Gann + Laplace Smoothed Hybrid Volume Spread AnalysisThe Gann + Laplace Smoothed Hybrid Volume Spread Analysis ( GannLSHVSA ) Strategy/Indicator is an trading tool designed to fuse volume analysis with trend detection, offering traders a view of market dynamics.
This Strategy/Indicator stands apart by integrating the principles of the upgraded Discrete Fourier Transform (DFT), the Laplace Stieltjes Transform and volume spread analysis, enhanced with a layer of Fourier smoothing to distill market noise and highlight trend directions with unprecedented clarity.
The length of EMA and Strategy Entries are modified with the Gann swings .
This smoothing process allows traders to discern the true underlying patterns in volume and price action, stripped of the distractions of short-term fluctuations and noise.
The core functionality of the GannLSHVSA revolves around the innovative combination of volume change analysis, spread determination (calculated from the open and close price difference), and the strategic use of the EMA (default 10) to fine-tune the analysis of spread by incorporating volume changes.
Trend direction is validated through a moving average (MA) of the histogram, which acts analogously to the Volume MA found in traditional volume indicators. This MA serves as a pivotal reference point, enabling traders to confidently engage with the market when the histogram's movement concurs with the trend direction, particularly when it crosses the Trend MA line, signalling optimal entry points.
It returns 0 when MA of the histogram and EMA of the Price Spread are not align.
WHAT IS GannLSHVSA INDICATOR:
The GannLSHVSA plots a positive trend when a positive Volume smoothed Spread and EMA of Volume smoothed price is above 0, and a negative when negative Volume smoothed Spread and EMA of Volume smoothed price is below 0. When this conditions are not met it plots 0.
HOW TO USE THE STRATEGY:
Here you fine-tune the inputs until you find a combination that works well on all Timeframes you will use when creating your Automated Trade Algorithmic Strategy. I suggest 4h, 12h, 1D, 2D, 3D, 4D, 5D, 6D, W and M.
ORIGINALITY & USEFULNESS:
The GannLSHVSA Strategy is unique because it applies upgraded DFT, the Laplace Stieltjes Transform for data smoothing, effectively filtering out the minor fluctuations and leaving traders with a clear picture of the market's true movements. The DFT's ability to break down market signals into constituent frequencies offers a granular view of market dynamics, highlighting the amplitude and phase of each frequency component. This, combined with the strategic application of Ehler's Universal Oscillator principles via a histogram, furnishes traders with a nuanced understanding of market volatility and noise levels, thereby facilitating more informed trading decisions. The Gann swing strategy is developed by meomeo105, this Gann high and low algorithm forms the basis of the EMA modification.
DETAILED DESCRIPTION:
My detailed description of the indicator and use cases which I find very valuable.
What is the meaning of price spread?
In finance, a spread refers to the difference between two prices, rates, or yields. One of the most common types is the bid-ask spread, which refers to the gap between the bid (from buyers) and the ask (from sellers) prices of a security or asset.
We are going to use Open-Close spread.
What is Volume spread analysis?
Volume spread analysis (VSA) is a method of technical analysis that compares the volume per candle, range spread, and closing price to determine price direction.
What does this mean?
We need to have a positive Volume Price Spread and a positive Moving average of Volume price spread for a positive trend. OR via versa a negative Volume Price Spread and a negative Moving average of Volume price spread for a negative trend.
What if we have a positive Volume Price Spread and a negative Moving average of Volume Price Spread?
It results in a neutral, not trending price action.
Thus the Indicator/Strategy returns 0 and Closes all long and short positions.
I suggest using "Close all" input False when fine-tuning Inputs for 1 TimeFrame. When you export data to Excel/Numbers/GSheets I suggest using "Close all" input as True, except for the lowest TimeFrame. I suggest using 100% equity as your default quantity for fine-tune purposes. I have to mention that 100% equity may lead to unrealistic backtesting results. Be avare. When backtesting for trading purposes use Contracts or USDT.
Laplace
Fine-tune Inputs: Gann + Laplace Smooth Volume Zone OscillatorUse this Strategy to Fine-tune inputs for the GannLSVZ0 Indicator.
Strategy allows you to fine-tune the indicator for 1 TimeFrame at a time; cross Timeframe Input fine-tuning is done manually after exporting the chart data.
I suggest using "Close all" input False when fine-tuning Inputs for 1 TimeFrame. When you export data to Excel/Numbers/GSheets I suggest using "Close all" input as True, except for the lowest TimeFrame.
MEANINGFUL DESCRIPTION:
The Volume Zone oscillator breaks up volume activity into positive and negative categories. It is positive when the current closing price is greater than the prior closing price and negative when it's lower than the prior closing price. The resulting curve plots through relative percentage levels that yield a series of buy and sell signals, depending on level and indicator direction.
The Gann Laplace Smoothed Volume Zone Oscillator GannLSVZO is a refined version of the Volume Zone Oscillator, enhanced by the implementation of the upgraded Discrete Fourier Transform, the Laplace Stieltjes Transform. Its primary function is to streamline price data and diminish market noise, thus offering a clearer and more precise reflection of price trends.
By combining the Laplace with Gann Swing Entries and with Ehler's white noise histogram, users gain a comprehensive perspective on volume-related market conditions.
HOW TO USE THE INDICATOR:
The default period is 2 but can be adjusted after backtesting. (I suggest 5 VZO length and NoiceR max length 8 as-well)
The VZO points to a positive trend when it is rising above the 0% level, and a negative trend when it is falling below the 0% level. 0% level can be adjusted in setting by adjusting VzoDifference. Oscillations rising below 0% level or falling above 0% level result in a natural trend.
HOW TO USE THE STRATEGY:
Here you fine-tune the inputs until you find a combination that works well on all Timeframes you will use when creating your Automated Trade Algorithmic Strategy. I suggest 4h, 12h, 1D, 2D, 3D, 4D, 5D, 6D, W and M.
When Indicator/Strategy returns 0 or natural trend, Strategy Closes All it's positions.
ORIGINALITY & USFULLNESS:
Personal combination of Gann swings and Laplace Stieltjes Transform of a price which results in less noise Volume Zone Oscillator.
The Laplace Stieltjes Transform is a mathematical technique that transforms discrete data from the time domain into its corresponding representation in the frequency domain. This process involves breaking down a signal into its individual frequency components, thereby exposing the amplitude and phase characteristics inherent in each frequency element.
This indicator utilizes the concept of Ehler's Universal Oscillator and displays a histogram, offering critical insights into the prevailing levels of market noise. The Ehler's Universal Oscillator is grounded in a statistical model that captures the erratic and unpredictable nature of market movements. Through the application of this principle, the histogram aids traders in pinpointing times when market volatility is either rising or subsiding.
The Gann swing strategy is developed by meomeo105, this Gann high and low algorithm forms the basis of the EMA modification.
DETAILED DESCRIPTION:
My detailed description of the indicator and use cases which I find very valuable.
What is oscillator?
Oscillators are chart indicators that can assist a trader in determining overbought or oversold conditions in ranging (non-trending) markets.
What is volume zone oscillator?
Price Zone Oscillator measures if the most recent closing price is above or below the preceding closing price.
Volume Zone Oscillator is Volume multiplied by the 1 or -1 depending on the difference of the preceding 2 close prices and smoothed with Exponential moving Average.
What does this mean?
If the VZO is above 0 and VZO is rising. We have a bullish trend. Most likely.
If the VZO is below 0 and VZO is falling. We have a bearish trend. Most likely.
Rising means that VZO on close is higher than the previous day.
Falling means that VZO on close is lower than the previous day.
What if VZO is falling above 0 line?
It means we have a high probability of a bearish trend.
Thus the indicator returns 0 and Strategy closes all it's positions when falling above 0 (or rising bellow 0) and we combine higher and lower timeframes to gauge the trend.
What is approximation and smoothing?
They are mathematical concepts for making a discrete set of numbers a
continuous curved line.
Laplace Stieltjes Transform approximation of a close price are taken from aprox library.
Key Features:
You can tailor the Indicator/Strategy to your preferences with adjustable parameters such as VZO length, noise reduction settings, and smoothing length.
Volume Zone Oscillator (VZO) shows market sentiment with the VZO, enhanced with Exponential Moving Average (EMA) smoothing for clearer trend identification.
Noise Reduction leverages Euler's White noise capabilities for effective noise reduction in the VZO, providing a cleaner and more accurate representation of market dynamics.
Choose between the traditional Fast Laplace Stieltjes Transform (FLT) and the innovative Double Discrete Fourier Transform (DTF32) soothed price series to suit your analytical needs.
Use dynamic calculation of Laplace coefficient or the static one. You may modify those inputs and Strategy entries with Gann swings.
I suggest using "Close all" input False when fine-tuning Inputs for 1 TimeFrame. When you export data to Excel/Numbers/GSheets I suggest using "Close all" input as True, except for the lowest TimeFrame. I suggest using 100% equity as your default quantity for fine-tune purposes. I have to mention that 100% equity may lead to unrealistic backtesting results. Be avare. When backtesting for trading purposes use Contracts or USDT.
