Levinson-Durbin Autocorrelation Extrapolation of Price [Loxx]Levinson-Durbin Autocorrelation Extrapolation of Price is an indicator that uses the Levinson recursion or Levinson–Durbin recursion algorithm to predict price moves. This method is commonly used in speech modeling and prediction engines.
What is Levinson recursion or Levinson–Durbin recursion?
Is a linear algebra prediction analysis that is performed once per bar using the autocorrelation method with a within a specified asymmetric window. The autocorrelation coefficients of the window are computed and converted to LP coefficients using the Levinson algorithm. The LP coefficients are then transformed to line spectrum pairs for quantization and interpolation. The interpolated quantized and unquantized filters are converted back to the LP filter coefficients to construct the synthesis and weighting filters for each bar.
Data inputs
Source Settings: -Loxx's Expanded Source Types. You typically use "open" since open has already closed on the current active bar
LastBar - bar where to start the prediction
PastBars - how many bars back to model
LPOrder - order of linear prediction model; 0 to 1
FutBars - how many bars you want to forward predict
Things to know
Normally, a simple moving average is caculated on source data. I've expanded this to 38 different averaging methods using Loxx's Moving Avreages.
This indicator repaints
Included
Bar color muting
Further reading
Implementing the Levinson-Durbin Algorithm on the StarCore™ SC140/SC1400 Cores
LevinsonDurbin_G729 Algorithm, Calculates LP coefficients from the autocorrelation coefficients. Intel® Integrated Performance Primitives for Intel® Architecture Reference Manual
Forecasting
Fourier Extrapolator of Variety RSI w/ Bollinger Bands [Loxx]Fourier Extrapolator of Variety RSI w/ Bollinger Bands is an RSI indicator that shows the original RSI, the Fourier Extrapolation of RSI in the past, and then the projection of the Fourier Extrapolated RSI for the future. This indicator has 8 different types of RSI including a new type of RSI called T3 RSI. The purpose of this indicator is to demonstrate the Fourier Extrapolation method used to model past data and to predict future price movements. This indicator will repaint. If you wish to use this for trading, then make sure to take a screenshot of the indicator when you enter the trade to save your analysis. This is the first of a series of forecasting indicators that can be used in trading. Due to how this indicator draws on the screen, you must choose values of npast and nfut that are equal to or less than 200. this is due to restrictions by TradingView and Pine Script in only allowing 500 lines on the screen at a time. Enjoy!
What is Fourier Extrapolation?
This indicator uses a multi-harmonic (or multi-tone) trigonometric model of a price series xi, i=1..n, is given by:
xi = m + Sum( a*Cos(w*i) + b*Sin(w*i), h=1..H )
Where:
xi - past price at i-th bar, total n past prices;
m - bias;
a and b - scaling coefficients of harmonics;
w - frequency of a harmonic ;
h - harmonic number;
H - total number of fitted harmonics.
Fitting this model means finding m, a, b, and w that make the modeled values to be close to real values. Finding the harmonic frequencies w is the most difficult part of fitting a trigonometric model. In the case of a Fourier series, these frequencies are set at 2*pi*h/n. But, the Fourier series extrapolation means simply repeating the n past prices into the future.
This indicator uses the Quinn-Fernandes algorithm to find the harmonic frequencies. It fits harmonics of the trigonometric series one by one until the specified total number of harmonics H is reached. After fitting a new harmonic , the coded algorithm computes the residue between the updated model and the real values and fits a new harmonic to the residue.
see here: A Fast Efficient Technique for the Estimation of Frequency , B. G. Quinn and J. M. Fernandes, Biometrika, Vol. 78, No. 3 (Sep., 1991), pp . 489-497 (9 pages) Published By: Oxford University Press
The indicator has the following input parameters:
src - input source
npast - number of past bars, to which trigonometric series is fitted;
Nfut - number of predicted future bars;
nharm - total number of harmonics in model;
frqtol - tolerance of frequency calculations.
Included:
Loxx's Expanded Source Types
Loxx's Variety RSI
Other indicators using this same method
Fourier Extrapolator of Price w/ Projection Forecast
Fourier Extrapolator of Price
Fourier Extrapolator of Price w/ Projection Forecast [Loxx]Due to popular demand, I'm pusblishing Fourier Extrapolator of Price w/ Projection Forecast.. As stated in it's twin indicator, this one is also multi-harmonic (or multi-tone) trigonometric model of a price series xi, i=1..n, is given by:
xi = m + Sum( a*Cos(w*i) + b*Sin(w*i), h=1..H )
Where:
xi - past price at i-th bar, total n past prices;
m - bias;
a and b - scaling coefficients of harmonics;
w - frequency of a harmonic ;
h - harmonic number;
H - total number of fitted harmonics.
Fitting this model means finding m, a, b, and w that make the modeled values to be close to real values. Finding the harmonic frequencies w is the most difficult part of fitting a trigonometric model. In the case of a Fourier series, these frequencies are set at 2*pi*h/n. But, the Fourier series extrapolation means simply repeating the n past prices into the future.
This indicator uses the Quinn-Fernandes algorithm to find the harmonic frequencies. It fits harmonics of the trigonometric series one by one until the specified total number of harmonics H is reached. After fitting a new harmonic , the coded algorithm computes the residue between the updated model and the real values and fits a new harmonic to the residue.
see here: A Fast Efficient Technique for the Estimation of Frequency , B. G. Quinn and J. M. Fernandes, Biometrika, Vol. 78, No. 3 (Sep., 1991), pp . 489-497 (9 pages) Published By: Oxford University Press
The indicator has the following input parameters:
src - input source
npast - number of past bars, to which trigonometric series is fitted;
Nfut - number of predicted future bars;
nharm - total number of harmonics in model;
frqtol - tolerance of frequency calculations.
The indicator plots two curves: the green/red curve indicates modeled past values and the yellow/fuchsia curve indicates the modeled future values.
The purpose of this indicator is to showcase the Fourier Extrapolator method to be used in future indicators.
Fourier Extrapolator of Price [Loxx]Fourier Extrapolator of Price is a multi-harmonic (or multi-tone) trigonometric model of a price series xi, i=1..n, is given by:
xi = m + Sum( a *Cos(w *i) + b *Sin(w *i), h=1..H )
Where:
xi - past price at i-th bar, total n past prices;
m - bias;
a and b - scaling coefficients of harmonics;
w - frequency of a harmonic;
h - harmonic number;
H - total number of fitted harmonics.
Fitting this model means finding m, a , b , and w that make the modeled values to be close to real values. Finding the harmonic frequencies w is the most difficult part of fitting a trigonometric model. In the case of a Fourier series, these frequencies are set at 2*pi*h/n. But, the Fourier series extrapolation means simply repeating the n past prices into the future.
This indicator uses the Quinn-Fernandes algorithm to find the harmonic frequencies. It fits harmonics of the trigonometric series one by one until the specified total number of harmonics H is reached. After fitting a new harmonic, the coded algorithm computes the residue between the updated model and the real values and fits a new harmonic to the residue.
see here: A Fast Efficient Technique for the Estimation of Frequency , B. G. Quinn and J. M. Fernandes, Biometrika, Vol. 78, No. 3 (Sep., 1991), pp. 489-497 (9 pages) Published By: Oxford University Press
The indicator has the following input parameters:
src - input source
npast - number of past bars, to which trigonometric series is fitted;
nharm - total number of harmonics in model;
frqtol - tolerance of frequency calculations.
The indicator plots the modeled past values
The purpose of this indicator is to showcase the Fourier Extrapolator method to be used in future indicators. While this method can also prediction future price movements, for our purpose here we will avoid doing.
Breakout Probability (Expo)█ Overview
Breakout Probability is a valuable indicator that calculates the probability of a new high or low and displays it as a level with its percentage. The probability of a new high and low is backtested, and the results are shown in a table— a simple way to understand the next candle's likelihood of a new high or low. In addition, the indicator displays an additional four levels above and under the candle with the probability of hitting these levels.
The indicator helps traders to understand the likelihood of the next candle's direction, which can be used to set your trading bias.
█ Calculations
The algorithm calculates all the green and red candles separately depending on whether the previous candle was red or green and assigns scores if one or more lines were reached. The algorithm then calculates how many candles reached those levels in history and displays it as a percentage value on each line.
█ Example
In this example, the previous candlestick was green; we can see that a new high has been hit 72.82% of the time and the low only 28.29%. In this case, a new high was made.
█ Settings
Percentage Step
The space between the levels can be adjusted with a percentage step. 1% means that each level is located 1% above/under the previous one.
Disable 0.00% values
If a level got a 0% likelihood of being hit, the level is not displayed as default. Enable the option if you want to see all levels regardless of their values.
Number of Lines
Set the number of levels you want to display.
Show Statistic Panel
Enable this option if you want to display the backtest statistics for that a new high or low is made. (Only if the first levels have been reached or not)
█ Any Alert function call
An alert is sent on candle open, and you can select what should be included in the alert. You can enable the following options:
Ticker ID
Bias
Probability percentage
The first level high and low price
█ How to use
This indicator is a perfect tool for anyone that wants to understand the probability of a breakout and the likelihood that set levels are hit.
The indicator can be used for setting a stop loss based on where the price is most likely not to reach.
The indicator can help traders to set their bias based on probability. For example, look at the daily or a higher timeframe to get your trading bias, then go to a lower timeframe and look for setups in that direction.
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Disclaimer
The information contained in my Scripts/Indicators/Ideas/Algos/Systems does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
My Scripts/Indicators/Ideas/Algos/Systems are only for educational purposes!
Chervolinos_Rob Hoffman_Inventory Retracement Bar_and_OverlayHere is something like a combo from the well known Rob Hoffman (Overlay) Indicator and the Inventory Retracement Bar without any ballast
This really smart strategy with a low risk and a quick profit. I combine this two Indicators to save space.
The first condition is that the orange line and the lime line must be parallel and there is no other line between them because this condition is moving under 45 angle.
The second condition is that the target candles must be below the orange line in the case of the downtrend as we see.
As we see it here in the case of an uptrend should be candles above the orange line and this is logical as we see here.
Sometimes we noticed the appearance of the signal onto the candle but the conditions were not applicable because there is an orange line between the green line and the orange line and this means that the signal is fake.
This candle is also good for entry and we can place a buy order above it but is it beginner, so you must respect the conditions in order to be able to master it very well.
Enter with Confidence all conditions are present a red arrow above the candle and the candle is above the orange line and there are no lines between the lime and
orange line. Yes this is our target the entry-point will be a little above the wicked the candle, that is you will not buy now but it's a price exceeds the weight limit
even slightly, we will buy directly it is hoffman's method. Expected if the price in which resistance occurred which is the resistance represented
by the candlewick will be broken the price for rise up and strongly and if it does not happen you will not lose anything anyway to stop loss and take profit. Try the ratio by 1,5.
This part of this strategy is one of the best trading strategies with a low risk rate and can be used as an initial guide to know the market movement and to enter successful trades.
Let's start correctly. This strategy can be used on any time frame from one minute to one day or even more, but I recommend using it on a 10-minute frame one hour or 30 minutes frame. Here I use the 30-Minute frame.
This strategy is based on two things: Tramp Direction and the inventory retracement bar. Don't worry and don't think about it because all this will be automatic but let's understand some simple terms.
There many arrows in green and red. Please read the discription above.
Please read the following tipps:
To avoid the trend Reversal, try to add one one of the Divergence indicators to your chart.
To avoid entering in a pullback movement as much as possible.
--> Combine it with other indicators <--
Best Regards Chervolino
if there were any typographical errors, please forgive me
Note: Buy/Sell signals using non-standard chart types (Heikin Ashi, Renko, Kagi, Point & Figure, and Range) are not allowed, as they produce unrealistic results
EuroDollar Curve Implied 3M RateChart shows the Eurodollar futures prices latest prices from Sep 22 onwards. Display logic based on LongFiats code. This needs to be readjusted manually every 3 months whenever the front-month expires. Good tool to see where professional eurodollar futures think interest rates will be over the next few years. Check regularly as sentiment changes.
CDC Action Zone + 3MA Edited by Chayo// Edit from CDC Action Zone V3 2020
// Thanks you very much piriya33
Machete Trading® - L&SSearch for buy zone and sell zone for long and short trades.
Add Machete Formation script to your analysis for me precision.
Historical US Bond Yield CurvePreface: I'm just the bartender serving today's freshly blended concoction; I'd like to send a massive THANK YOU to all the coders and PineWizards for the locally-sourced ingredients. I am simply a code editor, not a code author. Many thanks to these original authors!
Source 1 (Aug 8, 2019):
Source 2 (Aug 11, 2019):
About the Indicator: The term yield curve refers to the yields of U.S. treasury bills, notes, and bonds in order from shortest to longest maturity date. The yield curve describes the shapes of the term structures of interest rates and their respective terms to maturity in years. The slope of the yield curve tells us how the bond market expects short-term interest rates to move in the future based on bond traders' expectations about economic activity and inflation. The best use of the yield curve is to get a sense of the economy's direction rather than to try to make an exact prediction. This indicator plots the U.S. yield curve as maturity (x-axis/time) vs yield (y-axis/price) in addition to historical yield curves and advanced data tickers . The visual array of historical yield curves helps investors visualize shifts in the yield curve that are useful when identifying & forecasting economic conditions. The bond market can help predict the direction of the economy which can be useful in crafting your investment strategy. An inverted 10y/2y yield curve for durations longer than 5 consecutive trading days signals an almost certain recession on the horizon. An inversion happens when short-term bonds pay better than longer-term bonds. There is Federal Reserve Board data that suggests the 10y3m may be a better predictor of recessions.
Features: Advanced dual data ticker that performs curve & important spread analysis, plus additional hover info. Advanced yield curve data labels with additional hover info. Customizable historical curves and color theme.
‼ IMPORTANT: Hover over labels/tables for advanced information. Chart asset and timeframe may affect the yield curve results; I have found consistently accurate results using BINANCE:BTCUSDT on 1d timeframe. Historical curve lookbacks will have an effect on whether the curve analysis says the curve is bull/bear steepening/flattening, so please use appropriate lookbacks.
⚠ DISCLAIMER: Not financial advice. Not a trading system. DYOR. I am not affiliated with the original authors, TradingView, Binance, or the Federal Reserve Board.
About the Editor: I am a former FINRA Registered Representative, inventor/patent holder, futures trader, and hobby PineScripter.
.srb suite Fib Retracement neoSPECIAL TOOLS - Auto Fibonacci Retracement neo - New GUI
designed for use with open-source indicator
'built-in auto FBR ' has been re-born
It shows - retracement Max top/ min bottom ; for higher visibility
It shows - current retracement position ; for higher visibility
The display of the Fib position that exceeds the regular range is auto-determined according to the price.
Fib.Retracement core is from tradingview built-in FBR ---> upgrade new-type GUI, and performance tuned.
.srb suiteThe essential suite Indicator.
that are well integrated to ensure visibility of essential items for trading.
it is very cumbersome to put symbol in the Tradingview chart and combine essential individual indicators one by one.
Moreover even with such a combination, the chart is messy and visibility is not good.
This is because each indicator is not designed with the others in mind.
This suite was developed as a composite-solution to that situation, and will make you happy.
designed to work in the same pane with open-source indicator by default.
Recommended visual order ; Back = .srb suite, Front = .srb suite vol & info
individually turn on/off only what you need on the screen.
BTC-agg. Volume
4 BTC-spot & 4 BTC-PERP volume aggregated.
It might helps you don't miss out on important volume flows.
Weighted to spot trading volume when using PERP+spot volume .
If enabled, BTC-agg.Vol automatically applied when selecting BTC-pair.
--> This is used in calculations involving volumes, such as VWAP.
Moving Average
1 x JMA trend ribbon ; Accurately follow short-term trend changes.
3 x EMA ribbon ; zone , not the line.
MA extension line ; It provide high visibility to recognize the direction of the MA.
SPECIAL TOOLS
VWAP with Standard Deviation Bands
VWAP ruler
BB regular (Dev. 2.0, 2.5)
BB Extented (Dev. 2.5, 3.0, 3.5)
Fixed Range Volume Profile ; steamlined one, performace tuned & update.
SPECIAL TOOLS - Auto Fibonacci Retracement - New GUI
'built-in auto FBR ' has been re-born
It shows - retracement Max top/ min bottom ; for higher visibility
It shows - current retracement position ; for higher visibility
The display of the Fib position that exceeds the regular range is auto-determined according to the price.
tradingview | chart setting > Appearance > Top margin 0%, Bottom margin 0% for optimized screen usage
tradingview | chart setting > Appearance > Right margin 57
.srb suite vol & info --> Visual Order > Bring to Front
.srb suite vol & info --> Pin to scale > No scale (Full-screen)
Visual order ; Back = .srb suite, Front = .srb suite vol & info
1. Fib.Retracement core is from tradingview built-in FBR ---> upgrade new-type GUI, and performance tuned.
2. Fixed-range volume-profile core is from the open-source one ---> some update & perf.tuned.
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if you have any questions freely contact to me by message on tradingview.
but please understand that responses may be quite late.
Special thanks to all of contributors of community.
The script may be freely distributed under the MIT license.
Elliott Wave 3 FinderThis script will attempt to find the location of the third wave in the Elliot Wave Theory. The bars will become highlighted when possible wave 3 criteria is met. Multiple bars in a row may have a painted background. The point at which the bars are no longer painted will potentially be at or near the end of wave 3.
The background paints a baby blue for wave 3s in an overall uptrend, and pink for downtrends.
Deep FinderThis indicator shows you the most convenient buying times. It helps you lower your average and earn high profits by purchasing incrementally.
Smart Money ConceptSmart Money Concept is being used to understand the Market Structure, Demand/Supply, and Risk Management.
- Lines represent BoS and CHoCH.
- X-cross and Diamond shapes represent Peak and Trough.
- Numbers represent the Spread Percentages.
Combo Z ScoreObjective:
Can we use both VIX and MOVE relationships to indicate movement in the SPY? VIX (forward contract on SPY options) correlations are quite common as forward indicators however MOVE (forward contract on bonds) also provides a slightly different level of insight
Using the Z-Score of VIX vs VVIX and MOVE vs inverted VIX (there is no M of Move so we use inverted Vix as a proxy) we get some helpful indications of potential future moves. Added %B to give us some exposure to momentum. Toggle VIX or MOVE.
If anyone has a better idea of inverted Vix to proxy forward interest in MOVE let me know.
TR Unleaded Gasoline & Diesel Price by zdmreThe price of gasoline can change on any given day. Although a number of factors determine the price per liter, the price of crude oil makes the most impact. The per-barrel price of crude oil is most directly affected by world supply and demand. By closely monitoring the price of crude as well as keeping tabs on a few other factors you can estimate the cost to fill up.
Divide the crude oil (Moving Average) price by 159. One barrel of crude contains 159 liters. This will tell you the dollar amount per liter of refined gasoline attributed to crude. For example, if crude oil is $100 per barrel, then about $0.628 of the price of a liter of gas comes from the crude price.
By multiplying this amount by Dollar/Turkish Lira, special ratio and upper limit, you can get an estimated price per liter.
For example: using $0.628 , multiply by USD/TRY (17 TL), Special Ratio (2.1) and Upperlimit (1.03). An average cost per liter of gasoline is 23.09TL
The similar calculation applies to Diesel.
Nifty Gap ⇅This indicator help to find NIFTY gap up or gap down opening,
use this indicator on SGX NIFTY
Polynomial Regression Extrapolation [LuxAlgo]This indicator fits a polynomial with a user set degree to the price using least squares and then extrapolates the result.
Settings
Length: Number of most recent price observations used to fit the model.
Extrapolate: Extrapolation horizon
Degree: Degree of the fitted polynomial
Src: Input source
Lock Fit: By default the fit and extrapolated result will readjust to any new price observation, enabling this setting allow the model to ignore new price observations, and extend the extrapolation to the most recent bar.
Usage
Polynomial regression is commonly used when a relationship between two variables can be described by a polynomial.
In technical analysis polynomial regression is commonly used to estimate underlying trends in the price as well as obtaining support/resistances. One common example being the linear regression which can be described as polynomial regression of degree 1.
Using polynomial regression for extrapolation can be considered when we assume that the underlying trend of a certain asset follows polynomial of a certain degree and that this assumption hold true for time t+1...,t+n . This is rarely the case but it can be of interest to certain users performing longer term analysis of assets such as Bitcoin.
The selection of the polynomial degree can be done considering the underlying trend of the observations we are trying to fit. In practice, it is rare to go over a degree of 3, as higher degree would tend to highlight more noisy variations.
Using a polynomial of degree 1 will return a line, and as such can be considered when the underlying trend is linear, but one could improve the fit by using an higher degree.
The chart above fits a polynomial of degree 2, this can be used to model more parabolic observations. We can see in the chart above that this improves the fit.
In the chart above a polynomial of degree 6 is used, we can see how more variations are highlighted. The extrapolation of higher degree polynomials can eventually highlight future turning points due to the nature of the polynomial, however there are no guarantee that these will reflect exact future reversals.
Details
A polynomial regression model y(t) of degree p is described by:
y(t) = β(0) + β(1)x(t) + β(2)x(t)^2 + ... + β(p)x(t)^p
The vector coefficients β are obtained such that the sum of squared error between the observations and y(t) is minimized. This can be achieved through specific iterative algorithms or directly by solving the system of equations:
β(0) + β(1)x(0) + β(2)x(0)^2 + ... + β(p)x(0)^p = y(0)
β(0) + β(1)x(1) + β(2)x(1)^2 + ... + β(p)x(1)^p = y(1)
...
β(0) + β(1)x(t-1) + β(2)x(t-1)^2 + ... + β(p)x(t-1)^p = y(t-1)
Note that solving this system of equations for higher degrees p with high x values can drastically affect the accuracy of the results. One method to circumvent this can be to subtract x by its mean.
Market Structure Patterns (Nephew_Sam_)This market structure indicator plots HH/LL labels with a little twist - it can identify upto 14 custom patterns of your choice!
Indicator settings:
Pivot strength - highest or lowest point in a number of x left+right bars
Show - show zigzag lines, HHLL labels, Pattern Matches
Patterns - upto 14 patterns (7 bear, 7 bull) with custom label text
Styles - for labels and lines
Disclaimer
- Although 90% of this indicator is custom coded, I have to give credits to LonesomeTheBlue (www.tradingview.com) for his "Double Zig Zag with HHLL" indicator where I got the logic on how to plot the labels in real time.
- This indicator repaints labels in realtime (not historical candle)
Relative Volume Force IndexThis indicator can anticipate the market movements. Its posible because it calculates how much force (volume) it's necessary to move the price up or down. If it's necessary a lot of volume to move the price a little it's a reversion signal, but if a little volume could change the price whit elevate volatility, it's signal of reversion too. The indicator plots red if the market is down, and green if it's up, the size and the color of the bars cand demonstrate the movement relative force. Does it by the configurable averages. Not works well whit poor liquidity.
Super Combo TF15 Perfect (CDC+SuperTrend+ATR+EMA) by X4815162342Thank you for opensource code script
this script mix 4 indicator
1.ATR
2.SuperTrend
3.EMA 175 or 200
4.CDC Actionzone by piriya33
this great for TF 15 min Future and Spot
How to Use
------- Future ------
Short and Long by Buy and Sell Ribbon
You can take profit when see TP ribbon or SL when trend change
------- Spot --------
Green Candle Sign is Buy
Red Candle Sign is Sell
Crypto addict 7 Accurate Buy & Sell indicators
The below indicators are recommended on the daily chart only.
Yellow Diamond - Possible bottom of the market. This diamond will only flash a few times in a cycle on the BTC chart. This is actually one the BEST buying signal
Green Buy – Buy
Red Sell - Sell / take profits
BIG red cross – Possible top and best signal to sell or take profits
BIG green cross – possible bottom and the best signal to buy
Silver Line – 111 MA
The modified 111 moving average is also a very good indicator. The market will test this support/resistance before the 200 moving average.
Purple line – 200 MA
The modified 200 moving average is a very good indicator. You will get a feel if the markets are in a up or down trend and identifying support and resistance areas. A daily candle close above the line is support and markets can move upwards. A daily close below indicate resistance and markets will move downwards
Red line – Confirmed bullish / bearish cycle!!
Green Line - This MA line indicate the bottom of the cycle - your absolute best entry point for the next cycle. This MA got a 10-year accurate record.
Remember that past history does not guarantee future results.