Volatility Sars

16 mai 2019

This script makes use of volatility stop in combination with parabolic sars and price over/under sma to visualize market conditions. I originally wrote it because I wanted something i could zoom all the way out with and easily get an idea at a glance which direction a market is headed. Try it, let me know what you think. Feedback is greatly appreciated!

Usage: Buy the red, sell the green

16 mai 2019

Notes de version

I *believe* I fixed my formula. There is no logic for backtesting at the moment.

18 mai 2019

Notes de version

flipped the arrows around.. green up arrows for buy.. red down arrows for sell, instead of vice versa.... heres the code for the script. if you guys make any changes and find them more suitable for you then feel free to share!

its not top secret, im not sure why i did not make it open... but heres the source anyways


//version=3
study("Volatility Sars" , shorttitle="vsars_strat",overlay=true)

//---------- vstop --------------
vlength = input(50)
vmult = input(2)
atr_ = atr(vlength)

max1=0.0
min1=0.0
is_uptrend_prev = false
stop=0.0
vstop_prev=0.0
vstop1=0.0
is_uptrend=false
is_trend_changed=false
max_ = 0.0
min_ = 0.0
vstop=0.0

max1 := max(nz(max_[1]), close)
min1 := min(nz(min_[1]), close)


is_uptrend_prev := nz(is_uptrend[1], true)

stop := is_uptrend_prev ? max1 - vmult * atr_ : min1 + vmult * atr_
vstop_prev := nz(vstop[1])
vstop1 := is_uptrend_prev ? max(vstop_prev, stop) : min(vstop_prev, stop)
is_uptrend := close - vstop1 >= 0
is_trend_changed := is_uptrend != is_uptrend_prev
max_ := is_trend_changed ? close : max1
min_ := is_trend_changed ? close : min1
vstop := is_trend_changed ? is_uptrend ? max_ - vmult * atr_ : min_ + vmult * atr_ : vstop1
codiff = vstop - close
sarcolor = codiff < 0 ? red : green

//----------- psars ---------------------
start = input(0.015)
increment = input(0.015)
maximum = input(0.12)
out = sar(start, increment, maximum)

//----------- sma -----------------
sma = sma(close,20)

//----------- roc -----------------
source = close, length = input(3, minval=1)
roc = 100 * (source - source[length])/source[length]
coroc = (codiff * 1) * roc

plotarrow(coroc, colorup = green, colordown = red, transp=40, minheight = 10, maxheight = 15,offset=1)
plot(out, color=sarcolor, style=circles, linewidth=3)
smap = plot(sma,color=(sma < ohlc4 ? green : red),linewidth=2,offset=-1)
ol = plot(open,color=(sma < ohlc4 ? green : red), linewidth=2,offset=-1)
fill(smap,ol)