This script provides the calculation of the cumulative distribution function (i.e., probability). The measure allows you to calculate the chances of a value of interest being above or below a hypothesized value over the measurement period—nothing fancy here, just good old statistics and mathematics. The closer you are to 0 or 1, the more significant your measurement. We’ve included a significance level highlighting feature. The ability to turn price and/or off.
We have included both the Z and T statistics. Where the ‘Z’ is looking at the difference of the current value, minus the mean, and divided by the standard deviation. This is usually pretty noisy on a single value, so a smoother is included. Nice shoutout to the Pinecoders Github Page with this function also. The t-statistic is measuring the difference between a short measurement, an extended measurement, and divided by the (sigma/sqrt(n)). Both of these are neatly wrapped into a function, so please feel free to use them in your code. Add a bit of science to your guessing game. For the purists out there, we have chosen to use sigma in the t-statistic because we know the population's behavior (as opposed to the s-measure). We’ve also included two levels of the t-statistic cumulative distribution function if you are using a short sample period below 6.
Finally, because everyone loves choices, we’ve included the ability to measure the probability of:
- the current value (Price and )
- percent change
- momentum (change over a period of time)
- Acceleration (change of the change)
- contribution (amount of the current bar over the sum)
- volatility (natural log ratio of today and the previous bar)
Here is a chart example explaining some of the data for the function.
Here are the various options you have the print the different measurements
A comparison of the t-statistic and z-statistic (t-score and z-score)
And the coloring options
Dans le plus pur esprit de TradingView, l'auteur de ce texte l'a publié en open-source, afin que les traders puissent le comprendre et le vérifier. Bravo à l'auteur ! Vous pouvez l'utiliser gratuitement, mais la réutilisation de ce code dans une publication est régie par les règles internes. Vous pouvez le mettre en favori pour l'utiliser sur un graphique.
Is Mr Market (smart money) acquiring or selling? Seeing changes in volume is usually indicative of price action following. Is everyone bidding it up without any real volume (this rally will fail). Or is it unloved/forgotten, low price/volume, this is a good (low vol) entry point....ect...ect. See the attached notes on the price history for NFLX.
Now, I don't day trade (sry), I'm a swing trader and don't have time to watch...However, the tool will work with anything, on any time frame, but you need price and volume. My only recommendation is to look for the appropriate long/short lookback periods which align with your trade frequencies. If you are wanting to move positions every hour, you'll want a 5 min chart. Then set the indicator at 6, 12, 78...basically meaning, take the average of the last 30 mins (6, 5 min bars), looking for the probability of finding that change over a 1 hour period (12, 5 min bars) in the past day (78, 5 min bars). if your product changes all day (24 hours) adjust accordingly....not fast enough, drop down to a 1 min chart and rescale the parameters.