Adaptive MFT Extremum Pivots [Elysian_Mind]Adaptive MFT Extremum Pivots
Overview:
The Adaptive MFT Extremum Pivots indicator, developed by Elysian_Mind, is a powerful Pine Script tool that dynamically displays key market levels, including Monthly Highs/Lows, Weekly Extremums, Pivot Points, and dynamic Resistances/Supports. The term "dynamic" emphasizes the adaptive nature of the calculated levels, ensuring they reflect real-time market conditions. I thank Zandalin for the excellent table design.
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Chart Explanation:
The table, a visual output of the script, is conveniently positioned in the bottom right corner of the screen, showcasing the indicator's dynamic results. The configuration block, elucidated in the documentation, empowers users to customize the display position. The default placement is at the bottom right, exemplified in the accompanying chart.
The deliberate design ensures that the table does not obscure the candlesticks, with traders commonly situating it outside the candle area. However, the flexibility exists to overlay the table onto the candles. Thanks to transparent cells, the underlying chart remains visible even with the table displayed atop.
In the initial column of the table, users will find labels for the monthly high and low, accompanied by their respective numerical values. The default precision for these values is set at #.###, yet this can be adjusted within the configuration block to suit markets with varying degrees of volatility.
Mirroring this layout, the last column of the table presents the weekly high and low data. This arrangement is part of the upper half of the table. Transitioning to the lower half, users encounter the resistance levels in the first column and the support levels in the last column.
At the center of the table, prominently displayed, is the monthly pivot point. For a comprehensive understanding of the calculations governing these values, users can refer to the documentation. Importantly, users retain the freedom to modify these mathematical calculations, with the table seamlessly updating to reflect any adjustments made.
Noteworthy is the table's persistence; it continues to display reliably even if users choose to customize the mathematical calculations, providing a consistent and adaptable tool for informed decision-making in trading.
This detailed breakdown offers traders a clear guide to interpreting the information presented by the table, ensuring optimal use and understanding of the Adaptive MFT Extremum Pivots indicator.
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Usage:
Table Layout:
The table is a crucial component of this indicator, providing a structured representation of various market levels. Color-coded cells enhance readability, with blue indicating key levels and a semi-transparent background to maintain chart visibility.
1. Utilizing a Table for Enhanced Visibility:
In presenting this wealth of information, the indicator employs a table format beneath the chart. The use of a table is deliberate and offers several advantages:
2. Structured Organization:
The table organizes the diverse data into a structured format, enhancing clarity and making it easier for traders to locate specific information.
3. Concise Presentation:
A table allows for the concise presentation of multiple data points without cluttering the main chart. Traders can quickly reference key levels without distraction.
4. Dynamic Visibility:
As the market dynamically evolves, the table seamlessly updates in real-time, ensuring that the most relevant information is readily visible without obstructing the candlestick chart.
5. Color Coding for Readability:
Color-coded cells in the table not only add visual appeal but also serve a functional purpose by improving readability. Key levels are easily distinguishable, contributing to efficient analysis.
Data Values:
Numerical values for each level are displayed in their respective cells, with precision defined by the iPrecision configuration parameter.
Configuration:
// User configuration: You can modify this part without code understanding
// Table location configuration
// Position: Table
const string iPosition = position.bottom_right
// Width: Table borders
const int iBorderWidth = 1
// Color configuration
// Color: Borders
const color iBorderColor = color.new(color.white, 75)
// Color: Table background
const color iTableColor = color.new(#2B2A29, 25)
// Color: Title cell background
const color iTitleCellColor = color.new(#171F54, 0)
// Color: Characters
const color iCharColor = color.white
// Color: Data cell background
const color iDataCellColor = color.new(#25456E, 0)
// Precision: Numerical data
const int iPrecision = 3
// End of configuration
The code includes a configuration block where users can customize the following parameters:
Precision of Numerical Table Data (iPrecision):
// Precision: Numerical data
const int iPrecision = 3
This parameter (iPrecision) sets the precision of the numerical values displayed in the table. The default value is 3, displaying numbers in #.### format.
Position of the Table (iPosition):
// Position: Table
const string iPosition = position.bottom_right
This parameter (iPosition) sets the position of the table on the chart. The default is position.bottom_right.
Color preferences
Table borders (iBorderColor):
// Color: Borders
const color iBorderColor = color.new(color.white, 75)
This parameters (iBorderColor) sets the color of the borders everywhere within the window.
Table Background (iTableColor):
// Color: Table background
const color iTableColor = color.new(#2B2A29, 25)
This is the background color of the table. If you've got cells without custom background color, this color will be their background.
Title Cell Background (iTitleCellColor):
// Color: Title cell background
const color iTitleCellColor = color.new(#171F54, 0)
This is the background color the title cells. You can set the background of data cells and text color elsewhere.
Text (iCharColor):
// Color: Characters
const color iCharColor = color.white
This is the color of the text - titles and data - within the table window. If you change any of the background colors, you might want to change this parameter to ensure visibility.
Data Cell Background: (iDataCellColor):
// Color: Data cell background
const color iDataCellColor = color.new(#25456E, 0)
The data cells have a background color to differ from title cells. You can configure this is a different parameter (iDataColor). You might even set the same color for data as for the titles if you will.
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Mathematical Background:
Monthly and Weekly Extremums:
The indicator calculates the High (H) and Low (L) of the previous month and week, ensuring accurate representation of these key levels.
Standard Monthly Pivot Point:
The standard pivot point is determined based on the previous month's data using the formula:
PivotPoint = (PrevMonthHigh + PrevMonthLow + Close ) / 3
Monthly Pivot Points (R1, R2, R3, S1, S2, S3):
Additional pivot points are calculated for Resistances (R) and Supports (S) using the monthly data:
R1 = 2 * PivotPoint - PrevMonthLow
S1 = 2 * PivotPoint - PrevMonthHigh
R2 = PivotPoint + (PrevMonthHigh - PrevMonthLow)
S2 = PivotPoint - (PrevMonthHigh - PrevMonthLow)
R3 = PrevMonthHigh + 2 * (PivotPoint - PrevMonthLow)
S3 = PrevMonthLow - 2 * (PrevMonthHigh - PivotPoint)
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Code Explanation and Interpretation:
The table displayed beneath the chart provides the following information:
Monthly Extremums:
(H) High of the previous month
(L) Low of the previous month
// Function to get the high and low of the previous month
getPrevMonthHighLow() =>
var float prevMonthHigh = na
var float prevMonthLow = na
monthChanged = month(time) != month(time )
if (monthChanged)
prevMonthHigh := high
prevMonthLow := low
Weekly Extremums:
(H) High of the previous week
(L) Low of the previous week
// Function to get the high and low of the previous week
getPrevWeekHighLow() =>
var float prevWeekHigh = na
var float prevWeekLow = na
weekChanged = weekofyear(time) != weekofyear(time )
if (weekChanged)
prevWeekHigh := high
prevWeekLow := low
Monthly Pivots:
Pivot: Standard pivot point based on the previous month's data
// Function to calculate the standard pivot point based on the previous month's data
getStandardPivotPoint() =>
= getPrevMonthHighLow()
pivotPoint = (prevMonthHigh + prevMonthLow + close ) / 3
Resistances:
R3, R2, R1: Monthly resistance levels
// Function to calculate additional pivot points based on the monthly data
getMonthlyPivotPoints() =>
= getPrevMonthHighLow()
pivotPoint = (prevMonthHigh + prevMonthLow + close ) / 3
r1 = (2 * pivotPoint) - prevMonthLow
s1 = (2 * pivotPoint) - prevMonthHigh
r2 = pivotPoint + (prevMonthHigh - prevMonthLow)
s2 = pivotPoint - (prevMonthHigh - prevMonthLow)
r3 = prevMonthHigh + 2 * (pivotPoint - prevMonthLow)
s3 = prevMonthLow - 2 * (prevMonthHigh - pivotPoint)
Initializing and Populating the Table:
The myTable variable initializes the table with a blue background, and subsequent table.cell functions populate the table with headers and data.
// Initialize the table with adjusted bgcolor
var myTable = table.new(position = iPosition, columns = 5, rows = 10, bgcolor = color.new(color.blue, 90), border_width = 1, border_color = color.new(color.blue, 70))
Dynamic Data Population:
Data is dynamically populated in the table using the calculated values for Monthly Extremums, Weekly Extremums, Monthly Pivot Points, Resistances, and Supports.
// Add rows dynamically with data
= getPrevMonthHighLow()
= getPrevWeekHighLow()
= getMonthlyPivotPoints()
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Conclusion:
The Adaptive MFT Extremum Pivots indicator offers traders a detailed and clear representation of critical market levels, empowering them to make informed decisions. However, users should carefully analyze the market and consider their individual risk tolerance before making any trading decisions. The indicator's disclaimer emphasizes that it is not investment advice, and the author and script provider are not responsible for any financial losses incurred.
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Disclaimer:
This indicator is not investment advice. Trading decisions should be made based on a careful analysis of the market and individual risk tolerance. The author and script provider are not responsible for any financial losses incurred.
Kind regards,
Ely Indicator
Indicator
Scoopy StacksWaffle Around Multiple
(Open, High, Low, Close) Stacks On
Pre/Post Market & (Daily, Weekly,
Monthly, Yearly) Sessions With
Meticulous Columns, Rows, Tooltips,
Colors, Custom Ideas, and Alerts.
Sessions Use Two Step Incremental Values
Default Value: (1) Shows Two Previous
(O, H, L, C); Increasing Value Swaps
Sessions With Next Two Stacks.
⬛️ KEY WORDS:
🟢 Crossover | 🔴 Crossunder
📗 High | 📕 Low
📔 Open | 📓 Close
🥇 First Idea | 🥈 Second Idea
🥉 Third Idea | 🎖️ Fourth Idea
🟥 ALERTS:
Default Option: (Per Bar)
Alerts Once Conditions Are Met
(Bar Close) Alerts When Bar Closes
Default Option: (Reg)
Alerts During Regular Market
Trading Hours, (0930-1600)
(Ext) Alerts During Extended
Market Hours, (1600-0930)
(24/7) Alerts All Day
Optional Preferences:
Regular Alerts - Stocks
Extended Alerts - Futures
24/7 Alerts - Crypto
🟧 STACKS:
Default Value: (1)
Incremental Stack Value, Increasing Value
Swaps Sessions With the Next Two Stacks
(✓) Swap Stacks?
Pre/Post Market High/Lows,
1-2 Day High/Lows, 1-2 Week High/Lows,
1-2 Month High/Lows, 1-2 Year High/Lows
( ) Swap Stacks?
Pre/Post Market Open/Close,
1-2 Day Open/Close, 1-2 Week Open/Close,
1-2 Month Open/Close, 1-2 Year Open/Close
🟨 EXAMPLES:
Default Stack:
🟢 | 📗 Pre Market High (PRE) | 4600.00
🔴 | 📕 Post Market Low (POST) | 420.00
Optional: (Open)
🟢 | 📔 Post Market Open (POST) | 4400.00
Optional: (Close)
🔴 | 📓 Pre Market Close (PRE) | 430.00
Default Stack Value: (1)
🔴 | 📗 1 Day High (1DH) | 460.00
Next Stack Value: (3)
🟢 | 📕 4 Day Low (4DL) | 420.00
Optional: (Open)
🔴 | 📔 2 Day Open (2DO) | 440.00
Optional: (Close)
🟢 | 📓 3 Day Close (3DC) | 430.00
Default Stack Value: (5)
🟢 | 📗 5 Week High (5WH) | 460.00
Next Stack Value: (7)
🔴 | 📕 8 Week Low (8WL) | 420.00
Optional: (Open)
🔴 | 📔 7 Week Open (7WO) | 4400.00
Optional: (Close)
🟢 | 📓 6 Week Close (6WC) | 430.00
Default Stack Value: (9)
🔴 | 📗 9 Month High (9MH) | 460.00
Next Stack Value: (11)
🟢 | 📕 12 Month Low (12ML) | 420.00
Optional: (Open)
🟢 | 📔 11 Month Open (11MO) | 4400.00
Optional: (Close)
🔴 | 📓 10 Month Close (10MC) | 430.00
Default Stack Value: (13)
🟢 | 📗 13 Year High (13YH) | 460.00
Next Stack Value: (15)
🟢 | 📕 16 Year Low (16YL) | 420.00
Optional: (Open)
🔴 | 📔 15 Year Open (15YO) | 4400.00
Optional: (Close)
🔴 | 📓 14 Year Close (14YC) | 430.00
🟩 TABLES:
Default Value: (1)
Moves Table Up, Down, Left, or Right
Based on Second Default Value
First Default Value: (Top Right)
Sets Table Placement, Middle Center
Allows Table To Move In All Directions
Second Default Value: (Default)
Fixed Table Position, Switching Values
Moves Direction of the Table
🟦 IDEAS:
(✓) Show Ideas?
Shows Four Ideas With Custom Texts
and Values; Ideas Are Based Around
Post-It Note Reminders with Alerts
Suggestions For Text Ideas:
Take Profit, Stop Loss, Trim, Hold,
Long, Short, Bounce Spot, Retest,
Chop, Support, Resistance, Buy, Sell
🟪 EXAMPLES:
Default Value: (5)
Shows the Custom Table Value For
Sorted Table Positions and Alerts
Default Text: (🥇)
Shown On First Table Cell and
Message Appearing On Alerts
Alert Shows: 🟢 | 🥇 | 5.00
Default Value: (10)
Shows the Custom Table Value For
Sorted Table Positions and Alerts
Default Text: (🥈)
Shown On Second Table Cell and
Message Appearing On Alerts
Alert Shows: 🔴 | 🥈 | 10.00
Default Value: (50)
Shows the Custom Table Value For
Sorted Table Positions and Alerts
Default Text: (🥉)
Shown On Third Table Cell and
Message Appearing On Alerts
Alert Shows: 🟢 | 🥉 | 50.00
Default Value: (100)
Shows the Custom Table Value For
Sorted Table Positions and Alerts
Default Text: (🎖️)
Shown On Fourth Table Cell and
Message Appearing On Alerts
Alert Shows: 🔴 | 🎖️ | 100.00
⬛️ REFERENCES:
Pre-market Highs & Lows on regular
trading hours (RTH) chart
By Twingall
Previous Day Week Highs & Lows
By Sbtnc
Screener for 40+ instruments
By QuantNomad
Daily Weekly Monthly Yearly Opens
By Meliksah55 Indicator
Ribbit RangesBounce Around Multiple
(Open, High, Low, Close) Ranges
On Pre/Post Market & (Daily, Weekly,
Monthly, Yearly) Sessions With
Meticulous Lines, Labels, Tooltips,
Colors, Custom Ideas, and Alerts.
Sessions Use Two Step Incremental Values
Default Value: (1) Shows Two Previous
(O, H, L, C); Increasing Value Swaps
Sessions With Next Two Ranges.
⬛️ KEY WORDS:
🟢 Crossover | 🔴 Crossunder
📗 High | 📕 Low
📔 Open | 📓 Close
🥇 First Idea | 🥈 Second Idea
🥉 Third Idea | 🎖️ Fourth Idea
🟥 ALERTS:
Default Option: (Per Bar)
Alerts Once Conditions Are Met
(Bar Close) Alerts When Bar Closes
Default Option: (Reg)
Alerts During Regular Market
Trading Hours, (0930-1600)
(Ext) Alerts During Extended
Market Hours, (1600-0930)
(24/7) Alerts All Day
Optional Preferences:
Regular Alerts - Stocks
Extended Alerts - Futures
24/7 Alerts - Crypto
🟧 RANGES:
Default Value: (1)
Incremental Range Value, Increasing Value
Swaps Sessions With the Next Two Ranges
(✓) Swap Ranges?
Pre/Post Market High/Lows,
1-2 Day High/Lows, 1-2 Week High/Lows,
1-2 Month High/Lows, 1-2 Year High/Lows
( ) Swap Ranges?
Pre/Post Market Open/Close,
1-2 Day Open/Close, 1-2 Week Open/Close,
1-2 Month Open/Close, 1-2 Year Open/Close
🟨 EXAMPLES:
Default Range:
🟢 | 📗 Pre Market High (PRE) | 4600.00
🔴 | 📕 Post Market Low (POST) | 420.00
Optional: (Open)
🟢 | 📔 Post Market Open (POST) | 4400.00
Optional: (Close)
🔴 | 📓 Pre Market Close (PRE) | 430.00
Default Range Value: (1)
🔴 | 📗 1 Day High (1DH) | 460.00
Next Range Value: (3)
🟢 | 📕 4 Day Low (4DL) | 420.00
Optional: (Open)
🔴 | 📔 2 Day Open (2DO) | 440.00
Optional: (Close)
🟢 | 📓 3 Day Close (3DC) | 430.00
Default Range Value: (5)
🟢 | 📗 5 Week High (5WH) | 460.00
Next Range Value: (7)
🔴 | 📕 8 Week Low (8WL) | 420.00
Optional: (Open)
🔴 | 📔 7 Week Open (7WO) | 4400.00
Optional: (Close)
🟢 | 📓 6 Week Close (6WC) | 430.00
Default Range Value: (9)
🔴 | 📗 9 Month High (9MH) | 460.00
Next Range Value: (11)
🟢 | 📕 12 Month Low (12ML) | 420.00
Optional: (Open)
🟢 | 📔 11 Month Open (11MO) | 4400.00
Optional: (Close)
🔴 | 📓 10 Month Close (10MC) | 430.00
Default Range Value: (13)
🟢 | 📗 13 Year High (13YH) | 460.00
Next Range Value: (15)
🟢 | 📕 16 Year Low (16YL) | 420.00
Optional: (Open)
🔴 | 📔 15 Year Open (15YO) | 4400.00
Optional: (Close)
🔴 | 📓 14 Year Close (14YC) | 430.00
🟩 COLORS:
(✓) Swap Colors?
Text Color Is Shown Using
Background Color
( ) Swap Colors?
Background Color Is Shown
Using Text Color
🟦 IDEAS:
(✓) Show Ideas?
Plots Four Ideas With Custom Lines
and Labels; Ideas Are Based Around
Post-It Note Reminders with Alerts
Suggestions For Text Ideas:
Take Profit, Stop Loss, Trim, Hold,
Long, Short, Bounce Spot, Retest,
Chop, Support, Resistance, Buy, Sell
🟪 EXAMPLES:
Default Value: (5)
Shows the Custom Value For
Lines, Labels, and Alerts
Default Text: (🥇)
Shown On First Label and
Message Appearing On Alerts
Alert Shows: 🟢 | 🥇 | 5.00
Default Value: (10)
Shows the Custom Value For
Lines, Labels, and Alerts
Default Text: (🥈)
Shown On Second Label and
Message Appearing On Alerts
Alert Shows: 🔴 | 🥈 | 10.00
Default Value: (50)
Shows the Custom Value For
Lines, Labels, and Alerts
Default Text: (🥉)
Shown On Third Label and
Message Appearing On Alerts
Alert Shows: 🟢 | 🥉 | 50.00
Default Value: (100)
Shows the Custom Value For
Lines, Labels, and Alerts
Default Text: (🎖️)
Shown On Fourth Label and
Message Appearing On Alerts
Alert Shows: 🔴 | 🎖️ | 100.00
⬛️ REFERENCES:
Pre-market Highs & Lows on regular
trading hours (RTH) chart
By Twingall
Previous Day Week Highs & Lows
By Sbtnc
Screener for 40+ instruments
By QuantNomad
Daily Weekly Monthly Yearly Opens
By Meliksah55 Indicator
VWAP Balance ZonesVWAP Balance Zones (VBZ) Is based on 3 concepts.
Many Traders use VWAP to help determine Price Trends.
Trends are typically identified by new Highs or new Lows.
Balanced is found when Supply and Demand are mostly Equal.
VBZ tracks the daily, weekly, and monthly highs and lows; Then plots the average (50%) between the VWAP and the respective extremes.
50% VWAP Zones can be considered significant since they attempt to identify the equilibrium between market participants within the current trend, serving as key reference points to consider for decision making. >While in an uptrend, Buyers may see price falling to the Hi 50% as an attractive value entry for the continuation upwards.
>While ALSO in an uptrend, Sellers may see price falling to the Hi 50% as a change in sentiment with more downwards movement on the way.
Because of these conflicting mindsets, these zones are thought to display areas of balance between buyers and sellers, which can serve as potential decision points throughout the day.
VBZ Draws Zones from the Daily (High/Low/Close) VWAPs and the Day's (High/Low/Close) extremes as seen below.
Technically speaking, an average between vwap and extreme is a single point, to make these into zones I am using multiple sources for vwap and tracking different points of the bar throughout the day (ex. Close VWAP & Daily Highest Close)
Weekly and Monthly are only displaying the Average Price between the VWAP and the (Weekly or Monthly) High/Low.
These hold up as important levels for speculation; however, since most action will be discovered at the daily zones, I am not displaying the zones for the Weekly and Monthly to keep noise to a minimum.
Unique Behaviors:
- Weekly values are hidden on the first day of the week since they are similar to the daily values on the first day of the week.
- Monthly values are hidden in the first week of the month for the same reason.
Indicator
Indicator
Globex, Extended, Daily, Weekly, Monthly, Yearly Range* Adds Right Side Only Price Line & Labels for Tracking without Extending Both Sides
* Tracks Current, Previous, and Two Previous Globex Sessions/ Futures:
* Tracks Current, Previous, and Two Previous Extended Session/ Stocks:
* Tracks Current, Previous, Two, & Three Previous Day Session/ Equities:
* Tracks Current, Last, Two, Three, Four, & Five Week Session/ Equities:
* Tracks Current, Last, Two, Three, Four, & Five Month Session/ Equities:
* Tracks Current, Last, Two, Three, Four, & Five Year Session/ Equities:
* Allows Custom Range on Globex, Extended, & Daily Sessions
* Allows Custom Range on Weekly, Monthly, & Yearly Sessions
* Lines & Labels Are Not Visible on Chart Scales
* Reversible Text & Background Color
* Lines Extend Accordingly with Range
* Labels show Price & Percent Change
* Background Colors should match Chart Color to avoid Overlapping Text & Labels
* Lines have Offset Extension
* Labels have Offset Extension
* Globex Session is only visible on Futures & if Current Timeframe is Intraday
* Extended Session is only visible on Stocks & if Current Timeframe is Intraday
* Daily, Weekly, Monthly, & Yearly Sessions are visible on All Symbols & All Timeframes
* Globex, Extended, & Regular use their Default Time Sessions but allow Customization
* For Back Testing Default Sessions, switch over on the Menu to Style and Turn On/Off their Background Color; Any Area on the Chart Without Background Color is Regular Session
Indicator
Daily Monday Weekly Monthly Quarterly Yearly High Low Mid This indicator can be useful for traders who are interested in analyzing price movements over different time periods. By displaying the daily, Monday, weekly, monthly, quarterly, and yearly high and low values along with their mid values on a chart, traders can get a better understanding of how prices have behaved over longer periods of time.
For example, a trader might use this information to identify trends or patterns in the market. They might look for occasions when the daily high and low values move outside of an established range or when the weekly or monthly mid values cross certain key levels. This could signal a potential change in the market trend that the trader could act upon.
Additionally, the code can help traders identify key support and resistance levels based on the high and low values of the candles. By plotting these values on a chart, traders can see where prices tend to find support or resistance over different time periods. This information can be used to place stop loss orders or take profit orders at important levels.
Overall, the benefit of using the code you provided is that it offers traders a comprehensive view of price movements over different time periods, which can aid in making more informed trading decisions.
Each level described above has its own unique label, which is abbreviated for convenience. These abbreviations are listed below for quick reference:
For daily levels: DH (Daily High), DM (Daily Mid), and DL (Daily Low)
For Monday levels: MonH (Monday High), MonM (Monday Mid), and MonL (Monday Low)
For monthly levels: MH (Monthly High), MU50 (Monthly 50 percent of Mid and High), MM (Monthly Mid), MD50 (Monthly 50 percent of Mid and Low), and ML (Monthly Low)
For quarterly levels: 3MH (Quarterly High), 3MU50 (Quarterly 50 percent of Mid and High), 3MM (Quarterly Mid), 3MD50 (Quarterly 50 percent of Mid and Low), and 3ML (Quarterly Low)
For yearly levels: YH (Yearly High), YU50 (Yearly 50 percent of Mid and High), YM (Yearly Mid), YD50 (Yearly 50 percent of Mid and Low), and YL (Yearly Low)
These labels can help you quickly identify the different levels and keep track of important price points.
If the chosen timeframe does not fall under the category of intraday, daily and Monday level will not be displayed.
Please feel free to send your suggestions to @z_mehran.
Indicator
Indicator
Monthly Strategy Performance TableWhat Is This?
This script code adds a Monthly Strategy Performance Table to your Pine Script strategy scripts so you can see a month-by-month and year-by-year breakdown of your P&L as a percentage of your account balance.
The table is based on realized equity rather than open equity, so it only updates the metrics when a trade is closed.
That's why some numbers will not match the Strategy Tester metrics (such as max drawdown), as the Strategy Tester bases metrics like max drawdown on open trade equity and not realized equity (closed trades).
The script is still a work-in-progress, so make sure to read the disclaimer below. But I think it's ready to release the code for others to play around with.
How To Use It
The script code includes one of my strategies as an example strategy. You need to replace my strategy code with your own. To do that just copy the source code below into a blank script, delete lines 11 -> 60 and paste your strategy code in there instead of mine. The script should work with most systems, but make sure to read the disclaimer below.
It works best with a significant amount of historical data, so it may not work very effectively on intraday timeframes as there is a severe limitation of available bars on PulseWire. I recommend using it on 4HR timeframes and above, as anything less will produce very little usable data. Having a premium PulseWire plan will also help boost the number of available bars.
You can hover your mouse over a table cell to get more information in the form of tooltips (such as the Long and Short win rate if you hover over your total return cell).
Credit
The code in this script is based on open-source code originally written by QuantNomad, I've made significant changes and additions to the original script but all credit for the idea and especially the display table code goes to them - I just built on top of it:
Why Did I Make This?
None of this is trading or investment advice, just my personal opinion based on my experience as a trader and systems developer these past 6+ years:
The PulseWire Strategy Tester is severely limited in some important ways. And unless you use complex Excel formulas on exported test data, you can't see a granular perspective of your system's historical performance.
There is much more to creating profitable and tradeable systems than developing a strategy with a good win rate and a good return with a reasonable drawdown.
Some additional questions we need to ask ourselves are:
What did the system's worst drawdown look like?
How long did it last?
How often do drawdowns occur, and how quickly are they typically recovered?
How often do we have a break-even or losing month or year?
What is our expected compounded annual growth rate, and how does that growth rate compare to our max drawdown?
And many more questions that are too long to list and take a lifetime of trading experience to answer.
Without answering these kinds of questions, we run the risk of developing systems that look good on paper, but when it comes to live trading, we are uncomfortable or incapable of enduring the system's granular characteristics.
This Monthly Performance Table script code is intended to help bridge some of that gap with the Strategy Tester's limited default performance data.
Disclaimer
I've done my best to ensure the numbers this code outputs are accurate, and according to my testing with my personal strategy scripts it appears to work fine. But there is always a good chance I've missed something, or that this code will not work with your particular system.
The majority of my PulseWire systems are extremely simple single-target systems that operate on a closed-candle basis to minimize many of the data reliability issues with the Strategy Tester, so I was unable to do much testing with multiple targets and pyramiding etc.
I've included a Debug option in the script that will display important data and information on a label each time a trade is closed. I recommend using the Debug option to confirm that the numbers you see in the table are accurate and match what your strategy is actually doing.
Always do your own due diligence, verify all claims as best you can, and never take anyone's word for anything.
Take care, and best of luck with your trading :)
Kind regards,
Matt.
PS. If you're interested in learning how this script works, I have a free hour-long video lesson breaking down the source code - just check out the links below this script or in my profile. Strategy
Indicator
Strategy UtilitiesThis library comprises valuable functions for implementing strategies on PulseWire, articulated in a professional writing style.
The initial version features a monthly Profit & Loss table with percentage variations, utilizing a modified version of the script by @QuantNomad.
Library "strategy_utilities"
monthly_table(results_prec, results_dark)
monthly_table prints the Monthly Returns table, modified from QuantNomad. Please put calc_on_every_tick = true to plot it.
Parameters:
results_prec (int) : for the precision for decimals
results_dark (bool) : true or false to print the table in dark mode
Returns: nothing (void), but prints the monthly equity table
Sample Usage
import TheSocialCryptoClub/strategy_utilities/1 as su
results_prec = input(2, title = "Precision", group="Results Table")
results_dark = input.bool(defval=true, title="Dark Mode", group="Results Table")
su.monthly_table(results_prec, results_dark) Library
Multi-Asset Month/Month % change 10yr Averages10 Year Averages of Month-on-Month % change: Shows current asset, and 3x user input assets
-For comparing seasonal tendencies among different assets.
-Choose from a variety of monthly average measures as source: sma(close, length), sma(ohlc4, length); as well as sma's of vwap, vwma, volume, volatility. (sma = simple moving average).
-Averages based on month cf previous month: i.e. Feb % = Feb compared to Jan; Jan % = Jan compared to prev year's Dec. Average of the last 10yrs of these values is the printed value.
-Plot on current year (2023), or previous year (2022). If Plotting on current year, and a month of year has not yet occured, a 9yr average will be printed.
/// notes ///
-daily bars in month is a global setting; so choose assets which have similar trading days per month. i.e. Crypto: length = 30 (days per month); Stocks/FX/Indices: length = 21 (days per month).
-only plots on Daily timeframe.
10yr Avgs; Plotting with Year = 2022; using sma(close, 21) as source for average M/M change
Indicator
Buy Sell Calendar [LuxAlgo]The Buy Sell Calendar indicator displays a calendar showing the sentiment for the current day/month. Three different methods can be used to determine this sentiment.
The calendar can also highlight the percentage of bullish days/months for a month/year.
🔶 SETTINGS
Frequency: Calendar frequency, options include "Daily" and "Monthly"
Sentiment Method: Method used to determine the sentiment for the day/month, options include: "Linreg", "Accumulated Deltas", and "Max/Min"
Timezone Offset: UTC time zone offset.
Limit Date: Limit date used by the calendar, the sentiment of days/months outside this limit will not be returned.
🔹 Calendar
Show Calendar: Determines whether to display or hide the calendar.
Location: Location of the calendar on the chart.
Size: Calendar size.
🔶 USAGE
The proposed script can allow users to quickly determine if a specific day/month is considered bullish or bearish. A green cell is used for bullish days/months, while a red one is used for bearish days/months.
Additionally vertical lines are displayed on new days/months with a color highlighting the current sentiment for this specific day/month. Note that this is done retrospectively, the color of a line set at time t might differ at time t+n .
🔶 SENTIMENT METHODS
Determining whether a day/month is bullish or bearish can be done using three different methods. Note that each method makes use of the closing price as the input, and as such can eventually return different results depending on the selected timeframe. Each method is described below:
🔹 Linreg
The Linreg method fit lines between each day/month using the method of least squares and determines if that particular day is bullish or bearish based on the line slope sign. For example, a rising line would indicate a bullish day/month.
🔹 Accumulated Deltas
The method of accumulated deltas simply accumulates bullish and bearish price changes for the current day/month, the result with the highest magnitude determines the sentiment for that day/month.
🔹 Max/Min
The max/min method computes a trailing maximum and a trailing minimum for the current day/month. The sentiment is determined by the price position relative to the average between the obtained maximum/minimum, with a bullish sentiment being determined if price is above the average. Indicator
Indicator
Indicator
VWAP & Previous VWAP - MTF█ Volume Weighted Average Price & Previous Volume Weighted Average Price - Multi Timeframe
This script can display the daily, weekly, monthly, quarterly, yearly and rolling VWAP but also the previous ones.
█ Volume Weighted Average Price (VWAP)
The VWAP is a technical analysis tool used to measure the average price weighted by volume.
VWAP is typically used with intraday charts as a way to determine the general direction of intraday prices.
VWAP is similar to a moving average in that when price is above VWAP, prices are rising and when price is below VWAP, prices are falling.
VWAP is primarily used by technical analysts to identify market trends.
█ Rolling VWAP
The typical VWAP is designed to be used on intraday charts, as it resets at the beginning of the day.
Such VWAPs cannot be used on daily, weekly or monthly charts. Instead, this rolling VWAP uses a time period that automatically adjusts to the chart's timeframe.
You can thus use the rolling VWAP on any chart that includes volume information in its data feed.
Because the rolling VWAP uses a moving window, it does not exhibit the jumpiness of VWAP plots that reset.
For the version with standard deviation bands.
MTF VWAP & StDev Bands
Indicator
Yearly Monthly Vertical Lines [MsF]This indicator that draws vertical lines for each year and month starting from the specified date and time.
For example, starting from August 26th, 2022,
The annual vertical lines are Aug 26th, 2022, Aug 26th, 2021, Aug 26th, 2020, Aug 26th, 2019, Aug 26th, 2018, Aug 26th, 2017...
It is useful to check the action of the chart at the event of each year and month.
Caution:
Since there is a limit to the Bar-Count that can be specified in the script language, depending on the chart period setting It may not be displayed.
-------------------------
指定した日時を起点として、年、月ごとに垂直線（縦線）を描画するインジケータです。
例えば、2022/9/1を起点とした場合、
年次のラインは、2021/9/1、2020/9/1、2019/9/1、2018/9/1、2017/9/1、2016/9/1...
に描画します。
年、月ごとのイベント時のチャートの動きを確認するのに便利です。
※過去イベント時の価格変動確認の際、手作業で垂直線を引くのが面倒なため、作成しました。
＜注意＞
スクリプト言語で指定できるBarCntに制限がある為、チャートの期間設定によっては
表示されない場合があります。※今後改善の余地あり Indicator
Strategy
Bias AnalyzerName: Bias Analyzer
Category: Market Analyzer
Timeframe: 1H and 1D, depending on the Analysis type.
Technical Analysis: Usually when we think about a Trading System we start from an idea. This idea comes normally from observation and the study of the market.
Have we ever observed a market - for example Bitcoin - and thought that it increases at the start of a USA session? Great, this is a well-known category of Trading System and the purpose of the Bias Analyzer is to study these phenomena.
There are different types of Trading System that we can classify considering the market in-efficiency that we use to our advantage. In this case we make the Bias. Literally "inclination" or "presupposition" or precisely "tendency" of the price to go up or down in a temporal way.
The characteristics of the Bias depend on how much the Bias is persistent on the market since the analysed period. therefore we can consider:
Hourly Bias : analysing the hourly behaviours during the week. Trades normally last from a few hours to a few days.
Seasonal Bias : analysing the behaviour of the weeks in the monthly or annual context, evaluating the seasons.
Suggested usage: The possibilities of the tool are infinite, these are some scenarios of use:
Development of Intraday Trading Systems based on Hourly Bias with possible filters for specific days of the week.
Development of a Multi-day Trading System based on daily Bias with monthly analysis.
To identify the best day to execute our investment through Dollar Cost Average with a bit of healthy buy the dip
Main features:
Hourly Summary organized in Week
The cells contain the sum of the various price deltas for the single hour. The transparency indicates the frequency in which the candles close positive or negative. This information is available both in a synthetic way, as in the first column "Sum", and for each day of the week.
Hourly Details organized in different entry/exit
Shows the cumulative data of the various deltas, considering the purchase and the sale at certain times. In the rows are represented the buying hours and in the columns the selling hours.
Daily Summary organized in Months
The cells contain the summation of the various price deltas for the single day.
Hourly Details organized in different entry/exit
Allows to visualise the detailed analysis table, choosing to do it for all the months or for a specific month and shows the cumulative data of the various deltas, considering the purchase and the sale in certain days.
Configuration: You can configure the tool easily and completely.
Analysis
Calculate from Close to Open : this is the core of the whole analysis where the "Price Delta" to be calculated is defined. At this moment there is the possibility to calculate the distance between opening and closing.
Calculate in Percent or Cash : this allows to calculate the Price Delta in Percent or in Cash.
Analysis on 1H Timeframe
Show Hourly Summary on : allows to visualise the summary analysis table of the week. The cells contain the sum of the various price deltas for the single hour. The transparency indicates the frequency in which the candles close positive or negative. This information is available both in a synthetic way, as in the first column "Sum", and for each day of the week. At the bottom left there is also data which allows us to understand how many candles are being analysed. At the bottom of each day it is possible to visualise the cumulative data of the day. The position of the table is customizable.
Show Hourly Details of on : allows to visualise the detailed analysis table, choosing to do it for all days or for a specific day, and shows the cumulative data of the various deltas, considering the purchase and the sale at certain times. In the rows are represented the buying hours and in the columns the selling hours. For example, going to the table "All Days" we can see in the cell of row 13 and in column 22 the cumulative data of a possible buy on 13 and a sell at the end of 22. To facilitate the research of the values there is a configurable transparency system.
Analysis on 1D Timeframe
Show Daily Summary on : allows to visualise the summary analysis table of the month. The cells contain the summation of the various price deltas for the single day: The first row is the summation of all days of the month for all months in the analysis period, while the other rows represent the analysis for the various days of the individual months.
Show Daily Details of on : allows to visualise the detailed analysis table, choosing to do it for all the months or for a specific month and shows the cumulative data of the various deltas, considering the purchase and the sale in certain days. In the rows are represented the buying days and in the columns the selling days. For example, going to the table "All Months" we can see in the cell at row 1 and at column 3 the cumulative of a possible purchase on the 1st and the sale on the 3rd. To facilitate the research of the values, there is a configurable transparency system.
Table Layout
Size : allows to define the size of the text in the table.
Precision : it is possible to define the decimal precision of the calculations presented in the tables.
Transparency Factor : allows the application of a multiplication factor when the table calculates the transparency of detail tables.
Colours : allows to specify the colours of Profit, Loss and Neutral, besides to adapt a style coherent with the Dark Mode or Light Mode of Trading View
Volatility Filter
It is possible to directly apply a filter to the time series on which the delta is calculated. The volatility filter uses the ATR - an indicator that allows you to calculate the volatility in a given period. Briefly: the higher the ATR value, the higher the volatility. Therefore the filter works by comparing the volatility on two periods and indicates compression or expansion.
Backtest Dates
In order to facilitate the identification of in-sample and out-of-sample data, as well as the degradation of a given behaviour, it is possible to specify a period in which to do the analysis.
Indicator
Indicator
10yr, 20yr, 30yr Averages: Month/Month % Change; SeasonalityCalculates 10yr, 20yr and 30yr averages for month/month % change
~shows seasonal tendencies in assets (best in commodities). In above chart: August is a seasonally bullish month for Gold: All the averages agree. And January is the most seasonally bullish month.
~averages represent current month/previous month. i.e. Jan22 average % change represents whole of jan22 / whole of dec21
~designed for daily timeframe only: I found calling monthly data too buggy to work with, and I thought weekly basis may be less precise (though it would certainly reduce calculation time!)
~choose input year, and see the previous 10yrs of monthly % change readings, and previous 10yrs Average, 20yr Average, 30yr Average for the respective month. Labels table is always anchored to input year.
~user inputs: colors | label sizes | decimal places | source expression for averages | year | show/hide various sections
~multi-yr averges always print, i.e if only 10yrs history => 10yr Av = 20yr Av = 30yr Av. 'History Available' label helps here.
Based on my previously publised script: "Month/Month Percentage % Change, Historical; Seasonal Tendency"
Publishing this as seperate indicator because:
~significantly slower to load (around 13 seconds)
~non-premium users may not have the historical bars available to use 20yr or 30yr averages =>> prefer the lite/speedier version
~~tips~~
~after loading, touch the new right scale; then can drag the table as you like and seperate it from price chart
##Debugging/tweaking##
Comment-in the block at the end:
~test/verifify specific array elements elements.
~see the script calculation/load time
~~other ideas ~~
~could tweak the array.slice values in lines 313 - 355 to show the last 3 consecutive 10yr averages instead (i.e. change 0, 10 | 0,20 | 0, 30 to 0, 10 | 10, 20 | 20,30)
~add 40yr average by adding another block to each of the array functions, and tweaking the respective labels after line 313 (though this would likely add another 5 seconds to the load time)
~use alternative method for getting obtaining multi-year values from individual month elements. I used array.avg. You could try array.median, array.mode, array.variance, array.max, array.min (lines 313-355)
Indicator
Month/Month Percentage % Change, Historical; Seasonal TendencyTable of monthly % changes in Average Price over the last 10 years (or the 10 yrs prior to input year).
Useful for gauging seasonal tendencies of an asset; backtesting monthly volatility and bullish/bearish tendency.
~~User Inputs~~
Choose measure of average: sma(close), sma(ohlc4), vwap(close), vwma(close).
Show last 10yrs, with 10yr average % change, or to just show single year.
Chose input year; with the indicator auto calculating the prior 10 years.
Choose color for labels and size for labels; choose +Ve value color and -Ve value color.
Set 'Daily bars in month': 21 for Forex/Commodities/Indices; 30 for Crypto.
Set precision: decimal places
~~notes~~
-designed for use on Daily timeframe (pulsewire is buggy on monthly timeframe calculations, and less precise on weekly timeframe calculations).
-where Current month of year has not occurred yet, will print 9yr average.
-calculates the average change of displayed month compared to the previous month: i.e. Jan22 value represents whole of Jan22 compared to whole of Dec21.
-table displays on the chart over the input year; so for ES, with 2010 selected; shows values from 2001-2010, displaying across 2010-2011 on the chart.
-plots on seperate right hand side scale, so can be shrunk and dragged vertically.
-thanks to @gabx11 for the suggestion which inspired me to write this Indicator
