This Indicator shows the Absolute Rate of Change in correlation to its Moving Average. Values over 3 (gray dotted line) can savely be considered as a breakout; values over 4.5 got a high mean-reverting chance (red dotted line). This Indicator can be used in all timeframes, however, i recommend to use it <30m, when you want search for meaningful Mean-Reverting...
Inspired by the Brownian Motion ("BM") model that could be applied to conducting Monte Carlo Simulations, this indicator plots out the Drift factor contributing to BM. Interpretation : If the Drift value is positive, then prices are possibly moving in an uptrend. Vice versa for negative drifts.
Alpha Trading - Deviation Log Pro Here at Alpha Trading we love our indicators built on returns. In our view, the only way to play divergences in Trading is divergences between Returns based oscillators and Price. The Alpha Trading Deviation Log Pro displays a mean of log returns, with returns and price both weighted using our proprietary root mean square (RMS)...
Absolute Mean Entropy with Alpha Squared Entropy Price Percentile Entropy The history of the word ―entropy can be traced back to 1865 when the German physicist Rudolf Clausius tried to give a new name to irreversible heat loss, what he previously called ―equivalent-value. The word ―entropy was chosen because in Greek, “en+tropein” means “content...
Some functions to handle Arithmetic Geometric Mean.
Purple means the concavity is down blue means concavity is up which is good. Yellow means increasing, Red means decreasing. Sup = Green Res = Red
Shows the coefficient of variation defined as standard deviation over mean (for the specified window).
This very simple strategy is an implementation of PJ Sutherlands' Jaws Mean reversion algorithm. It simply buys when a small moving average period (e.g. 2) is below a longer moving average period (e.g. 5) by a certain percentage and closes when the small period average crosses over the longer moving average. If you are going to use this, you may wish to apply...
My first try to implement Full Hurst Exponent. The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series and the rate at which these decrease as the lag between pairs of values increases The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence". It...
This is a simplified version of the Hurst Exponent indicator. In the meantime, I'm working on the full version. It's computationally intensive, so it's a challenge to squeeze it to PineScript limits. It will require some time to optimize it, so I decided to publish a simplified version for now. The Hurst exponent is used as a measure of long-term memory of time...
My HL2MA is a 'proprietary' formula based on the idea that I never again want to see a jagged average line. I released a version of this a long time ago, but I wanted to update it to how I have it on my charts in other platforms. Here are some notes about this moving average script: The default input value is 5, and I suggest the range of use 4-6 with the...
What? This indicator contains a bunch of tools based on volume metrics. Content The indicator includes: Bar coloring that shows whether each move is supported by volume or not Chess symbols that show when there is significant volume during a break-out or break-down Triangle shapes based on the deviation of price compared to a volume weighted moving...
In this study, I present a method to expose NaN values to development environment. This exposure allows NaN values to be used by methods in scripts. I also show how to use values, even NaN values, as anchors from...
© fareidzulkifli Disclaimer: I always felt Pinescript is a very fast to type language with excellent visualization capabilities, so I've been using it as code-testing platform prior to actual coding in other platform. Having said that, these study scripts was built only to test/visualize an idea to see its viability and if it can be used to optimize existing...
A simple script that shows the distance from a the mean, expressed as a percentage. Simple Moving Average, in this case. Informational only.
The following script is an application of the Z-Score (previous script). Z-Scores can be used in place of standard deviation (sigma) in 'Bollinger Bands'. The average of the sample (x-bar) over 21 days (N) 21 average trading days per month, fixed value The average of the population (mu) over 63 days (n) 63 days per quarter, default is set to 63 Z-Score...
The z-score is a way of counting the number of standard deviations between a given data value and the mean of the data set. Z-score = (x̄ - μ) / (σ / √ n) x̄ = sample mean (using the array.avg function = array(a,close ), where i = 1 to 21) μ = population mean ( = avg(close, n)) σ = standard deviation of the population ( = stdev(close,n)) n = number of 'close'...