaint historical states once a bar has closed. ### States & Alerts States: - Fight — price is oscillating around the midline without sustained commitment - Accepted Above — body-closes above the midline for the required number of bars - Accepted Below — body-closes below the midline for the required number of bars - Strong (modifier) — current Accepted state is held beyond the ATR threshold Alerts: - Midline Crossed Up / Down — raw price cross of the midline - Accepted Above / Below — state transitions into acceptance - Midline Rejection — state flip between Accepted Above and Accepted Below, or collapse from an Accepted state back to Fight ### Key Inputs - Rolling Length — number of bars defining the range window - Strict Reset Mode — toggle between pure rolling midline and lightly smoothed output - Acceptance Bars — consecutive body-closes required for acceptance - Use Body Close vs. Full Bar — strictness of the side-determination rule - Strong Threshold — ATR multiple that qualifies an accepted side as Strong - Label Style / Size — Edge Only, Edge + Transitions, or Off - Panel Location / Theme / Font Size — four corners plus Middle Right, Dark / Light / Auto themes - Color Midline by State — toggle state-coloring on the dominant line ### How to Use Apply the indicator to any symbol and timeframe. The midline acts as a rolling control level; the state label on the right edge summarises the current behavior. Treat Accepted Above / Below as evidence that the midline is holding as support or resistance on the corresponding side. A transition into Strong indicates the holding is well beyond routine noise. A rejection event — the state flipping or collapsing back to Fight — suggests the prior control has been compromised. This is a contextual reading tool. It does not produce entries, exits, targets, or stops, and should not be read as a recommendation to transact. ### Limitations & Transparency The midline reflects past price data only and will adapt as new highs or lows enter the rolling window. On illiquid or very low-timeframe charts, the streak-based acceptance logic can feel slow; increasing Acceptance Bars on noisier instruments or lowering it on cleaner ones is expected tuning. The Strong Threshold is volatility-relative via ATR but still an arbitrary cut — defaults are calibrated for typical liquid markets and may need adjustment for thinly traded symbols. The script uses confirmed closes and does not alter historical state once a bar has closed. Intrabar, the displayed state can update in line with current price, as with any live indicator. ### Risk Disclosure This indicator is an analytical study. It is not a strategy, not a signal service, and not financial advice. It does not forecast future prices and does not guarantee any outcome. Past behavior of price around the midline does not imply future behavior. Every trading decision is the sole responsibility of the user. Use appropriate risk management and test the tool in a non-committed environment before incorporating it into any workflow.
Indicador Pine Script®
por AGProLabs
AG Pro Adaptive Auction Boundary [AGPro Series]AG Pro Adaptive Auction Boundary Overview AG Pro Adaptive Auction Boundary is a research-style volatility tool that computes the dynamic upper and lower edges of the market's current acceptance range and classifies every bar in relation to those edges. The boundaries are not static multiples of a moving average. They breathe with the market — widening when the environment is loose and tightening when it compresses — and the script separately tracks whether the range itself is Compressed, Normal, or Expanded relative to its own recent history. The goal is simple: answer two questions at a glance. First, where does the market currently consider price "accepted" versus "rejected"? Second, is that acceptance range abnormally tight, abnormally loose, or normal for this instrument right now? These two readings together form the core workflow the script is designed for. The tool is built to stay out of the way. Boundary lines are smooth, the fill is deliberately faint, and chart events are kept minimal. The entire chart story is readable from a single screenshot: two boundaries, a regime-tinted fill, occasional regime transition labels, and small breach markers on the boundary itself. Unique Edge (Why it is not a basic mashup) Most boundary and channel tools on TradingView are variations of three ideas: a moving average plus standard deviation, a moving average plus ATR, or a lookback high/low envelope. This script is none of those. It combines three deliberate design choices that separate it from conventional band tools: 1. Rolling median center. The midpoint of the range is a rolling median of price, not a moving average. The median is robust to outliers, so a single extreme bar does not pull the center of the range around the way it does with a simple or exponential mean. 2. Dual-source adaptive width. The half-width of the boundary is driven by two independent signals working together: the upper-and-lower percentile spread of recent returns (which reacts to the shape of the return distribution), and the ratio of current ATR to its own baseline (which reacts to raw volatility regime shifts). Users can select either source individually or a Hybrid mode that blends both. This is different from a Bollinger-style single-source band. 3. Hysteresis on the width regime. Once the range is classified as Compressed or Expanded, it stays in that state until the width clears a small buffer on the way out. This prevents the rapid flip-flopping that makes percentile-based classifiers noisy near the thresholds, and keeps the regime display stable enough to be useful for decision context. The final boundary is also smoothed with a double EMA. This is a visual choice, not just a cosmetic one: a jittery boundary is unusable as a context tool, because every bar produces a new micro-signal. Double-smoothing produces a stable, readable edge that behaves like a structural level rather than a noisy indicator. Methodology The calculation runs in three stages on every bar. Stage one builds the center. A rolling median of the close over the Adaptive Length window gives a robust midpoint of where price has most recently been accepted. This midpoint is then smoothed with a double EMA to remove short-term jitter. Stage two builds the half-width. The script computes the 85th and 15th percentiles of recent bar-to-bar changes, then combines them into a symmetric dispersion estimate scaled by the square root of the window length. In parallel, it computes the ratio of current 14-bar ATR to its own Adaptive-Length moving baseline, clamped to a sensible range so that extreme outliers cannot blow the boundary out. Depending on the selected Width Model, the half-width is either the return-percentile estimate, the volatility-regime estimate, or the average of the two (Hybrid, the default). The result is scaled by the user's Width Scale input and smoothed with a double EMA. Stage three classifies. The final boundary is just the smoothed midpoint plus and minus the smoothed half-width. Every bar is then classified in two independent dimensions. On the price dimension, a bar is Inside the boundary, Breaching upward, Breaching downward, or Respecting the boundary (a prior wick beyond the edge that closed back inside, with price now confirming the rejection). On the regime dimension, the current half-width is ranked against its own history over the Regime Lookback window and classified as Compressed (below the compression percentile), Expanded (above the expansion percentile), or Normal. A hysteresis buffer prevents flip-flopping at the thresholds. Signals and Alerts The script exposes four alerts, all of which fire only on bar close to avoid intrabar noise: - AG Pro AAB: Boundary Breached — triggers when a bar closes outside the upper or lower boundary (or, if Strict Breach Logic is disabled, when a wick pierces the boundary). Useful as a context signal that the market has left its current acceptance range. - AG Pro AAB: Boundary Compressed — triggers on the bar where the width regime transitions into Compressed. Useful as a heads-up that range volatility has contracted into the lower tail of recent history. - AG Pro AAB: Boundary Expanded — triggers on the bar where the width regime transitions into Expanded. Useful as a heads-up that range volatility has expanded into the upper tail of recent history. - AG Pro AAB: Boundary Respected — triggers when price wicks beyond the boundary on one bar and closes back inside on the next, with momentum confirming the rejection. Off by default; opt-in. All alerts are plain-language, single-line, and designed to drop cleanly into any external workflow. Key Inputs Adaptive Length controls the lookback window used to build both the center and the width. Shorter values produce a faster, more reactive boundary; longer values produce a slower, more structural one. Boundary Width Model lets the user choose between Hybrid (default), Return Percentile, or Volatility Regime as the source of half-width. Hybrid is the most robust default and is recommended as a starting point. Width Scale is a global multiplier that lets the user tighten or loosen the boundary without changing the underlying model. Useful when adapting the tool across instruments with very different typical ranges. Boundary Smoothing controls the EMA length of the final smoothing pass on both the midpoint and the half-width. Higher values produce a calmer boundary at the cost of a slightly slower reaction. Strict Breach Logic, on by default, requires a close beyond the boundary to count as a breach. When disabled, any wick past the boundary counts. Strict mode is the recommended setting for clean signals. Compression Threshold, Expansion Threshold, and Regime Lookback together control how the width regime is classified. Defaults of 25 / 75 / 150 work well on most intraday and swing timeframes. Regime Label Spacing controls the minimum number of bars between consecutive regime transition labels of the same type. This is the main lever for chart density; higher values produce a cleaner chart. How to Use The intended workflow is context, not entry generation. Treat the boundary as a statement about where the market is currently comfortable. Price inside the boundary is the normal case. Price breaking outside the boundary is the market declaring that its previous acceptance range no longer holds. The width regime is the second layer of context. A Compressed regime says the market has contracted into a tight range relative to its own history — a condition that often resolves with a directional move in one direction or the other, though it does not predict which. An Expanded regime says the market is running at abnormally wide volatility; continuation is possible but mean reversion toward the center also becomes a more realistic scenario. Respect events inside a Normal or Expanded regime describe the boundary behaving as a responsive edge. Breach events, especially those following a Compressed regime, describe the boundary failing as an edge and the market re-pricing into a new acceptance range. Neither is a trade signal on its own; both are pieces of context that slot into an existing plan. The script is timeframe-agnostic. It works the same way on a 15-minute chart as it does on a Daily, because all of its thresholds are computed from the chart's own recent history rather than hard-coded values. Limitations and Transparency This script does not use request.security() and does not reference any higher-timeframe data. There is no lookahead, and no value used in calculation depends on a future bar. All state classifications (Inside, Breach, Respect, and the width regime) are computed from confirmed bar data. The boundary is a descriptive tool, not a forecast. It describes the current acceptance range of the market as reconstructed from recent history; it does not say where price will go next. The width regime classifier depends on having enough bars of history to rank against — on a very short chart or immediately after a new listing, regime readings will stabilize only after the Regime Lookback window fills up. The percentile-based width model is sensitive to unusual return distributions. On instruments or timeframes with extreme outlier bars, users may want to increase Boundary Smoothing or reduce Width Scale to keep the boundary inside a reasonable visual range. Alert triggers are intended for bar-close use. Intrabar triggers are not recommended because both the breach classification and the regime classification can change before the bar closes. Risk Disclosure This indicator is not a trading strategy, not a signal service, and not financial advice. It does not generate buy or sell recommendations and should not be used as the sole basis for any trading decision. Past behavior of the boundary on historical data does not guarantee similar behavior in the future. Trading carries risk, and users are responsible for their own decisions, position sizing, and risk management. The script is provided as an analytical visualization tool to support an existing trading process.
Indicador Pine Script®
por AGProLabs
AG Pro Mean Reversion Corridors [AGPro Series] Overview -------- AG Pro Mean Reversion Corridors is a volatility-anchored corridor framework that maps how far price has stretched from a fair-value center and classifies that stretch into actionable zones. An inner corridor marks the early reversion band, an outer corridor marks statistical exhaustion, and a higher-timeframe trend filter separates controlled reversion from failure-continuation expansions. The goal is to let traders tell the difference between fading an edge and respecting a real break. Unique Edge ----------- Most corridor tools use a single volatility engine (pure ATR or pure standard deviation) and a single band. AG Pro MRC is different in three ways: 1. Dual-engine width. The corridor width is a user-controlled blend of ATR and standard deviation, so it adapts to both range-based and dispersion-based volatility regimes without hand-tuning. 2. Two-stage corridor. Inner and outer bands split the stretch into an early-reversion zone and a statistical-exhaustion zone, instead of collapsing both into one signal. 3. Context-aware state machine. A trend filter, evaluated on a higher timeframe and normalized by ATR, reclassifies outer-band events as "reversion" or "failure continuation" depending on whether the macro trend is opposed to or aligned with the stretch. Blind fading is actively discouraged when the trend is strong. Methodology ----------- 1. Center model. A fair-value center is computed using one of three selectable models: EMA (smooth classic baseline), VWMA (volume-aware, default) or HMA (responsive for fast regimes). 2. Width unit. The corridor width is built from a linear blend of ATR and rolling standard deviation over the same lookback. The blend weight is user-controlled. ATR-only is robust on gaps and illiquid assets; StDev-only reflects dispersion; the 50/50 default is stable across regimes. 3. Band construction. Inner bands sit at 1.0 width units from the center by default, outer bands at 2.2 width units. These are the zones where price is statistically stretched (inner) or extreme (outer). 4. Trend filter. On a selectable higher timeframe, the center's slope is measured over a configurable window and normalized by ATR. When the normalized slope exceeds the strength threshold, the trend is labeled "strong"; otherwise it is "neutral". 5. State machine. The current bar is classified as In Balance, Inner Stretch (up/down), Outer Extreme (up/down) or Outer Continuation (up/down when the trend is aligned with the stretch). After an outer hit, a close back inside the inner corridor within 20 bars triggers Reversion Confirmed, provided the trend is not strongly aligned with the original stretch. A close beyond the outer band while the trend is strongly aligned fires Corridor Failure instead. Signals & Alerts ---------------- Six optional alerts, each independently toggleable: - Inner Corridor — Upside Entered: early upside stretch. - Inner Corridor — Downside Entered: early downside stretch. - Outer Corridor — Upside Hit: upside exhaustion reached. - Outer Corridor — Downside Hit: downside exhaustion reached. - Reversion Confirmed: price reclaimed the inner corridor after an outer event, under trend conditions that favor reversion. - Corridor Failure: price closed beyond the outer corridor while the macro trend is strongly aligned with the stretch; continuation is the dominant read. All alerts fire once per bar close. Key Inputs ---------- - Center Model: EMA / VWMA / Hull. - Center Length: lookback for the fair-value center. - ATR / StDev Blend: volatility engine weight (0 = pure ATR, 1 = pure StDev). - Volatility Length: lookback for both ATR and StDev. - Inner Corridor Width: inner band distance in width units. - Outer Corridor Width: outer band distance in width units. - Enable Trend Filter: turn the macro context filter on/off. - Trend Timeframe: higher timeframe used to read the macro trend. - Trend Length: slope lookback on the trend timeframe. - Trend Strength Threshold: minimum normalized slope to call the trend strong. - Show Outer Band Only: minimal visual with only the exhaustion band. - Show Center Line, Corridor Fills, Edge Tags, State Labels: visual toggles. - Info Panel position and toggle. How to Use ---------- 1. Read the current state in the info panel. State, reversion bias, trend and stretch (in sigma units) are all shown at a glance. 2. Treat inner corridor events as early stretch, not as trade triggers on their own. They suggest that price has moved meaningfully away from fair value but the move may still have room. 3. Treat outer corridor events as context-sensitive. When the trend is neutral or opposed to the stretch, the outer band is a reversion-prone zone. When the trend is strongly aligned with the stretch, the same event reads as continuation, and the Corridor Failure logic reflects that. 4. Wait for Reversion Confirmed before acting on a mean-reversion thesis. The confirmation requires price to close back inside the inner band, which filters out many premature fades. 5. Combine with your own structure, execution and risk rules. Corridors describe stretch — they do not dictate entries or exits. The tool is not a strategy and does not place trades. It is a context and structure overlay. Limitations & Transparency -------------------------- - Signals are computed on confirmed bars. Intrabar behavior is not used for alerts. - A volatility-based corridor is only as stable as the volatility regime itself. Sharp regime shifts will widen or tighten the bands accordingly. - The higher-timeframe trend filter uses request.security with lookahead_off; no future data is referenced. - Mean reversion is a statistical tendency, not a certainty. Outer extremes can extend further than expected, especially in strong trends or during news-driven expansions, which is why the trend filter and the Corridor Failure classification exist. - Default parameters are a reasonable starting point, not an optimum. Tune the center length, volatility length, corridor widths and trend settings to your instrument and timeframe. Risk Disclosure --------------- This indicator is a visualization and analysis tool. It is not investment advice, not a strategy, and does not guarantee any outcome. Past market behavior does not predict future results. Trading financial instruments involves substantial risk, including the possible loss of principal. You are solely responsible for your trading decisions and risk management.
Indicador Pine Script®
por AGProLabs
Liquidity Sweep Detector [QuantAlgo]📊 Script Description (Premium Style) This script is a Liquidity Sweep Detector designed to identify key market manipulation zones where institutions hunt stop losses before moving price in the real direction. It highlights two main concepts: 🔴 Bearish Sweep (Sell-Side Setup) Appears when price takes liquidity above highs (stop hunts). Marked with red labels and zones. Indicates potential reversal to the downside. Sell-side liquidity levels (red boxes) show target areas below price. 👉 Meaning: Big players grab buy stops, then push price down. 🟢 Bullish Sweep (Buy-Side Setup) Appears when price takes liquidity below lows. Marked with green labels and zones. Signals potential reversal to the upside. Buy-side liquidity (green zone at top) shows target area above price. 👉 Meaning: Big players grab sell stops, then push price up. 📦 Liquidity Zones Red zones = Sell-side liquidity (targets below) Green zone = Buy-side liquidity (target above) Price often moves from one liquidity pool to another. 📍 Vertical Lines (Timing Clues) Highlight key sessions or moments where liquidity events occur. Help you spot high-probability entry timing. 💡 How to Use It Wait for a liquidity sweep (fake breakout) Confirm reversal structure Target the opposite liquidity zone
Indicador Pine Script®
por JohnHarry66
Trend Angle Monitor | Fibonacci & Gann Cycles Trend Angle Monitor | Fibonacci & Gann Cycles Overview Trend Angle Monitor measures the slope angle of price relative to the Average True Range (ATR) across three independent periods. By normalizing price movement with ATR, the tool produces degree-based angle readings that reflect genuine momentum strength — regardless of the asset's absolute price level or volatility regime. All three periods are derived from Fibonacci and Gann cycle numbers and are automatically adjusted to the active chart timeframe. How it works Angle calculation Each angle is derived from the arctangent of the price change over a given lookback period divided by the ATR of that same period. Positive values indicate upward momentum; negative values indicate downward momentum. The magnitude reflects the steepness of the trend relative to normal volatility — not just raw price distance. Three independent periods (P1, P2, P3) Three trend angle lines are plotted simultaneously, each operating on a different lookback period. P1 is the fastest (short-term momentum), P2 is intermediate, and P3 is the slowest (structural trend). Period values are sourced from the Fibonacci sequence and Gann cycle theory: P1 — Fast: 8, 13, or 21 bars depending on timeframe P2 — Medium: 13, 21, 34, or 55 bars P3 — Slow: 21, 55, 89, or 144 bars Auto timeframe detection When enabled, the tool detects the current chart timeframe (M1 through 1W) and automatically selects the most appropriate Fibonacci/Gann period set and angle thresholds. A manual preset override is available for users who prefer fixed parameters. Background gradient The chart background reflects the combined momentum state of all three angle lines. Each angle scores +1 (above upper threshold), −1 (below lower threshold), or 0 (neutral). The total score ranges from −3 to +3, producing seven distinct states: +3 Yellow → Green — all three bullish +2 Yellow → Light Green — two bullish +1 Yellow → Gold — one bullish dominant 0 Orange — mixed / neutral −1 Orange → Red — one bearish dominant −2 Red-Orange — two bearish −3 Orange → Deep Red — all three bearish The gradient deepens progressively the longer the regime persists, building intensity over up to 30 bars. Long / short signals A green triangle (▲) is plotted below the bar when all three angles simultaneously cross above their upper thresholds for the first time (score transitions to +3). A red triangle (▼) is plotted above the bar when all three angles simultaneously cross below their lower thresholds (score transitions to −3). Signals are non-repeating: once a long signal fires, it will not fire again until a confirmed short signal (−3) has occurred first, and vice versa. This prevents signal spam during choppy conditions while preserving clean re-entry logic after a genuine trend reversal. Bar coloring Individual bars are colored based on the P1 (fastest) angle state — bullish color above the upper threshold, neutral color within the neutral zone, bearish color below the lower threshold. Trend lines and labels Each of the three periods draws a straight price line from the lookback bar to the current bar, color-coded by its momentum state. Optional floating labels display the current angle value in degrees at the origin of each line, positioned above or below price depending on whether the angle is rising or falling. Info panel A compact table in the bottom-right corner shows the current and previous bar angle values for all three periods, color-coded by regime. It also displays the active timeframe preset, the threshold in use, and an overall BIAS reading (BULLISH / NEUTRAL / BEARISH) based on whether all three angles are in agreement. Settings Preset settings Auto timeframe detection — enables automatic period and threshold selection Manual preset — choose from M1, M5, M15, M30, 1H, 4H, 1D, 1W Show info panel — toggle the summary table Background gradient — toggle the background color system Per-line settings (repeated for P1, P2, P3) Show line, price source, period (manual), use auto period Show label, line thickness Line color, bullish color, bearish color, neutral color Upper / lower threshold (manual), use auto threshold Notes Plots directly on the price chart as an overlay. No external data sources are used. All calculations are self-contained. Signals are bar-confirmed and do not repaint. Designed for use on any liquid instrument across all major timeframes. This tool is for informational and educational purposes only. It does not constitute financial advice, a trading recommendation, or a signal to buy or sell any asset. Past performance of any pattern or signal does not guarantee future results. Always confirm setups across multiple timeframes and combine this tool with other forms of analysis before making any trading decision. Never risk more than you can afford to lose, and always apply proper position sizing and risk management. You are solely responsible for your own trading decisions.
Indicador Pine Script®
por hasanaksoy199264
Daily Gamma Levels Dashboard Updated (Pasteable)It is a TradingView Pine Script indicator for daily gamma and key market levels. Its purpose is to let you paste a fresh block of daily levels into the settings each day instead of editing the source code manually. The script reads the row that matches the chart symbol, converts those pasted values into horizontal price lines across the chart, and labels the important levels so you can quickly see where call walls, put walls, zero gamma, volatility trigger, implied move levels, risk pivots, and any other custom fields sit relative to current price. It also includes a small info table so the levels can be read numerically, and it can merge nearby labels when two levels are close together, which keeps the chart cleaner while still preserving the separate horizontal lines. In short, it is used to create a daily, manually refreshed gamma-level dashboard on your chart so you can track market structure and important dealer-related price zones visually.
Indicador Pine Script®
por mjodlowski2002
Iteratively Reweighted Least Squares Range Filter [Jamallo]Intro Iteratively Reweighted Least Squares Range Filter Most filters treat every bar equally. This one doesn't. The IRLS Range Filter uses a robust statistical engine to continuously evaluate how much each bar in the lookback window should be trusted — down-weighting noisy data and rejecting outliers entirely — before computing a consensus price level. The result is a smoother, more honest trend line that is far less susceptible to wicks, gaps, and volatile noise than conventional moving averages. How It Works The indicator runs in three stages: Stage 1 — IRLS Consensus Engine . Every bar in the rolling window is assigned one of three trust states based on how far its price deviates from the current consensus, measured in adaptive sigma units. High Trust bars (within Lo-Trust Band σ) receive full weight. Lo Trust bars receive half weight. Rejected bars receive none. A Schmitt-trigger hysteresis mechanism prevents bars from flickering between states on minor fluctuations. The weighted average of all contributing bars becomes the consensus price. This residual-based weighting scheme is adapted from the IRLS framework described in Li & Deng (2026), arXiv:2603.08158. Stage 2 — Deadband Quantizer . The continuous consensus is passed through a step filter. The output only moves when the consensus has shifted by more than one deadband unit (Step Size × σ). This eliminates micro-jitter and produces a clean staircase line with fewer false trend flips. Stage 2.5 — Sample-and-Hold Bands. The volatility channel is only updated when the filter takes a new step, so band width reflects conditions at the last decisive move rather than real-time noise. An EMA-style smoother (Band Smooth) prevents abrupt band jumps between steps. Reference Li, J., & Deng, F. (2026). Outlier-robust Autocovariance Least Square Estimation via Iteratively Reweighted Least Square. arXiv preprint arXiv:2603.08158v1.
Indicador Pine Script®
por Jamallo22
Cross-Asset Correlation & Cointegration Intelligence [NikaQuant] **Cross-Asset Correlation & Cointegration Intelligence** Track your chart symbol against up to six comparison symbols. The script renders **three synchronized panels** that tell you, in plain numbers: - How coupled the basket is **right now** - Which pairs are genuinely tradeable (and the **expected mean-reversion time**) - How much **gross exposure** you should carry given the current regime ## What It Does - **Intelligence Dashboard** — per-symbol grid: correlation, beta, R², z-score, percentile, stability, lead/lag, spread z, quality score, hedge size, stress-vs-normal correlation delta, signal verdict - **N×N Correlation Matrix** — full 6×6 pairwise heatmap - **Action Center** — regime timer, flip probability, risk-budget advisor, top-5 ranked trades, top-3 cointegrated pair setups, trade playbook ## Why It Is Original Unlike standard correlation heatmap scripts that display a single Pearson value per pair, this script builds a composite intelligence layer across **three independent axes** that no retail correlation indicator combines: **1. Asymmetric (Conditional) Correlation** Splits history into **normal-volatility** and **stress-volatility** regimes using an ATR-median split on the base symbol, and reports the two correlations side by side. This exposes the *"diversification fails when you need it"* amplification that an averaged Pearson value hides — a documented pattern in every crisis since 1998. **2. Cointegration + Half-Life** For all 15 unique pairs, runs an **Engle-Granger two-step** (log-regression then AR(1) on the residual spread) to flag which spreads are genuinely mean-reverting. Cointegrated pairs carry an **Ornstein-Uhlenbeck half-life** t½ = −ln(2) / ln(1 + φ) — the expected mean-reversion time in bars. *Correlation tells you direction; cointegration tells you whether the spread will revert.* **3. Regime Persistence + Flip Probability** Tracks four states (Crisis / Coupled / Mixed / Decoupled) in a **4×4 Markov transition counter**, stores per-regime dwell times, and converts them into flip-probability estimates for the next 10 and 30 bars. You see not just *"we are in X"* but *"X has lasted 47 bars, historical average is 62 bars, probability of flip in 30 bars is 55%."* ## Composite Modules - **Crisis Clock (0–100)** — composite of average absolute correlation, cross-sectional dispersion collapse, and tail-dependence count - **Market Brain** — union-find clustering on positive pairwise correlations, auto-groups symbols that move as one - **Dispersion Trade Detector** — fires when average correlation drops >2σ while realized volatility rises - **Hedge Desk** — converts OLS beta into a **dollar hedge notional** given your base position size - **Effective-N** — correlation-adjusted diversification count (six symbols at ρ=1.0 gives effective N = 1) - **Risk Budget Advisor** — regime + effective-N → suggested gross exposure percentage - **Setup Quality Score** — composite of |corr| × R² × stability, adjusted for regime, clock, and break - **Action List** — scans every symbol and every pair, scores each candidate, ranks them, surfaces the top five with type, target, score, direction, suggested size, rationale ## Per-Symbol Metrics - Rolling Pearson correlation across **three lookbacks** (short, medium, long) — three-block glyph reveals timeframe divergence - **OLS beta** from log returns, **R²** as variance explained - **Z-score** of current correlation vs its own 200-bar distribution - **Percentile rank** of current correlation in its own history - **Stability** from rolling stdev of the correlation itself - **Optimal-lag scanner** across {−5, −3, −1, 0, +1, +3, +5} offsets - **Spread z-score** of the price ratio for pairs signaling - **Asymmetric Δ** = ρ_stress − ρ_normal (positive = hedge fails under stress) ## How To Use It - **Scan the Quality column first.** Anything at or above 60 with a TRACK++ or HEDGE++ signal is a high-confidence setup. - **Cross-check AsymΔ.** Values above +0.3 mean that "hedge" is expected to fail under stress — avoid relying on it in a crisis. - **Use Hedge column values** as the dollar notional to short or long against your base position to neutralize beta. - **Read the matrix** like a portfolio risk report. Clusters of dark-green tiles = diversification is breaking down. Red tiles = inverse pairs. - **In the Action Center**, start at the Risk Budget line, then work top-down through the Action List. Cointegrated pairs marked with a check-mark prefix show expected mean-reversion time in bars. **Recommended timeframes:** intraday or daily charts with at least 250 bars of history across all six symbols. **Recommended markets:** anywhere the base asset has meaningful relationships with a benchmark basket — equity indexes vs sector ETFs, crypto majors vs index proxies, FX vs rates and commodities. **Avoid using when:** fewer than three symbols resolve to valid data; during the first 250 bars after chart load; or on a symbol with gapped or illiquid history that creates artificial correlation jumps. ## Alerts Regime Break · Dispersion Trade Setup · New Cointegrated Pair · High-Quality Setup · Imminent Regime Flip · Crisis Regime Entered · Asymmetric Correlation Amplification · Risk Budget Reduced · Clock Stressed/Critical · Strong Positive/Negative Correlation Crossovers ## Key Settings - **Comparison Symbols 1–6** — the basket (autocomplete from any TV ticker) - **Medium-Term Correlation Period** (50) — primary correlation lookback - **Short / Long Lookbacks** (20 / 200) — timeframe-divergence glyph - **Historical Baseline** (200) — z-score, percentile, stability, regime dwell times, and asymmetric-correlation ATR split - **Strong Correlation** (0.70) — threshold for strong-signal eligibility - **Regime-Break |Z|** (2.00) — flags correlations breaking their range - **Pairs-Trade |Spread Z|** (2.00) — pairs-trade setup threshold - **Min R² for Trust** (0.25), **Min Stability** (0.50) — quality gates - **Cluster Threshold** (0.60) — Market Brain grouping - **Crisis Clock** — Stressed (60), Critical (80) thresholds - **Base Position Size** (10,000) — drives Hedge Desk and Action sizing - **Min Action Quality** (60) — filters the Action List - **Risk Budget per regime** — Crisis 50%, Coupled 75%, Mixed 90%, Decoupled 100% (all user-tunable) - **Display** — position each of three tables independently; Compact or Pro column density; full palette customization ## Notes **No repainting.** All correlations, betas, and regime computations use confirmed bars only. Regime transition counters and dwell-time arrays update only when a bar confirms. **Data integrity.** Six external symbol requests are made with non-forward-looking data fetches, well within TradingView's request limit. **Methods.** Asymmetric correlation uses log returns with indicator weights from an ATR-median volatility split on the base asset. Cointegration is Engle-Granger two-step: log-regression residual, then AR(1) test. A pair is flagged as cointegrated when the AR(1) coefficient is sufficiently negative to indicate mean-reversion. Half-life uses the standard Ornstein-Uhlenbeck solution t½ = −ln(2) / ln(1 + φ). **Warm-up.** The first ~250 bars after chart load are a warm-up period. Several metrics will display "—" until enough history accumulates. **Originality.** All calculations, signal logic, clustering, cointegration testing, and table rendering are original. No third-party code is reused.
Indicador Pine Script®
por NikaQuant
1
FxASTAlgo Normalized T3 Oscillator [ALLDYN]◈🛡 FxASTAlgo Normalized T3 Oscillator The FxASTAlgo Normalized T3 Oscillator is a streamlined trend-pressure oscillator designed to visualize where smoothed price momentum sits within its own recent range. This is a foundational FxAST oscillator designed for clean momentum and bias visualization . It is not intended to replace full decision frameworks, but to provide a clear, normalized view of trend pressure. Instead of relying on traditional overbought/oversold logic, this tool normalizes a T3-smoothed price series into a centered oscillator, allowing traders to quickly identify bias, strength, and momentum state across any market or timeframe. ---------------------------------------------------------------------------------------------------------------- ⚙️ Core Concept This oscillator answers a simple but powerful question: Where is smoothed price pressure relative to its own recent envelope? By normalizing T3 output over a rolling range, the indicator provides a consistent view of: Directional bias (above/below equilibrium) Momentum expansion and contraction Regime shifts and transitions ------------------------------------------------------------------------------------------------------------------ 📊 Key Features T3-Based Smoothing Reduces noise while maintaining responsiveness to short-term momentum shifts. Normalized Output (-0.5 to +0.5) Standardized range allows for consistent interpretation across instruments. Dynamic Momentum Coloring Column-based visualization highlights strength and pressure progression. Signal Line (Multi-MA Options) Optional moving average overlay for additional confirmation or filtering. Compact HUD (Bias / Strength / State / MA Relation) At-a-glance readout of current market condition. Zero-Line Alerts Clean directional triggers for potential regime shifts. ---------------------------------------------------------------------------------------------------------- 🧠 How to Use Above 0 → Bullish pressure dominates Below 0 → Bearish pressure dominates ±0.25 → Strong directional momentum ±0.40–0.50 → Expansion / trend continuation zones Near 0 → Compression / transition / indecision Oscillator vs MA Above MA → Momentum leading Below MA → Momentum weakening ------------------------------------------------------------------------------------------------------------- 🎯 Best Use Cases Trend confirmation Directional bias filtering Momentum expansion/decay tracking Regime shift identification -------------------------------------------------------------------------------------------------------------- ⚠️ Notes This is not a traditional reversal oscillator . Extreme readings indicate pressure , not guaranteed turning points. Best used in conjunction with: Structure (HH/LL, liquidity) Volume / order flow context Higher timeframe bias ------------------------------------------------------------------------------------------------------------------- ◈🛡 FxAST Philosophy Built under the FxAST framework , this tool prioritizes: Clarity over complexity Function over decoration Decision-support over signal noise
Indicador Pine Script®
por alldyn_pip_king
Liquidity Entry Logic Execution Engine Liquidity Entry Logic is a price-action driven trading system built around how markets actually move: liquidity → manipulation → expansion. Instead of relying on traditional lagging indicators, this model focuses on: Liquidity sweeps (stop hunts) Market structure alignment Momentum (displacement) Session-based timing The goal is simple: Enter trades only after the market reveals its true direction. What It’s Made Of This system is built from five core components: 1. Liquidity Engine (Asian Range) Tracks the Asian session high/low Identifies where liquidity (stops) builds overnight These levels become targets for manipulation 2. Liquidity Sweep Detection Detects when price raids Asia highs/lows Filters for strong sweeps (not weak breakouts) Confirms manipulation before entry 3. Structure & Trend Alignment Uses Triple EMA (Fast / Mid / Slow) as structure filters Confirms directional bias: Bullish → price above structure Bearish → price below structure Includes higher timeframe (HTF) confirmation for trend consistency 4. Displacement / Momentum Confirmation Requires a strong impulse candle after the sweep Prevents entering during weak or indecisive moves Ensures the move has real intent behind it 5. Session Timing (New York Focus) Trades are filtered to high-probability sessions Primarily optimized for: New York Open Early NY volatility window How the Strategy Works Trade Flow Model: Asia builds liquidity Price sweeps high or low (stop hunt) Market confirms direction Impulse candle appears Entry triggers with trend alignment Best Timeframes Ideal Setup: HTF Bias: 4H or Daily Setup: 1H Entry: 15m or 5m Why: Higher timeframes define direction Lower timeframes refine entries Best Markets to Trade This system performs best in high-liquidity, high-volatility markets: Recommended: Indices: NAS100 (NQ), S&P 500 (ES) Forex: EURUSD, GBPUSD Gold (XAUUSD) Avoid: Low volatility pairs Illiquid markets Random altcoins (inconsistent behavior) How to Use It Effectively Focus on A+ Setups Only: Clean sweep of Asia high/low Strong impulse after sweep EMA structure aligned HTF bias confirmed Avoid These Mistakes: Entering before sweep happens Trading during sideways/choppy markets Ignoring higher timeframe direction Taking every signal blindly
Estratégia Pine Script®
por JamesK318
Adaptive Spectral Bands [JOAT]Adaptive Spectral Bands Introduction The Adaptive Spectral Bands indicator is a six-layer Hann Window FIR filter ribbon combined with volatility-adaptive ATR envelopes, a three-state regime classifier, and automated support/resistance zone discovery. The Hann window is a well-known digital signal processing technique that applies a raised cosine weighting function to price data, producing a filter with near-zero overshoot and a steep frequency rolloff. The result is a smoothed trend line that turns earlier at genuine inflection points without the lag spikes characteristic of exponential moving averages. The core problem this solves: standard moving average ribbons use EMAs or SMAs which introduce phase lag proportional to their length, creating late entries. The Hann FIR ribbon resolves at the mathematically optimal balance between lag reduction and frequency separation — no other common moving average achieves this simultaneously. Core Concepts 1. Hann Window FIR Filter The filter applies raised cosine weights across a lookback window. Each weight is computed as: hannFilt(src, length) => float filt = 0.0 float coef = 0.0 for i = 1 to length float w = 1.0 - math.cos(2 * math.pi * i / (length + 1)) filt += src * w coef += w filt / coef This produces a symmetric bell-shaped kernel. The six ribbon layers use progressively wider copies of this filter (base length, base + spacing, base + 2×spacing, etc.), creating a ribbon that visually encodes trend momentum — wide separations signal strong trends, compression signals consolidation. 2. Volatility-Adaptive ATR Bands The outer bands expand and contract based on the current volatility percentile rank relative to a lookback period. This is not a fixed-multiplier Bollinger Band — the multiplier itself adapts: float vol_rank = ta.percentrank(atr_14, i_adapt_len) / 100.0 float dyn_mult = i_base_mult * (1.0 + i_adapt_str * (vol_rank - 0.5) * 2.0) float upper_band = h0 + dyn_mult * atr_14 float lower_band = h0 - dyn_mult * atr_14 During compression (low ADX, low ATR rank), bands tighten around the central Hann line. During expansion, bands widen, automatically containing breakout candles within the volatility envelope. This eliminates the problem of static bands that produce false breakouts in trending markets. 3. Three-State Volatility Regime Classifier ADX is used as the regime signal, with two configurable thresholds: Low Volatility / Compression: ADX below lower threshold. Ribbon layers are tightly stacked. Market is in accumulation or range contraction. Fade-the-band strategies may apply. Transitional: ADX between thresholds. Directional conviction is building. Ribbon is beginning to separate. Expansion / Trending: ADX above upper threshold. Ribbon layers are fully separated. Breakout confirmation. Momentum strategies applicable. The background and candle colors change with regime, providing at-a-glance context without requiring a separate ADX panel. 4. Automated S/R Zone Discovery When the leading Hann layer crosses the second layer, the local price extreme at that bar is recorded as a support or resistance level. These crossovers mark inflection points where trend direction is shifting — the price level at that bar frequently becomes a structural reference in subsequent sessions: bool cross_up = ta.crossover(h0, h1) bool cross_down = ta.crossunder(h0, h1) if cross_up and bar_index - last_sr_bar >= i_sr_gap sr_price := low // create support zone box Zones are spaced by a minimum bar count to avoid clustering. Old zones are managed by a shift-and-delete array pattern so the chart stays clean. Features Six-Layer Hann Ribbon: Progressively wider FIR filters creating a gradient ribbon from fast to slow Adaptive ATR Bands: Volatility-rank-adjusted envelopes that breathe with market conditions Three-State Regime Classifier: Low / Transitional / Expansion states with color coding Auto S/R Zones: Ribbon crossover points recorded as support/resistance boxes with configurable spacing Candle Coloring: Optional bar tinting by volatility regime (compression blue / expansion amber) 10-Row Dashboard: Displays regime label, ADX value, volatility rank, ribbon direction, band width, active S/R zone count, and more Alerts: Ribbon crossover bullish, ribbon crossover bearish, regime change to expansion, regime change to compression Input Parameters Hann Filter: Source: Price input for the filter (default: close) Base Length: Core period of the Hann FIR filter (default: 20, range: 4–500). The six ribbon layers are derived from this. Ribbon Spacing: Gap between each successive ribbon layer (default: 3). Larger values create a wider, more visible ribbon. Show Ribbon: Toggle ribbon visibility (default: on) Adaptive Bands: Enable Adaptive Bands: Toggle ATR envelope rendering (default: on) Base Multiplier: Core ATR distance for the bands (default: 2.0) Volatility Lookback: Period for ATR percentile rank calculation (default: 50) Adaptation Strength: 0 = fixed multiplier, 1 = maximum volatility adaptation (default: 0.4) Volatility Regime: ADX Length: Period for ADX computation (default: 14) Low Threshold: ADX below this = Compression regime (default: 20) High Threshold: ADX above this = Expansion regime (default: 35) S/R Zones: Auto S/R Zones: Enable ribbon-crossover-based zone discovery (default: on) Min Zone Spacing: Minimum bar distance between consecutive S/R zones (default: 30) Visualization: Bullish / Bearish / Compression / Expansion colors: Fully customizable Color Candles by Regime: Optional regime-based candle tinting (default: off) Dashboard: Position: Top Right, Top Left, Bottom Right, Bottom Left (default: Top Right) How to Use This Indicator Step 1: Identify the Regime The dashboard shows the current regime label (Compression / Transitional / Expansion) and the ADX value. In compression, wait. In expansion, trade. The volatility rank shows where current ATR sits in its historical distribution — above 70th percentile is high volatility. Step 2: Read the Ribbon Direction When h0 (fastest layer) is above h1 and h1 above h2, the ribbon is bullish and fully aligned. A crossover of h0 over h1 is the initial signal; a full stack alignment is the confirmation. Step 3: Respect the Adaptive Bands Price touching the upper band in expansion often marks a continuation point — the band is expanding to contain the trend. The same touch during compression is a fade signal. The regime state determines which interpretation applies. Step 4: Trade S/R Zone Retests When price retraces to a recently discovered S/R zone, look for ribbon alignment in the same direction as the original break. The zone marks where the Hann crossover occurred, which is the most statistically significant structural inflection point available from the ribbon. Originality Statement This indicator is original in its combination of Hann Window FIR filter ribbons with adaptive ATR bands and regime-conditioned S/R zone discovery. Its use on TradingView is justified because: The Hann FIR filter produces strictly lower phase lag at equivalent frequency cutoff than EMA or DEMA — a mathematically demonstrable property that common Pine implementations do not exploit Volatility percentile rank as the band multiplier modulator creates self-regulating envelopes that require no manual retuning between high and low volatility periods Combining ADX regime state with ribbon structure separates directional signals from noise — the same crossover signal carries different weight in compression versus expansion Auto S/R zone discovery from FIR crossovers creates an objective level-finding method anchored to frequency-domain turning points, not arbitrary pivot lookbacks Limitations The Hann FIR filter is a causal, finite impulse response filter — it responds to all price history within its window equally weighted by the cosine kernel. It cannot predict future turning points; it identifies them as they occur. ADX is a lagging indicator. Regime classification based on ADX will sometimes enter expansion state after the move has partially occurred. Auto S/R zones are derived from ribbon crossovers, which means they lag the actual price turn by the filter's inherent smoothing delay. Zones mark inflection areas, not exact price pivots. On very short timeframes (sub-5m), Hann filter smoothing may be excessive relative to the noise level, making regime signals less reliable. Disclaimer This indicator is provided for educational and informational purposes only. It does not constitute financial advice or a recommendation to buy or sell any instrument. All trading involves risk of loss. Past performance of structural patterns does not guarantee future results. Always use proper risk management. -Made with passion by jackofalltrades
Indicador Pine Script®
por officialjackofalltrades
Adaptive Keltner Channel [NovaLens]Adaptive Keltner Channel detects when price is doing something exceptional versus simply moving within its expected range. It wraps price in ATR-based bands around an EMA center, optionally adjusts band width to the current volatility regime, and includes built-in squeeze detection and context-aware center reclaim signals. ════════════════════════════════════════════ ◉ HOW IT WORKS The indicator builds on the Keltner Channel concept introduced by Chester Keltner (1960) and refined into the modern ATR-based variant by Linda Bradford Raschke: Center line : EMA of close Upper band : Center + multiplier x ATR Lower band : Center - multiplier x ATR In static mode, the multiplier is fixed: Upper = EMA(Close, Length) + Multiplier x ATR Lower = EMA(Close, Length) - Multiplier x ATR In adaptive mode, the multiplier scales with the current ATR percentile rank. When ATR is low relative to recent history, the channel widens to filter routine noise. When ATR is already elevated, the channel tightens so a band break still represents a genuine expansion rather than getting absorbed inside an overly wide envelope. This is the opposite of how Bollinger Bands behave. Bollinger Bands widen mechanically as volatility rises because they use standard deviation. The adaptive Keltner deliberately tightens its multiplier in high-vol regimes to preserve the usefulness of a breakout signal across different conditions. The script also includes squeeze detection: when Bollinger Bands contract inside the Keltner Channel, it flags that volatility has compressed. Compressed conditions can precede larger-than-normal moves, though the squeeze does not indicate which direction or guarantee that the expansion will follow through. ════════════════════════════════════════════ ◈ HOW TO READ IT Band interactions: Price above upper band: upside expansion beyond the recent channel range Price below lower band: downside expansion beyond the recent channel range Center reclaims and losses: Price reclaims center after a lower-band touch: downside extension did not hold Price loses center after an upper-band touch: upside extension did not hold These are not simple center crosses. The indicator tracks which band was touched most recently and only fires a reclaim or loss signal when that context is present. A center cross after sideways consolidation is a different event from a center cross following a failed band extension. This logic filters out a significant amount of the noise that makes naive center-cross signals unreliable. Squeeze and trend: Orange fill and center color: squeeze is active, volatility compressed Squeeze intensity builds visually as the compression persists Green center line: short-term trend pressure is up Red center line: short-term trend pressure is down Teal X-cross marker below bar: squeeze just released The outer bands are intentionally neutral gray. Direction comes from price behavior, center slope, and the interaction signals. ════════════════════════════════════════════ ✦ HOW WE USE IT: VOLATILITY CONTEXT We use this channel as a volatility context layer rather than a standalone signal source. The question it answers: is the current price behavior routine or exceptional for this market's recent history? When the channel is in squeeze state and the info panel reads "Compressed" with the bar count climbing, that is a low-conviction environment for new directional entries but a high-attention environment for preparation. On BTC 4H with Balanced settings, in our observation squeeze conditions often persist for 8-15 bars while the fill gradually deepens to orange. During that window, we are watching, not acting. When the squeeze releases and price pushes through a band with the center slope already confirming, that combination (squeeze release, band break, center slope alignment) carries more weight than a random band break during an already-volatile session. No single element alone is the trigger. On the reversion side, when price flushes to the lower band and then reclaims the center, the state-aware logic recognizes that the last band touched was the lower band. It treats that center cross as a meaningful reclaim rather than noise. This matters because price often consolidates between a band touch and the center for several bars. A naive center-cross indicator would miss the connection. This one remembers. The practical workflow: use the channel to characterize whether price is inside its expected range, expanding beyond it, or compressed. Layer your directional signals on top of that context. ════════════════════════════════════════════ ✦ OTHER APPLICATIONS Breakout context : band breaks after compression, confirmed by center slope and price acceptance on subsequent bars Mean reversion : in sideways conditions, band touches can frame moves back toward the center, especially when the center line is flat rather than sloped Trend pullbacks : the center line as a dynamic support/resistance during directional moves Risk management : use the center or opposite band as a trailing reference that adapts to current volatility Alert-driven workflow : set alerts on squeeze start, squeeze release, breakout up/down, or center reclaim/loss and check the chart only when conditions change ════════════════════════════════════════════ ⚙ GETTING STARTED Adaptive Keltner Channel ships with reactivity presets: Reactive : EMA 10 / Mult 1.5 / ATR 10. Tighter bands that respond quickly. Useful when you want the channel to track recent behavior more closely. Balanced : EMA 20 / Mult 2.0 / ATR 14. The default. A reasonable starting point for most assets. Start here unless you have a specific reason not to. Smooth : EMA 50 / Mult 2.5 / ATR 20. Wider and calmer. Useful on higher timeframes or when you want the channel to only flag larger-scale events. Custom : Full manual control for specific setups. Core settings: Reactivity : selects the behavior profile. Start with Balanced. Adaptive Band Width : on = regime-aware scaling, off = classic static Keltner. The difference is most visible when the market transitions between calm and volatile periods. Adaptive Lookback : how far back ATR is ranked. 100 bars covers roughly 5 months on daily, 4 days on 1H. Increase for assets with long volatility cycles. Decrease for assets that shift regimes quickly. Adaptive tuning: Adaptive Max Multiplier (calm) : scales your base multiplier up in quiet conditions. Default 1.25 means the effective multiplier becomes 25% wider than the base (e.g., base 2.0 becomes 2.5). Increase if you are seeing too many false band touches during low-vol periods. Adaptive Min Multiplier (vol) : scales your base multiplier down in volatile conditions. Default 0.75 means the effective multiplier becomes 25% narrower than the base (e.g., base 2.0 becomes 1.5). Decrease if breakouts are still not clearing the bands during high-vol sessions. Squeeze settings: Show Squeeze Detection : enables Bollinger-inside-Keltner squeeze logic BB Length / BB Multiplier : default 20/2.0 matches standard Bollinger. Generally no reason to change unless comparing against a non-standard Bollinger on the same chart. Display: Show Info Panel : 4-row panel showing current state, volatility, trend direction, and price location as a channel percentage. Hover any label for a plain-English explanation. Show Squeeze Background : subtle background tint during active squeezes. Off by default. Light Theme Mode : adapts panel colors for light backgrounds. ════════════════════════════════════════════ △ LIMITATIONS Lagging structure : the center is an EMA and the bands use historical ATR. Sharp reversals can outrun the channel. This is inherent to any channel overlay. Squeeze is not directional : a squeeze tells you volatility has contracted, not which way the next move goes. The release can fail, reverse, or stall. False band breaks : in noisy conditions, price can poke through a band and return inside on the next bar. Adaptive scaling is designed to help with this, but does not eliminate it. Mean-reversion risk in trends : using center reclaims as reversion entries during a strong trend can stay wrong longer than expected. The center keeps moving with the trend. History requirement : adaptive scaling needs enough bars to fill the Adaptive Lookback window (default 100 bars) before it adjusts properly. Squeeze detection also needs sufficient Bollinger and Keltner history. Early bars on any chart will have less reliable readings. ════════════════════════════════════════════ 🔔 ALERTS Six alert conditions are built in so you can monitor without watching the chart: Breakout Up / Breakout Down : price closes beyond the upper or lower band Squeeze Started : Bollinger Bands have contracted inside the Keltner Channel Squeeze Released : squeeze just ended, volatility expanding Center Reclaim : price crossed above the center after previously touching the lower band Center Loss : price crossed below the center after previously touching the upper band All alerts fire on bar close by default for confirmed signals. ════════════════════════════════════════════ ⌁ NOTES Original concept by Chester Keltner (1960), modern ATR-based variant by Linda Bradford Raschke Uses ATR-based bands with optional volatility-regime adaptation via percentile ranking Includes Bollinger-inside-Keltner squeeze detection with visual intensity buildup Center reclaim/loss signals use state-aware logic that tracks which band was last touched Values update in real time on the current bar and are confirmed at bar close Open-source: inspect the logic directly in the Pine editor
Indicador Pine Script®
por NovaLens
ATR TP LevelsATR TP Levels is a trade management tool for swing traders operating on the daily timeframe. Instead of guessing profit targets, it calculates three take profit levels directly from the ATR (Average True Range) recorded on the day you opened the trade — locking volatility as a fixed ruler for the entire duration of the position. Why ATR-based exits? Most traders set targets based on round numbers or arbitrary percentages. ATR-based targets are different — they reflect the actual volatility of the instrument at the moment you entered. Recommended setup — the 2 ATR combo This indicator is designed to pair with a 2 ATR stop loss below your entry. With the default take profit levels set at 3, 4, and 5 ATR above entry, the risk/reward ratios are: TP1 at 3 ATR → 1.5:1 R/R — first partial close TP2 at 4 ATR → 2:1 R/R — second partial close TP3 at 5 ATR → 2.5:1 R/R — third partial close The multipliers and close percentages are fully customizable — every trader has a different style, risk tolerance, and position sizing approach. Adjust the ATR multipliers to match how far you typically expect a move to extend, and set the close percentages to reflect how aggressively you want to scale out. There are no right or wrong values here — the defaults are a starting point, not a prescription. How to use it Add ATR(14) to your chart. When your trade opens, note the ATR value on that candle. Open the indicator settings and fill in three values under Trade setup: Entry price — your exact fill price ATR at entry — the ATR(14) value from your entry candle Quantity — your total position size in shares, contracts, or units Set the trade open date (day, month, year) to the date you entered. The lines will draw from that bar forward. Optionally adjust the ATR multipliers and close percentages under Take profit levels to match your strategy. Reading the labels Each line shows a label at the right end in the format: 3.0 ATR → 0.150 (187.50, +2.34%) 3.0 ATR — how many ATRs from entry this level is 0.150 — how many units to close at this level (based on your quantity and close %) 187.50 — the exact price of this take profit level +2.34% — percentage gain from your entry price Settings reference Trade setup — entry price, ATR value, and total position quantity. Trade open date — the date your trade was opened. Lines start from this bar so the chart stays clean and accurate to your actual trade. Take profit levels — three independently configurable levels. Each has an ATR multiplier (how far the target is) and a close % (what fraction of your position to sell there). Defaults are 3/4/5 ATR at 15/20/25%. Notes ATR is locked to your entry day — it does not update as the trade progresses. This is intentional. Your targets should reflect the volatility you accepted when you entered, not today's conditions. Works on any instrument and timeframe, but is designed and calibrated for daily swing trades. For short trades, you would need to flip the TP calculations — this version is long-only.
Indicador Pine Script®
por frurak
Composite Panic IndexENGLISH VERSION Composite Panic Index (Gold + VIX + DXY) Overview The Composite Panic Index is a multi-asset indicator designed to identify periods of market-wide fear and uncertainty by combining three key macro components: VIX (CBOE Volatility Index): measures market fear via implied volatility DXY (US Dollar Index): reflects USD strength as a safe haven Gold (XAUUSD): traditional store of value during uncertainty Instead of relying on news or subjective interpretation, this indicator measures how the market behaves under stress, providing an objective view of panic conditions. Core Logic Momentum Extraction For each asset (Gold, VIX, DXY), the indicator calculates a short-term rate of change (ROC) to detect acceleration and shifts in market sentiment. Normalization (Z-score) Each component is normalized using a Z-score to: Align different assets into a comparable scale Remove bias from price magnitude differences Highlight statistically abnormal movements Composite Score All components are combined into a single value using a weighted average and smoothed with an EMA. This produces the Composite Panic Score. Indicator Components Composite Panic Score (white line): represents the overall panic level Panic Level (orange line): threshold for elevated uncertainty Extreme Panic Level (red line): threshold for strong panic conditions Background color: Orange = panic regime Red = extreme panic regime Signals: PANIC = new panic phase EXT = new extreme panic phase Table: Displays Gold, VIX, and DXY direction, current score, and regime Filters and Confirmation Optional filters ensure that panic is only detected when: Gold is rising VIX is rising DXY is rising Signals are confirmed over multiple bars to reduce noise and false positives. How to Use Low values: normal conditions Medium values: increasing uncertainty High values: panic environment The most relevant moments are when panic or extreme panic begins, often associated with volatility expansion and strong market movements. This indicator should be used as a context tool, not as a standalone entry signal. Limitations Not all panic is synchronized across assets Gold and DXY may diverge depending on macro conditions The indicator does not read news directly, only market reactions Summary The Composite Panic Index transforms macro behavior into a single readable metric, helping identify when markets are driven by fear. VERSIÓN EN ESPAÑOL Composite Panic Index (Oro + VIX + DXY) Descripción El Composite Panic Index es un indicador multi-activo diseñado para identificar momentos de miedo e incertidumbre en el mercado combinando tres referencias clave: VIX: mide el miedo mediante volatilidad implícita DXY: refleja la fortaleza del dólar como activo refugio Oro (XAUUSD): activo refugio tradicional En lugar de basarse en noticias, el indicador mide directamente cómo reacciona el mercado ante situaciones de estrés. Lógica interna Cálculo de momentum Se utiliza el ROC (rate of change) para detectar aceleraciones y cambios de sentimiento. Normalización (Z-score) Se aplica Z-score para: Igualar escalas entre activos Eliminar sesgos por magnitud de precio Detectar movimientos anómalos Score compuesto Se combinan los tres activos mediante una media ponderada y se suaviza con una EMA, generando el nivel de pánico. Componentes del indicador Línea principal (blanca): nivel de pánico Nivel de pánico (naranja) Nivel de pánico extremo (rojo) Fondo: Naranja = pánico Rojo = pánico extremo Señales: PANIC = inicio de pánico EXT = inicio de pánico extremo Tabla: Muestra dirección de oro, VIX y DXY, valor del índice y estado actual Filtros Opcionales: Oro subiendo VIX subiendo DXY subiendo Permiten confirmar que el pánico es coherente entre activos. Cómo usarlo Valores bajos: mercado normal Valores medios: aumento de incertidumbre Valores altos: entorno de pánico Los momentos más importantes son cuando comienza el pánico o el pánico extremo. No es un sistema de entrada, sino una herramienta de contexto y confirmación. Limitaciones No siempre hay alineación entre activos Oro y dólar pueden comportarse de forma distinta No detecta noticias, solo sus efectos Resumen El Composite Panic Index convierte señales macro complejas en un único valor que permite identificar cuándo el mercado está dominado por el miedo.
Indicador Pine Script®
por BullBearSR
VWaves Squeeze Phase-Momentum Lifecycle Detector**VWaves Squeeze Phase · Momentum Lifecycle Detector** --- Every move has a lifecycle. This indicator tells you where you are in it. Most indicators tell you what price *did*. Squeeze Phase tells you what the move is *doing* — whether momentum is loading, expanding, peaking, or dying. It reads the geometry between price and its EMAs, weighted by candle conviction, to map the real-time energy of a move across seven distinct phases. **The Core Idea** Two measurements combined into one reading: - **Squeeze %** — the total spread between price, the fast EMA, and the slow EMA as a percentage. Tight spread = coiled energy. Wide spread = full extension. Contracting spread = the move is fading. - **Candle Reflex** — how much of each bar is body vs wick. A full-body candle during expansion means conviction. A doji during expansion means nobody's committed to staying there. Multiply them together and you get **Thrust** — a momentum field reading that captures both *where* price is in the EMA structure and *how much energy* is behind it. **Seven Phases** | Phase | What It Means | |-------|--------------| | **ACCUM** | EMAs compressed. The spring is loading. Watch for a breakout direction. | | **FRONTSIDE** | Price separating from EMAs. The move is starting. Early entry territory. | | **EXPANSION** | Full separation, strong thrust. The meat of the run. Stay in. | | **PEAK** | Price and fast EMA disagree. The move is topping. Tighten or exit. | | **CONSOLIDATION** | EMAs compress after expansion. Pause — could continue or reverse. | | **BACKSIDE** | Both spreads negative. The fade is underway. | | **BREAKDOWN** | Full bearish expansion. Get out or get short. | **How To Read It** - **Green histogram expanding** → momentum building, ride it - **Histogram shrinking while still green** → energy leaving the move, prepare to exit - **Phase transition dots** → squeeze breakouts and phase changes marked in real time - **Squeeze % contracting from a peak** → the move is dying before price confirms it **What Makes This Different** The reflex multiplier is the key. A stock can be in "expansion" by EMA geometry, but if the candles are dojis and small bodies, the thrust reading drops — telling you the expansion has no conviction. This catches tops and traps that pure EMA or MACD-based indicators miss. Works on any timeframe. No repainting. All calculations use standard EMAs and price action — no proprietary or black-box math. --- *Part of the VWaves system. More tools coming soon.*
Indicador Pine Script®
por Jeffvwaves
2
VIX Fix VIX Strategy========================================================================= ATTRIBUTION **=========================================================================** This strategy is a heavily modified version of @ChrisMoody's excellent interpretation of the VIX Fix by Larry Williams. Original script: ========================================================================= MOTIVATION **=========================================================================** My primary motivation for these modifications was to create a profitable strategy based on the Williams VIX Fix (WVF) that also effectively captures strong upward market moves. While I initially built this around the S&P 500, experimenting with different symbols led me to my absolute favorite underlying asset for this script: the VIX itself. Applying a volatility indicator to a volatility index might sound counterintuitive at first. However, it makes perfect sense: the VIX is structurally mean-reverting and lacks a long-term directional trend. Because of this, the WVF formula acts as an exceptional tool for timing these sharp, mean-reverting volatility spikes. Some people argue that volatility is usually low, and that speculating on higher volatility – as this indicator does when it buys – goes against the market’s nature. In theory, this view has some merit: over long periods, realized and implied volatility tend to fluctuate around a moderate average rather than staying elevated all the time. In practice, however, markets regularly go through distinct high- and low-volatility regimes, and volatility spikes are a recurring feature rather than a rare exception. Looking at historical VIX data since 1990, there has never been a multi-year period without the index rising well above commonly used “stress” levels such as 20. From that perspective, betting on higher volatility from unusually calm conditions can be more intuitive than passively betting on the underlying index itself. ========================================================================= KEY CHANGES & FEATURES **=========================================================================** Expanded the core WVF formula: In addition to the original WVF (now wvfh), I introduced a mirrored component (wvfl) designed to capture aggressive bearish volatility. Together, they form a comprehensive, symmetrical WVF. Adapted the ranges & bands: I kept the percentile-based ranges and the Bollinger Bands of the WVF, but shifted their source to the newly modified, combined WVF. Dynamic Moving Averages: Integrated MAs applied to the WVF, using factorized MAs of the wvfh and wvfl components to generate precise entry and exit thresholds. Momentum confirmation: Added MACD integration to confirm entries, which is especially useful for cross-timeframe alignment. Strategy conversion: Transformed the indicator into a fully functional strategy featuring explicit long/short rules and a straightforward Stop-Loss mechanism. Time-based exits: Incorporated a fixed-date sell function (simulating options expiration) that automatically closes trades after a defined holding period. Price-level filters: Engineered Buy and Sell stop-level filters to prevent entries at unfavorable extremes. (Toggle these off to see how many losing long entries on the VIX they prevent!). Code cleanup: The Pine Script code was heavily structured and commented with the assistance of AI to ensure readability. ========================================================================= HOW I USE IT **=========================================================================** The default settings reflect my personal preference for trading VIX Futures on the 4-hour timeframe. I consider this setup particularly powerful when applied to the VIX as a structural hedge against broader market drawdowns. If you plan to use this on other symbols (like standard equities or indices), you will likely need to adjust the parameters—especially the Buy and Sell stop levels. Ultimately, this strategy can be an excellent addition to a passive, index-based portfolio. It serves well as an active crash-hedging overlay, where a small percentage of your capital is systematically deployed to profit from fear-induced market drops and volatility expansions. ========================================================================= DISCLAIMER **=========================================================================** This script is provided for informational and educational purposes only and does not constitute financial, investment, trading, or tax advice. It does not take into account your personal circumstances, objectives, or risk tolerance. Trading involves substantial risk and can result in the loss of all invested capital. Use at your own risk. The author accepts no liability for any financial losses or other damages arising from the use of, or reliance on, this script or its outputs. ========================================================================= VIX Fix - Hedging Strategy © lm_h =========================================================================
Estratégia Pine Script®
por lm_h
Shannon Entropy Terrain 3D [LliterH]SHANNON ENTROPY TERRAIN 3D ───────────────────────────────────────────────────────────────────── Most market regime filters give you a single number. This indicator gives you a landscape. Shannon Entropy of price log-returns is computed simultaneously across 20 different lookback windows and rendered as a 3D thermal terrain surface. Each layer of that surface answers the same question with a different time horizon: is the market currently structured or random? The result is a visual map that reveals what a flat oscillator cannot — whether the order or chaos you see in one timeframe is isolated or systemic. THE MATHEMATICS ───────────────────────────────────────────────────────────────────── Shannon Entropy quantifies the unpredictability of a system: H = -sum( p_i * log2(p_i) ) Applied to the distribution of price log-returns ln(close/close ) over a rolling window, H measures how randomly recent price behavior has been distributed — independent of direction or magnitude. This indicator normalizes H to a 0-100 scale using: H_norm = H / log2(N) * 100 where N is the number of histogram bins. Result interpretation: 0 Perfect order One directional move dominates the window 30 Order boundary Market is structured, patterns are reliable 50 Neutral plane Mixed regime, no clear consensus 70 Chaos boundary Market begins to lose predictability 100 Maximum chaos Returns distributed uniformly at random READING THE TERRAIN ───────────────────────────────────────────────────────────────────── The surface is colored by entropy VALUE at each point, not by depth. This means color always communicates information — not decoration. Deep navy to cyan Entropy 0-30 Order zone Cyan to warm yellow Entropy 30-50 Transitioning toward order Yellow to orange Entropy 50-70 Transitioning toward chaos Orange to crimson Entropy 70-100 Chaos zone Two floating wireframe rectangles mark the critical thresholds: Cyan frame at 30 The order boundary Red frame at 70 The chaos boundary When the terrain surface breaches a frame, the market has crossed a regime threshold across that lookback range. The left wall shows the entropy profile of the oldest bar in view. The right wall shows the live entropy profile of the current bar. The label at the right edge displays two readings: LOCAL Short lookback layer — fast, reactive to recent bars MACRO Long lookback layer — slow, structural regime PRACTICAL READING GUIDE ───────────────────────────────────────────────────────────────────── The most valuable insight this indicator provides is CONSENSUS. SCENARIO 1 — All layers cold (terrain below neutral plane, blue-cyan) The market is ordered across every time horizon simultaneously. Short lookback and long lookback agree: structure is present. This is the highest-conviction environment for any systematic strategy. Trend-following entries have high reliability. Range plays are clean. Set-and-forget methodology works in this condition. SCENARIO 2 — All layers hot (terrain above 70% frame, orange-red) The market is noisy across every time horizon simultaneously. No lookback window finds structure. Returns are near-random. Breakouts are likely false. Stop hunts increase in frequency. The correct response is to reduce position size or stand aside. This condition often precedes or follows major news events. SCENARIO 3 — Front cold, back cold (local and macro both ordered) The strongest structural signal. The market has been trending long enough for even the longer lookback windows to confirm order. This is the ideal session condition for a London momentum setup. SCENARIO 4 — Front hot, back cold (local chaos, macro structure) A brief disruption within a structurally ordered trend. The long-term framework is intact. The short-term is noisy. Wait for the front layers to cool before entering. The entry timing is off, but the directional bias may still be valid. SCENARIO 5 — Front cold, back hot (local order, macro chaos) A short-term window of clarity within a chaotic structural backdrop. Trade with reduced size. The macro environment does not support clean follow-through. Tighter management required. SCENARIO 6 — Terrain crossing the 70% frame in real time Watch the right wall and the label. When the LOCAL reading crosses above 70 during a trade, consider whether the entry signal was generated during the chaos or before it. If after — reassess. HOW THIS BENEFITS YOUR TRADING ───────────────────────────────────────────────────────────────────── The fundamental problem in discretionary trading is not finding signals — it is knowing which signals to trust on a given day. A strategy with a 60% win rate in ordered markets may drop to 40% in chaotic markets. The signal logic does not change. The market regime does. This indicator addresses that problem directly by: 1. Showing regime quality BEFORE you look for an entry. If the terrain is red before your session opens, the day is compromised before it starts. You know this at 3:00 AM, not after two losing trades. 2. Showing whether the regime is LOCAL or SYSTEMIC. A brief spike in local entropy during an otherwise ordered session is different from full-spectrum chaos. The terrain makes this distinction visual and immediate. 3. Providing a historical map of the last 45 bars. You can see when the chaos started, whether it is intensifying or resolving, and how the current bar relates to the recent structural pattern. 4. Operating independently of direction. It does not tell you to buy or sell. It tells you whether the environment supports the signals your system generates. This separation is intentional and correct. PARAMETERS ───────────────────────────────────────────────────────────────────── Terrain Time History (Width) Bars displayed on X axis. Default 45. Entropy Layers (Depth) Lookback windows on Y axis. Default 18. Min Lookback (Front) Shortest window. Most reactive. Default 8. Max Lookback (Back) Longest window. Most structural. Default 55. Histogram Bins Entropy resolution. Default 10. Terrain Smoothing EMA smoothing per layer. Default 4. Camera Yaw Rotates the landscape left or right. Pitch Tilts the viewing angle up or down. Scale X, Y, Z Stretch each axis independently. Offset X, Y Reposition the terrain within the pane. Style Wireframe Grid overlay on or off. Surface Fill Filled terrain on or off. Side Walls Left and right entropy profile panels. Threshold Contour Frames 30% and 70% floating reference frames. Thermal palette All five color anchors are adjustable. METHODOLOGY ───────────────────────────────────────────────────────────────────── Input signal: natural log returns ln(close/close ). Log returns are scale-independent, symmetric, and stationary — the mathematically correct input for entropy analysis of financial time series. Histogram method: returns are binned into N equal-width intervals over the lookback window. Probabilities are relative frequencies. This is a direct implementation of Shannon's discrete entropy formula. Normalization: H divided by log2(N), the theoretical maximum entropy for N equiprobable bins. Output is always bounded in . Thermal color: each strip is colored by the mean entropy of its two constituent rows, not by its position in the Y axis. Color always encodes information value, not spatial location. Rendering: all drawing is performed exclusively on the last bar. The terrain matrix updates incrementally every bar for efficiency. WHAT MAKES THIS DIFFERENT ───────────────────────────────────────────────────────────────────── Existing 3D terrain indicators color by depth (Y axis position). That choice is arbitrary — the color tells you where you are in the structure, not what the data says at that point. This indicator colors by entropy value (Z axis). The thermal gradient is a direct encoding of the measurement. You read regime from color without consulting a separate legend. The floating threshold frames at 30% and 70% are 3D reference planes that the terrain can physically breach. This is not available in any other published terrain indicator. The side wall panels render the full entropy distribution across all lookback layers at a single point in time, functioning as entropy histograms projected in 3D space. Shannon Entropy applied to multi-lookback terrain is, to the author's knowledge, not represented in the published TradingView library. LIMITATIONS ───────────────────────────────────────────────────────────────────── This indicator measures regime quality, not direction. It does not generate buy or sell signals and should be used alongside a complete entry methodology. Histogram entropy with lookback windows below 8 bars approaches the Nyquist sampling limit and produces unreliable readings. The minimum lookback is constrained to 5 bars as a safeguard. Performance: the indicator is computationally intensive for TradingView's rendering engine. If responsiveness is slow, reduce Entropy Layers and Time History. Recommended maximums: 20 layers, 55 bars width. █ DISCLAIMER This indicator is provided for educational and informational purposes only. It does not constitute financial, investment, or trading advice. Past performance is not indicative of future results. Trading involves substantial risk of loss and is not suitable for every investor. Always conduct your own research and consult a qualified financial professional before making any trading decisions. The author is not responsible for any losses incurred from the use of this tool ───────────────────────────────────────────────────────────────────── Published under Mozilla Public License 2.0 © LliterH ─────────────────────────────────────────────────────────────────────
Indicador Pine Script®
por LliterH
Iterative Locally Periodic EnvelopeThe Iterative Locally Periodic Envelope is a phase-conditioned kernel estimator with temporal locality and endogenous dispersion modeling, implemented as a Nadaraya–Watson estimator under a locally periodic kernel. The locally periodic kernel defines similarity through cyclical phase alignment modulated by temporal proximity. Observations contribute to the estimator based on both their position within a repeating cycle structure and their recency, emphasizing structural recurrence with sensitivity to local regime conditions. The indicator computes a latent equilibrium using a kernel-weighted mean and a dispersion measure using kernel-weighted variance under the same weighting structure. The resulting envelope reflects cycle-consistent deviation with temporal locality, rather than a conventional volatility band. All values are computed exclusively on closed historical bars using a bounded lookback window to ensure non-repainting behavior. This indicator belongs to a broader class of iterative kernel-based envelopes that includes Gaussian, Rational Quadratic, and Periodic variants. All share a common Nadaraya–Watson estimation framework, differentiated by their kernel. TRADING USES The Iterative Locally Periodic Envelope is best interpreted as a cycle-aware structural estimator with adaptive temporal sensitivity, rather than a volatility-based band. The temporal locality component allows the estimator to adapt more readily to emerging regime shifts than the pure periodic variant. Equilibrium Tracking The latent equilibrium represents the phase-conditioned central tendency of price under locally periodic similarity weighting. Oscillations around this level reflect movement within a repeating structural cycle, with more recent phase-aligned observations contributing more strongly than temporally distant ones. Cycle Regime Structure The envelope emphasizes repeating structural behavior through phase recurrence weighting, modulated by temporal decay. Changes in symmetry, amplitude, or persistence of oscillation around the latent equilibrium may indicate transitions between cyclical regimes. Mean Reversion Within Cycles When a stable periodic structure is present, deviations from the latent equilibrium may revert toward phase-consistent levels. Mean-reversion behavior is conditioned on both cycle structure and temporal proximity. Structural Extremes Extreme deviations relative to the envelope correspond to phase-inconsistent states where cyclical structure becomes stretched or destabilized. Because the kernel incorporates temporal decay, these conditions are identified with greater sensitivity to recent price behavior. State Estimation The system defines a latent equilibrium as the inferred central cyclical state under joint phase and temporal weighting, with dispersion derived from kernel-weighted variance under identical constraints. This produces a structurally consistent representation of the market state that is sensitive to both cyclical position and local regime conditions. LOCALLY PERIODIC ENVELOPE CONSTRUCTION The envelope is constructed using kernel-weighted variance under the same locally periodic similarity measure used to estimate the latent equilibrium. The latent equilibrium defines the central state estimate and kernel-weighted variance defines dispersion under identical weighting, producing an endogenously determined envelope. The band width is fixed at ±1 kernel standard deviation with no multiplier, ensuring dispersion remains an intrinsic property of the locally periodic similarity structure rather than an externally imposed scaling parameter. THEORY The locally periodic kernel defines similarity in terms of cyclical phase recurrence modulated by temporal proximity. Observations contribute to the estimator based on alignment within a repeating cycle structure, with influence attenuated by temporal distance from the estimation point. The estimator is formulated as a Nadaraya–Watson kernel regression under a locally periodic kernel, where weights are defined as: k(i) = exp( -2 · sin²(πi / p) / L² ) · exp( -i² / 2L² ) Where: p = period (cycle length) L = lookback window (shared bandwidth parameter; effective smoothing scales with L²) In this MacKay consistent formulation, the lookback window acts as a unified bandwidth parameter governing periodic phase selectivity and the Radial Basis Function (RBF) temporal decay envelope. The two components are coupled through L, producing a kernel that simultaneously emphasizes phase-aligned and temporally proximate observations. As L increases, both the periodic and RBF components broaden, producing stronger smoothing across phase and time. As L decreases, phase selectivity and temporal locality both increase, making the estimator more sensitive to recent cycle-consistent observations. This induces a similarity structure in which influence concentrates at phase-aligned intervals within a temporally bounded neighborhood. The resulting estimator defines a latent equilibrium governed by phase alignment and temporal proximity that can be interpreted as a locally stationary periodic extension of kernel regression on a circular phase manifold. The key distinction from the pure periodic kernel is that phase-aligned observations at distant lags are progressively suppressed by the RBF decay term, allowing the estimator to adapt to structural drift while preserving cycle-aware weighting. During stable cyclical regimes the two estimators converge; during structural transitions the locally periodic variant adapts faster by downweighting older phase information. CALIBRATION As established in Gaussian Processes for Machine Learning (Rasmussen & Williams, 2006), the period should reflect the recurrence interval of the dominant cycle in the data, while the bandwidth parameter L controls how quickly similarity decays away from perfect phase alignment. For daily charts, common cycle anchors include the trading week (~5 bars), trading month (~21 bars), trading quarter (~63 bars), and trading year (~252 bars). Length (Lookback / Bandwidth) Controls structural depth of the estimator and acts as the unified bandwidth parameter for the periodic and RBF components; as L governs phase selectivity and temporal decay simultaneously, its effect is stronger than in the pure periodic variant. The default of 100 reflects the locally periodic kernel's temporal decay component; at longer lengths the RBF term weakens and behavior converges toward the pure periodic estimator. - 50–100: high responsiveness, strong temporal locality, short-cycle sensitivity - 150–250: balanced regime stability with moderate temporal decay - 300+: broad structural smoothing, weak temporal decay, behavior converges toward pure periodic envelopes Period (Cycle Length) Defines the recurrence interval of the kernel and governs phase alignment and cyclical structure. Shorter periods increase phase resolution and cycle sensitivity, while longer periods emphasize broader structural recurrence. The period should reflect the dominant cycle present in the data, aligned with the anchor scales defined above. Start At Bar Offsets the kernel window backward from the most recent bars and excludes newer observations from the estimator. This ensures all calculations are based strictly on closed historical data and preserves non-repainting behavior. MARKET USAGE Stock, Forex, Crypto, Commodities, and Indices. Performance is dependent on the presence of stable cyclical structure; in regimes lacking periodic coherence, the estimator converges toward a local smoother with reduced phase discrimination.
Indicador Pine Script®
por SensitiveSuit
Universal ATR Position Sizer + Volatility ContextOverview The Universal ATR Position Sizer Pro is a comprehensive risk management tool designed for traders who need precision across multiple asset classes. Unlike standard position sizers, this indicator automatically detects symbol point values to provide accurate sizing for Futures, Forex, Stocks, and Crypto. In addition to sizing, it provides a "Volatility Weather Report," comparing current market conditions to historical averages to help you decide if the market environment is currently high-risk or optimal. Key Features 1. Triple-Timeframe Analysis The table provides a bird's-eye view of volatility across three distinct layers: Current Timeframe: Real-time sizing based on your active chart. Custom Timeframe: A selectable higher timeframe (e.g., 1H or 4H) to help you align your risk with macro trends. Daily Context: A deep dive into the daily range to see how "today" compares to the monthly average. 2. Smart "Vol Status" Context Stop trading in the dark. The indicator calculates an ATR Relative Ratio to categorize the market: LOW VOL (Blue): Market is tightening; watch for breakouts but beware of "chop." NORMAL (Green): Volatility is within historical norms; standard strategy parameters apply. HIGH VOL (Orange): Volatility is 20%+ above average; expect violent swings and consider reducing size. 3. Multi-Asset Logic Built-in syminfo.pointvalue detection means you don't have to change settings when switching from ES (Futures) to EURUSD (Forex) or NVDA (Stocks). The math adjusts itself automatically. How to Read the Table Stop Distance: The physical distance of your stop loss based on your ATR multiplier. Suggested Size: The exact number of units/contracts to trade to maintain your fixed dollar risk (e.g., $100 per trade). % of Price: Shows the Daily ATR as a percentage of the asset's price. This helps you understand the "personality" and relative risk of the ticker. Settings ATR Settings: Customize the length and multiplier. Custom TF: Set your preferred higher timeframe for secondary sizing. Risk Amount: Enter the total dollar amount you are willing to lose if your stop is hit. Round Down: A must-have for Futures and Stocks to ensure you never accidentally over-leverage due to fractional math. Disclaimer: This indicator is a tool to assist in risk calculation. Always verify your position size with your broker's margin requirements before entering a trade.
Indicador Pine Script®
por Terrinca