OPEN-SOURCE SCRIPT
Relative slope
Relative slope metric
Description:
I was in need to create a simple, naive and elegant metric that was able to tell how strong is the trend in a given rolling window. While abstaining from using more complicated and arguably more precise approaches, I’ve decided to use Linearly Weighted Linear Regression slope for this goal. Outright values are useful, but the problem was that I wasn’t able to use it in comparative analysis, i.e between different assets & different resolutions & different window sizes, because obviously the outputs are scale-variant.
Here is the asset-agnostic, resolution-agnostic and window size agnostic version of the metric.
I made it asset agnostic & resolution agnostic by including spread information to the formula. In our case it's weighted stdev over differenced data (otherwise we contaminate the spread with the trend info). And I made it window size agnostic by adding a non-linear relation of length to the output, so finally it will be aprox in (-1, 1) interval, by taking square root of length, nothing fancy. All these / 2 and * 2 in unexpected places all around the formula help us to return the data to it’s natural scale while keeping the transformations in place.
Peace TV
Description:
I was in need to create a simple, naive and elegant metric that was able to tell how strong is the trend in a given rolling window. While abstaining from using more complicated and arguably more precise approaches, I’ve decided to use Linearly Weighted Linear Regression slope for this goal. Outright values are useful, but the problem was that I wasn’t able to use it in comparative analysis, i.e between different assets & different resolutions & different window sizes, because obviously the outputs are scale-variant.
Here is the asset-agnostic, resolution-agnostic and window size agnostic version of the metric.
I made it asset agnostic & resolution agnostic by including spread information to the formula. In our case it's weighted stdev over differenced data (otherwise we contaminate the spread with the trend info). And I made it window size agnostic by adding a non-linear relation of length to the output, so finally it will be aprox in (-1, 1) interval, by taking square root of length, nothing fancy. All these / 2 and * 2 in unexpected places all around the formula help us to return the data to it’s natural scale while keeping the transformations in place.
Peace TV
Script open-source
Dans l'esprit de TradingView, le créateur de ce script l'a rendu open-source, afin que les traders puissent examiner et vérifier sa fonctionnalité. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais n'oubliez pas que la republication du code est soumise à nos Règles.
Gor Dragongor
Clause de non-responsabilité
Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.
Script open-source
Dans l'esprit de TradingView, le créateur de ce script l'a rendu open-source, afin que les traders puissent examiner et vérifier sa fonctionnalité. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais n'oubliez pas que la republication du code est soumise à nos Règles.
Gor Dragongor
Clause de non-responsabilité
Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.