This script automatically calculates and updates ICT's daily IPDA look back time intervals and their respective discount / equilibrium / premium, so you don't have to :) IPDA stands for Interbank Price Delivery Algorithm. Said algorithm appears to be referencing the past 20, 40, and 60 days intervals as points of reference to define ranges and related PD...
Implied Volatility Estimator using Black Scholes derives a estimation of implied volatility using the Black Scholes options pricing model. The Bisection algorithm is used for our purposes here. This includes the ability to adjust for dividends. Implied Volatility The implied volatility (IV) of an option contract is that value of the volatility of the...
This is a combination of the Lux Algo Nadaraya-Watson Estimator and Envelope. Please note the repainting issue. In addition, I've added a plot of the actual values of the current barstate of the Nadaraya-Watson windows as they are computed (lines 92-95). It only plots values for the current data at each time update. It is interesting to compare the trajectory...
End-Pointed SSA of Normalized Price Corridor is an end-pointed SSA of normalized input price to output a smoothed normalized oscillator of price. Corridors are added in attempt to decipher larger trend direction of price. These corridor trend lines are based on highs and lows of price. Due to the SSA algorithm, this indicator takes some time load on the chat, so...
This indicator combines Kaufman Efficiency Ratio (KER) and Price Density theories to create a unique market noise filter that is 'right on time' compared to using KER or Price Density alone. All data is normalized and merged into a single output. Additionally, this indicator provides the ability to consider background noise and background noise buoyancy to allow...
End-pointed SSA of Williams %R is an indicator that runes Williams %R SSA calculation through a Singular Spectrum Analysis (SSA) algorithm to derive a smoother final output. The reduction in noise from the traditional Williams %R is significant. What is Williams %R? Williams %R , also known as the Williams Percent Range, is a type of momentum indicator that...
SSA of Price ris an indicator that runs an SSA calculation on price to derive final output. This indicator also serves to introduce the concept of SSA to the Pine Coder community. The data returned from this algorithm is an array of modeled values on past X bars. Unlike the end-pointed SSA posted previously, this version pulls the modeled data from the output...
End-pointed SSA of Normalized Price Oscillator is an indicator that converts source price into a normalized oscillator and runs an SSA calculation to derived a smoother final output. This indicator also serves to introduce the concept of SSA to the Pine Coder community. The data returned from this algorithm is an array of modeled values on past X bars. We could...
Level 3 Background My view of correct usage of RSI and the relationship between RMI and RSI. A proposed RMI indicator with features is introduced Descriptions The Relative Strength Index (RSI) is a technical indicator that many people use. Its focus indicates the strength or weakness of a stock. In the traditional usage of this point, when the RSI is above 50,...
STD-Filtered, Adaptive Exponential Hull Moving Average is a Kaufman Efficiency Ratio Adaptive Hull Moving Average that uses EMA instead of WMA for its computation. I've also added standard deviation stepping to further smooth the signal. Using EMA instead of WMA turns the Hull into what's called the AEHMA. You can read more about the EHMA here:...
█ OVERVIEW A fast and improved divergence finding algorithm that aims to be better than the built-in TradingView divergence algorithm. █ CONCEPTS Wolfpack Wolfpack is an oscillator made popular by darrellfischer1 all the way back in 2017. Since then the Wolfpack oscillator has been utilized by a number of notable strategy/indicator creators. At some...
I wasn't going to post this because I don't like how this calculates by puling in the Open price, but I'm posting it anyway. This does work in it's current form but there is a. better way to do this. I'll revisit this in the future. Anyway... The k-Nearest Neighbor algorithm (k-NN) searches for k past patterns (neighbors) that are most similar to the current...
Hodrick-Prescott Extrapolation of Price is a Hodrick-Prescott filter used to extrapolate price. The distinctive feature of the Hodrick-Prescott filter is that it does not delay. It is calculated by minimizing the objective function. F = Sum((y(i) - x(i))^2,i=0..n-1) + lambda*Sum((y(i+1)+y(i-1)-2*y(i))^2,i=1..n-2) where x() - prices, y() - filter values....
Itakura-Saito Autoregressive Extrapolation of Price is an indicator that uses an autoregressive analysis to predict future prices. This is a linear technique that was originally derived or speech analysis algorithms. What is Itakura-Saito Autoregressive Analysis? The technique of linear prediction has been available for speech analysis since the late 1960s...
Phase Accumulation, Smoothed Williams %R Histogram is a Williams %R indicator using dynamic inputs from Ehlers Phase Accumulation Dominant Cycle Period Algorithm. This indicator includes alerts and signals and is in a smoothed histogram form. The version of Phase Accumulation in this indicator is a modified form of of Ehlers algorithm to allow for better...
Jurik DMX Histogram is the ultra-smooth, low lag version of your classic DMI indicator. What is the directional movement index? The directional movement index (DMI) is an indicator developed by J. Welles Wilder in 1978 that identifies in which direction the price of an asset is moving. The indicator does this by comparing prior highs and lows and drawing two...
Adaptive, Jurik-Filtered, JMA/DWMA MACD is MACD oscillator with a twist. The traditional calculation of MACD is the between two EMAs of price. This traditional approach yields a very noisy and lagged signal. To solve this problem, JMA/DWMA MACD uses the difference between adaptive Juirk-Filtered price and adaptive DWMA to yield a marked improvement over...
Adaptive, Jurik-Filtered, Floating RSI is an adaptive RSI indicator that smooths the RSI signal with a Jurik Filter. This indicator contains three different types of RSI. They are following. Wilders' RSI: The Relative Strength Index ( RSI ) is a well versed momentum based oscillator which is used to measure the speed (velocity) as well as the change...