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Price Distance to its MA by DGTPrices high above the moving average (MA) or low below it are likely to be remedied in the future by a reverse price movement as stated in an Article by Denis Alajbeg, Zoran Bubas and Dina Vasic published in International Journal of Economics, Commerce and Management
Here comes a study to indicate the idea of this article, Price Distance to its Moving Averages (P/MA Ratio)
The analysis expressed in the paper indicates that there is a connection between the distance of the prices to moving averages and subsequent returns : portfolios of stocks with lower prices to moving averages generally outperformed portfolios of stocks with higher prices to moving averages. This “overextended” effect is more pronounced when using shorter moving averages of 20 and 50 days, and is especially strong in short-term holding periods like one and two weeks. The highest annual returns are recorded when buying in the range of 0-5% below shorter moving averages of 20/50 days, and 0-10% below longer moving averages of 100/200 days. However, buying very far below almost all moving averages on almost all holding periods produces the lowest returns.
The concept of this study recognizes three different modes of action.
In a clearly established upward trend traders should be buying when prices are near or below the MA line and selling when prices move too far above the MA.
Conversely, in downward trend stocks should be shorted when reaching or going above the moving average and covered when they drop too far below the MA line.
In a sideways movement traders are advised to buy if the price is too low below the moving average and sell when it goes too far above it
Short-term traders can expect to outperform in a one or two week time window if buying stocks with lower prices compared to their 20 and 50 SMA/EMA, one to two-week holding periods is quite high, ranging from 72,09% to 90,61% for the SMA(20, 50) and 85,03% to 87,5% for the EMA(20, 50). The best results for the SMA 20 and 50, on average, are concentrated in the region of 0-5% below the MA for the majority of holding periods. Buying very far below almost all MA in almost all holding periods turns out to be the worst possible option
Candle patterns, momentum could be used in conjunction with this indicator for better results. Try Colored DMI and Ichimoku colored SuperTrend by DGT
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Narrow Bandpass FilterIn technical analysis most bandpass filters like the MACD, TRIX, AO, or COG will have a non-symmetrical frequency response, in fact, this one is generally right-skewed. As such these oscillators will not fully remove lower and higher frequency components from the input signal, the following indicator is a bandpass filter with a more symmetrical frequency response with the possibility to have a narrow bandwidth, this allows the indicator to potentially isolate sinusoids from the input signal.
Indicator & Settings
The filter is calculated via convolution, if we take into account that the frequency response of a filter is the Fourier transform of its weighting function we can deduce that we can get a narrow response by using a sinusoid sin(2𝛑nf) as the weighting function, with the peak of the frequency response being equal to f , this makes the filter quite easy to control by the user, as this one can choose the frequency to be isolated. The length of the weighting function controls the bandwidth of the frequency response, with a higher length returning an ever-smaller frequency response width.
In the indicator settings the "Cycle Period" determine the period of the sinusoid used as a weighting function, while "Bandwidth" determine the filter passband width, with higher values returning a narrower passband, this setting also determine the length of the convolution, because the sum of the weights must add to 0 we know that the length of the convolution must be a multiple of "Cycle Period", so the length of the convolution is equal to "Cycle Period × Bandwidth".
Finally, the windowing option determines if a window is applied to the weighting function, a weighting function allow to remove ripples in the filter frequency response
Above both indicators have a Cycle period of 100 and a Bandwidth of 4, we can see that the indicator with no windowing don't fully remove the trend component in the price, this is due to the presence of ripples allowing lower frequency components to pass, this is not the case for the windowed version.
In theory, an ultra-narrow passband would allow to fully isolate pure sinusoids, below the cycle period of interest is 20
using a bandwidth equal to 10 allow to retain that sinusoid, however, note that this sinusoid is subject to phase shift and that it might not be a dominant frequency in the price.
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Correlation Cycle, CorrelationAngle, Market State - John EhlersHot off the press, I present this "Correlation Cycle, CorrelationAngle, and Market State" multicator employing PSv4.0, originally formulated by Dr. John Ehlers for TASC - June 2020 Traders Tips. Basically it's an all-in-one combination of three Ehlers' indicators. This power packed triplet indicator, being less than a 100 line implementation at initial release, is a heavily modified version of the original indicator using novel techniques that surpass John Ehlers' original intended design.
This is also a profound script in numerous ways. First of all, these three indicators are directly from the illustrious mastermind himself Dr. John Ehlers. Secondarily, this is my "50th" script published on TV, which makes it even more significant. I'm especially proud of this script to "degrees" of imagination I once didn't know was theoretically possible in code. My intellect has once again been mathemagically unlocked pondering new innovations with this code revelation. Thirdly, this PSv4.0 script shows the empowering beauty and elegance of hacking the stock markets with TV's ultra utilitarian Pine Editor(PE) in a common browser! Some of you may be wondering if I worked on this for days... nope! This only took a few hours, followed by writing this description for another hour plus.
I have created many of Ehlers' indicators in PE, a few of which I have published in my profile, but I wanted to show how programming with Pine Script can be an artistic form of craftsmanship and poetry. None of this would be possible without the ingeniously minded Tradingview staff revolutionizing algorithmic trading at it's finest. If you should ever encounter them by chance, ponder humbly thanking these computing wizards for their diligence and dedication. They are providing, and shall award to us members, some of the most fascinating conceptualized tech imaginable in the coming future. I can assure you, much, much more is yet to be unveiled for us TV members/enthusiasts. Thank you TV and all you offer to this community.
As always, I have included advanced Pine programming techniques that conform to proper "Pine Etiquette" by example. There are so many Pine mastery techniques included, I don't have an abundance of time to elaborate on all of them. For those of you are code savvy, you may have notice I only used one "for" loop for increased server efficiency, instead of the two "for" loops in the original formulation. For those of you who are newcomers to Pine Script, this code release may also help you comprehend the immense "Power of Pine" by employing advanced programming techniques while exhibiting code utilization in a most effective manner. This is commonly what my dense intricate code looks like behind the veil. If you are wondering why there is hardly any notes, that's because the notation is primarily in the variable naming.
Features List Includes:
Dark Background - Easily disabled in indicator Settings->Style for "Light" charts or with Pine commenting
AND a few more... Why list them, when you have the source code!
The comments section below is solely just for commenting and other remarks, ideas, compliments, etc... regarding only this indicator, not others. When available time provides itself, I will consider your inquiries, thoughts, and concepts presented below in the comments section, should you have any questions or comments regarding this indicator. When my indicators achieve more prevalent use by TV members, I may implement more ideas when they present themselves as worthy additions. As always, "Like" it if you simply just like it with a proper thumbs up, and also return to my scripts list occasionally for additional postings. Have a profitable future everyone! Indicator
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Reflex Oscillator - Dr. John EhlersHot off the press, I present this NEW "Reflex Oscillator" employing PSv4.0, originally formulated by Dr. John Ehlers for TASC - February 2020 Traders Tips. John Ehlers might describe it's novel characteristics as being a reversal sensitive near zero-lag averaging indicator retaining the CYCLE component. Also, I would add that irregardless of the sampling interval, this indicator has a bound range between +/-2.0 on "1 second" candles all the way up to "1 month" candle durations. This indicator also has a companion indicator entitled "TrendFlex Oscillator". I have published it in tandem with this one in my scripts profile.
One notable difference between this and the original formulation is that I have added an independent control for the Super Smoother. This "tweak" is enabled by applying the override and adjusting it's period. There is a "Post Smooth" input() that "tweaks" the internal Reflex EMA too. Keep in mind that my intention of adding tweaks is solely for experimentation with the original formulation.
I also added adjustable levels for those of you that may wish to employ alertcondition()s to this indicator somehow. Providing a more utilitarian approach, I created this with an easy to use reusable function named reflex(). As always, I have included advanced Pine programming techniques that conform to proper "Pine Etiquette". Being this is one of John Ehlers' first two simultaneously released indicators for 2020, I felt a few more bells and whistles were appropriate as a proper contribution to the Tradingview community.
Features List Includes:
Dark Background - Easily disabled in indicator Settings->Style for "Light" charts or with Pine commenting
AND much, much more... You have the source!
The comments section below is solely just for commenting and other remarks, ideas, compliments, etc... regarding only this indicator, not others. When available time provides itself, I will consider your inquiries, thoughts, and concepts presented below in the comments section, should you have any questions or comments regarding this indicator. When my indicators achieve more prevalent use by TV members, I may implement more ideas when they present themselves as worthy additions. As always, "Like" it if you simply just like it with a proper thumbs up, and also return to my scripts list occasionally for additional postings. Have a profitable future everyone! Indicator
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Enhanced Instantaneous Cycle Period - Dr. John EhlersThis is my first public release of detector code entitled "Enhanced Instantaneous Cycle Period" for PSv4.0 I built many months ago. Be forewarned, this is not an indicator, this is a detector to be used by ADVANCED developers to build futuristic indicators in Pine. The origins of this script come from a document by Dr. John Ehlers entitled "SIGNAL ANALYSIS CONCEPTS". You may find this using the NSA's reverse search engine "goggles", as I call it. John Ehlers' MESA used this measurement to establish the data window for analysis for MESA Cycle computations. So... does any developer wish to emulate MESA Cycle now??
I decided to take instantaneous cycle period to another level of novel attainability in this public release of source code with the following methods, if you are curious how I ENHANCED it. Firstly I reduced the delay of accurate measurement from bar_index==0 by quite a few bars closer to IPO. Secondarily, I provided a limit of 6 for a minimum instantaneous cycle period. At bar_index==0, it would provide a period of 0 wrecking many algorithms from the start. I also increased the instantaneous cycle period's maximum value to 80 from 50, providing a window of 6-80 for the instantaneous cycle period value window limits. Thirdly, I replaced the internal EMA with another algorithm. It reduces the lag while extracting a floating point number, for algorithms that will accept that, compared to a sluggish ordinary EMA return. You will see the excessive EMA delay with adding plot(ema(ICP,7)) as it was originally designed. Lastly it's in one simple function for reusability in a nice little package comprising of less than 40 lines of code. I hope I explained that adequately enough and gave you the reader a glimpse of the "Power of Pine" combined with ingenuity.
Be forewarned again, that most of Pine's built-in functions will not accept a floating-point number or dynamic integers for the "length" of it's calculation. You will have to emulate the built-in functions by creating Pine based custom functions, and I assure you, this is very possible in many cases, but not all without array support. You may use int(ICP) to extract an integer from the smoothICP return variable, which may be favorable compared to the choppiness/ringing if ICP alone.
This is commonly what my dense intricate code looks like behind the veil. If you are wondering why there is barely any notation, that's because the notation is in the variable naming and this is intended primarily for ADVANCED developers too. It does contain lines of code that explore techniques in Pine that may be applicable in other Pine projects for those learning or wishing to excel with Pine.
Showcased in the chart below is my free to use "Enhanced Schaff Trend Cycle Indicator", having a common appeal to TV users frequently. If you do have any questions or comments regarding this indicator, I will consider your inquiries, thoughts, and ideas presented below in the comments section, when time provides it. As always, "Like" it if you simply just like it with a proper thumbs up, and also return to my scripts list occasionally for additional postings. Have a profitable future everyone!
NOTICE: Copy pasting bandits who may be having nefarious thoughts, DO NOT attempt this, because this may violate Tradingview's terms, conditions and/or house rules. "WE" are always watching the TV community vigilantly for mischievous behaviors and actions that exploit well intended authors for the purpose of increasing brownie points in reputation scores. Hiding behind a "protected" wall may not protect you from investigation and account penalization by TV staff. Be respectful, and don't just throw an ma() in there branding it as "your" gizmo. Fair enough? Alrighty then... I firmly believe in "innovating" future state-of-the-art indicators, and please contact me if you wish to do so. Indicator
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VACPWelles Wilder (delta phenomenon) a 4-day rotation indicator
PVAC is the acronym Alan uses for a four-day rotation cycle. The cycle itself is circularly continuous every days of the week, forever, including every holiday. Thus if, for instance, Monday was a P, Tuesday is V, Wednesday is A, Thursday is C. At this point the cycle repeats, with Friday being P, Saturday being V, Sunday being A, and the following Monday being C.
Having started, the cycle never changes. While each day tends to have the characteristics shown below, like all cycle tools, there are inversions, which will last a cycle or at times even more, and have reasonable odds of inverting regularly.
A trader who wants to incorporate a four-day rotation cycle into their work is encouraged to study for themselves whether this adds value.
Day: V-day Color: Red Characteristics: Closes well for bulls; Use your fleece bars Bar8 and Bar11; Bar8 open often a V-day return target; 'V' return comes early in day in bear moves, late in day in bullish moves
Day: A-day Color: Blue Characteristics: Closes poorly for bulls; Use your fleece bars 8 and 11; Generally 'A' shaped, but may have a kick-leg after 3pm
Day: C-day Color: Orange Characteristics: Consolidation day, aka 'consoly' day. It may not chop, but it may have an
accumulation or distribution quality to the action; Trade often and trade fast; Pattern traders fade 4HHs and 4LLs with backfill/pullbacks 3 bars later; Apexes and angulars tend to have less importance; Numerical traders trade after Bar8 open and use support one horizontal below, resistance one horizontal above; C-day opens often at the 25%; The afternoon action tends to be opposite to the morning action
Day: P-day Color: Green Characteristics: Often a trend day. Find the trend and enter it; Often opens at the 75%; Trade P-days against a quartile; Watch for price to be above/below the first apex: buy above or sell below ; Do not fade dead zone, minimal trading Indicator
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