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Volume-Weighted Trend Filter Cloud
The Volume-Weighted Trend Filter Cloud is a powerful technical analysis tool designed to identify trend directions and potential buy/sell signals in a trading instrument. The indicator combines volume-weighted moving averages, average true range (ATR), and cloud plotting techniques to provide a comprehensive view of the market trend.
Inputs:
Length: Specifies the length of Algo used for trend analysis. Default value is 14.
Multiplier: Adjusts the width of the trend filter bands based on the ATR. Default value is 2.0.
Tenkan-sen Period: Defines the period for calculating the Tenkan-sen line. Default value is 200.
Kijun-sen Period: Sets the period for calculating the Kijun-sen line. Default value is 400.
Senkou Span Period: Determines the period for calculating the Senkou Span A and Senkou Span B lines. Default value is 600.
Calculation:
Average True Range (ATR): The indicator calculates the ATR based on the specified moving average length.
Trend Filter Bands: The basic upper and lower bands are calculated using the highest high and lowest low values, respectively, along with the multiplier and ATR. These bands are then adjusted to create the final upper and lower bands, taking into account the previous values.
Trend Direction: The indicator determines the trend direction by comparing the close price with the lower and upper bands. If the close price is above the lower band, it indicates an upward trend (trendUp = 1). If the close price is below the upper band, it indicates a downward trend (trendDown = 1).
Volume-Weighted Z-Score: The indicator calculates the volume-weighted Z-Score by determining the mean and standard deviation of the close price with volume weighting. The Z-Score represents the deviation of the close price from the mean in terms of standard deviations.
Tenkan-sen, Kijun-sen, Senkou Span A, and Senkou Span B: These lines are calculated using the respective periods and the average of the high and low prices.
Sigmoid Transformation: The indicator applies the sigmoid function to the Z-Score values to obtain sigmoid-transformed values for open, high, low, and close prices. These transformed values help in visualizing the trend strength.
Plotting:
Trend Filter: The trend filter is plotted as a line that changes color based on the trend direction. The lower band is displayed for an upward trend, while the upper band is displayed for a downward trend.
Trend Cloud: The cloud plot represents the Senkou Span A and Senkou Span B lines. The cloud color changes based on the trend direction, providing a visual representation of the market trend.
Buy and Sell Signals: The indicator generates buy and sell signals based on the crossover of fast and slow moving averages, Z-Score values, trend direction, and other conditions. These signals are labeled on the chart, indicating potential entry points for traders.
The indicator generates buy and sell signals based on specific conditions, including the intersection of fast and slow moving averages, Z-Score values, trend direction, and more.
Buy signals are described as a "buy signal" on the chart, which indicates potential entry points for buy trades.
Sell signals are described as a "sell signal", which indicates potential entry points for sell trades. The signals in light color represent that they are signals in the opposite direction of the cloud that can be considered as exit points
Inputs:
Length: Specifies the length of Algo used for trend analysis. Default value is 14.
Multiplier: Adjusts the width of the trend filter bands based on the ATR. Default value is 2.0.
Tenkan-sen Period: Defines the period for calculating the Tenkan-sen line. Default value is 200.
Kijun-sen Period: Sets the period for calculating the Kijun-sen line. Default value is 400.
Senkou Span Period: Determines the period for calculating the Senkou Span A and Senkou Span B lines. Default value is 600.
Calculation:
Average True Range (ATR): The indicator calculates the ATR based on the specified moving average length.
Trend Filter Bands: The basic upper and lower bands are calculated using the highest high and lowest low values, respectively, along with the multiplier and ATR. These bands are then adjusted to create the final upper and lower bands, taking into account the previous values.
Trend Direction: The indicator determines the trend direction by comparing the close price with the lower and upper bands. If the close price is above the lower band, it indicates an upward trend (trendUp = 1). If the close price is below the upper band, it indicates a downward trend (trendDown = 1).
Volume-Weighted Z-Score: The indicator calculates the volume-weighted Z-Score by determining the mean and standard deviation of the close price with volume weighting. The Z-Score represents the deviation of the close price from the mean in terms of standard deviations.
Tenkan-sen, Kijun-sen, Senkou Span A, and Senkou Span B: These lines are calculated using the respective periods and the average of the high and low prices.
Sigmoid Transformation: The indicator applies the sigmoid function to the Z-Score values to obtain sigmoid-transformed values for open, high, low, and close prices. These transformed values help in visualizing the trend strength.
Plotting:
Trend Filter: The trend filter is plotted as a line that changes color based on the trend direction. The lower band is displayed for an upward trend, while the upper band is displayed for a downward trend.
Trend Cloud: The cloud plot represents the Senkou Span A and Senkou Span B lines. The cloud color changes based on the trend direction, providing a visual representation of the market trend.
Buy and Sell Signals: The indicator generates buy and sell signals based on the crossover of fast and slow moving averages, Z-Score values, trend direction, and other conditions. These signals are labeled on the chart, indicating potential entry points for traders.
The indicator generates buy and sell signals based on specific conditions, including the intersection of fast and slow moving averages, Z-Score values, trend direction, and more.
Buy signals are described as a "buy signal" on the chart, which indicates potential entry points for buy trades.
Sell signals are described as a "sell signal", which indicates potential entry points for sell trades. The signals in light color represent that they are signals in the opposite direction of the cloud that can be considered as exit points
Disclaimer
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