Bridge Bands [joecat808]
Bridge Bands are an implementation of the work done by Joe Catanzaro (joecat808) to produce a risk range for a security.
The basic idea is to calculate Mandelbrot's "Bridge Range". (Pg. 179 of Misbehavior of Markets)
It then calculates Bollinger Bands.
Then next step is to calculate the Hurst Exponent.
The last step is to merge the Bridge Range and the Bollinger Bands. The basic concept is if H = .5 we use the Bollinger Bands and the farther away we move from .5 in either direction the Bridge Range takes more precedent.
There is a Trend value that is the mid-point of a 3 month Donchian Channel. If price is above we're bullish, if price is below we're bearish.
Lastly, there is also an option info box with data regarding the underlying's position within the range, as well as an experimental position size calculation.
The basic idea is to calculate Mandelbrot's "Bridge Range". (Pg. 179 of Misbehavior of Markets)
It then calculates Bollinger Bands.
Then next step is to calculate the Hurst Exponent.
The last step is to merge the Bridge Range and the Bollinger Bands. The basic concept is if H = .5 we use the Bollinger Bands and the farther away we move from .5 in either direction the Bridge Range takes more precedent.
There is a Trend value that is the mid-point of a 3 month Donchian Channel. If price is above we're bullish, if price is below we're bearish.
Lastly, there is also an option info box with data regarding the underlying's position within the range, as well as an experimental position size calculation.
הערות שחרור:
Added a resolution input parameter
הערות שחרור:
To learn more visit https://www.facebook.com/groups/1592476887583895
הערות שחרור:
Fixed issue with tickers like US10Y or COPPER where there were huge spikes in the range that would make the chart unreadable.
הערות שחרור:
Added a trade signal plot. It show's as circles. Calculation is the same as the trend plot just on a shorter duration, which is configurable.
Added a yes/no parameter to turn color coding of the info box on.
If on, colors are as follows:
- yellow: bullish, price is top quartile of range, asset does not have one month momentum and volume is decelerating
- pink: bullish, price is bottom quartile of range, asset does have one month momentum and volume is decelerating
- orange: bullish, price is bottom half of range
- green: none of above conditions met
- red: bearish
Added a yes/no parameter to turn color coding of the info box on.
If on, colors are as follows:
- yellow: bullish, price is top quartile of range, asset does not have one month momentum and volume is decelerating
- pink: bullish, price is bottom quartile of range, asset does have one month momentum and volume is decelerating
- orange: bullish, price is bottom half of range
- green: none of above conditions met
- red: bearish
הערות שחרור:
Change info box orange color code to blue.
הערות שחרור:
Two updates:
1. Added two additional trend signal methods. Existing option is title Donchian. Momentum is simply if the asset has positive price momentum over the lookback period. RSI is if the RSI is greater than the Trend RSI Threshold value. Default threshold is 50.
2. Added a Trend Confirmation Length input parameter. This basically says the trend signal has to be bearish for this many days to signal bearish, otherwise bullish.
Default values for the two new inputs are Donchian and 1 and will cause no change to current behavior.
1. Added two additional trend signal methods. Existing option is title Donchian. Momentum is simply if the asset has positive price momentum over the lookback period. RSI is if the RSI is greater than the Trend RSI Threshold value. Default threshold is 50.
2. Added a Trend Confirmation Length input parameter. This basically says the trend signal has to be bearish for this many days to signal bearish, otherwise bullish.
Default values for the two new inputs are Donchian and 1 and will cause no change to current behavior.
הערות שחרור:
Added a fourth Trend Signal Method of VixFix. It is basically bullish if the VixFix is below it's Trend line, and bearish if above.
I also made it so the Donchian Trend line will show when using RSI of VixFix for the Trend Signal Method, just for a point of reference. If this causes confusion, you should be able to hide Trend plot in the appearance settings of the indicator.
I also made it so the Donchian Trend line will show when using RSI of VixFix for the Trend Signal Method, just for a point of reference. If this causes confusion, you should be able to hide Trend plot in the appearance settings of the indicator.
הערות שחרור:
Converted info box into table anchored in the top right corner. Much easier to see various color-coded metrics.
Added marker plots for HHs, HLs, etc over in the range over a specified lookback period
Added input parameters for bullish, bearish and text colors
Added marker plots for HHs, HLs, etc over in the range over a specified lookback period
Added input parameters for bullish, bearish and text colors
הערות שחרור:
Added optional plots to show the bridge range and bollinger bands that the bridge bands are created from