Options SCREENER [Lite] - IVRank, IVx, Deltas, Exp.move, Skew
𝗢𝗽𝘁𝗶𝗼𝗻 𝘀𝗰𝗿𝗲𝗲𝗻𝗲𝗿 𝗼𝗻 𝗧𝗿𝗮𝗱𝗶𝗻𝗴𝗩𝗶𝗲𝘄 𝘄𝗶𝘁𝗵 𝗿𝗲𝗮𝗹 𝗱𝗮𝘁𝗮, 𝗼𝗻𝗹𝘆 𝗳𝗼𝗿 𝟱 𝗹𝗶𝗾𝘂𝗶𝗱 𝗨𝗦 𝗺𝗮𝗿𝗸𝗲𝘁 𝘀𝘆𝗺𝗯𝗼𝗹𝘀
𝗢𝘂𝗿 𝘀𝗰𝗿𝗲𝗲𝗻𝗲𝗿 𝗽𝗿𝗼𝘃𝗶𝗱𝗲𝘀 𝗲𝘀𝘀𝗲𝗻𝘁𝗶𝗮𝗹 𝗸𝗲𝘆 𝗺𝗲𝘁𝗿𝗶𝗰𝘀 𝘀𝘂𝗰𝗵 𝗮𝘀:
✅ IVRank
✅ IVx
✅ 5-Day IVx Change
✅ Vertical Pricing Skew
✅ Horizontal IVx Skew
✅ Delta Skew
like TastyTrade, TOS, IBKR etc.
Designed to help you assess option market conditions and make well-informed trading decisions, this tool is an essential addition for every serious options trader!
Ticker Information:
This screener is currently implemented only for 5 liquid US market tickers:
NASDAQ:AAPL NASDAQ:AMZN AMEX:DIA NYSE:ORCL and NASDAQ:TSLA
How does the screener work and why is it unique?
This Pine Script screener is an expert tool created to provide various option metrics and visualization tools for options market traders. The screener extracts raw options data from an external data provider (ORATS), processes, and refines the delayed data package using pineseed, and sends it to TradingView. The data is calculated using specific formulas or interpolated values, such as delta distances. This method of integrating options data into a screener framework is unique and innovative on TradingView.
The screener aims to offer a comprehensive view of the current state of options for the implemented instruments, including implied volatility index (IVx), IV rank (IVR), options skew, and expected market movements, which are objectively measured as detailed below.
The options metrics displayed may be familiar to options traders from various major brokerage platforms such as TastyTrade, IBKR, TOS, Tradier, TD Ameritrade, Schwab, etc.
🟨 𝗗𝗘𝗧𝗔𝗜𝗟𝗘𝗗 𝗗𝗢𝗖𝗨𝗠𝗘𝗡𝗧𝗔𝗧𝗜𝗢𝗡 🟨
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🔶 Auto-Updating Option Metrics
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🔹 IVR (IV Rank)
The Implied Volatility Rank (IVR) indicator helps options traders assess the current level of implied volatility (IV) in comparison to the past 52 weeks. IVR is a useful metric to determine whether options are relatively cheap or expensive. This can guide traders on whether to buy or sell options. We calculate IVrank, like TastyTrade does.
IVR Calculation: IV Rank = (current IV - 52 week IV low) / (52 week IV high - 52 week IV low)
IVR Levels and Interpretations:
IVR 0-10 (Green): Very low implied volatility rank. Options might be "cheap," potentially a good time to buy options.
IVR 10-35 (White): Normal implied volatility rank. Options pricing is relatively standard.
IVR 35-50 (Orange): Almost high implied volatility rank.
IVR 50-75 (Red): Definitely high implied volatility rank. Options might be "expensive," potentially a good time to sell options for higher premiums.
IVR above 75 (Highlighted Red): Ultra high implied volatility rank. Indicates very high levels, suggesting a favorable time for selling options.
Extra: If the IVx value is also greater than 30, the background will be dark highlighted, because a high IVR alone doesn’t mean much without high IVx.
🔹IVx (Implied Volatility Index)
The Implied Volatility Index (IVx) displayed in the option chain is calculated similarly to the VIX. The Cboe employs standard and weekly SPX options to measure the expected volatility of the S&P 500. A similar method is utilized to calculate IVx for each option expiration cycle.
For our purposes, we aggregate the IVx values specifically for the 35-70 day monthly expiration cycle . This aggregated value is then presented in the screener and info panel, providing a clear and concise measure of implied volatility over this period.
We will display a warning if the option chain is heavily skewed and valid, symmetric 16 delta options are not found at optimal monthly expirations.
IVx Color coding:
IVx above 30 is displayed in orange.
IVx above 60 is displayed in red
Important Note: The IVx value alone does not provide sufficient context. There are stocks that inherently exhibit high IVx values. Therefore, it is crucial to consider IVx in conjunction with the Implied Volatility Rank (IVR), which measures the IVx relative to its own historical values. This combined view helps in accurately assessing the significance of the IVx in relation to the specific stock's typical volatility behavior.
This indicator offers traders a comprehensive view of implied volatility, assisting them in making informed decisions by highlighting both the absolute and relative volatility measures.
🔹IVx 5 days change %
We are displaying the five-day change of the IV Index (IVx value). The IV Index 5-Day Change column provides quick insight into recent expansions or decreases in implied volatility over the last five trading days.
Traders who expect the value of options to decrease might view a decrease in IVX as a positive signal. Strategies such as Strangle and Ratio Spread can benefit from this decrease.
On the other hand, traders anticipating further increases in IVX will focus on the rising IVX values. Strategies like Calendar Spread or Diagonal Spread can take advantage of increasing implied volatility.
This indicator helps traders quickly assess changes in implied volatility, enabling them to make informed decisions based on their trading strategies and market expectations.
🔹 Vertical Pricing Skew
At TanukiTrade, Vertical Pricing Skew refers to the difference in pricing between put and call options with the same expiration date at the same distance (at expected move). We analyze this skew to understand market sentiment. This is the same formula used by TastyTrade for calculations.
PUT Skew (red): Put options are more expensive than call options, indicating the market expects a downward move (▽). If put options are more expensive by more than 20% at the same expected move distance, we color it lighter red.
CALL Skew (green): Call options are more expensive than put options, indicating the market expects an upward move (△). If call options are priced more than 30% higher at the examined expiration, we color it lighter green.
We focus on options with 35-70 days to expiration (DTE) for optimal analysis. We always evaluate the skew at the expected move using linear interpolation to determine the theoretical pricing of options. If the pricing have more than C50%/P35% we are highlighting the cell.
This approach helps us gauge market expectations accurately, providing insights into potential price movements.
🔹 Horizontal IVx Skew
In options pricing, it is typically expected that the implied volatility (IVx) increases for options with later expiration dates. This means that options further out in time are generally more expensive. At TanukiTrade, we refer to the phenomenon where this expectation is reversed—when the IVx decreases between two consecutive expirations—as Horizontal Skew or IVx Skew.
Horizontal IVx Skew occurs when: Front Month IVx < Back Month IVx
This scenario can create opportunities for traders who prefer diagonal or calendar strategies. Based on our experience, we categorize Horizontal Skew into two types:
Weekly Horizontal Skew: When IVx skew is observed between two consecutive non-monthly expirations , the displayed value is the rounded-up percentage difference. On hover, the approximate location of this skew is also displayed. The precise location can be seen on the Overlay indicator.
Monthly Horizontal Skew: When IVx skew is observed between two consecutive monthly expirations , the displayed value is the rounded-up percentage difference. On hover, the approximate location of this skew is also displayed. The precise location can be seen on the Overlay indicator.
The Monthly Vertical IVx skew is consistently stronger (more liquid) on average symbols than the weekly vertical IVx skew. Weekly Horizontal IVx Skew may not carry relevant information for symbols not included in the 'Weeklies & Volume Masters' preset.
If the options chain follows the normal IVx pattern, no skew value is displayed.
Additionally , if the Implied Volatility Rank (IVR) is low (indicated by green), the Horizontal Skew background turns black, because this environment is good for Calendar+Diagonal.
Additionally , if the % of the skew is greater than 10, the Horizontal Skew font color turns lighter.
🔹 Delta Skew 🌪️ (Twist)
We have a metric that examines which monthly expiration indicates a "Delta Skew Twist" where the 16 delta deviates from the monthly STD. This is important because, under normal circumstances, the 16 delta is positioned between the expected move and the standard deviation (STD1) line. However, if the interpolated 16 delta line exceeds the STD1 line either upwards or downwards, it represents a special case of vertical skew.
Normal case : exp.move < delta16 < std1
Delta Skew Twist: exp.move < std1 < delta16
If the Days to Expiration of the twist is less than 75, we use a lighter color.
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🔶 HOW WE CALCULATE
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🔹 Expected Move
The expected move is the predicted dollar change in the underlying stock's price by a given option's expiration date, with 68% certainty. It is calculated using the expiration's pricing and implied volatility levels.
Expected Move Calculation
Expected Move = (ATM straddle price x 0.6) + (1st OTM strangle price x 0.3) + (2nd OTM strangle price x 0.1)
For example , if stock XYZ is trading at 121 and the ATM straddle is 4.40, the 120/122 strangle is 3.46, and the 119/123 strangle is 2.66, the expected move is calculated as follows: 4.40 x 0.60 = 2.64; 3.46 x 0.30 = 1.04; 2.66 x 0.10 = 0.27; Expected move = 2.64 + 1.04 + 0.27 = ±3.9
🔹 Standard deviation
One standard deviation of a stock encompasses approximately 68.2% of outcomes in a distribution of occurrences based on current implied volatility.
We use the expected move formula to calculate the one standard deviation range of a stock. This calculation is based on the days-to-expiration (DTE) of our option contract, the stock price, and the implied volatility of a stock:
Calculation:
Standard Deviation = Closing Price * Implied Volatility * sqrt(Days to Expiration / 365)
According to options literature, there is a 68% probability that the underlying asset will fall within this one standard deviation range at expiration.
∑ Quant Observation: The values of the expected move and the 1st standard deviation (1STD) will not match because they use different calculation methods, even though both are referred to as representing 68% of the underlying asset's movement in options literature. The expected move is based on direct market pricing of ATM options. The 1STD, on the other hand, uses the averaged implied volatility (IVX) for the given expiration to determine its value. Based on our experience, it is better to consider the area between the expected move and the 1STD as the true representation of the original 68% rule.
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🔶 USAGE
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🔹 Create a new empty layout for the screener!
You can access this from the dropdown menu in the upper right corner. In the popup window, name it as you like, for example, "Option Screener."
🔹 Hide the candlestick chart
Make the chart invisible using the "Hide" option from the three-dot dropdown menu located in the upper left corner.
🔹 Other Unwanted Elements
If other unnecessary elements are distracting you (e.g., economic data, volume, default grid), you can easily remove them from the layout. Right-click on the empty chart area. Here, click on the gear (Settings) icon and remove everything from the "Events" tab, as well as from the "Trading" tab. Under the "Canvas" tab, it is recommended to set the "Grid lines" setting to "None."
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🔶 Screener Settings
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Naturally, the font size and position can be easily adjusted.
Additionally, there are two basic usage modes: manual input or using the preset list.
🔹If you selected “Manual Below” in the preset dropdown, the tickers you chose from the dropdown (up to a maximum of 40) will be displayed. The panel name will be the one you specified.
🔹If you selected a pre-assembled list , the manually entered list will be ignored, and the preset list will be displayed. (In the future, we will expand the preset list based on your feedback!).
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🔶 Best Practices for TanukiTrade Option Screener:
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🔹 Every Preset on a New Layout:
If you following the steps above, you easy can setup this screener in one window with one split layout:
🔹 Split Layout:
- Left Side: The underlying asset with our Options IV Overlay (IVR, Deltas, Expected Move, STD1, Skew visualized) along with the Enhanced Murrey Math Indicator and Option Expiry.
- Right Side: Searching for opportunities using our Options Screener.
Opportunities Search
🔹 Everything in One Layout + One Window:
This is the all-in-one view:
- The underlying asset with our Options IV Overlay (IVR, Deltas, Expected Move, STD1, Skew visualized)
- Enhanced Murrey Math Indicator and Option Expiry
- Options Screener on the left
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🔶 ADDITIONAL IMPORTANT COMMENTS
- U.S. market only:
Since we only deal with liquid option chains: this option indicator only works for the USA options market and do not include future contracts; we have implemented each selected symbol individually.
- Why is there a slight difference between the displayed data and my live brokerage data? There are two reasons for this, and one is beyond our control.
- Brokerage Calculation Differences:
Every brokerage has slight differences in how they calculate metrics like IV and IVx. If you open three windows for TOS, TastyTrade, and IBKR side by side, you will notice that the values are minimally different. We had to choose a standard, so we use the formulas and mathematical models described by TastyTrade when analyzing the options chain and drawing conclusions.
- Option-data update frequency:
According to TradingView's regulations and guidelines, we can update external data a maximum of 5 times per day. We strive to use these updates in the most optimal way:
(1st update) 15 minutes after U.S. market open
(2nd, 3rd, 4th updates) 1.5–3 hours during U.S. market open hours
(5th update) 10 minutes before market close.
You don’t need to refresh your window, our last refreshed data-pack is always automatically applied to your indicator , and you can see the time elapsed since the last update at the bottom of your indicator.
- Weekly illiquid expiries:
The Weekly Horizontal IVx Skew may not carry relevant information for instruments not included in the 'Weeklies & Volume Masters' preset package.
-Timeframe Issues:
Our option indicator visualizes relevant data on a daily resolution. If you see strange or incorrect data (e.g., when the options data was last updated), always switch to a daily (1D) timeframe. If you still see strange data, please contact us.
Disclaimer:
Our option indicator uses approximately 15min-3 hour delayed option market snapshot data to calculate the main option metrics. Exact realtime option contract prices are never displayed; only derived metrics and interpolated delta are shown to ensure accurate and consistent visualization. Due to the above, this indicator can only be used for decision support; exclusive decisions cannot be made based on this indicator . We reserve the right to make errors.This indicator is designed for options traders who understand what they are doing. It assumes that they are familiar with options and can make well-informed, independent decisions. We work with public data and are not a data provider; therefore, we do not bear any financial or other liability.
Volatilité
Averaging PriceA calculator that will help to survive in market storms and even to increase your deposit. This script will not help you to find the perfect price to buy, but will allow to buy more and more when the market will go down. But please, don't forget to sell some parts when position will be profitable (or close to that), so you will be able to buy more and more even on a bear market. Please, take a look at the market stress situations to correctly plan your strategy there.
How to use?
1. Define amount to want to gain to position (e.g. $1000), this amount of money you will lose in case of liquidation (for isolation mode) or entire futures deposit in case of cross mode.
2. Configure existing position (price where you entered and amount of coins you already in), if no any - it's even better. Calculator will help with the right amount for a first purchase.
3. Configure futures, closs/isolation margin mode and other things. By default it will use liquidations for isolation margin mode to buy more a slightly above. You can use these levels even for cross mode (buy by calculations for isolation mode, but really have cross configured). If you want to use other levels to buy – please use Concrete Prices field to enter them split by comma, and the script will use it for calculations.
4. A table and lines will help to see more details of how to deal with market. Play around and find a best strategy for you. But please, don't forget to CHECK THE ACCURACY OF CALCULATIONS. This script gives only preliminary number and will never be able to show exact numbers, the REAL LIQUIDATIONS MAY BE MUCH HIGHER then it shows!!!
P.S. I, as an author, do not have any responsibility on your possible losses due to following these ideas. I am using it just like idea and recheck every number. There might be any issues, and you will pay for it with your own money. So please, be mindful while using it.
Hope it will help to make your trading better and way more comfort.
Take care and good luck!
ATR Gerchik LightAverage True Range ( ATR ) is a technical analysis indicator that measures volatility in the market. ATR is a moving average of the true range over a period of time.
ATR calculation procedure:
1. Determine the true maximum - this is the highest of the current maximum and yesterday's closing price of the day.
2. Determine the true minimum - this is the smallest of the current minimum and yesterday's closing price.
3. Determine the true range - this is the distance between the true maximum and minimum.
4. We exclude extremely large candles (> x2 ATR) and extremely small ones (< 0.5 ATR) from the obtained true ranges.
5. We calculate the average for the selected period based on the remaining range.
6. We calculate the percentage of the current True Range relative to the average ATR value for the previous period.
Description:
If you analyze it yourself, you will see that 75-80% of the time, the instrument moves only 1 ATR per day. You must understand that if an instrument has, for example, moved 80% of its daily range, it is not advisable to purchase it. This is comparable to a car's fuel tank: if the tank is almost empty, the car won't go far. Most indicators that calculate ATR include anomalous candles, which give unreliable results and lead to incorrect decisions. Because of this, many traders prefer to calculate ATR on their own.
However, the Gerchik ATR indicator accounts for anomalous candles and filters out extremely large candles (> 2x ATR) and extremely small ones (< 0.5x ATR). Additionally, this indicator immediately shows the consumed “fuel” of the instrument as a percentage, so you don't have to calculate the distance traveled yourself. This allows you to make quick, informed decisions. If we see that the tank is almost empty, it is logical not to get into that car today. When building any strategy, you must rely on the average movement.
Key Features:
Anomalous Candle Filtering: Excludes extremely large and small candles to provide more reliable ATR values.
Consumed Fuel Indicator: Shows the percentage of the ATR consumed, helping traders quickly assess the remaining potential movement.
Daily Timeframe Focus: Designed specifically for use on daily charts for accurate long-term analysis.
Practical Applications:
Entry and Exit Points: Use the ATR to determine optimal entry and exit points by assessing market volatility and potential price movement.
Stop-Loss Placement: Calculate stop-loss levels based on ATR to ensure they are placed at appropriate distances, accounting for current market volatility.
Trend Confirmation: Use the percentage of ATR consumed to confirm the strength of a trend and decide whether to enter or exit trades.
Examples of Use:
Trend Following: During strong trends, ATR helps identify periods of increased volatility, signaling potential breakouts or reversals.
Range Trading: In ranging markets, ATR can highlight periods of low volatility, indicating consolidation and potential breakout zones.
Note: The indicator is displayed and works only on the daily timeframe!
The indicator was created according to the instructions, description of the functionality, and strategy of Mr. Gerchik. Thank you so much, Chief!
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Average True Range ( ATR , средний истинный диапазон) – это индикатор технического анализа, который измеряет волатильность на рынке. ATR представляет собой скользящее среднее истинного диапазона за определенный период времени.
Порядок расчета ATR:
1. Определяем истинный максимум – это наивысшее из текущего максимума и вчерашней цены закрытия дня.
2. Определяем истинный минимум – это наименьшее из текущего минимума и вчерашней цены закрытия.
3. Определяем истинный диапазон – это расстояние между истинным максимумом и минимумом.
4. Исключаем из полученных истинных диапазонов экстремально большие свечи (> x2 ATR) и экстремально маленькие (< 0.5 ATR).
5. Рассчитываем среднее за выбранный период исходя из оставшегося диапазона.
6 . Рассчитываем процент текущего истинного диапазона (True Range) относительно среднего значения ATR за предыдущий период.
Описание:
Если вы сами проанализируете, то увидите, что 75-80% времени инструмент ходит только 1 ATR. И вы должны понимать, что если инструмент внутри дня прошел, к примеру, 80% своего движения, то этот инструмент больше нельзя покупать. Это можно сравнить с баком машины: если бак почти пустой, машина далеко не уедет. Большинство индикаторов, которые рассчитывают ATR, производят расчет с паранормальными свечами. Это дает недостоверный результат и приводит к неверным решениям. Многие трейдеры из-за этого не используют готовые индикаторы и предпочитают считать ATR самостоятельно. Но индикатор ATR Gerchik учитывает паранормальные свечи и фильтрует экстремально большие свечи (> x2 ATR) и экстремально маленькие (< 0.5 ATR). Также этот индикатор сразу показывает израсходованный "бензин" инструмента в процентах. И вам не надо самостоятельно высчитывать пройденный путь. Вы можете быстро принимать правильные решения. Если мы видим, что бак почти пустой, логично не садиться в эту машину сегодня. Когда вы строите какую-то стратегию, вы должны обязательно полагаться на среднестатистическое движение.
Существует много стратегий, завязанных на ATR, которые учитывают волатильность инструмента, запас хода, точки разворота, места выставления стоп-лоссов (SL) и тейк-профитов (TP) и другие факторы. Я не буду останавливаться на них, так как каждый может найти описание этих стратегий и использовать их на свой выбор.
Индикатор отображается и работает только на дневном таймфрейме!
Индикатор создан по наставлениям, описанию функционала и стратегии господина Герчика. Огромное спасибо, Шеф!
ICT Single Candle Order Block (SCOB) [UAlgo]The "ICT Single Candle Order Block (SCOB) " designed for traders who utilize the concept of Order Blocks in their trading strategy. Order Blocks are significant price levels where institutions or smart money have placed their trades, leading to potential future price reactions when these levels are revisited. This indicator focuses on identifying and highlighting Single Candle Order Blocks (SCOBs), allowing traders to visually analyze key price levels on their charts.
🔶 What is Single Candle Order Block (SCOB) ?
A Single Candle Order Block (SCOB) is a specific type of Order Block that is identified based on a single candlestick pattern. These patterns indicate potential areas where significant buying or selling interest has occurred, often leading to a notable price reaction when revisited. In the context of this indicator, a bullish SCOB is identified when a specific bullish candlestick pattern is met, and a bearish SCOB is identified based on a bearish candlestick pattern.
Bullish SCOB: Detected when the open price of two bars ago is higher than its close, the close price of the previous bar is higher than its open, the current close price is higher than the open, the low of the previous bar is lower than the low of two bars ago, and the current close is higher than the high of the previous bar.
Bearish SCOB: Detected when the open price of two bars ago is lower than its close, the close price of the previous bar is lower than its open, the current close price is lower than the open, the high of the previous bar is higher than the high of two bars ago, and the current close is lower than the low of the previous bar.
🔶 Key Features
Show Single Candle Order Block (SCOB): Toggle the visibility of the Single Candle Order Blocks on the chart.
Mitigation Method: Choose between "Close" and "Wick" methods for determining whether a SCOB has been mitigated (price has interacted with the block).
Show Last X SCOBs: Control the number of most recent SCOBs displayed on the chart, allowing you to focus on the most relevant price levels.
Volatility Filter: Enable or disable the volatility filter, which uses the Average True Range (ATR) to filter out less significant SCOBs. When enabled, only SCOBs with an ATR above the mean value of the ATR are displayed.
Customizable Colors: Configure the colors for bullish and bearish SCOBs to enhance visual clarity. The indicator uses cooler RGB values to ensure the blocks are distinct and easily noticeable.
🔶 Disclaimer
The "ICT Single Candle Order Block (SCOB) " indicator is provided for educational and informational purposes only. Trading involves significant risk and may not be suitable for all investors.
Past performance is not indicative of future results. Users should use this indicator in conjunction with their own research and trading strategy.
VWAP Bands [UAlgo]The "VWAP Bands " indicator is designed to provide traders with valuable insights into market trends and potential support/resistance levels using Volume Weighted Average Price (VWAP) bands. This indicator integrates the core concepts of VWAP with additional trend analysis features, making it a versatile tool for both range trading and trend-following strategies.
The VWAP bands are plotted based on the standard deviation multipliers, creating upper and lower bands around the VWAP. These bands serve as dynamic support and resistance levels. When the price approaches these bands, traders can anticipate potential reversals or continuations of the current trend. Additionally, the indicator provides visual cues for trend strength and potential trend changes, helping traders make informed decisions in various market conditions.
🔶 Settings
Source (Data Source): The data source for VWAP calculations. The default setting is the typical price (HLC3), which is the average of the high, low, and close prices.
Length: The number of bars used in the VWAP calculation. This determines the lookback period for the indicator.
Standard Deviation Multiplier: The multiplier applied to the standard deviation to create the primary upper and lower VWAP bands. This setting controls the distance of the bands from the VWAP.
Secondary Standard Deviation Multiplier: The multiplier applied to the standard deviation to create the secondary upper and lower VWAP bands, providing additional levels of support and resistance.
Display Trend: A toggle to enable or disable the display of the trend analysis feature. When enabled, the indicator highlights trend strength and potential trend changes.
Display Trend Crossovers: A toggle to enable or disable the display of trend crossover signals. When enabled, the indicator plots shapes to indicate where trend switches are likely occurring.
🔶 Calculations
The calculations behind the "VWAP Bands " indicator begin with determining the Volume Weighted Average Price (VWAP), which provides a comprehensive view of the average price of an asset, weighted by trading volume. This gives a more accurate representation of the asset's true average price over a specified period.
The first step in this process involves summing the trading volume over a chosen period, typically represented by the length parameter. Simultaneously, the product of the price (usually an average of the high, low, and close prices) and the trading volume is calculated and summed. By dividing this cumulative price-volume product by the total volume, we obtain the VWAP value. This VWAP serves as the central anchor around which the price action oscillates.
To enhance the utility of VWAP, we introduce standard deviation calculations. Standard deviation measures the extent of price dispersion from the VWAP, providing insight into price volatility. By calculating the variance (which involves the squared deviations of price) and then taking its square root, we derive the standard deviation. This helps in understanding how far prices typically stray from the VWAP.
With the VWAP and standard deviation in hand, we then establish upper and lower bands by adding and subtracting multiples of the standard deviation from the VWAP. These bands act as dynamic support and resistance levels, adapting to changes in market volatility. The primary bands, set by the first standard deviation multiplier, are augmented by secondary bands defined by a larger multiplier, offering additional layers of potential support and resistance.
It also integrates trend analysis, highlighting areas where the price action suggests a strong or weak trend. This is achieved by overlaying colored zones above and below the bands, indicating the strength and direction of the trend. When the price crosses these bands, it signals potential trend changes, aiding traders in making timely decisions.
🔶 Disclaimer
The "VWAP Bands " indicator is provided for educational and informational purposes only. It is not intended as financial advice and should not be construed as such.
Trading involves significant risk and may not be suitable for all investors. Before using this indicator or making any investment decisions, it is important to conduct thorough research and consider your financial situation.
Options Overlay [Lite] IVR IV Skew Delta Expmv MurreyMath Expiry𝗡𝗼𝗻-𝗼𝗳𝗳𝗶𝗰𝗶𝗮𝗹 𝗧𝗢𝗦 𝗮𝗻𝗱 𝗧𝗮𝘀𝘁𝘆𝗧𝗿𝗮𝗱𝗲 𝗹𝗶𝗸𝗲 𝗜𝗩𝗥 𝗢𝗽𝘁𝗶𝗼𝗻𝘀 𝘃𝗶𝘀𝘂𝗮𝗹𝗶𝘇𝗮𝘁𝗶𝗼𝗻 𝘁𝗼𝗼𝗹 𝘄𝗶𝘁𝗵 𝗱𝗲𝗹𝗮𝘆𝗲𝗱 𝗼𝗽𝘁𝗶𝗼𝗻 𝗰𝗵𝗮𝗶𝗻 𝗱𝗮𝘁𝗮
Are you an options trader who uses TradingView for technical analysis for the US market?
➡️ Do you want to see the IV Rank of an instrument on TradingView?
➡️ Can’t you check the key options metrics while charting?
➡️ Have you never visualized the options chain before?
➡️ Would you like to see how the IVx has changed for a specific ticker?
If you answered "yes" to any of these questions, then we have the solution for you!
🔃 Auto-Updating Option Metrics without refresh!
🍒 Developed and maintained by option traders for option traders.
📈 Specifically designed for TradingView users who trade options.
Our indicator provides essential key metrics such as:
✅ IVRank
✅ IVx
✅ 5-Day IVx Change
✅ Delta curves and interpolated distances
✅ Expected move curve
✅ Standard deviation (STD1) curve
✅ Vertical Pricing Skew
✅ Horizontal IVx Skew
✅ Delta Skew
like TastyTrade, TOS, IBKR etc, but in a much more visually intuitive way. See detailed descriptions below.
If this isn't enough, we also include a unique grid system designed specifically for options traders. This package features our innovative dynamic grid system:
✅ Enhanced Murrey Math levels (horizontal scale)
✅ Options expirations (vertical scale)
Designed to help you assess market conditions and make well-informed trading decisions, this tool is an essential addition for every serious options trader!
Ticker Information:
This indicator is currently implemented for 5 liquid tickers: NASDAQ:AAPL NASDAQ:AMZN AMEX:DIA NYSE:ORCL and NASDAQ:TSLA
How does the indicator work and why is it unique?
This Pine Script indicator is a complex tool designed to provide various option metrics and visualization tools for options market traders. The indicator extracts raw options data from an external data provider (ORATS), processes and refines the delayed data package using pineseed, and sends it to TradingView, visualizing the data using specific formulas (see detailed below) or interpolated values (e.g., delta distances). This method of incorporating options data into a visualization framework is unique and entirely innovative on TradingView.
The indicator aims to offer a comprehensive view of the current state of options for the implemented instruments, including implied volatility (IV), IV rank (IVR), options skew, and expected market movements, which are objectively measured as detailed below.
The options metrics we display may be familiar to options traders from various major brokerage platforms such as TastyTrade, IBKR, TOS, Tradier, TD Ameritrade, Schwab, etc.
Key Features:
IV Rank (IVR) : The implied volatility rank compares the current IV to the lowest and highest values over the past 52 weeks. The IVR indicator helps determine whether options are relatively cheap or expensive.
IV Average (IVx) : The implied volatility displayed in the options chain, calculated similarly to the VIX. IVx values are aggregated within the 35-70 day expiration cycle.
IV Change (5 days) : The change in implied volatility over the past five trading days. This indicator provides a quick insight into the recent changes in IV.
Expected Move (Exp. Move) : The expected movement for the options expiration cycle, calculated using the price of the ATM (at-the-money) straddle, the first OTM (out-of-the-money) strangle, and the second OTM strangle.
Options Skew : The price difference between put and call options with the same expiration date. Vertical and horizontal skew indicators help understand market sentiment and potential price movements.
Visualization Tools:
Informational IVR Panel : A tabular display mode that presents the selected indicators on the chart. The panel’s placement, size, and content are customizable, including color and tooltip settings.
1 STD, Delta, and Expected Move : Visualization of fundamental classic options metrics corresponding to expirations with bell curves.
Colored Label Tooltips : Detailed tooltips above the bell curves showing options metrics for each expiration.
Adaptive Murrey Math Lines : A horizontal line system based on the principles of Murrey Math Lines, helping identify important price levels and market structures.
Expiration Lines : Displays both monthly and weekly options expirations. The indicator supports various color and style settings, as well as the regulation of the number of expirations displayed.
🟨 𝗗𝗘𝗧𝗔𝗜𝗟𝗘𝗗 𝗗𝗢𝗖𝗨𝗠𝗘𝗡𝗧𝗔𝗧𝗜𝗢𝗡 🟨
🔶 Auto-Updating Option Metrics and Curved Lines
🔹 Interpolated DELTA Curves (16,20,25,30,40)
In our indicator, the curve layer settings allow you to choose the delta value for displaying the delta curve: 16, 20, 25, 30, or even 40. The color of the curve can be customized, and you can also hide the delta curve by selecting the "-" option.
It's important to mention that we display interpolated deltas from the actual option chain of the underlying asset using the Black-Scholes model. This ensures that the 16 delta truly reflects the theoretical, but accurate, 16 delta distance. (For example, deltas shown by brokerages for individual strikes are rounded; a 0.16 delta might actually be 0.1625.)
🔹 Expected Move Curve (Exp.mv)
The expected move is the predicted dollar change in the underlying stock's price by a given option's expiration date, with 68% certainty. It is calculated using the expiration's pricing and implied volatility levels. We chose the TastyTrade method for calculating expected move, as we found it to be the most expressive.
Expected Move Calculation
Expected Move = (ATM straddle price x 0.6) + (1st OTM strangle price x 0.3) + (2nd OTM strangle price x 0.1)
For example , if stock XYZ is trading at 121 and the ATM straddle is 4.40, the 120/122 strangle is 3.46, and the 119/123 strangle is 2.66, the expected move is calculated as follows: 4.40 x 0.60 = 2.64; 3.46 x 0.30 = 1.04; 2.66 x 0.10 = 0.27; Expected move = 2.64 + 1.04 + 0.27 = ±3.9
In this example below, the TastyTrade platform indicates the expected move on the option chain with a brown color, and the exact value is displayed behind the ± symbol for each expiration. By default, we also use brown for this indication, but this can be changed or the curve display can be turned off.
🔹 Standard Deviation Curve (1 STD)
One standard deviation of a stock encompasses approximately 68.2% of outcomes in a distribution of occurrences based on current implied volatility.
We use the expected move formula to calculate the one standard deviation range of a stock. This calculation is based on the days-to-expiration (DTE) of our option contract, the stock price, and the implied volatility of a stock:
Calculation:
Standard Deviation = Closing Price * Implied Volatility * sqrt(Days to Expiration / 365)
According to options literature, there is a 68% probability that the underlying asset will fall within this one standard deviation range at expiration.
If the 1 STD and Exp.mv displays are both enabled, the indicator fills the area between them with a light gray color. This is because both represent probability distributions that appear as a "bell curve" when graphed, making it visually appealing.
Tip and Note:
The 1 STD line might appear jagged at times , which does not indicate a problem with the indicator. This is normal immediately after market open (e.g., during the first data refresh of the day) or if the expirations are illiquid (e.g., weekly expirations). The 1 STD value is calculated based on the aggregated IVx for the expirations, and the aggregated IVx value for weekly expirations updates less frequently due to lower trading volume. In such cases, we recommend enabling the "Only Monthly Expirations" option to smooth out the bell curve.
∑ Quant Observation:
The values of the expected move and the 1st standard deviation (1STD) will not match because they use different calculation methods, even though both are referred to as representing 68% of the underlying asset's movement in options literature. The expected move is based on direct market pricing of ATM options. The 1STD, on the other hand, uses the averaged implied volatility (IVX) for the given expiration to determine its value. Based on our experience, it is better to consider the area between the expected move and the 1STD as the true representation of the original 68% rule.
🔶 IVR Dashboard Panel Rows
🔹 IVR (IV Rank)
The Implied Volatility Rank (IVR) indicator helps options traders assess the current level of implied volatility (IV) in comparison to the past 52 weeks. IVR is a useful metric to determine whether options are relatively cheap or expensive. This can guide traders on whether to buy or sell options. We calculate IVrank, like TastyTrade does.
IVR Calculation:
IV Rank = (current IV - 52 week IV low) / (52 week IV high - 52 week IV low)
IVR Levels and Interpretations:
IVR 0-10 (Green): Very low implied volatility rank. Options might be "cheap," potentially a good time to buy options.
IVR 10-35 (White): Normal implied volatility rank. Options pricing is relatively standard.
IVR 35-50 (Orange): Almost high implied volatility rank.
IVR 50-75 (Red): Definitely high implied volatility rank. Options might be "expensive," potentially a good time to sell options for higher premiums.
IVR above 75 (Highlighted Red): Ultra high implied volatility rank. Indicates very high levels, suggesting a favorable time for selling options.
The panel refreshes automatically if the symbol is implemented. You can hide the panel or change the position and size.
🔹IVx (Implied Volatility Index)
The Implied Volatility Index (IVx) displayed in the option chain is calculated similarly to the VIX. The Cboe uses standard and weekly SPX options to measure the expected volatility of the S&P 500. A similar method is utilized to calculate IVx for each option expiration cycle.
For our purposes on the IVR Panel, we aggregate the IVx values specifically for the 35-70 day monthly expiration cycle . This aggregated value is then presented in the screener and info panel, providing a clear and concise measure of implied volatility over this period.
IVx Color coding:
IVx above 30 is displayed in orange.
IVx above 60 is displayed in red
IVx on curve:
The IVx values for each expiration can be viewed by hovering the mouse over the colored tooltip labels above the Curve.
IVx avg on IVR panel :
If the option is checked in the IVR panel settings, the IVR panel will display the average IVx values up to the optimal expiration.
Important Note:
The IVx value alone does not provide sufficient context. There are stocks that inherently exhibit high IVx values. Therefore, it is crucial to consider IVx in conjunction with the Implied Volatility Rank (IVR), which measures the IVx relative to its own historical values. This combined view helps in accurately assessing the significance of the IVx in relation to the specific stock's typical volatility behavior.
This indicator offers traders a comprehensive view of implied volatility, assisting them in making informed decisions by highlighting both the absolute and relative volatility measures.
🔹IVx 5 days change %
We are displaying the five-day change of the IV Index (IVx value). The IV Index 5-Day Change column provides quick insight into recent expansions or decreases in implied volatility over the last five trading days.
Traders who expect the value of options to decrease might view a decrease in IVX as a positive signal. Strategies such as Strangle and Ratio Spread can benefit from this decrease.
On the other hand, traders anticipating further increases in IVX will focus on the rising IVX values. Strategies like Calendar Spread or Diagonal Spread can take advantage of increasing implied volatility.
This indicator helps traders quickly assess changes in implied volatility, enabling them to make informed decisions based on their trading strategies and market expectations.
🔹 Vertical Pricing Skew
At TanukiTrade, Vertical Pricing Skew refers to the difference in pricing between put and call options with the same expiration date at the same distance (at expected move). We analyze this skew to understand market sentiment. This is the same formula used by TastyTrade for calculations.
We calculate the interpolated strike price based on the expected move , taking into account the neighboring option prices and their distances. This allows us to accurately determine whether the CALL or PUT options are more expensive.
PUT Skew (red): Put options are more expensive than call options, indicating the market expects a downward move (▽). If put options are more expensive by more than 20% at the same expected move distance, we color it lighter red.
CALL Skew (green): Call options are more expensive than put options, indicating the market expects an upward move (△). If call options are priced more than 30% higher at the examined expiration, we color it lighter green.
Vertical Skew on Curve:
The degree of vertical pricing skew for each expiration can be viewed by hovering over the points above the curve. Hover with mouse for more information.
Vertical Skew on IVR panel:
We focus on options with 35-70 days to expiration (DTE) for optimal analysis in case of vertical skew. Hover with mouse for more information.
This approach helps us gauge market expectations accurately, providing insights into potential price movements. Remember, we always evaluate the skew at the expected move using linear interpolation to determine the theoretical pricing of options.
🔹 Delta Skew 🌪️ (Twist)
We have a new metric that examines which monthly expiration indicates a "Delta Skew Twist" where the 16 delta deviates from the monthly STD. This is important because, under normal circumstances, the 16 delta is positioned between the expected move and the standard deviation (STD1) line (see Exp.mv & 1STD exact definitions above). However, if the interpolated 16 delta line exceeds the STD1 line either upwards or downwards, it represents a special case of vertical skew on the option chain.
Normal case : exp.move < delta16 < std1
Delta Skew Twist: exp.move < std1 < delta16
We indicate this with direction-specific colors (red/green) on the delta line. We also color the section of the delta curve affected by the delta skew in this case, even if you choose to display a lower delta, such as 30, instead of 16.
If "Colored Labels with Tooltips" is enabled, we also display a 🌪️ symbol in the tooltip for the expirations affected by Delta Skew.
If you have enabled the display of 'Vertical Pricing Skew' on the IVR Panel, a 🌪️ symbol will also appear next to the value of the vertical skew, and the tooltip will indicate from which expiration Delta Skew is observed.
🔹 Horizontal IVx Skew
In options pricing, it is typically expected that the implied volatility (IVx) increases for options with later expiration dates. This means that options further out in time are generally more expensive. At TanukiTrade, we refer to the phenomenon where this expectation is reversed—when the IVx decreases between two consecutive expirations—as Horizontal Skew or IVx Skew.
Horizontal IVx Skew occurs when: Front Expiry IVx < Back Expiry IVx
This scenario can create opportunities for traders who prefer diagonal or calendar strategies . Based on our experience, we categorize Horizontal Skew into two types:
Weekly Horizontal Skew:
When IVx skew is observed between two consecutive non-monthly expirations, the displayed value is the rounded-up percentage difference. On hover, the approximate location of this skew is also displayed. The precise location can be seen on this indicator.
Monthly Horizontal Skew:
When IVx skew is observed between two consecutive monthly expirations , the displayed value is the rounded-up percentage difference. On hover, the approximate location of this skew is also displayed. The precise location can be seen on our Overlay indicator.
The Monthly Vertical IVx skew is consistently more liquid than the weekly vertical IVx skew. Weekly Horizontal IVx Skew may not carry relevant information for symbols not included in the 'Weeklies & Volume Masters' preset in our Options Screener indicator.
If the options chain follows the normal IVx pattern, no skew value is displayed.
Color codes or tooltip labels above curve:
Gray - No horizontal skew;
Purple - Weekly horizontal skew;
BigBlue - Monthly horizontal skew
The display of monthly and weekly IVx skew can be toggled on or off on the IVR panel. However, if you want to disable the colored tooltips above the curve, this can only be done using the "Colored labels with tooltips" switch.
We indicate this range with colorful information bubbles above the upper STD line.
🔶 The Option Trader’s GRID System: Adaptive MurreyMath + Expiry Lines
At TanukiTrade, we utilize Enhanced MurreyMath and Expiry lines to create a dynamic grid system, unlike the basic built-in vertical grids in TradingView, which provide no insight into specific price levels or option expirations.
These grids are beneficial because they provide a structured layout, making important price levels visible on the chart. The grid automatically resizes as the underlying asset's volatility changes, helping traders identify expected movements for various option expirations.
The Option Trader’s GRID System part of this indicator can be used without limitations for all instruments . There are no type or other restrictions, and it automatically scales to fit every asset. Even if we haven't implemented the option metrics for a particular underlying asset, the GRID system will still function!
🔹 SETUP OF YOUR OPTIONS GRID SYSTEM
You can setup your new grid system in 3 easy steps!
STEP1: Hide default horizontal grid lines in TradingView
Right-click on an empty area of your chart, then select “Settings.” In the Chart settings -> Canvas -> Grid lines section, disable the display of horizontal lines to avoid distraction.
SETUP STEP2: Scaling fix
Right-click on the price scale on the right side, then select "Scale price chart only" to prevent the chart from scaling to the new horizontal lines!
STEP3: Enable Tanuki Options Grid
As a final step, make sure that both the vertical (MurreyMath) and horizontal (Expiry) lines are enabled in the Grid section of our indicator.
You are done, enjoy the new grid system!
🔹 HORIZONTAL: Enhanced MurreyMath Lines
Murrey Math lines are based on the principles observed by William Gann, renowned for his market symmetry forecasts. Gann's techniques, such as Gann Angles, have been adapted by Murrey to make them more accessible to ordinary investors. According to Murrey, markets often correct at specific price levels, and breakouts or returns to these levels can signal good entry points for trades.
At TanukiTrade, we enhance these price levels based on our experience , ensuring a clear display. We acknowledge that while MurreyMath lines aren't infallible predictions, they are useful for identifying likely price movements over a given period (e.g., one month) if the market trend aligns.
Our opinion: MurreyMath lines are not crystal balls (like no other tool). They should be used to identify that if we are trading in the right direction, the price is likely to reach the next unit step within a unit time (e.g. monthly expiration).
One unit step is the distance between Murrey Math lines, such as between the 0/8 and 1/8 lines. This interval helps identify different quadrants and is crucial for recognizing support and resistance levels.
Some option traders use Murrey Math lines to gauge the movement speed of an instrument over a unit time. A quadrant encompasses 4 unit steps.
Key levels, according to TanukiTrade, include:
Of course, the lines can be toggled on or off, and their default color can also be changed.
🔹 VERTICAL: Expiry Lines
The indicator can display monthly and weekly expirations as dashed lines, with customizable colors. Weekly expirations will always appear in a lighter shade compared to monthly expirations.
Monthly Expiry Lines:
You can turn off the lines indicating monthly expirations, or set the direction (past/future/both) and the number of lines to be drawn.
Weekly Expiry Lines:
You can display weekly expirations pointing to the future. You can also turn them off or specify how many weeks ahead the lines should be drawn.
Of course, the lines can be toggled on or off, and their default color can also be changed.
TIP: Hide default vertical grid lines in TradingView
Right-click on an empty area of your chart, then select “Settings.” In the Chart settings -> Canvas -> Grid lines section, disable the display of vertical lines to avoid distraction. Same, like steps above at MurreyMath lines.
🔶 ADDITIONAL IMPORTANT COMMENTS
- U.S. market only:
Since we only deal with liquid option chains: this option indicator only works for the USA options market and do not include future contracts; we have implemented each selected symbol individually.
- Why is there a slight difference between the displayed data and my live brokerage data? There are two reasons for this, and one is beyond our control.
- Brokerage Calculation Differences:
Every brokerage has slight differences in how they calculate metrics like IV and IVx. If you open three windows for TOS, TastyTrade, and IBKR side by side, you will notice that the values are minimally different. We had to choose a standard, so we use the formulas and mathematical models described by TastyTrade when analyzing the options chain and drawing conclusions.
- Option-data update frequency:
According to TradingView's regulations and guidelines, we can update external data a maximum of 5 times per day. We strive to use these updates in the most optimal way:
(1st update) 15 minutes after U.S. market open
(2nd, 3rd, 4th updates) 1.5–3 hours during U.S. market open hours
(5th update) 10 minutes before market close.
You don’t need to refresh your window, our last refreshed data-pack is always automatically applied to your indicator , and you can see the time elapsed since the last update at the bottom of your indicator.
- Skewed Curves:
The delta, expected move, and standard deviation curves also appear relevantly on a daily or intraday timeframe. Data loss is experienced above a daily timeframe: this is a TradingView limitation.
- Weekly illiquid expiries:
Especially for instruments where weekly options are illiquid: the weekly expiration STD1 data is not relevant. In these cases, we recommend checking in the "Display only Monthly labels" checkbox to avoid displaying not relevant weekly options expirations.
-Timeframe Issues:
Our option indicator visualizes relevant data on a daily resolution. If you see strange or incorrect data (e.g., when the options data was last updated), always switch to a daily (1D) timeframe. If you still see strange data, please contact us.
Disclaimer:
Our option indicator uses approximately 15min-3 hour delayed option market snapshot data to calculate the main option metrics. Exact realtime option contract prices are never displayed; only derived metrics and interpolated delta are shown to ensure accurate and consistent visualization. Due to the above, this indicator can only be used for decision support; exclusive decisions cannot be made based on this indicator . We reserve the right to make errors.This indicator is designed for options traders who understand what they are doing. It assumes that they are familiar with options and can make well-informed, independent decisions. We work with public data and are not a data provider; therefore, we do not bear any financial or other liability.
Supports & Resistances [UAlgo]The "Supports & Resistances " indicator is designed to identify and visualize key support and resistance levels on the price chart. It utilizes the Average True Range (ATR) and Pivot Points to define the boundaries of S & R zones and considers historical price action to assess the strength of these zones.
🔶 How to Obtain Zones
The script continuously analyzes the price action and identifies potential support and resistance zones based on the following criteria:
Zone Creation: For swing highs, a zone is created with the high price at the zone length as the top and the top minus the Average True Range (ATR) as the bottom. Conversely, for swing lows, the zone is created with the low price at the zone length as the bottom and the low plus the ATR as the top.
Zone Strength Calculation: The script iterates through historical bars within the zone and counts how many times the price (low for support, high for resistance) touched but failed to break entirely through the zone. This count is assigned as the zone's "strength".
Zone Display and Removal: It identifying zones by assigning a "strength" value based on how many times the price has approached but failed to break the zone. This helps prioritize stronger potential support/resistance levels. Only zones exceeding the defined "strength threshold" are visually displayed on the chart. Weaker zones or those broken by price are automatically removed.
🔶 Parameters
Zone Length: Traders can adjust S & R detection sensitivity, length to be used to find pivot points.
Strength Threshold: Set the minimum number of times the price needs to touch but fail to break a zone for it to be considered "strong" and displayed.
Visual Settings: Tailor the appearance of the support/resistance zones by defining separate colors and text size for borders, backgrounds, and zone text.
🔶 Disclaimer
The "Supports & Resistances " indicator is provided for educational and informational purposes only.
It should not be considered as financial advice or a recommendation to buy or sell any financial instrument.
The use of this indicator involves inherent risks, and users should employ their own judgment and conduct their own research before making any trading decisions. Past performance is not indicative of future results.
🔷 Related Scripts
Support and Resistance with Signals
ATR Based Support and Resistance Zones
Matt Liq LinesIndicator Overview
The "Matt Liq Lines" indicator is designed to help traders identify significant price levels where high-volume trading occurred. These levels are often referred to as liquidation levels and can act as support or resistance in the market. The indicator plots horizontal lines on the chart at these identified levels, helping traders make informed decisions based on volume spikes.
Key Features
Volume Multiplier: A user-defined threshold to identify high-volume candles. If a candle's volume is greater than the average volume multiplied by this multiplier, it is considered a high-volume candle.
Lookback Period: The period over which the average volume is calculated. This helps in smoothing out volume data to identify significant spikes.
Max Levels: The maximum number of liquidation levels to display on the chart. This helps in keeping the chart clean and focuses on the most relevant levels.
Indicator Components
Average Volume Calculation:
avgVolume = ta.sma(volume, lookbackPeriod)
Calculates the simple moving average (SMA) of the volume over the specified lookback period.
High Volume Identification:
highVolume = volume > (avgVolume * volumeMultiplier)
Identifies if the current candle's volume is greater than the average volume multiplied by the volume multiplier.
Liquidation Levels Storage:
Uses arrays to store the levels, their corresponding bar indices, and volumes.
Adding Liquidation Levels:
When a high-volume candle is identified, its open price is added as a liquidation level. If the maximum number of levels is exceeded, the oldest level is removed to make room for the new one.
Cleaning Levels:
A function f_clean_levels removes crossed levels (where the price has already moved above and below the level) and keeps the levels with the highest volumes.
Plotting Liquidation Lines:
Horizontal lines are drawn at the identified liquidation levels. These lines extend to the right and help traders visualize important price levels.
How to Use the Indicator
Set the Volume Multiplier: Adjust the volume multiplier to filter out minor volume spikes and focus on significant ones.
Adjust the Lookback Period: Set a lookback period that reflects the typical trading volume for the asset you are analyzing.
Configure Max Levels: Decide the number of levels you want to display on the chart to avoid clutter.
Interpret the Lines: Use the plotted lines as potential support or resistance levels. These lines indicate where significant trading activity has occurred, which could influence future price movements.
By following these steps and understanding the indicator's components, traders can effectively use the "Matt Liq Lines" indicator to identify key price levels influenced by high trading volumes, aiding in better decision-making
TrendFireOverview
They say "Trend is your Friend". In my short trading timeline, I've realized the difficult part is making this friendship to happen. Although, not impossible.
Trend Fire is one of the trend following strategy amongst many strategies out there. But the unique part of Trend Fire lies in the implementation and its accuracy to identify healthy Trends. Trend Fire is a purely Mathematical Indicator and aims for generating more successful trade signals. It has a unique strategy to avoid sideways market, false signals, and calculation to find entry for Trends, hence, more quality of trades.
I started my trading journey by observing the market movement for a long time as a beginner trader. Over time, I've realized that profit maximization can happen only if I can properly identify long trend. The reason why I was fascinated with trend following strategies and keen to solve the problems that trend following has.
Approach
In most typical trend following strategy setup, Trend identification starts by using fast and long period moving average crossovers. The fact that, moving averages are lagging in nature, it fails to identify good trends and produce many false signals. Although, it generates signals for trend also along with the false signals.
My aim was to reduce the false signals that occurs during consolidation and gain more accuracy on detecting healthy trends. The reason why I've obtained several approaches -
1. Moving Average Gap - during a consolidation period where lots of false signal generates in a crossover system, we can see that the distance/gap between the moving averages is very small, and in long trend the distance is large. So, a simple implementation was to limit the distance/gap by using a threshold to generate signals for trend outside the false signal threshold. This way, signals for long trend generates a few candles away but reduces false signal generation. For this Gap to work, a gap threshold of 20 works great to identify large trends and it is also a good entry point.
3. Volatility Adaptive moving average - As, this system is based on calculating distance/gap between MA's, the distance also doesn't always indicate proper momentum during a trend. The reason behind is that, 200 Moving average is also moving along the price during a trend and the distance/gap between moving averages vary according to the price. This also leads to generate false signals. So, it is more appropriate to replace 200 moving average with volatility adaptive moving average with a period of 1000, because adaptive moving average always reacts to the price and creates a larger distance/gap with price when there’s a trend in the market. Otherwise, it moves close with price in a sideways market. This nature of adaptability helps to reduce more false signals and gain more chances to take profitable trends.
This is also should be considered that no indicator system alone in trading is purely accurate. So, Trend Fire also is not an exception. There will be false signals, but the probability of getting false signal is less than the overall profits compared to any other moving average crossover system. The idea here is, maximizing your equity gradually over time rather than in a day and trade only when market is tradeable. Exactly how trading should be.
Usage
The usage of the indicator is simple. Once the indicator is applied in the mentioned currency pairs, it will show Buy/Sell signals along with Exit points in the chart.
The yellow line is the volatility adaptive moving average line which create distance during a trend and moves close to price when there is no trend. It is also used for trade exit indication, where the line meets with the price at the end of the trend and shows total pips gains/loss in a popup.
As, the indicator have built in adaptive and ATR base stop loss system, a good approach is to enable this in settings. So that, the loss will be minimum. The reason behind, by default the trades closed when a certain trend is over (When yellow line reaches close to the price after a gap) and this closing point not necessarily closes above/below signal. This is why Adaptive and ATR stop loss together make sure when trend reverses during a trend to take profit. Although, settings for Stop loss have been configured in the indicator, but if needed, settings can be changed for optimized results. It is also advisable to not to trade during a news alert as there are chances to generate false signal for high movement of the market.
Down-Sides
The indicator is dependent on the 1-minute time frame, larger time frames resulting in a signal overfitting condition. The indicator is set for only some selective currencies and commodities. So, its behavior might also change if the currency pair is out of scope. Below is the list of currencies which will work for now.
• EURUSD – FXCM
• GBPUSD – FXCM
• AUDUSD – OANDA
• USDCAD – OANDA
• GBPCAD – FXCM
• USDJPY – FXCM
• GBPJPY – OANDA
• EURJPY – OANDA
• CADJPY – FXCM
• AUDJPY – OANDA
• CHFJPY – OANDA
• EURAUD – FXCM
• GBPAUD – FXCM
• AUDCAD – OANDA
• EURGBP – FXCM
• EURCAD – OANDA
• XAUUSD – OANDA
• XAGUSD – OANDA
• USOIL – TVC
• BTCUSDT.P – BYBIT
More currency pair will be added in the future.
Settings
• Fast MA : Fast Moving Average
• Trend MA : Trend line Ema for determining Exit point
• Trend Threshold : Gap threshold between VAMA and Fast EMA
• VAMA : Volatility Adaptive Moving Average Length for calculation
• Enable Trend Coloring : Enable trend coloring on adaptive moving average line
• Enable Trailing Stop : Enable Adaptive and ATR trailing stop to exit trades
• Show Dashboard : Enable Trend and Signal value dashboard
• Position : Position of Dashboard in Chart
Alerts
Alert conditions are set for trade Entry and Exit scopes only and it does not mention Buy/Sell trade specifically in alerts for now. For that, you need to follow the chart after an alert as indicator shows Buy/Sell/Exit on chart. To create an alert based on the indicator follow these steps:
Go to the alert section (the alarm clock) -> create new alert -> select TrendFire in condition -> Below select TRADE ALERT and select date duration. In option select “once per bar close”, By default the message is set with ticker ID. Change the message if you want a personalized message.
Conclusion
As a programmer and problem solver, I have invested over a year to understand the market and tried to solve the problem that I faced as a trader. I wanted to develop an indicator that make sense and works logically in market. Also, the aim is to trade smartly with a strategy rather than biting in the bush randomly. Trade Fire is a result of countless failures and losses. I hope future contributions will grow this indicator to be more efficient down the line.
Thanks for reading…Happy Trading!
Fractal Breakout Trend Following StrategyOverview
The Fractal Breakout Trend Following Strategy is a trend-following system which utilizes the Willams Fractals and Alligator to execute the long trades on the fractal's breakouts which have a high probability to be the new uptrend phase beginning. This system also uses the normalized Average True Range indicator to filter trades after a large moves, because it's more likely to see the trend continuation after a consolidation period. Strategy can execute only long trades.
Unique Features
Trend and volatility filtering system: Strategy uses Williams Alligator to filter the counter-trend fractals breakouts and normalized Average True Range to avoid the trades after large moves, when volatility is high
Configurable Trading Periods: Users can tailor the strategy to specific market windows, adapting to different market conditions.
Flexible Risk Management: Users can choose the stop-loss percent (by default = 3%) for trades, but strategy also has the dynamic stop-loss level using down fractals.
Methodology
The strategy places stop order at the last valid fractal breakout level. Validity of this fractal is defined by the Williams Alligator indicator. If at the moment of time when price breaking the last fractal price is higher than Alligator's teeth line (8 period SMA shifted 5 bars in the future) this is a valid breakout. Moreover strategy has the additional volatility filtering system using normalized ATR. It calculates the average normalized ATR for last user-defined number of bars and if this value lower than the user-defined threshold value the long trade is executed.
When trade is opened, script places the stop loss at the price higher of two levels: user defined stop-loss from the position entry price or down fractal validation level. The down fractal is valid with the rule, opposite as the up fractal validation. Price shall break to the downside the last down fractal below the Willians Alligator's teeth line.
Strategy has no fixed take profit. Exit level changes with the down fractal validation level. If price is in strong uptrend trade is going to be active until last down fractal is not valid. Strategy closes trade when price hits the down fractal validation level.
Risk Management
The strategy employs a combined approach to risk management:
It allows positions to ride the trend as long as the price continues to move favorably, aiming to capture significant price movements. It features a user-defined stop-loss parameter to mitigate risks based on individual risk tolerance. By default, this stop-loss is set to a 3% drop from the entry point, but it can be adjusted according to the trader's preferences.
Justification of Methodology
This strategy leverages Williams Fractals to open long trade when price has broken the key resistance level to the upside. This resistance level is the last up fractal and is shall be broken above the Williams Alligator's teeth line to be qualified as the valid breakout according to this strategy. The Alligator filtering increases the probability to avoid the false breakouts against the current trend.
Moreover strategy has an additional filter using Average True Range(ATR) indicator. If average value of ATR for the last user-defined number of bars is lower than user-defined threshold strategy can open the long trade according to open trade condition above. The logic here is following: we want to open trades after period of price consolidation inside the range because before and after a big move price is more likely to be in sideways, but we need a trend move to have a profit.
Another one important feature is how the exit condition is defined. On the one hand, strategy has the user-defined stop-loss (3% below the entry price by default). It's made to give users the opportunity to restrict their losses according to their risk-tolerance. On the other hand, strategy utilizes the dynamic exit level which is defined by down fractal activation. If we assume the breaking up fractal is the beginning of the uptrend, breaking down fractal can be the start of downtrend phase. We don't want to be in long trade if there is a high probability of reversal to the downside. This approach helps to not keep open trade if trend is not developing and hold it if price continues going up.
Backtest Results
Operating window: Date range of backtests is 2023.01.01 - 2024.05.01. It is chosen to let the strategy to close all opened positions.
Commission and Slippage: Includes a standard Binance commission of 0.1% and accounts for possible slippage over 5 ticks.
Initial capital: 10000 USDT
Percent of capital used in every trade: 30%
Maximum Single Position Loss: -3.19%
Maximum Single Profit: +24.97%
Net Profit: +3036.90 USDT (+30.37%)
Total Trades: 83 (28.92% win rate)
Profit Factor: 1.953
Maximum Accumulated Loss: 963.98 USDT (-8.29%)
Average Profit per Trade: 36.59 USDT (+1.12%)
Average Trade Duration: 72 hours
These results are obtained with realistic parameters representing trading conditions observed at major exchanges such as Binance and with realistic trading portfolio usage parameters.
How to Use
Add the script to favorites for easy access.
Apply to the desired timeframe and chart (optimal performance observed on 4h and higher time frames and the BTC/USDT).
Configure settings using the dropdown choice list in the built-in menu.
Set up alerts to automate strategy positions through web hook with the text: {{strategy.order.alert_message}}
Disclaimer:
Educational and informational tool reflecting Skyrex commitment to informed trading. Past performance does not guarantee future results. Test strategies in a simulated environment before live implementation
Volume-Adjusted Bollinger BandsThe Volume-Adjusted Bollinger Bands (VABB) indicator is an advanced technical analysis tool that enhances the traditional Bollinger Bands by incorporating volume data. This integration allows the bands to dynamically adjust based on market volume, providing a more nuanced view of price movements and volatility. The key qualities of the VABB indicator include:
1. Dynamic Adjustment with Volume: Traditional Bollinger Bands are based solely on price data and standard deviations. The VABB indicator adjusts the width of the bands based on the volume ratio, making them more responsive to changes in market activity. This means that during periods of high volume, the bands will expand, and during periods of low volume, they will contract. This adjustment helps to reinforce the significance of price movements relative to the central line (VWMA).
2. Volume-Weighted Moving Average (VWMA): Instead of using a simple moving average (SMA) as the central line, the VABB uses the VWMA, which weights prices by volume. This provides a more accurate representation of the average price level, considering the trading volume.
3. Enhanced Signal Reliability: By incorporating volume, the VABB can filter out false signals that might occur in low-volume conditions. This makes the indicator particularly useful for identifying significant price movements that are supported by strong trading activity.
How to Use and Interpret the VABB Indicator
To use the VABB indicator, you need to set it up on your trading platform with the following parameters:
1. BB Length: The number of periods for calculating the Bollinger Bands (default is 20).
2. BB Multiplier: The multiplier for the standard deviation to set the width of the Bollinger Bands (default is 2.0).
3. Volume MA Length: The number of periods for calculating the moving average of the volume (default is 14).
Volume Ratio Smoothing Length: The number of periods for smoothing the volume ratio (default is 5).
Interpretation
1.Trend Identification: The VWMA serves as the central line. When the price is above the VWMA, it indicates an uptrend, and when it is below, it indicates a downtrend. The direction of the VWMA itself can also signal the trend's strength.
2. Volatility and Volume Analysis: The width of the VABB bands reflects both volatility and volume. Wider bands indicate high volatility and/or high volume, suggesting significant price movements. Narrower bands indicate low volatility and/or low volume, suggesting consolidation.
3. Trading Signals:
Breakouts: A price move outside the adjusted upper or lower bands can signal a potential breakout. High volume during such moves reinforces the breakout's validity.
Reversals: When the price touches or crosses the adjusted upper band, it may indicate overbought conditions, while touching or crossing the adjusted lower band may indicate oversold conditions. These conditions can signal potential reversals, especially if confirmed by other indicators or volume patterns.
Volume Confirmation: The volume ratio component helps confirm the strength of price movements. For instance, a breakout accompanied by a high volume ratio is more likely to be sustained than one with a low volume ratio.
Practical Example
Bullish Scenario: If the price crosses above the adjusted upper band with a high volume ratio, it suggests a strong bullish breakout. Traders might consider entering a long position, setting a stop-loss just below the VWMA or the lower band.
Bearish Scenario: Conversely, if the price crosses below the adjusted lower band with a high volume ratio, it suggests a strong bearish breakout. Traders might consider entering a short position, setting a stop-loss just above the VWMA or the upper band.
Conclusion
The Volume-Adjusted Bollinger Bands (VABB) indicator is a powerful tool that enhances traditional Bollinger Bands by incorporating volume data. This dynamic adjustment helps traders better understand market conditions and make more informed trading decisions. By using the VABB indicator, traders can identify significant price movements supported by volume, improving the reliability of their trading signals.
The Volume-Adjusted Bollinger Bands (VABB) indicator is provided for educational and informational purposes only. It is not financial advice and should not be construed as a recommendation to buy, sell, or hold any financial instrument. Trading involves significant risk of loss and is not suitable for all investors. Past performance is not indicative of future results.
ADX with Donchian Channels
The "ADX with Donchian Channels" indicator combines the Average Directional Index (ADX) with Donchian Channels to provide traders with a powerful tool for identifying trends and potential breakouts.
Features:
Average Directional Index (ADX):
The ADX is used to quantify the strength of a trend. It helps traders determine whether a market is trending or ranging.
Adjustable parameters for ADX smoothing and DI length allow traders to fine-tune the sensitivity of the trend strength measurement.
Donchian Channels on ADX:
Donchian Channels are applied directly to the ADX values to highlight the highest high and lowest low of the ADX over a specified period.
The upper and lower Donchian Channels can signal potential trend breakouts when the ADX value moves outside these bounds.
The middle Donchian Channel provides a reference for the average trend strength.
Visualization:
The indicator plots the ADX line in red to clearly display the trend strength.
The upper and lower Donchian Channels are plotted in blue, with a green middle line to represent the average.
The area between the upper and lower Donchian Channels is filled with a blue shade to visually emphasize the range of ADX values.
Default Settings for Scalping:
Donchian Channel Length: 10
Standard Deviation Multiplier: 1.58
ADX Length: 2
ADX Smoothing Length: 2
These default settings are optimized for scalping, offering a quick response to changes in trend strength and potential breakout signals. However, traders can adjust these settings to suit different trading styles and market conditions.
How to Use:
Trend Strength Identification: Use the ADX line to identify the strength of the current trend. Higher ADX values indicate stronger trends.
Breakout Signals: Monitor the ADX value in relation to the Donchian Channels. A breakout above the upper channel or below the lower channel can signal a potential trend continuation or reversal.
Range Identification: The filled area between the Donchian Channels provides a visual representation of the ADX range, helping traders identify when the market is ranging or trending.
This indicator is designed to enhance your trading strategy by combining trend strength measurement with breakout signals, making it a versatile tool for various market conditions.
[MAD] Custom Session VWAP BandsOverview
This indicator helps visualize the Volume Weighted Average Price (VWAP) and its associated standard deviation bands over specified time periods, providing traders with a clear understanding of price trends, volatility, and potential support/resistance levels.
Inputs
Deviation
StDev mult 1: Multiplier for the first standard deviation band (Default: 1.0)
StDev mult 2: Multiplier for the second standard deviation band (Default: 2.0)
StDev mult 3: Multiplier for the third standard deviation band (Default: 3.0)
StDev mult 4: Multiplier for the fourth standard deviation band (Default: 4.0)
Line width: Width of the lines for the bands (Default: 2)
Custom Vwap session reset settings
Many different options are considered when a session is going to be reset.
Plot and Fill Options
Enable Fills: Enable/disable filling between bands.
Plot +4: Enable/disable plotting the +4 standard deviation band.
Plot +3: Enable/disable plotting the +3 standard deviation band.
Plot +2: Enable/disable plotting the +2 standard deviation band.
Plot +1: Enable/disable plotting the +1 standard deviation band.
Plot VWAP: Enable/disable plotting the VWAP line.
Plot -1: Enable/disable plotting the -1 standard deviation band.
Plot -2: Enable/disable plotting the -2 standard deviation band.
Plot -3: Enable/disable plotting the -3 standard deviation band.
Plot -4: Enable/disable plotting the -4 standard deviation band.
How to Use the Indicator
Adding the Indicator
Add the indicator to your chart through your trading platform's indicator menu.
Configuring the VWAP Reset
Specify reset intervals based on time, days of the week, or specific dates.
Adjust the time zone if necessary.
Customizing Standard Deviation Bands
Set the multipliers for the standard deviation bands.
Choose line width for better visualization.
Enabling Plots and Fills
Select which bands to display.
Enable or disable fills between the bands.
Practical Application of VWAP Bands
Understanding VWAP
VWAP is a trading benchmark that calculates the average price a security has traded at throughout the day based on volume and price. It is primarily used for intraday trading but can also offer insights during end-of-day reviews.
Using VWAP for Trading
Intraday Trading
Entry and Exit Points: VWAP can help identify optimal buy and sell points. Buy when the price is above VWAP and sell when it's below.
Support and Resistance: VWAP often acts as a dynamic support/resistance level. Prices tend to revert to VWAP, making it a crucial level for intraday traders.
Trend Confirmation
Uptrends and Downtrends: In an uptrend, the price will generally stay above VWAP. Conversely, in a downtrend, it will stay below. Use this to confirm market direction.
Combining with Other Indicators
Moving Averages and Bollinger Bands: Combining VWAP with these indicators can provide a more robust trading signal, confirming trends and potential reversals.
Setting Stop-Loss and Profit Targets
Conservative Stop Orders: Place stop orders at recent lows for pullback trades.
Profit Targets: Use daily highs or Fibonacci extension levels to set profit targets.
Strategies for Using VWAP
Pullback Strategy
Buy during pullbacks to VWAP in an uptrend, and sell during rallies to VWAP in a downtrend.
Breakout Strategy
Look for breakouts above/below VWAP after the market open to capitalize on new trends.
Momentum Trading
Use VWAP to confirm the strength of a trend. Buy when the price is consistently above VWAP and sell when it's consistently below.
Institutional Strategies
Institutional traders use VWAP to execute large orders without causing significant market impact, ensuring trades are made around the average price.
By incorporating these strategies, traders can better understand market dynamics, make informed trading decisions, and manage their risk effectively.
Some setup possibilities
KillZones + ACD Fisher [TradingFinder] Sessions + Reversal Level🔵 Introduction
🟣 ACD Method
"The Logical Trader" opens with a thorough exploration of the ACD Methodology, which focuses on pinpointing particular price levels associated with the opening range.
This approach enables traders to establish reference points for their trades, using "A" and "C" points as entry markers. Additionally, the book covers the concept of the "Pivot Range" and how integrating it with the ACD method can help maximize position size while minimizing risk.
🟣 Session
The forex market is operational 24 hours a day, five days a week, closing only on Saturdays and Sundays. Typically, traders prefer to concentrate on one specific forex trading session rather than attempting to trade around the clock.
Trading sessions are defined time periods when a particular financial market is active, allowing for the execution of trades.
The most crucial trading sessions within the 24-hour cycle are the Asia, London, and New York sessions, as these are when substantial money flows and liquidity enter the market.
🟣 Kill Zone
Traders in financial markets earn profits by capitalizing on the difference between their buy/sell prices and the prevailing market prices.
Traders vary in their trading timelines.Some traders engage in daily or even hourly trading, necessitating activity during periods with optimal trading volumes and notable price movements.
Kill zones refer to parts of a session characterized by higher trading volumes and increased price volatility compared to the rest of the session.
🔵 How to Use
🟣 Session Times
The "Asia Session" comprises two parts: "Sydney" and "Tokyo." This session begins at 23:00 and ends at 06:00 UTC. The "Asia KillZone" starts at 23:00 and ends at 03:55 UTC.
The "London Session" includes "Frankfurt" and "London," starting at 07:00 and ending at 14:25 UTC. The "London KillZone" runs from 07:00 to 09:55 UTC.
The "New York" session starts at 14:30 and ends at 19:25 UTC, with the "New York am KillZone" beginning at 14:30 and ending at 22:55 UTC.
🟣 ACD Methodology
The ACD strategy is versatile, applicable to various markets such as stocks, commodities, and forex, providing clear buy and sell signals to set price targets and stop losses.
This strategy operates on the premise that the opening range of trades holds statistical significance daily, suggesting that initial market movements impact the market's behavior throughout the day.
Known as a breakout strategy, the ACD method thrives in volatile or strongly trending markets like crude oil and stocks.
Some key rules for employing the ACD strategy include :
Utilize points A and C as critical reference points, continually monitoring these during trades as they act as entry and exit markers.
Analyze daily and multi-day pivot ranges to understand market trends. Prices above the pivots indicate an upward trend, while prices below signal a downward trend.
In forex trading, the ACD strategy can be implemented using the ACD indicator, a technical tool that gauges the market's supply and demand balance. By evaluating trading volume and price, this indicator assists traders in identifying trend strength and optimal entry and exit points.
To effectively use the ACD indicator, consider the following :
Identifying robust trends: The ACD indicator can help pinpoint strong, consistent market trends.
Determining entry and exit points: ACD generates buy and sell signals to optimize trade timing.
Bullish Setup :
When the "A up" line is breached, it’s wise to wait briefly to confirm it’s not a "Fake Breakout" and that the price stabilizes above this line.
Upon entering the trade, the most effective stop loss is positioned below the "A down" line. It's advisable to backtest this to ensure the best outcomes. The recommended reward-to-risk ratio for this strategy is 1, which should also be verified through backtesting.
Bearish Setup :
When the "A down" line is breached, it’s prudent to wait briefly to ensure it’s not a "Fake Breakout" and that the price stabilizes below this line.
Upon entering the trade, the most effective stop loss is positioned above the "A up" line. Backtesting is recommended to confirm the best results. The recommended reward-to-risk ratio for this strategy is 1, which should also be validated through backtesting.
Advantages of Combining Kill Zone and ACD Method in Market Analysis :
Precise Trade Timing : Integrating the Kill Zone strategy with the ACD Method enhances precision in trade entries and exits. The ACD Method identifies key points for trading, while the Kill Zone focuses on high-activity periods, together ensuring optimal timing for trades.
Better Trend Identification : The ACD Method’s pivot ranges help spot market trends, and when combined with the Kill Zone’s emphasis on periods of significant price movement, traders can more effectively identify and follow strong market trends.
Maximized Profits and Minimized Risks : The ACD Method's structured approach to setting price targets and stop losses, coupled with the Kill Zone's high-volume trading periods, helps maximize profit potential while reducing risk.
Robust Risk Management : Combining these methods provides a comprehensive risk management strategy, strategically placing stop losses and protecting capital during volatile periods.
Versatility Across Markets : Both methods are applicable to various markets, including stocks, commodities, and forex, offering flexibility and adaptability in different trading environments.
Enhanced Confidence : Using the combined insights of the Kill Zone and ACD Method, traders gain confidence in their decision-making process, reducing emotional trading and improving consistency.
By merging the Kill Zone’s focus on trading volumes and the ACD Method’s structured breakout strategy, traders benefit from a synergistic approach that enhances precision, trend identification, and risk management across multiple markets.
Scalping System by Machine# Custom Trading System Indicator
This Pine Script indicator is designed to identify potential trading setups based on a specific set of rules. It's intended for use on lower timeframes (M1-M5) in the forex market, particularly during the New York-London overlap period.
## Key Features
1. **EMA Condition**: Uses a 20-period Exponential Moving Average (EMA) to determine trend direction.
2. **Candle Analysis**: Identifies strong bars and candle color changes.
3. **Volume Confirmation**: Checks for increasing volume.
4. **Volatility Filter**: Utilizes the Average True Range (ATR) to gauge market volatility.
5. **Time-based Filter**: Highlights the New York-London overlap period.
6. **Visual Aids**: Plots potential entry points, stop losses, and take profit levels.
## Trading Rules
1. **Buy Signal**:
- Price is above the 20 EMA
- Candle color changes from red to green
- Current candle is a strong bar (closing within 75% of its range)
- Volume is higher than the previous bar
- ATR(14) is above 4 pips OR it's during the NY-London overlap
2. **Sell Signal**:
- Price is below the 20 EMA
- Candle color changes from green to red
- Current candle is a strong bar (closing within 75% of its range)
- Volume is higher than the previous bar
- ATR(14) is above 4 pips OR it's during the NY-London overlap
3. **Stop Loss**: Placed near the low of the setup candle for buys, or near the high for sells.
4. **Take Profit**: Aimed at 1R (one times the range of the setup candle).
## Visual Elements
- **20 EMA**: Plotted as a blue line on the chart.
- **Buy Signals**: Green triangles below the candles.
- **Sell Signals**: Red triangles above the candles.
- **Stop Loss Levels**: Small red dots at the calculated stop loss prices.
- **Take Profit Levels**: Small green dots at the calculated take profit prices.
- **Information Table**: Displays current values for ATR, strong bar condition and volume condition.
## Usage Notes
1. This indicator is designed for manual trading, not automated execution.
2. It works best when combined with analysis of major trend lines, support, and resistance levels.
3. Exercise caution with very large setup candles.
4. Consider additional filters or money management rules for enhanced performance.
5. For higher timeframe bias validation, consider incorporating a 100-period break of structure (BOS) analysis.
## Customization
The indicator includes several input parameters that can be adjusted:
- EMA Length
- ATR Length and Threshold
- Volume Multiplier
- Strong Bar Percentage
Users can also toggle the visibility of stop loss and take profit markers.
Remember, while this indicator can identify potential setups, it should be used in conjunction with other forms of analysis and risk management strategies. Always consider the overall market context and your personal risk tolerance when making trading decisions.
Glitch IndexGlitch Index is an oscillator from an unknown origin that is discovered in 2013 as a lua indicator taken from MetaStock days and we are not really sure how far back the original idea goes.
How it Works?
As I found this indicator and looking at it's code in different platform I can see it comes back from a basic idea of getting a price value, calculating it's smoothed average with a set multiplier and getting the difference then presenting it on a simplified scale. It appears to be another interpretation of figuring out price acceleration and velocity. The main logic is calculated as below:
price = priceSet(priceType)
_ma = getAverageName(price, MaMethod, MaPeriod)
rocma = ((_ma - _ma ) * 0.1) + 1
maMul = _ma * rocma
diff = price - maMul
gli_ind = (diff / price) * -10
How to Use?
Glitch Index can be used based on different implementations and along with your already existing trading system as a confirmation. Yoıu can use it as a Long signal when the histogram crosses inner levels or you can use it as an overbough and oversold signals when the histogram crosses above outter levels and gets back in the range between outter and inner levels.
You can customise the settings and set your prefered inner and outter levels in indicator settings along with gradient or static based coloring and modify the code as you see fit. The coloring code is set below:
gli_col = gli_ind > outterLevel ? color.green : gli_ind < -outterLevel ? color.red : gli_ind > innerLevel ? color.rgb(106, 185, 109, 57) : gli_ind < -innerLevel ? color.rgb(233, 111, 111, 40) : color.new(color.yellow, 60)
gradcol = color.from_gradient(gli_ind, -outterLevel, outterLevel, color.red, color.green)
colorSelect = colorType == "Gradient" ? gradcol : gli_col
ATR (Average True Range) mit relative/absolute Zahlen GERMAN:
Schnelle Zusammenfassung:
Dieses Skript basiert auf dem ATR-Indikator und wurde so angepasst, dass sowohl relative (%) als auch absolute Zahlen angezeigt werden. Es bietet eine Darstellung des ATR in absoluten und prozentualen Werten sowie multipliziert mit den Faktoren x2, x2.5 und x3. Diese Darstellung erleichtert die Festlegung von Stop-Kursen, insbesondere für Trailing Stops und Trailing Abstände.
Periode:
Die Periode ist einstellbar und definiert die Länge der Berechnung des ATR (Standardwert: 14).
Glättung: Es stehen verschiedene Methoden zur Auswahl, um die Daten zu glätten (RMA, SMA, EMA, WMA).
Berechnungen:
ATR (Absolute Zahl): Berechnung der durchschnittlichen wahren Reichweite (ATR) unter Verwendung der ausgewählten Glättungsmethode und Periode.
ATR (Prozentualer Wert): Berechnung des ATR als Prozentsatz des aktuellen Schlusskurses.
Multiplikation des ATR: Berechnung des ATR multipliziert mit den Faktoren 2, 2.5 und 3 zur Einschätzung verschiedener Handelsszenarien.
Darstellung:
Absoluter ATR-Wert: Darstellung der absoluten ATR-Werte in Blau.
Relative ATR-Werte (%): Darstellung der prozentualen ATR-Werte, ohne Linie in der Grafik (transparent).
Multiplizierte ATR-Werte (x2, x2.5, x3): Darstellung der multiplizierten ATR-Werte in den Farben Grün (x2), Orange (x2.5) und Lila (x3).
Textbeschriftungen: Für jeden absoluten ATR-Wert und seine Multiplikationen werden Textbeschriftungen links im Chart angezeigt.
Verwendung des Indikators:
Dieser Indikator unterstützt Trader und Analysten dabei, die durchschnittliche wahre Reichweite (ATR) eines Finanzinstruments zu verstehen und zu visualisieren. Die verschiedenen Multiplikationen des ATR ermöglichen es, potenzielle Preisbewegungen zu analysieren und Handelsstrategien zu entwickeln, die auf der Volatilität basieren.
Hinweis:
Dies ist meine persönliche Meinung und Einstellung. Dieses Skript stellt keine Bankberatung oder Anlageempfehlung dar. Die Nutzung erfolgt auf eigenes Risiko und Verantwortung des Nutzers.
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ENGLISH:
Quick Summary:
This script is based on the ATR (Average True Range) indicator and has been modified to display both relative (%) and absolute values. It provides a representation of ATR in absolute and percentage terms, as well as multiplied by factors x2, x2.5, and x3. This visualization aids in setting stop-loss levels, especially for trailing stops and trailing distances.
Period:
The period is adjustable and defines the length of the ATR calculation (default: 14).
Smoothing: Various methods are available to smooth the data (RMA, SMA, EMA, WMA).
Calculations:
ATR (Absolute Value): Computes the Average True Range using the selected smoothing method and period.
ATR (Percentage Value): Calculates the ATR as a percentage of the current closing price.
Multiplication of ATR: Computes the ATR multiplied by factors 2, 2.5, and 3 to assess different trading scenarios.
Visualization:
Absolute ATR Value: Displays the absolute ATR values in blue.
Relative ATR Values (%): Shows the ATR values as percentages, without lines in the chart (transparent).
Multiplied ATR Values (x2, x2.5, x3): Presents the multiplied ATR values in green (x2), orange (x2.5), and purple (x3).
Text Labels: Text labels are shown on the left side of the chart for each absolute ATR value and its multiples.
Use of the Indicator:
This indicator helps traders and analysts understand and visualize the Average True Range (ATR) of a financial instrument. The different multipliers of ATR allow for the analysis of potential price movements and the development of trading strategies based on volatility.
Disclaimer:
This represents my personal opinion and viewpoint. This script does not constitute bank advice or investment recommendations. Use it at your own risk and responsibility.
ALT - ATR Percent Rank🔵 Description
The "ALT - ATR Percent Rank" indicator is a financial analysis tool designed to assess the volatility of an asset relative to its historical behavior, using the Average True Range (ATR) metric.
🔵 Purpose
The indicator aims to provide traders with insights into how the current volatility of an asset compares to its past levels. By evaluating the Percent Rank of the ATR, traders can determine if the current ATR value is high or low in the context of a specified historical period.
🔵 Functionality
• Asset and Timeframe Flexibility
Selectable Asset: Users can choose to apply the indicator to a different asset than the one currently displayed on the chart. This is particularly useful for comparing the volatility of multiple assets without switching charts.
Customizable Timeframe: The indicator can be set to analyze the ATR on different timeframes, regardless of the chart's current timeframe. This allows for multi-timeframe analysis without changing the view of the current chart.
• ATR Calculation
The Average True Range (ATR) is calculated over a user-defined number of bars (ATR Length). ATR is a commonly used measure of volatility that captures the degree of price movement per bar.
REF: Average True Range (ATR) Calculation
• Percent Rank Analysis
The indicator computes the Percent Rank of the current ATR value based on a specified lookback period (Percent Rank Lookback). This tells users how the current ATR compares to ATR values over the recent past, expressed as a percentile. For example, a Percent Rank of 90% indicates that the current ATR is higher than 90% of its values over the chosen lookback period, suggesting higher volatility.
• Visualization
The result is plotted as a line on a separate panel below the main trading chart, making it easy to view changes in volatility relative to historical levels.
🔵 Use Cases
• Trend Confirmation
Traders might use the indicator to confirm if a price movement is backed by significant volatility changes, which could validate the strength of a trend.
• Risk Management
Understanding when an asset is experiencing unusually high or low volatility could help in adjusting trading strategies, such as altering position sizes or setting stop-loss orders.
• Comparative Analysis
By enabling the analysis of different assets or timeframes, traders can perform comparative volatility studies, which can be essential in portfolio management or when seeking diversification opportunities.
This indicator is a valuable tool for traders who rely on volatility analysis to make informed trading decisions, providing a clear, quantifiable measure of how current market conditions compare to historical data.
Wyckoff Springs [QuantVue]The Wyckoff Springs indicator is designed to identify potential bullish reversal patterns known as "springs" in the Wyckoff Method. A Wyckoff spring occurs when the price temporarily dips below a support level, then quickly rebounds, suggesting a false breakdown and a
potential buying opportunity.
How it works:
Pivot detection:
The indicator identifies pivot lows based on the specified pivot length.
These pivot points are stored and analyzed for potential spring patterns.
Volume and Range Checks:
If volume confirmation is enabled, the indicator checks if the current volume exceeds a threshold based on the average volume over the specified period.
The indicator ensures that the price undercuts the defined trading range before confirming a spring pattern.
Spring Identification
The indicator checks for price conditions indicative of a Wyckoff spring: a temporary dip below a pivot low followed by a close above it. The recovery must take place within 3 bars.
If these conditions are met, a spring label is placed below the bar.
Features:
Pivot Length:
The user can set the pivot length to match any style of trading.
Volume Confirmation:
An optional feature where the user can specify if volume confirmation is required for a spring signal.
Volume threshold can be set to determine what constitutes significant volume compared to the average volume over a specified period. By default it is set to 1.5
How to Trade a Spring:
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MA MACD BB BackTesterOverview:
This Pine Script™ code provides a comprehensive backtesting tool that combines Moving Average (MA), Moving Average Convergence Divergence (MACD), and Bollinger Bands (BB). It is designed to help traders analyze market trends and make informed trading decisions by testing various strategies over historical data.
Key Features:
1. Customizable Indicators:
Moving Average (MA): Smooths out price data for clearer trend direction.
MACD: Measures trend momentum through MACD Line, Signal Line, and Histogram.
Bollinger Bands (BB): Identifies overbought or oversold conditions with upper and lower bands.
2. Flexible Trading Direction: Choose between long or short positions to adapt to different market conditions.
3. Risk Management: Efficiently allocate your capital with customizable position sizes.
4. Signal Generation:
Buy Signals: Triggered by crossovers for MACD, MA, and BB.
Sell Signals: Triggered by crossunders for MACD, MA, and BB.
5. Automated Trading: Automatically enter and exit trades based on signal conditions and strategy parameters.
How It Works:
1. Indicator Selection: Select your preferred indicator (MA, MACD, BB) and trading direction (Long/Short).
2. Risk Management Configuration: Set the percentage of capital to allocate per position to manage risk effectively.
3.Signal Detection: The algorithm identifies and plots buy/sell signals directly on the chart based on the chosen indicator.
4. Trade Execution: The strategy automatically enters and exits trades based on signal conditions and configured strategy parameters.
Use Cases:
- Backtesting: Evaluate the effectiveness of trading strategies using historical data to understand potential performance.
- Strategy Development: Customize and expand the strategy to incorporate additional indicators or conditions to fit specific trading styles.
ADDONS That Affect Strategy:
1. Indicator Parameters:
Adjustments to the settings of MACD (e.g., fast length, slow length), MA (e.g., length), and BB (e.g., length, multiplier) will directly impact the detection of signals and the strategy's performance.
2. Trading Direction:
Changing the trading direction (Long/Short) will alter the entry and exit conditions based on the detected signals.
3. Risk Management Settings:
Modifying the position size percentage affects capital allocation and overall risk exposure per trade.
ADDONS That Do Not Affect Strategy:
1. Visual Customizations:
Changes to the color, shape, and style of the plotted lines and signals do not impact the core functionality of the strategy but enhance visual clarity.
2. Text and Labels:
Modifying text labels for the signals (such as renaming "Buy MACD" to "MACD Buy Signal") is purely cosmetic and does not influence the strategy’s logic or outcomes.
Notes:
- Customization: The indicator is highly customizable to fit various trading styles and market conditions.
- Risk Management: Adjust position sizes and risk parameters according to your risk tolerance and account size.
- Optimization: Regularly backtest and optimize parameters to adapt to changing market dynamics for better performance.
Getting Started:
-Add the script to your chart.
-Adjust the input parameters to suit your analysis preferences.
-Observe the marked buy and sell signals on your chart to make informed trading decisions.
Quantum Duality Predictive Ranges### Quantum Duality Predictive Ranges v1.0
This Pine Script is designed to help traders predict price ranges and manage risk dynamically using ATR (Average True Range) calculations. It offers customizable settings, visual indicators, and alerts to assist in identifying trading opportunities and managing risk.
#### Key Features
- **Dynamic Risk Management**: Adjusts risk based on signals and cumulative risk.
- **Predictive Ranges**: Calculates predictive ranges based on ATR and user-defined multipliers.
- **Visual Indicators**: Plots lines and labels for easy visualization of trading signals and risk levels.
- **Alerts and Table**: Provides alerts for trading signals and displays a table with relevant trading data.
#### User Inputs
**EA Account Settings**
- **Initial Risk fixed in USD $**: Sets the initial risk amount in USD (default: 18).
- **Signal Multiply Factor for Risk**: Multiplier for signal risk (default: 1.257).
- **Pair Decimals**: Decimal places for pair pricing (default: 2).
**Trade Settings**
- **ATR Length**: Length for ATR calculation (default: 198).
- **ATR Factor**: Multiplier for ATR (default: 6.0).
- **ATR Source**: Source for ATR calculation (default: close).
- **ATR Multiplier**: Multiplier for defining RANGE Top/Bottom Levels (default: 0.45).
- **Inner Range Multiplier**: Multiplier for defining TP1 (default: 2.01).
- **Outer Range Multiplier**: Multiplier for defining TP2 (default: 3.0).
- **Spans Multiplier**: Multiplier for defining SL (default: 0.36).
**Display Options**
- **Display Table**: Option to display a table (default: true).
- **Display Labels for potential Gain and Loss**: Option to display gain/loss labels (default: true).
- **Display Labels for Bar counts since current Range**: Option to display bar counts (default: true).
- **Display Labels for Signals**: Option to display signal labels (default: true).
- **Line Width**: Width of the lines plotted (default: 1).
- **Line Transparency**: Transparency of the lines (default: 10).
- **Fill Transparency**: Transparency of the fill between lines (default: 75).
#### How It Works
1. **Predictive Ranges Calculation**:
- Calculates predictive ranges based on ATR, holds ATR values, and updates average values when price crosses defined levels.
2. **Risk Management and Signal Logic**:
- Counts the number of signals.
- Calculates cumulative and total risk based on signals.
- Resets signals and risk when price crosses predictive ranges.
3. **Entry Points and Potential Gains/Losses**:
- Determines buy and sell entry points.
- Calculates potential gains and losses for both buy and sell signals.
- Resets values when a new average range is established.
4. **Plotting and Alerts**:
- Plots lines for predictive ranges, spans, and stop loss levels.
- Displays labels for signals and potential gains/losses.
- Provides alerts for buy and sell signals with defined take profit and stop loss levels.
5. **Custom Ticker**:
- Renames tickers based on predefined rules (e.g., SPX500USD to SPX500).
#### Usage
1. **Set Up**:
- Adjust the input parameters in the settings menu to match your trading preferences and risk management strategy.
2. **Visualize**:
- View the plotted lines and labels on the chart to identify potential trading signals and manage risk.
3. **Alerts**:
- Enable alerts to receive notifications for buy and sell signals.
4. **Table**:
- Use the table to see a summary of important trading data, such as total risk and target levels.
This script provides a robust framework for managing risk and identifying trading opportunities using predictive ranges based on ATR. Happy trading!
[KVA] KATRThe KATR indicator enhances the traditional ATR by leveraging the most common candle body percentage range, tailoring volatility measurement to specific market contexts. This advanced tool provides more relevant insights tailored to current market conditions.
Key Features:
Configurable ATR Length : Allows users to set the period for the ATR calculation, providing flexibility to adapt to different trading strategies and timeframes.
Multiple Smoothing Options : Offers a choice of RMA, SMA, EMA, and WMA for smoothing the ATR, enabling traders to select the method that best suits their analysis style.
Histogram Visualization for ATR Differences: The histogram visually represents the difference between the ATR and its moving average. This difference, or "dif," is calculated and smoothed, then multiplied by a user-defined factor. The histogram color indicates market conditions:
Light Red: Increasing but below zero, signaling potential weakening.
Light Green: Increasing and above zero, indicating strengthening.
Dark Green: Decreasing but above zero, showing potential weakening.
Dark Red: Decreasing and below zero, indicating strong weakening.
Ideal for Traders:
This indicator is perfect for traders seeking precise, context-sensitive volatility assessments to optimize trade timing and risk management strategies. Integrated seamlessly with other technical indicators, the KATR enhances your trading dashboard by adding depth to volatility analysis.
Detailed Explanation:
ATR Calculation: The ATR is derived by taking the average true range over a specified period, multiplied by the most common body percentage found in historical data.
Smoothing: Users can smooth the ATR using different methods, adding flexibility and customization to suit various trading styles.
Histogram: The histogram's primary function is to visualize the difference between the current ATR and its smoothed average. This provides clear, visual signals for potential volatility expansions or contractions, aiding in better decision-making.
Whether you're a day trader or a long-term investor, the KATR helps you stay ahead of market trends with reliable and easy-to-interpret insights. Elevate your trading strategy with the KATR's innovative approach to volatility measurement.
Bollinger Bands Fast Trend Indicator [DCD]Description:
The Bollinger Bands Fast Trend Detector indicator is an advanced tool designed to provide traders with more precise trend detection and clearer entry and exit signals. This script builds upon the traditional Bollinger Bands indicator by adding customizable standard deviations and incorporating multiple moving averages to enhance the accuracy of the signals.
Main Features:
1. **Customizable Bollinger Bands**:
- Each Bollinger Band has its own standard deviation setting, allowing for more granular control and better trend detection.
- The short Bollinger Band is set to a 10-period SMA for faster trend recognition.
2. **Multiple Moving Averages**:
- The indicator includes several types of moving averages (SMA, EMA, LSMA, HMA, WMA) applied to the Bollinger Trend value, giving traders flexibility to choose the best fit for their strategy.
3. **Crossover and Crossdown Detection**:
- The script identifies crossover and crossdown points between the Bollinger Trend value and the selected moving average, marking potential buy and sell signals with green and red circles, respectively.
4. **Color-Coded Histogram**:
- The histogram bars are color-coded to indicate the strength and direction of the trend, making it easy to visualize market conditions at a glance.
Instructions:
1. **Adding the Script to Your Chart**:
- Open your TradingView chart and add the Bollinger Bands Fast Trend Detector indicator.
2. **Adjusting Parameters**:
- Customize the Bollinger Bands and moving average settings according to your trading preferences:
- `Short BB Length` (default: 10): Adjusts the length of the short Bollinger Band.
- `Long BB Length` (default: 50): Adjusts the length of the long Bollinger Band.
- `StdDev` (for both bands): Sets the standard deviation multiplier.
- `Moving Average Type`: Choose between SMA, EMA, LSMA, HMA, and WMA.
- `Moving Average Length` (default: 14): Sets the length of the moving average.
3. **Interpreting the Output**:
- Observe the BBTrend and moving average plots on your chart.
- Look for green circles indicating crossover points (potential buy signals) and red circles indicating crossdown points (potential sell signals).
- Use the color-coded histogram bars to assess the strength and direction of the trend.
Configurable Parameters:
- `shortLengthInput` (default: 10): Length of the short Bollinger Band.
- `longLengthInput` (default: 50): Length of the long Bollinger Band.
- `shortDevMultInput` (default: 1.0): Standard deviation multiplier for the short Bollinger Band.
- `longDevMultInput` (default: 2.0): Standard deviation multiplier for the long Bollinger Band.
- `maTypeInput` (default: SMA): Type of moving average (options: SMA, EMA, LSMA, HMA, WMA).
- `maLengthInput` (default: 14): Length of the moving average.
Code Explanation:
The script calculates two sets of Bollinger Bands with distinct lengths and standard deviations. The difference between the lower bands and upper bands is normalized by the short middle band to compute the BBTrend value. A selected moving average is then applied to this BBTrend value. The script plots the BBTrend, the moving average, and uses color-coded histogram bars to represent trend strength and direction. It also identifies and marks crossover and crossdown points to provide potential trading signals.
Disclaimer:
This script is for educational purposes only and should not be considered financial advice. Always perform your own analysis before making any trading decisions.
