MMI Signal

1 באפר׳ 2018

Trend trading strategies filtered by the Market Meanness Index.

This is a port of the experiment described at

financial-hacker.com/boosting-systems-by-trade-filtering/
financial-hacker.com/trend-delusion-or-reality/
financial-hacker.com/trend-and-exploiting-it/
financial-hacker.com/whites-reality-check/

The Market Meanness Index tells whether the market is currently moving in or out of a "trending" regime. It can this way prevent losses by false signals of trend indicators. It is a purely statistical algorithm and not based on volatility, trends, or cycles of the price curve.

The indicator measures the meanness of the market - its tendency to revert to the mean after pretending to start a trend. If that happens too often, all trend following systems will bite the dust.

Inputs

• Price Source: Either open, high, low, close, hl2, hlc3, or ohlc4. The default value is hlc3.
  
• Trend MA Type: Either SMA, EMA, LowPass, Hull MA, Zero-Lag MA, ALMA, Laguerre, Smooth, Decycle. The default value is LowPass.
  
• Trend MA Period: Sets the lookback period of trend MA. The default value is 200.
  
• MMI Period: Sets the lookback period of the Market Meanness Index. The default value is 300.
  

7 באפר׳ 2019

הערות שחרור

Fixed compilation error with recent pinescript version