Pulse Profiler [QuantraSystems]

2月22日

Pulse Profiler

Introduction
The Pulse Profiler (ℙℙ) is specifically designed to unambiguously indicate weakening momentum after a strong impulse. The upper and lower standard deviation bands also allow the user to assess the strength of an impulse and differentiate it from general noise.

Due to the ℙℙ’s rapid responsiveness to exhaustion in price movement it is ideally used for the trader to recognize when to start taking profit when combined with other indicators.

The novum is that by dynamically balancing its sensitivity to recent movements the ℙℙ considers the asset’s inherent volatility. By reducing noise without sacrificing signal, and by visualizing it in our typical modern QuantraAI style, the ℙℙ enhances the traders’ ability to distinguish impulses with weakening momentum from strong trending movements.



Legend
Impulse: The ℙℙ showing strength based on momentum and volume.
Dynamic standard deviation bands: Rolling probability based bands based on a rolling normal distribution. Adjustable, recommended are σ = 1.5 to σ = 2.5.
Neutral lines: Dynamic thresholds which get often respected as support or resistance.



Case Study
To properly employ the ℙℙ, the trader should use it to identify out-of-the-ordinary 𝓲𝓶𝓹𝓾𝓵𝓼𝓮𝓼 which cause a following exhaustion.

The rolling standard deviation bands incorporate the asset’s historical behavior in regards to its inherent volatility on a rolling basis. If the asset shows strong 𝓲𝓶𝓹𝓾𝓵𝓼𝓮𝓼 that go beyond the rolling standard deviation, the event has been highly improbable. The trader then needs to determine if the price change was caused by critical external factors. If not, it is highly probable that the momentum exhausts and that price movement plateaus to enter a range.

These signals indicate that it is highly probable that closing a position upon these conditions is the correct choice.

If the 𝓲𝓶𝓹𝓾𝓵𝓼𝓮 reverses and retraces into the opposite direction, while moving more than 1.5σ across just 3 bars on the 4H chart, the signal indicates that a reversal is pushing the price down – in both momentum and volume.

A sharp reversal thus becomes more probable than not.

The ℙℙ can also be calibrated to find possible trend exhaustions on a longer timeframe (1D).

Please always use multiple Quantra indicators to add confirmations to your signals.


Recommended Settings

Swing Trading (4H chart)
Standard Deviation Lookback: 150
Standard Deviation Multiplier (σ): 2.5
Display Variant: Classic
Choose Mode for Bar Coloring: Signal


Trend exhaustion (1D chart)
Standard Deviation Lookback: 200
Standard Deviation Multiplier (σ): 2.0
Display Variant: Classic
Choose Mode for Bar Coloring: Extremes


Notes
Quantra Standard Value Contents:
The Heikin-Ashi (HA) candle visualization smoothes out the signal line to provide more informative insights into momentum and trends. This allows earlier entries and exits by observing the indicator values transformed by the HA.

Various visualization options are available to adjust the indicator to the user’s preference: Aside from HA, a classic line, or a hybrid of both.

A special feature of Quantra’s indicators is that they are probabilistically built - therefore they work well as confluence and can easily be stacked to increase signal accuracy.

To add to Quantra's indicators’ utility we have added the option to change the price bars colors based on different signals:

Choose Mode for Coloring

• Trend Following (Indicator above mid line counts as uptrend, below is downtrend)
  
• Extremes (Everything beyond the SD bands is highlighted to signal mean reversion)
  
• Candles (Color of HA candles as barcolor)
  
• Reversions (Only for HA) (Reversion Signals via the triangles if HA candles change trend while beyond the SD bands, high probability entries/exits)
  

1. The ℙℙ is also sensitive to divergences for those interested in utilizing this feature.
   
2. Through a special combination of price, volume and momentum you get a holistic overview on the impulse strengths of movements.
   
3. The two neutral lines in the center act as dynamic, volume and volatility adjusted thresholds. Often the signal line respects them as support and resistance.
   
4. The upper and lower standard deviation lines express the rarity of an impulse based on the asset’s inherent volatility.
   
5. The indicator needs a long enough timespan to build up its probability estimation, therefore the asset needs sufficient price history.
   
6. The indicator requires thorough volume data. If the source of an asset pair does not forward it, try to find another source or exchange for the same pair.
   
7. Signal Mode on the 4H chart is a relevant part of this indicator when used in isolation and helps to analyze momentum adjusted by volatility.
   

Methodology
The ℙℙ combines the Arnaud Legoux Moving Average (ALMA) with a bespoke volume and momentum calculation, with a classical Exponential Moving Average (EMA) on price data.

• The ℙℙ itself integrates ALMA for volume and momentum with an EMA calculation on price, creating a unique blend that expresses impulses using their three raw main components.
  
• The indicator calculates dynamic standard deviation bands based on an adjustable lookback period and the adjustable sigma (σ), to signal when the impulse strength is just uncommon or even extraordinary when compared to the usual price movements:
  
• σ = 1.5 the probability of similar impulse strength occuring is 13.37% / 2, hence ~ 6.69%
  
• σ = 2.0 the probability of similar impulse strength occuring is ~ 2.28%
  
• σ = 2.5 the probability of similar impulse strength occuring is ~ 0.62%
  
• By detecting extremely improbable conditions the indicator can create an inversely highly probable signal to its user.
  
• Neutral bands are calculated based on the ℙℙ alongside a rolling, dynamic multiplier. This effectively provides dynamic thresholds for approximating common volatility.
  
• Heikin Ashi method: The indicator uses a custom function to calculate Heikin Ashi values, useful for smoothing impulse data and identifying trends.
  
• Reversion Signals: Specifically for Heikin Ashi displays, we plot triangles as signals, useful to easily spot potential reversals.
  
• The Signal Mode uses these different thresholds to highlight significant market moves.
  

3月14日

版本注释

Added 'Dynamic' capabilities.
Added 'Compressed Signal Mode'.

10月15日

版本注释

• Cleaned up input menu for more uniform structure.
  
• Added signal table.