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WhipLashThis is a study to determine if small candle bodies (little difference between open and close), regardless of overall candle length (high/low), can be used to filter choppy markets.
The indicator will calculate the selected average "MA Mode" of (close-open). To standardize this result and ensure any filters/thresholds do not need to be recalculated for each instrument the result will be used to calculate the Z Score.
The idea is that when candle bodies are small there is very little actual price movement, and therefore price is choppy. When considering the Z Score of that result, any outliers ie larger candle bodies, could show a potential trend forming. This indicator is similar to QStick but allows more customization by the user.
MA Mode determines which MA is used to smooth the results of (close-open)
Price Smoothing is the number of running periods the MA Mode is calculated for.
The three Thresholds are preset to the 90%, 95%, and 99% levels for Z Score. If these thresholds are altered you may wish to also alter the horizontal lines programmed for each level on the positive and negative sides.
The Z Length is the period for which the Z Score is calculated
Multiple MA Options Credits to @Fractured
Bits and Pieces from @AlexGrover, @Montyjus, and @Jiehonglim
As always, trade at your own risk. Indicator
Indicator
VQZL Z-ScoreVolatility Qaulity Zero Line attempts to keep a trader out of ranging markets, but the original calculation on PulseWire had to be adjusted for each instrument. To avoid this issue, I have applied a z-score calculation to the VQZL so the result is standardized for all instruments. A Z-Score is simply a value's relationship to the mean (average) of a group of values, measured in terms of standard deviations from the mean.
This calculation allows us to compare current volatility to the mean (moving average) of the population (Z-Length). The closer the VQZL Z-Score is to the mean, the closer it will be to the Zero Line and therefore price is likely consolidating and choppy. The farther VQZL Z-Score is from the mean, the more likely price is trending.
The MA Mode determines the Moving Average used to calculate VQZL itself. The Z-Score is ALWAYS calculated with a simple moving average (as that is the standard calculation for Z-Score).
The Threshold Levels are the levels at which VQZL Z-Score will change from gray to yellow, orange, green (bullish), or red (bearish). These levels can be adjusted but you should adjust the Threshold Lines as well (in the style section), so they line up with your adjusted values.
Statistically speaking, confidence levels in relation to Z-Score are noted below. The built in Threshold Levels are the positive and negative values for 90%, 95%, and 99%. This would indicate when volatility is greater than these values they are out of the ordinary from the standard range. You may wish to adjust these levels for VQZL Z-Score to be more responsive to your trading need
80% :: 1.28
85% :: 1.44
90% :: 1.64
95% :: 1.96
99% :: 2.58
As always, trade at your own risk.
VQZL Created by Investo And Adapted From @sarangab
Multiple MA Options Credits to @Fractured
Bits and Pieces from @AlexGrover and @Montyjus Indicator
Standard Deviation Measurement ToolIf you like the script please come back and leave me a comment or find me on the interwebs. I get notified you "liked" it... but I have no idea if you actually use it. So, let me know =)
The script uses the open price as the mean and calculates the standard deviation from the open price on a per candle basis
- Goal: -
To establish a mean based on the Open Price and calculate the standard deviation.
The reason for this is if the Open is the mean, then the Standard deviation implies a standardized distance a given candle can be expected to travel
from the open price
- Edge: -
If you know that there is a 68%/95%/99.7% probability that price will NOT move more than
One Standard Deviation/Two Standard Deviations/Three Standard Deviations from the open price respectively
you can set reasonable price targets that relate to those probabilities in a given timeframe.
e.g. if you're on a 1h chart and your target is 3.5% from the open price, but 1 standard deviation of the hourly candle is equal to 0.78%.
You can make assumptions on either:
- The reasonableness of your target
or
- The holding period likely required for the trade.
Also, Standard Deviation is a function of volatility and this tool provides a unique mechanism for measuring volatility as well on a candle by candle basis
- Customization Options-
- Set 3 independent upper and lower standard deviations.
- Each set of standard deviations are on a switch so you can show 1, 2, or 3 sets of standard deviations
- You can set the distribution width
- Though it's not recommended, you can change the mean source.
- There is a switch to show the standard deviation on only the real-time bar or real-time and historical bars.
- How I Think About This Script -
This strategy is predicated the same principle as Bollinger Bands: the reality that 68% of all data points will fall within one standard deviation of the mean, 96% of all data points will fall within two standard deviations, and 98% of al data points will fall within 3 standard deviations. By understanding the standard deviation, you can possibly infer an edge by understanding the probabilistic range price will be bound to the limits of standard deviation rules according to their probabilistic outcomes for the single candle on any given timeframe. Bollinger Bands are designed to provide this information with the mean being a 20-period moving average and this indicator.
This indicator is designed to provide standard deviation information with the mean being based on the distance price travels away from the open of individual candles in the lookback period.
If you use a strategy where you enter on major candle closes, this can be useful to set targets for those entries based on the intended hold period or at least add/remove validity to other target metrics.
Example:
Your target is at the 1.618 Fibonacci level and your confirmation triggers on the 4h candle close (H4 if that's your thing lol). You set up the indicator based on the standard deviation of price movement in 4h candles over the last week.
Let's say the indicator shows that the 1.618 Fibonacci level is 3 standard deviations away.
This being the case this statistically indicates that within the next 4 hours, you have a very low probability of achieving your target (>2%). This doesn't invalidate your target, but it does indicate a low probability of achieving it in the next 4hrs. With this information, you can infer that you are either going to be (a) really lucky (b) in this trade for a lot longer than 4hrs or (c) your target is unrealistic given your intended hold period.
You can develop a more probabilistically favorable hold period calculation by looking at the standard deviation on a higher time frame (e.g. 1d-1w).
Bonus feature: You'll find that the 2 and 3 standard deviations will often "cluster" and these clusters often provide future S/R levels. That's a pretty sweet feature no one things to look for. But, try it. Find a cluster of 2nd and 3rd stdevs that are in somewhat of a horizontal pattern (usually the result of a range) and you'll find that to be a good s/r area. Even better if you use the 3.2 standard deviation, you'll find that is a fantastic breakout signal!
Summary
So, you can use it for target setting, a confluence test, a reasonableness test, or just a measurement tool.
This was the first TV script I ever wrong.. Got taken down. But, I've re-released it because there are other TV scripts that attempt to do this but are completely wrong.
Please be careful about using other people's scripts. Always validate the math of the script before you use it if possible.
Stay safe out there and I hope all your dreams come true. Indicator
