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טווח ממוצע אמיתי (ATR)

N-ACD (NuwenPham's ACD)N-ACD (Opening Range + A/C Levels) Turns the open into a repeatable framework for futures day trading: Opening Range (OR) : defines an objective early-session balance/imbalance zone based on your selected start time + OR minutes. A & C Levels (ATR-scaled) : expansion levels above/below the OR. A_dist = ATR(ATR Period on ATR Timeframe) × ATR % A C_dist = ATR(ATR Period on ATR Timeframe) × ATR % C Show Selected OR Box : highlights the most recent OR window for the chosen preset/custom time. Inspect All Previous ORs : shows prior sessions’ OR boxes for the same operative OR time (lookback capped by OR events) to visually compare which OR window best “catches the move” on this asset. Use cases Breakouts, fades, trend days, mean reversion: consistent structure without hand-drawing levels. Event days (e.g., EIA releases): frame pre/post-event volatility around OR → A → C expansions. Notes OR time detection uses the GMT Offset input (manual by design for global sharing). Inspect mode prunes older boxes past the configured OR-event lookback. Attribution Fork lineage includes QuantCT “ACD - Layers 1 & 2” (Pine v4) and the broader “Opening Range and ACD Levels” family; this script is published under MPL-2.0 terms.
אינדיקטור Pine Script®
מאת ‎NuwenPham‎
Ultimate RegimeUltimate Regime | MisinkoMaster Ultimate Regime is an advanced market environment classification tool designed to identify whether an asset is currently operating in a trending or mean-reverting regime. Instead of focusing on entry signals, the indicator concentrates on answering a more fundamental question: what type of market are we trading right now? By continuously evaluating market structure, volatility behavior, and directional persistence, the script provides a unified regime view that helps traders adapt strategy selection, risk management, and trade expectations to current conditions. This makes Ultimate Regime particularly valuable for traders using multiple systems, algorithmic frameworks, or discretionary approaches that perform differently depending on market state. Core Concept Markets alternate between expansion phases where directional movement dominates and contraction phases where price oscillates around equilibrium. Strategies built for one condition often underperform in the other. Ultimate Regime solves this by aggregating several environment measurements into a single regime score that expresses whether the market currently favors: • Trend continuation strategies • Breakout participation • Momentum trading or instead • Range trading • Mean reversion strategies • Oscillation-based setups The indicator therefore acts as a decision filter rather than a trade trigger. Key Features Unified regime classification combining multiple market characteristics Automatic detection of trending vs mean-reverting environments Smooth regime transitions to reduce noise and false flips Visual histogram representing regime strength Automatic chart candle coloring based on environment On-chart regime change labeling for clarity Configurable lookback and smoothing controls Works across all timeframes and asset classes Suitable for discretionary and systematic traders Designed for integration into multi-indicator workflows How It Works (Conceptual) Instead of relying on a single measurement, Ultimate Regime evaluates several dimensions of market behavior simultaneously, such as: • Price expansion versus contraction • Volatility shifts • Directional persistence • Structural movement characteristics These components are normalized and combined into a composite regime value. The result is then smoothed to ensure regime changes reflect genuine environment shifts rather than short-term fluctuations. When the combined regime value turns positive, the market is considered to favor directional movement. When it turns negative, price behavior favors oscillation and mean reversion. The internal weighting and transformation methods remain proprietary in the invite-only version. Regime States Explained Trending Regime Indicates directional dominance where price tends to move persistently in one direction. Momentum and breakout systems typically perform better under these conditions. Mean Reverting Regime Indicates oscillatory behavior where price frequently returns toward equilibrium zones. Range strategies and reversal setups often become more effective. Neutral Transitions Short transition periods may occur during regime changes as the environment reorganizes before committing to a dominant state. Visual Components Regime Histogram A histogram displays regime strength and direction, making it easy to gauge whether trending or reverting behavior dominates. Colored Candles Price candles automatically change color according to regime classification, allowing instant environment recognition directly on the chart. Regime Change Labels Labels appear when regime shifts occur, helping traders visually track transitions between trending and mean-reverting phases. Reference Thresholds Visual guide levels help users understand regime extremes and neutral zones. Inputs Overview Source Selects the price data used for regime analysis. High-Low Difference Lookback Controls how far back structural price expansion is evaluated. ATR Lookback Adjusts how volatility expansion or contraction is measured. Standard Deviation Lookback Defines the evaluation window for statistical price dispersion. ADX Lookback Controls directional persistence measurement sensitivity. Smoothing Period Applies smoothing to regime calculations, balancing responsiveness and stability. Higher smoothing reduces noise but delays regime changes. Lower smoothing reacts faster but may increase regime flipping. Usage Guidelines Use Ultimate Regime as a strategy filter rather than a direct entry signal. Trending regime environments generally favor: • Breakout systems • Momentum entries • Trend-following approaches • Pullback continuation trades Mean-reverting environments generally favor: • Range trading • Support and resistance reversals • Oscillation strategies • Counter-trend setups Regime analysis works best when combined with entry and risk tools rather than used standalone. Practical Applications Strategy selection switching between trend and range systems Position sizing adjustments based on environment strength Filtering trades that conflict with prevailing market behavior Algorithmic system optimization Portfolio regime monitoring Timeframe alignment analysis Parameter Tuning Notes Lower lookback values increase responsiveness but may produce faster regime changes. Higher lookback values stabilize regime detection for swing or position trading. Short smoothing periods work better for intraday trading. Longer smoothing periods help long-term traders avoid noise. Optimal settings vary by asset volatility and timeframe. Best Practices Combine regime detection with price structure and confirmation tools. Avoid forcing trend systems in reverting environments and vice versa. Use regime awareness to improve trade selection discipline. Backtest strategies separately for trending and mean-reverting periods. Summary Ultimate Regime provides a structured and adaptive view of market conditions by classifying whether the environment favors trend continuation or mean reversion. By separating environment analysis from trade signals, traders gain clarity in strategy selection and improve consistency across changing market conditions. The invite-only version preserves proprietary calculation methods while delivering a robust regime detection framework suitable for discretionary traders, system developers, and algorithmic strategies alike.
אינדיקטור Pine Script®
מאת ‎MisinkoMaster‎
Daily NATR Percentile (Regime + Alerts)Daily NATR Percentile — Volatility Regime Filter for Swing Traders This indicator is designed to help traders objectively identify market volatility regimes and adjust risk exposure accordingly. Rather than using ATR as a stop or entry signal, this tool treats volatility as an environmental variable — answering the question: Is the current market condition supportive of swing trading, or is capital preservation the priority? It calculates Daily NATR (Normalized ATR) and ranks today’s value against the previous N days using a percentile approach. This removes price-level bias and focuses on relative volatility expansion or contraction. The result is a normalized 0–100 volatility score: • Low values = quiet, trend-friendly environment • High values = unstable, distribution / forced-selling regime ⸻ Core Components 1. Daily NATR Percentile • ATR is calculated on Daily timeframe • Normalized by Daily Close (ATR / Close × 100) • Current value is ranked against a configurable Daily lookback window (default: 20 days) This answers: How volatile is today compared to recent history? ⸻ 2. Volatility Regime Levels (Customizable) Default thresholds: • Low Vol: 20% • Mid: 50% • High Vol: 80% These levels define three behavioral modes: 🟢 Low Regime (Quiet Market) • Trend continuation favored • Breakouts and pullbacks work best • Full position sizing allowed • Pyramid / add-ons acceptable 🟡 Mid Regime (Mixed Participation) • Selective entries only • Reduced position sizing • Faster profit taking • Fewer simultaneous positions 🔴 High Regime (Distribution / Forced Selling) • Correlation spikes • Fake breakouts increase • Intraday whipsaws common Risk management mode: • Minimal exposure • No pyramiding • Only tight support entries (if any) • Cash becomes a position Background shading visually highlights High and Low regimes. ⸻ 3. Percentile Slope (Volatility Acceleration) The slope measures how fast volatility is changing. This is critical for detecting regime transitions: • Slope > 0 → volatility expanding • Slope < 0 → volatility contracting Key patterns: Percentile Slope Interpretation Low Down Ideal swing environment Low Up Early warning of instability High Up Active volatility expansion High Down Possible stabilization after panic The slope is not an entry signal — it is an early feedback mechanism for adjusting exposure. ⸻ How I Personally Use This Indicator This tool governs position sizing and portfolio exposure, not trade selection. My workflow: 1. Identify market regime using Daily NATR Percentile 2. Observe slope for acceleration or deceleration 3. Adjust exposure progressively: Example logic: • Percentile < 30 AND slope < 0 → Full risk allowed • Percentile rising from Low + slope turning positive → Reduce new entries, tighten stops • Percentile > 70 AND slope > 0 → Defensive mode (minimal risk, capital preservation) This creates a feedback loop: Market environment → risk allocation → performance feedback Exposure increases only when conditions improve, and contracts automatically when volatility expands. ⸻ Philosophy Most drawdowns don’t come from bad stock selection — they come from trading aggressively in hostile environments. This indicator enforces a simple principle: Trade the market you have, not the market you want. ⸻ Suggested Defaults • ATR Length: 14 • Percentile Lookback: 20 • High: 80 • Low: 20 • Slope Length: 5 Designed for swing traders, but adaptable to any timeframe via Daily regime filtering.
אינדיקטור Pine Script®
מאת ‎soso6079‎
Linda on Cinderella's Electric Curfew Session Capital Control The Legendary Linda Bradford Raschke's Health and Life Balance Cinderella's Electric Curfew Strategy – Session-Aware Risk Strategy This strategy enforces a strict "curfew" on trades: new entries are only allowed during selected market sessions (the "ball"), and all positions are automatically closed at or shortly after session end (midnight). Inspired by the fairy tale, it prevents overnight holds to reduce gap risk and promote disciplined capital preservation. Key Features: • Supports major exchanges: NYSE, London, Germany (Xetra), Tokyo, Hong Kong, Sydney — select one via inputs • Timezone-aware session handling (uses chart's exchange timezone) • Risk-based position sizing: risks only a user-defined % of equity per trade, calculated via ATR stop distance • Forced curfew exit: flattens positions on last session bar or after grace period (customizable in minutes) • Optional ATR-based stop-loss and take-profit levels • Simple SMA crossover entry example (easy to replace with your own signals) • Visuals: green bgcolor during allowed sessions, entry shapes, SMA plots Why Useful? Most strategies ignore session boundaries, leading to risky overnight exposure on stocks/indices. This one adds strong capital control by design — ideal for intraday traders avoiding gaps/news events outside regular hours. How to Use: 1. Apply to intraday charts (5m–1h recommended) of exchange-matched symbols (e.g., AAPL for NYSE). 2. Enable only ONE session checkbox (first enabled wins). 3. Adjust risk %, ATR multipliers, curfew grace. 4. Replace SMA signals with your preferred entry logic if needed. 5. Backtest carefully — curfew forces exits, so optimize around session closes. Limitations: - Best on session-based instruments (stocks, indices); less relevant for 24/7 markets like forex/crypto. - Grace period is approximate (bar-based); test on your timeframe. - No multi-session support (extendable via code if desired). Original work — combines session filtering with dynamic risk sizing for better real-world capital protection. Happy trading! 🚀
אסטרטגיית Pine Script®
מאת ‎uzair2join‎
Game Theory EMA with an alternate strategy Game Theory EMA Strategy – Trend-Following with Utility & Nash Filters This open-source strategy combines classic EMA crossover trend-following with simplified game-theory-inspired decision filters to improve entry quality and reduce whipsaws. Core Concept Traditional EMA strategies often suffer from false signals in ranging or low-conviction markets. This version adds lightweight game-theory proxies: - **Expected Utility** (EU): estimates relative strength of buyers vs sellers using RSI momentum, volume weighting, and trend bias - **Nash Equilibrium Proxy**: flags when buyer/seller forces are roughly balanced (low utility gap) → avoid trading in equilibrium (indecision/chop) - **Momentum Strength Ratio**: measures recent bullish vs bearish candle dominance These act as confirmation layers on top of EMA crossovers + trend filter + standard technical filters (ADX, volume, RSI), creating higher-confluence entries. Key Components & Logic 1. EMA Signals - Fast EMA (default 9) crosses above Slow EMA (21) → potential long - Fast crosses below Slow → potential short - Price must be above/below Trend EMA (50) for directional bias 2. Game Theory Filters (optional) - Buyer/Seller Expected Utility: combines RSI position, volume weight, trend direction - Utility Gap: absolute difference between buyer & seller EU → requires minimum gap (default 0.15) - Nash Equilibrium: low gap (<0.1) → market in balance → skip trade if filter enabled - Momentum Strength: ratio of bullish candles in lookback period 3. Additional Filters (toggleable) - ADX trend strength (medium or higher) - Volume surge (> SMA × multiplier) - RSI not in extreme zones (20–80) 4. Risk & Trade Management - ATR-based stop (default 1.2× ATR) - Fixed R:R target (default 1.5:1) - Max trades per day, max daily loss %, optional time filter - Multiple exit reasons: target hit, trend break (EMA slow), equilibrium, time-based Visuals & Dashboard - Fast (blue), Slow (red), Trend (orange) EMAs - Green/red background for up/down trend - Yellow background during Nash equilibrium (indecision zone) - Entry triangles + stop/target lines - Top-right info table showing: - Position, Trend, ADX strength - Buyer/Seller EU, Utility Gap, Nash status - Total trades & win rate - Trades today / daily limit Alerts - "GT Strategy: Long Signal" - "GT Strategy: Short Signal" - "GT Strategy: Nash Equilibrium" (warning) Realistic Backtesting & Usage Guidelines To publish non-misleading results: - Initial Capital: $10,000 – $50,000 (realistic retail/futures account) - Position sizing: 1–3% equity per trade (change default_qty_value from 95%!) - Commission: 0.03–0.1% per side or $4–$10 RT per contract (futures) - Slippage: 1–5 ticks (futures/indices) or 0.5–2 pips (forex) - Dataset: ≥12–36 months on chosen timeframe (aim for 300–800+ trades) - Risk per trade: 0.5–2% max — never exceed sustainable levels Expectations: - Best on trending instruments (NQ, ES, GC, XAUUSD, BTC, major forex) during active sessions - Fewer signals in choppy/low-volatility periods (Nash filter helps) - Drawdowns common during ranging markets — this is a trend-biased system, not reversal - News events can cause false entries — use time filter or manual discretion How to Use 1. Apply to high-liquidity symbols (NQ1!, ES1!, GC1!, XAUUSD, BTCUSD, EURUSD) 2. Timeframes: 5m–1h for day trading, 4h–daily for swing 3. Start with defaults: 9/21/50 EMAs, Nash & utility filters on, 1.5:1 R:R 4. Trade only when multiple filters align (EMA cross + utility edge + volume + trend) 5. Avoid major news or use wider stops 6. Forward-test on demo for 2–3 months minimum Publish Recommendation - Use a clean chart: only this strategy, no extra indicators/drawings - Show realistic Strategy Tester results with commission/slippage applied - Screenshot during trending period with visible EMA cross, entry, stop/target lines, and info table Educational tool — open-source for learning trend + decision-theory concepts. Not financial advice. Trading carries very high risk of loss — test thoroughly and trade responsibly. Feedback welcome — especially on utility calculation or filter combinations!
אסטרטגיית Pine Script®
מאת ‎uzair2join‎
Linda Bradford Raschke's Quant Finance Institutional PROQuantV6 – Institutional PRO+ is an advanced multi-timeframe trading strategy designed for prop trading environments. It combines trend-following and mean-reversion techniques with strict risk management guardrails. The strategy features: • Dual regime detection (Trending vs Ranging markets) using ADX, Bollinger Bands, and MACD • SuperTrend for directional confirmation • EMA-based trend filter (200-period) • ATR-based dynamic stop losses and trailing stops • Institutional-grade risk controls including maximum drawdown limits and daily loss guardrails • Real-time performance dashboard with key metrics (Win Rate, Profit Factor, Sharpe Ratio, etc.) • Interactive indicator heatmap showing RSI and ADX strength Entry Signals: - LONG: Trending regime + SuperTrend bull + Price above EMA + MACD positive - SHORT: Trending regime + SuperTrend bear + Price below EMA + MACD negative - Range Long: Ranging regime + RSI < 35 + Price below lower Bollinger Band - Range Short: Ranging regime + RSI > 65 + Price above upper Bollinger Band Risk Management: - Account drawdown protection (default 25%) - Daily loss limits for prop trading (default 5%) - 2x ATR stop losses with 2.8x ATR take profits - Dynamic trailing stops (1.5x ATR offset) Dashboard displays net profit %, win rate, expectancy, Sharpe ratio approximation, profit factor, trade count, maximum/current drawdown %, daily drawdown %, monthly returns, market regime, current position status, and prop trading guardrail status. Fully customizable inputs for all parameters. Suitable for day trading and swing trading across major forex pairs, indices, and crypto.
אסטרטגיית Pine Script®
מאת ‎uzair2join‎
Gamma Hedging Pressure Gamma Hedging Pressure (Proxy) – Market Maker Gamma Exposure Estimator This open-source, non-overlay indicator provides a **proxy** for dealer/market-maker gamma hedging pressure using only standard OHLCV data — no options chain or implied volatility required. Core Concept In options markets, gamma measures how much delta changes with price movement. When dealers are **net short gamma** (negative gamma), they must hedge aggressively in the direction of the move → this amplifies trends and breakouts. When **net long gamma** (positive gamma), they hedge against the move → this creates mean-reversion and pinning behavior. Because true gamma exposure is hidden (dealer books are private), this script estimates hedging pressure indirectly by combining: - Volatility expansion (normalized range) - Price acceleration (second derivative) - Abnormal volume participation High positive values → likely negative gamma regime (trend acceleration) High negative values → likely positive gamma regime (reversion pressure) Near zero → neutral/chop Why this proxy is useful True gamma dashboards require Level 2 options data and are often delayed or paid. This lightweight version: - Works on any instrument with volume (stocks, futures, forex proxies, crypto) - Updates in real time - Helps traders anticipate whether the current move is likely to accelerate (negative gamma) or fade (positive gamma) - Useful as a regime filter alongside support/resistance, order flow, or momentum tools How It Works – Step by Step 1. Volatility Expansion - Normalized range = (high - low) / ATR(14) 2. Price Acceleration - First difference: close - close - Second difference (acceleration): diff - diff 3. Volume Participation - Normalized volume = volume / SMA(volume, 20) 4. Raw Pressure - rawPressure = normalized range × acceleration × normalized volume 5. Smoothed Gamma Pressure - gammaPressure = EMA(rawPressure, 5) // short smoothing for responsiveness 6. Optional Daily Reset - If enabled, resets to 0 at the start of each new day (useful for intraday) 7. Regime Classification - Negative Gamma (red): gammaPressure > +threshold (default 0.5) → trend/breakout likely - Positive Gamma (green): gammaPressure < -threshold → mean-reversion likely - Neutral (gray): within ±threshold → chop/consolidation Visual Output - Histogram: colored by regime (red = negative gamma / trend accel, green = positive gamma / reversion, gray = neutral) - Zero line reference - Background tint: red/green during strong regimes - Last-bar label: "NEGATIVE GAMMA – Trend / Breakout", "POSITIVE GAMMA – Mean Reversion", or "NEUTRAL" How to Use - Best on intraday timeframes (5m–1h) for futures (NQ, ES, GC), indices, or high-volume stocks - Daily/4h for swing context on liquid names - Interpretation examples: → Red histogram + rising pressure → dealers likely short gamma → expect trend continuation or acceleration → Green histogram + falling pressure → dealers long gamma → expect fading moves, pinning near strikes, or reversion → Gray/neutral → low gamma pressure → range-bound or low-conviction market - Combine with: - Key levels (VWAP, previous highs/lows) - Volume profile or order flow - Options-related news (expiration days, gamma flips) - Threshold tuning: 0.3–0.8 depending on instrument volatility (lower for crypto, higher for forex) Inputs - ATR Length: default 14 - Volume MA Length: default 20 - Gamma Threshold: default 0.5 (sensitivity for regime coloring) - Reset on New Session: true = daily reset (recommended for intraday) Publishing Recommendation - Publish with a clean chart (e.g., 15m–1h NQ1!, ES1!, or SPY) - Show a trending period (red histogram) and a ranging/consolidation period (green/gray) - No extra indicators/drawings needed for basic interpretation This is an **educational proxy** — not a direct measure of actual dealer gamma. It approximates pressure from observable market behavior. Trading involves significant risk of loss. Use discretion and proper risk management. Feedback welcome — especially threshold or smoothing suggestions for different markets!
אינדיקטור Pine Script®
מאת ‎uzair2join‎
All-in-One SMC ProAll-in-One SMC Pro: CHOCH • BOS • FVG • Order Blocks • Liquidity + Discount/Premium This open-source overlay indicator combines the five most widely used Smart Money / ICT (Inner Circle Trader) concepts into a single, customizable tool: - Break of Structure (BOS) - Change of Character (CHOCH) - Fair Value Gaps (FVG) - Order Blocks (mitigation blocks) - Liquidity grabs (equal highs/lows) - Discount / Premium zones Why this combination? SMC traders rarely use these concepts in isolation. A complete workflow typically involves: 1. Identifying market structure direction (BOS) or reversal (CHOCH) 2. Locating high-probability entry zones (Order Blocks, FVGs) 3. Confirming institutional manipulation (liquidity grabs of equal highs/lows) 4. Understanding price positioning relative to value (discount = buy bias, premium = sell bias) Putting them all in one script reduces chart clutter, improves confluence visibility, and helps newer SMC users see how the pieces connect — without needing 5–7 separate indicators. Core Concepts & Detection Logic 1. Break of Structure (BOS) - Bullish BOS: price closes above previous swing high - Bearish BOS: price closes below previous swing low - Swing points detected with user-defined lookback (default 5 bars left/right) 2. Change of Character (CHOCH) - Bullish CHOCH: price makes lower low but closes above previous swing high (bearish structure broken → bullish reversal signal) - Bearish CHOCH: price makes higher high but closes below previous swing low (bullish structure broken → bearish reversal signal) 3. Fair Value Gaps (FVG) - Bullish FVG: gap up after a bearish candle (low > high ) - Bearish FVG: gap down after a bullish candle (high < low ) - Sensitivity controlled via ATR multiplier (default 0.1 × ATR(14)) - Dashed horizontal lines mark the gap boundaries 4. Order Blocks - Bullish OB: previous swing low after bullish BOS (potential demand zone) - Bearish OB: previous swing high after bearish BOS (potential supply zone) - Drawn as semi-transparent boxes extending rightward (lookback period adjustable) 5. Liquidity Grabs - Detects clusters of equal highs/lows (default 3-bar lookback) - Labels appear when price reverses after touching equal levels (classic stop-hunt / liquidity raid) 6. Discount / Premium Zones - Equilibrium proxy = (H + L + C) / 3 - Discount: price below ~0.5% of equilibrium (green tint – buy bias area) - Premium: price above ~0.5% of equilibrium (red tint – sell bias area) Visual Customization - Toggle each element independently (BOS, CHOCH, FVG, OB, Liquidity, Disc/Prem) - Separate bullish/bearish colors + dedicated FVG/OB/Liquidity colors - Max lines/labels set high (500) to handle longer histories Alerts (built-in conditions) - Bullish / Bearish BOS - Bullish / Bearish CHOCH - Bullish / Bearish FVG formation How to Use - Best on 5m–4h timeframes for forex, indices, crypto, gold (high-liquidity instruments) - Typical SMC workflow example: 1. Look for CHOCH → potential trend reversal 2. Wait for BOS in new direction → structure confirmation 3. Seek entry at Order Block or FVG mitigation in discount/premium zone 4. Liquidity grabs near swing extremes often precede strong moves - Combine with session times, news events, or higher-timeframe bias — never trade signals in isolation - Adjust swingLen (3–10) for sensitivity: lower = more signals, higher = cleaner structure Publishing Recommendation - Publish with a clean chart (recommended: 15m–1h EURUSD, XAUUSD, BTCUSD, or NQ1!) - Show a recent CHOCH → BOS → OB/FVG confluence sequence - Remove all other indicators, drawings, and unnecessary gridlines Always use discretion, proper risk management, and backtest thoroughly. Feedback welcome — especially on FVG sensitivity or OB refinement ideas!
אינדיקטור Pine Script®
מאת ‎uzair2join‎
Stock Expansion - Pullback Screener (v6)Stock Expansion → Pullback Screener (v6) – Momentum Continuation Filter This open-source, non-repainting indicator acts as a **screener** for high-probability pullback entries after strong momentum expansion candles — a classic continuation setup used in momentum, trend-following, and swing trading. Core Concept Markets often produce explosive candles during momentum surges (news, breakouts, volume spikes). After such expansions, price frequently retraces to value areas (dynamic support/resistance) before resuming the trend. This tool identifies: 1. Strong directional expansion bars 2. Sustained momentum confirmation 3. Healthy pullbacks to logical re-entry zones …within a short time window after the expansion. Why this combination? - Raw expansion (large range) can be noisy → we require strong body (>60% of range) + ATR filter to isolate conviction moves. - Directionless expansions are ignored → RSI momentum zones (>55 bull, <45 bear) add trend bias. - Pullbacks to EMAs alone can be premature → we require price to be sandwiched between fast/slow EMA **or** very close to VWAP (institutional fair value proxy). - Time decay prevents stale signals → only signals within user-defined bars after expansion (default 20). This creates a focused, confluence-based filter that reduces whipsaws compared to single-indicator approaches. How It Works – Step by Step 1. Expansion Candle Detection - Range > ATR(14) × multiplier (default 1.3) - Body > 60% of range (shows directional conviction, not just wick volatility) 2. Momentum Filter - Bullish expansion: RSI(14) > 55 - Bearish expansion: RSI(14) < 45 3. Time Window - Signal active only within maxBars (default 20) after the expansion candle 4. Pullback Zone Definition - Bullish pullback: price between EMA20 and EMA50 **OR** within 0.3% of VWAP - Bearish pullback: price between EMA50 and EMA20 **OR** within 0.3% of VWAP 5. Final Signal - Bullish: active bull expansion window + current momentum still bullish + pullback zone - Bearish: mirror logic Visuals & Alerts - Green triangle below bar → Bullish Expansion → Pullback setup - Red triangle above bar → Bearish Expansion → Pullback setup - Built-in alertconditions: → "Bullish expansion pullback on {{ticker}} ({{interval}})" → "Bearish expansion pullback on {{ticker}} ({{interval}})" How to Use as a Screener 1. Add to any stock/ETF/index chart (works best on 15m–4h timeframes). 2. Use TradingView’s built-in screener or watchlist + alerts: - Create separate alerts for bull/bear conditions - Or scan manually across multiple tickers 3. Typical workflow: - Wait for expansion triangle (strong move occurred) - Wait for pullback triangle within ~10–20 bars - Enter in direction of expansion when both conditions fire 4. Best environments: - Trending stocks/sectors (tech, growth, momentum names) - After earnings, sector rotation, or macro catalysts - Avoid very choppy/low-volume names 5. Risk management (not coded – user responsibility): - Stop below expansion low (bull) / above high (bear) - Target previous swing high/low or 2–3× risk Recommended Settings - ATR Multiplier: 1.2–1.6 (lower = more signals, higher = stronger expansions) - Max Bars: 10–30 (shorter = fresher setups, longer = more forgiving pullbacks) - Timeframes: 15m–4h (daily works but fewer signals) Publishing Recommendation - Publish with a clean chart (e.g., 1h or 4h TSLA, NVDA, or SPY) - Show both a recent expansion candle + pullback signal visible - No extra indicators/drawings needed This is a lightweight, educational momentum screener — fully open-source. It highlights setups, not automatic entries. Trading involves significant risk of loss. Always use proper risk management. Feedback welcome — especially timeframe/parameter suggestions for different markets!
אינדיקטור Pine Script®
מאת ‎uzair2join‎
Bank CRE Stress & Short Risk Overlay + Dashboard🏦 Bank CRE Stress & Short Risk Overlay + Dashboard This open-source indicator overlays risk visualization and a fixed dashboard specifically for **U.S. regional bank stocks** exposed to Commercial Real Estate (CRE) lending stress (as observed in 2023–2026 cycles). It combines: - Static CRE exposure tiers (critical/high/elevated/short-bias/failed) based on latest known CRE loan-to-capital ratios and provisions data (sourced from FDIC Call Reports, FAU studies, FFIEC filings ~Q3/Q4 2025) - Real-time price stress detection (EMA200 breakdown + 20-bar range low breach) - Visual alerts (background coloring + per-bar risk labels) - Top-right summary dashboard Purpose & Why This Combination? Regional banks with heavy CRE concentration became focal points during rising office/vacancy stress, higher provisions, deposit outflows, and equity pressure. This tool helps traders quickly: - Identify which tickers carry elevated CRE risk - See when technical breakdown aligns with fundamental vulnerability (potential short setups or high-risk avoidance zones) - Monitor a static watchlist without needing external spreadsheets The mashup is useful because raw fundamentals change quarterly, while price action provides real-time confirmation of stress transmission to equity. Dashboard + overlay gives instant context on any bank chart. How It Works 1. Ticker Classification (static – update manually when new Call Reports released) - 🔴 Critical / Short Bias: >~500% CRE exposure or high-conviction short candidates - 🟠 High: ~375–480% - 🟡 Elevated: ~300–350% - ❌ Failed: Known FDIC receivership cases - 🟢 Low/None: not in list 2. Price Stress Trigger - Below 200 EMA (major trend break) - Below 20-bar lowest low (range breakdown) - (Optional stricter filter: ATR expansion – commented out by default) 3. Visuals - Background tint: black (failed), red (critical/short + stress), orange (high + stress), yellow (elevated + stress) - Per-bar label above candle: risk category + warning text (only shown for relevant banks) - EMA50 (gray) & EMA200 (white) plotted for reference 4. Dashboard (top-right, updates on last bar) - Current ticker risk level + color coding - Price stress status - EMA200 position - Static high-risk watchlist - Data freshness & disclaimer note Alerts - "Critical/Short Bias Breakdown" when stress triggers on red/orange tickers - "Failed Bank Symbol" on known failed tickers How to Use - Apply to **regional bank stocks** (DCOM, EGBN, OZK, LOB, VLY, FLG, ZION, WAL, SNV, RF, CMA, TFC, etc.) - Best on daily or 4h charts for swing/position trading context - Use as a **filter / watchlist aid**: → Red/orange background + stress label → heightened short risk or avoidance → Yellow → monitor for provisioning news or CRE delinquency spikes → Black → avoid (historical failures) - Update the arrays quarterly when new FDIC data drops (Q1/Q2/Q3/Q4 Call Reports) - Combine with volume, news, sector ETFs (KRE), or broader CRE indices Inputs & Customization - No user inputs — risk tiers are hardcoded for simplicity & consistency - To add/remove banks: edit the array.from() lines directly Publishing Notes - Publish with a clean chart (e.g., DCOM, EGBN or VLY daily/4h) - Remove unnecessary drawings/indicators - Screenshot showing dashboard + stress label during a breakdown period is ideal Important Disclaimers - Data is **static** and approximate (based on public reports up to ~Q3/Q4 2025) - Must be manually updated — not real-time fundamental feed - This is **not financial advice**, not investment research, and carries no accuracy guarantee - Regional bank equities are extremely volatile — especially under CRE stress - Trading or shorting involves substantial risk of loss Open-source for transparency & educational use. Feedback welcome — especially updated CRE tier suggestions.
אינדיקטור Pine Script®
מאת ‎uzair2join‎
ATR % V3Now I'll provide you with the fully translated script and comprehensive documentation: ATR % V3 Indicator - Introduction The ATR % V3 is a Pine Script indicator that displays the Average True Range (ATR) as a percentage of price, providing traders with a normalized view of market volatility. Unlike the standard ATR which shows absolute price values, this percentage-based approach allows for easier comparison across different securities and timeframes. The indicator includes advanced features such as multi-day extreme value detection, customizable horizontal reference lines, and optional coordinate inversion for specialized charting needs. Key Features Percentage-based ATR calculation relative to either current open or previous close Flexible smoothing methods (RMA, SMA, EMA, WMA) for different trading styles Multi-period extreme value markers for 3-day and 7-day highs/lows Dynamic horizontal reference line showing current ATR% value Optional coordinate flip for alternative visualization perspectives Bar confirmation control to prevent repainting on live bars Technical Explanation ATR Percentage Calculation The script calculates ATR% using the formula: ATR% = (ATR / Basis Price) × 100. The basis price can be either the current bar's open price or the previous bar's close price, allowing traders to choose the reference point that best suits their trading methodology. Smoothing Methods The indicator supports four moving average types for ATR smoothing: ​ RMA (Relative Moving Average): Default method, provides exponentially smoothed values similar to Wilder's original ATR implementation SMA (Simple Moving Average): Equal weighting of all periods EMA (Exponential Moving Average): Recent prices weighted more heavily WMA (Weighted Moving Average): Linear weighting scheme Extreme Value Detection The script identifies when the current ATR% value represents a local extreme over 3-day or 7-day lookback periods. These markers appear only on the most recent bar and help traders identify volatility compression or expansion zones that may precede significant price moves. ​ Anti-Repainting Feature The "Wait for Bar Close to Update" option prevents the indicator from recalculating on every tick within an unconfirmed bar. When enabled, the ATR% value updates only after each bar closes, ensuring consistent historical values that won't change retroactively. ​ Usage Recommendations For Volatility Analysis: Use the percentage-based approach to compare volatility across different assets or timeframes objectively. Higher ATR% values indicate increased volatility relative to price. ​ For Position Sizing: ATR% can inform position size adjustments—reduce exposure when volatility (ATR%) spikes, and potentially increase when volatility contracts. ​ For Stop Loss Placement: The horizontal reference line provides a quick visual reference for current volatility levels, useful for setting volatility-adjusted stop losses. ​ For Breakout Confirmation: Watch for 3-day or 7-day extreme markers—volatility extremes often precede or confirm trend reversals or breakouts.
אינדיקטור Pine Script®
מאת ‎Dooogiig‎
Average True Range V2Here's an introduction and explanation for your ATR indicator script: Average True Range (ATR) with Enhanced Features This custom ATR indicator builds upon the traditional Average True Range calculation with several advanced visualization and analysis features designed for traders who need more precise market volatility insights. Overview The indicator calculates ATR using your choice of four smoothing methods (RMA, SMA, EMA, or WMA) and adds professional-grade tools for identifying extreme volatility levels over different time periods. Key Features Delayed Update Mode: Toggle the "Wait for period end before updating" option to prevent the ATR from recalculating until the current candle closes, eliminating false signals during active price action. Scale Inversion: The "Flip scale" feature inverts the ATR values, which can be useful when comparing volatility patterns with inversely correlated indicators or when creating custom overlay strategies. Dynamic Horizontal Line: A real-time horizontal line tracks the current ATR value across your chart, making it easier to identify when volatility reaches specific levels. Customize its color, style (solid, dashed, or dotted), and width to match your charting preferences. Extreme Value Markers: Automatically identifies and marks 3-day and 7-day volatility extremes with customizable shapes and colors. This helps you quickly spot: 3-day low/high volatility points (shorter-term extremes) 7-day low/high volatility points (medium-term extremes) Choose from seven different marker shapes (circle, triangle up/down, square, diamond, cross, or X cross) to distinguish between different extreme types at a glance. Practical Applications Use this indicator to identify optimal entry and exit points based on volatility cycles, set more accurate stop-loss levels during low volatility periods, or spot potential breakout opportunities when volatility reaches extreme lows before expanding. The extreme markers are particularly valuable for mean-reversion strategies, helping you identify when volatility has stretched to unsustainable levels and may return to normal ranges. Would you like me to adjust the tone to be more technical or conversational, or expand on any specific feature?
אינדיקטור Pine Script®
מאת ‎Dooogiig‎
Normalized ROC - Two Security SpreadThis is my exploratory script for comparing the movement of two securities: the one that is studied is compared to some benchmark (like QQQ etc.). The movements of both are measured as ROC(t) normalized with each others own ATR. Normalized ROCs are then subtracted to create a "spread". The plot draws both securities' NormROC as lines and the spread as a histogram. So, histogram shows green, when the stock is stronger than the benchmark even in their normalized terms, indicating strong momentum, and vice versa as red. Furthermore, the indicator marks with triangles so called hidden strength and hidden weakness. Hidden strength occurs when Benchmark (e.g. QQQ) is weak, but the stock is not. The assumption is that when the benchmark turns positive the stock is ready to run faster. Respectively, hidden weakness is when Benchmark is strong, but the stock does not follow. Of course, there will be many false signals, these are just potential indications of strength and weakness. Parameters can be adjusted, length of ROC and the line smoothing EMA. Also alerts can be set for histogram level and the hidden strength/weakness levels. DISCLAIMER: Indicator has not been tested. Use with caution and own responsibility. As always, be aware of false signals. Never make decisions with one indicator only.
אינדיקטור Pine Script®
מאת ‎wizka‎
stelaraX - ATRstelaraX – ATR stelaraX – ATR is a volatility indicator based on the Average True Range (ATR). It measures the average price movement over a defined period and provides a clear view of current market volatility independent of price direction. For advanced AI-based chart analysis and automated volatility evaluation, visit stelarax.com Core logic The indicator calculates the Average True Range using a user-defined period. ATR is derived from the true range, which considers: * current high minus current low * absolute difference between current high and previous close * absolute difference between current low and previous close The ATR value reflects the average volatility over the selected lookback window. Visualization The script plots a single ATR line in a separate indicator pane: * smooth volatility line * configurable period length * customizable line color * clean and minimal visual design The indicator does not generate signals and is intended purely for volatility assessment. Use case This indicator is intended for: * measuring market volatility * defining dynamic stop loss and take profit distances * position sizing and risk management * identifying volatility expansion or contraction * filtering trades based on market conditions For a fully automated AI-driven chart analysis solution, additional tools and insights are available at stelarax.com Disclaimer This indicator is provided for educational and technical analysis purposes only and does not constitute financial advice or trading recommendations. All trading decisions and risk management remain the responsibility of the user.
אינדיקטור Pine Script®
מאת ‎stelaraX_official‎
ATR Structure Trail Pro & Range Filter (v6)📌 ATR Structure Trail Pro & Range Filter (v6) Multi-purpose trend-following and consolidation detection tool 🔍 Overview This indicator combines structure pivots, an ATR-based trailing stop, range detection, and clean visual signals to identify trend shifts and potential trade zones. It is designed for traders who want simple, clean structure reading without unnecessary chart noise. This indicator does not guarantee profit and is intended for educational and analytical purposes only, serving as a visual aid for reading price action. ⚙️ Main Components 1️⃣ Structure Pivot Flip (Trend Change Detection) The indicator uses Pivot High / Pivot Low structure to detect when price creates: Higher High → BUY bias Lower Low → SELL bias When a structural flip occurs: a green arrow appears (potential bullish setup) or a red arrow appears (potential bearish setup) These arrows are not trade signals, but visual markers highlighting a shift in market context. 2️⃣ ATR Trail Stop (Adaptive Trend Line) The ATR trail line automatically adapts to market volatility: green during bullish phases red during bearish phases The ATR multiplier determines how far the dynamic trail is placed relative to price. The trail line is not a guaranteed exit level — it acts as a dynamic structural reference. 3️⃣ Range/Box Zones (Consolidation Filter) When the indicator detects that price is entering a tight consolidation range based on ATR and recent volatility, it draws a box zone: blue in bullish context purple in bearish context Range zones indicate low-risk/no-trade areas where entries are typically avoided according to price action logic. 🎯 Trading Logic (Non-Signaling) This indicator is not a trading system. It visually highlights: ✔ structure ✔ trend ✔ volatility ✔ consolidation ✔ potential reversals Users make trading decisions independently of these visual elements. 🧩 Inputs & Customization You can fully customize: ATR length & multiplier Pivot sensitivity Box fill and border colors ATR trail color, width, and style (solid/dashed/dotted) Visibility of all components individually The indicator works across all timeframes and instruments. 💡 How to Use Use arrows as informational markers of structure change Use the ATR trail as a dynamic guide for current trend Use range boxes to avoid entries during consolidation Combine it with your own price action analysis, EMA/Kijun lines, session opens, or volume levels ⚠️ Important Notes This indicator provides no performance guarantees Not financial advice or a trading signal Users are responsible for their own testing and application Intended strictly for educational and analytical use in compliance with TradingView’s rules 📬 Author Notes If you find this indicator useful, feel free to leave a comment or suggestion for future improvements. All inputs are open for expansion and further development.
אינדיקטור Pine Script®
מאת ‎Aleksin_Aleksandar‎
7
Outlier Catching Moving AverageOutlier Catching Moving Average (OCMA) | MisinkoMaster Outlier Catching Moving Average (OCMA) is a volatility-adaptive trend indicator designed to react quickly to abnormal price movements while maintaining smooth behavior during normal market conditions. The indicator aims to capture sudden price expansions without sacrificing overall trend clarity. This makes OCMA suitable for traders who want faster adaptation to unusual market activity while still preserving stable trend structure across varying volatility regimes. Key Features Volatility-adaptive moving average designed to react to price outliers Multiple moving average bases supported for flexible smoothing behavior Optional ATR-based adaptive bands for volatility envelopes Configurable trend logic for earlier signals or stronger confirmations Dynamic candle coloring for intuitive trend visualization Automatic Long and Short markers on confirmed trend transitions Designed to balance responsiveness and smoothness across market conditions How It Works OCMA builds on traditional moving average concepts but incorporates adaptive smoothing that adjusts according to changing market volatility. Rather than behaving uniformly across all conditions, the average becomes more responsive when price behavior deviates strongly from recent structure and smoother when markets return to normal activity. Optional ATR bands expand and contract with volatility, helping identify when price moves significantly away from its adaptive equilibrium. The result is a moving average that remains stable in calm markets yet quickly adapts when price action becomes irregular or impulsive. Inputs Overview Source — Selects the price data used in calculations Moving Average Length — Controls the main smoothing period ATR Length — Sets the volatility measurement period used for band calculations Base Moving Average — Selects which moving average type is used as the foundation Trend Logic — Chooses whether trends are detected via band crossover, average direction change, or both Use ATR Bands — Enables or disables adaptive volatility bands Factor — Controls ATR band width sensitivity ALMA Offset & Sigma — Parameters used only when ALMA smoothing is selected Usage Notes Designed to detect abnormal price expansions while preserving overall trend structure Suitable for breakout traders and volatility-aware trend strategies Band crossovers can signal potential trend transitions Average direction changes may confirm continuation or reversal Works well when combined with market structure or confirmation tools Adjust parameters according to asset volatility and timeframe Summary Outlier Catching Moving Average provides a volatility-aware alternative to standard moving averages, helping traders capture unusual price behavior while maintaining smooth and readable trend signals. It is well suited for traders seeking adaptive trend tools capable of responding when markets move outside normal conditions.
אינדיקטור Pine Script®
מאת ‎MisinkoMaster‎
Outlier Resistant Moving AverageOutlier Resistant Moving Average (ORMA) | MisinkoMaster Outlier Resistant Moving Average (ORMA) is a trend-following moving average designed to reduce the impact of abnormal price spikes while preserving responsiveness to real market moves. The goal is to provide a smoother and more stable trend reference that remains usable even during volatile or erratic price behavior. Unlike traditional moving averages that react strongly to sudden price shocks, ORMA adapts its behavior to volatility conditions, helping traders follow trends without being constantly misled by temporary price extremes. Key Features Moving average designed to resist distortion from price outliers Adaptive smoothing behavior that reacts to volatility conditions Optional ATR-based dynamic bands for trend confirmation Multiple moving average types supported as the calculation base Flexible trend detection logic options Automatic trend coloring and signal labeling Candle coloring for intuitive trend visualization How It Works ORMA builds upon a selectable base moving average and modifies its behavior to reduce the influence of abnormal price movements. Instead of reacting equally to all price changes, the calculation adjusts its responsiveness according to changing volatility conditions. When market volatility expands, the indicator becomes more conservative, preventing sudden spikes from distorting the average. During calmer conditions, responsiveness increases, allowing the average to track price action more closely. Optional ATR-based bands can be applied around the average, allowing traders to use band breakouts as confirmation of trend strength rather than relying solely on slope changes. The result is a moving average that remains stable in noisy markets while still adapting during real trend movements. Inputs Overview Source — Selects the price source used in calculations Moving Average Length — Controls smoothing and calculation sensitivity ATR Length — Controls volatility measurement used for adaptive behavior Base Moving Average — Selects which MA type forms the calculation foundation Trend Logic — Determines whether trend is detected via crossover, slope change, or both Use ATR Bands — Enables or disables dynamic ATR bands ATR Factor — Controls band distance from the average ALMA Offset & Sigma — Parameters used only when ALMA smoothing is selected Floored Offset — Optional ALMA configuration affecting smoothing behavior Usage Notes Useful for filtering noise during volatile or choppy markets ATR bands can help confirm stronger breakouts or trend continuation Trend logic modes allow adaptation to different trading styles Suitable for swing trading, trend-following, and position trading approaches Can act as dynamic support or resistance in trending markets Works well when combined with momentum or volume confirmation tools Summary Outlier Resistant Moving Average offers a volatility-aware trend reference that helps traders remain aligned with broader price movement while minimizing disruptions from sudden price spikes. It is especially useful for traders seeking smoother trend identification without sacrificing adaptability.
אינדיקטור Pine Script®
מאת ‎MisinkoMaster‎
2
Stocks: QQQ Daily ATR% + Premarket Range (% of ATR)## Stocks/ETFs: QQQ Premarket Range (% of Daily ATR) — ORB Trading Guide ### What this indicator does This indicator is built for **stocks and ETFs** like **QQQ** and is meant to support **Opening Range Breakout (ORB)** trading. It measures the **Premarket Range** from **04:00 to 09:30** (exchange time), then compares that move to QQQ’s **typical full-day movement** using **Daily ATR(14)**. The goal is simple: > **Before the open, decide whether the day is more likely to behave like a “chop day” or an “expansion day,” and then choose the ORB style that matches.** --- ## Key terms (plain English) ### Daily ATR(14) ATR stands for **Average True Range**. On the **daily** timeframe, ATR(14) estimates QQQ’s **typical daily movement** over the last 14 trading days. Think of it as: > “On a normal day, QQQ tends to move about *X* dollars.” --- ### ATR% (vs Daily Close) This converts ATR into a percent of price so you can compare volatility over time: Think of it as: > “QQQ’s typical daily move is about *X%* of its price.” --- ### Premarket Range (04:00–09:30) This is the distance between the **premarket high** and **premarket low** during the session window: **04:00 → 09:30** Think of it as: > “How much QQQ already moved before the bell.” --- ### Premarket Range % of ATR This is the core measurement: It answers: > “How much of a normal day’s movement already happened before the open?” Examples: * **20%** = quiet premarket (small move) * **60%** = active premarket (big move already happened) --- ## How to interpret the Regime label This script classifies the day into one of three “regimes”: ### **CHOP-LEANING** (Premarket Range < 25% of Daily ATR) Premarket was quiet. The open is more likely to be: * range-bound * full of fakeouts * slower follow-through ### **NEUTRAL** (25%–50%) Normal premarket activity. Either outcome is possible: * trend or chop * you must let the open confirm it ### **EXPANSION-LEANING** (Premarket Range > 50%) Premarket was very active. The open is more likely to: * move faster * expand range quickly * have stronger directional pushes (or sharp swings) **Important:** Expansion does not guarantee a clean trend. It means **movement is more likely**. --- # How I use this indicator with ORB (my rules) This indicator is not a buy/sell signal by itself. I use it to decide **which ORB style to trade**. ## Step 1 — Check the “Regime” before the open * If the indicator reads **EXPANSION-LEANING**, I treat it like a momentum environment. * If the indicator reads **CHOP-LEANING**, I treat it like a confirmation environment. * If it reads **NEUTRAL**, I stay selective and let price action confirm. --- ## Step 2 — ORB Execution Rules ### ✅ If **EXPANSION-LEANING** (momentum day) **Goal:** Catch the move early and avoid missing the breakout. **My ORB plan:** * Build my opening range using the **5-minute ORB** * Enter on a **break of the ORB level** * Use the **1-minute timeframe** for the actual entry trigger **How I confirm the break:** * I want a clean break through the ORB level (not just a wick touch) * If price snaps immediately back inside the ORB, I avoid chasing This approach fits expansion days because QQQ can move fast after the open and waiting for perfect retests can cause you to miss the push. --- ### ✅ If **CHOP-LEANING** (confirmation day) **Goal:** Avoid fakeouts and only enter when the break proves itself. **My ORB plan:** * Build my opening range using a **15-minute ORB** * I do **not** enter on the first break * I wait for a **break and retest** * Then I use the **5-minute timeframe** to confirm the retest holds before entry This fits chop days because breaks fail more often, so I require confirmation before committing. --- ### ✅ If **NEUTRAL** **Goal:** Reduce low-quality trades. **My ORB plan:** * Treat it as “wait and see” * Only take the break if price shows strong conviction (hold outside ORB) * If price is whipping in and out of the range, I skip the trade --- ## Best practices * Works best on **1m / 5m / 15m charts** so the premarket high/low is captured accurately. * Premarket session time uses the symbol’s **exchange time**. * Use proper risk management—QQQ can move fast, especially on expansion days. --- ## Disclaimer This script is for educational purposes only and is not financial advice. Trading involves risk. Always use risk management and test any approach before trading live.
אינדיקטור Pine Script®
מאת ‎rodtradessometimes‎
Volatility Visualizer Percentiles (VIXFix, ATR, VIX)Summary A volatility regime dashboard for liquid instruments that converts three volatility lenses into 0 to 100 percentile ranks versus the last 252 closed daily bars. It is built to answer one question: is volatility unusually low or unusually high relative to the last year . Use it to adjust position sizing, stop width, and trade selectivity. It is not a directional signal. Scope and intent Markets : US indices and index ETFs, index futures, large cap equities, liquid crypto proxies, and other symbols where daily volatility regimes matter Timeframes : best on Daily. It can be applied on other chart timeframes, but the reference window remains 252 closed daily bars Default demo : SPX on Daily Purpose : provide a simple, testable volatility context layer that you can plug into any daily system as a risk filter or risk scaler What makes it original and useful Most “volatility tools” show raw ATR or a single volatility index. This script standardizes three distinct sources into the same unit (percentile), so you can compare them and combine them without guessing thresholds. Unique fusion : internal realized volatility (ATR%), internal stress proxy (VIXFix), and external implied volatility (input VIX symbol) expressed in the same 0 to 100 scale Practical outcome : the table gives a regime read and an action posture, so the output is directly usable for risk decisions Testable : all components are visible and thresholdable; you can backtest rules like “only trade when composite is between 30 and 75” Portable : percentiles remove the need to hardcode market specific “ATR is high” numbers across different symbols Method overview in plain language Base measures VIXFix : a price based fear proxy derived from the instrument’s own daily behavior (using the relationship between recent high closes and current lows) ATR% : daily ATR normalized by daily close, expressed as a percentage for cross symbol comparability External VIX : a user selected volatility index or proxy pulled via input symbol (default CBOE:VIX) Normalization to percentiles For each metric, the script stores the last 252 closed daily values It then computes where the most recent closed daily value sits inside that history as a percentile from 0 to 100 Tie handling is configurable (Midrank, StrictLess, LessOrEqual) to define how repeated values are ranked Fusion rule Composite percentile is the simple average of the available percentiles (VIXFix, ATR%, VIX) If one component is missing (for example the external symbol is unavailable), the composite averages the remaining components How to use it on Daily This tool is most effective as a risk regime layer on top of an existing strategy. Use the Composite row as the primary dial, and the individual components as confirmation. Recommended operating zones 0–20 Very Low : quiet regime. Tight stops often survive, but breakouts can underperform. Favor mean reversion or require stronger breakout confirmation. 20–40 Low : constructive for many systems. Use baseline sizing and baseline stops. 40–60 Mid : neutral. Run your base playbook. 60–80 High : volatility expansion. Reduce size and widen stops, or trade only higher quality setups. 80–100 Very High : stress regime. Smallest size, widest stops, and skip marginal setups. Gap risk and slippage risk are higher. How to interpret disagreements If ATR% is high but VIX is mid , realized vol is elevated but the market is not pricing extreme fear. Treat as a caution zone, not panic. If VIX is high but ATR% is mid , implied vol is elevated ahead of potential events. Expect expansion risk even if realized vol has not moved yet. If all three are high , treat it as a full stress regime and enforce strict risk limits. What you will see on the chart A compact table with one row per metric and optional composite For each row: last closed daily value, 252D percentile, a progress bar, and an action posture Optional stats: min, median, max for the 252D window (useful for sanity checks, adds CPU) Table fields quick guide Last closed daily : the value used for ranking, taken from the last fully closed daily bar 252D percentile : where the current reading ranks versus the last 252 closed daily readings Bar : quick visual map of percentile from 0 to 100 Action : risk posture suggestion tied to the percentile bucket Inputs with guidance Core Window (closed daily bars) : default 252. Higher values make the regime slower and more structural. Lower values make it more reactive. VIX VIX symbol : default CBOE:VIX. You can replace it with another implied volatility proxy appropriate for your market. VIXFix VIXFix lookback : typical range 21/22. Smaller reacts faster, larger smooths regimes. ATR ATR length : typical range 10–21 on Daily ATR as % of close : recommended on for comparability across symbols and long history UI Show composite volatility score : recommended on. Best single dial. Show action guide : recommended on if you want direct posture cues. Show min, median, max : optional. Useful for diagnostics, higher CPU. Table position : place it where it does not cover price. Usage recipes Daily trend following overlay Trade your trend system normally when Composite is between 25 and 75 If Composite is above 75, reduce size and widen stops, and require stronger trend confirmation Daily mean reversion overlay Focus on Composite below 40 Avoid Composite above 80 where gaps and cascading moves reduce mean reversion reliability Daily risk parity style scaling Use Composite percentile as a coarse risk throttle: higher percentile equals lower exposure Example posture: 0–40 normal exposure, 40–80 reduced exposure, above 80 minimal exposure Alerts This script is intentionally a dashboard and does not emit buy or sell signals. If you want alerts, create them from percentile thresholds in your own fork. For conservative workflows, trigger alerts on bar close. // Example alert conditions (add to your fork if desired) high_vol = comp_pct > 80 low_vol = comp_pct < 20 Honest limitations and failure modes This is not a directional predictor. Volatility can rise in both bull and bear markets. Percentiles are relative to the last 252 closed daily bars. A “high percentile” is high versus recent history, not an absolute guarantee of future movement. Implied volatility (VIX) can move ahead of realized volatility (ATR%). Treat divergence as information, not a signal. Very high volatility regimes can include gap risk and slippage risk that are not visible in indicator values alone. Legal Education and research only. Not investment advice. You are responsible for your decisions. Test on historical data and in simulation before any live use.
אינדיקטור Pine Script®
מאת ‎exlux‎
Step Generalized Moving Average [BackQuant]Step Generalized Moving Average Overview Step Generalized Moving Average (StepGMA) is a trend-structure moving average designed to solve two common problems with classic MAs: They overreact to noise in chop, causing constant micro-flips. They lag too much when you smooth them enough to stop that noise. StepGMA tackles this by combining two layers: A Generalized Moving Average (GMA) that increases responsiveness without simply shortening length. A Step Filter that converts the MA into discrete “steps” sized by ATR, suppressing insignificant movement and only updating when the move is meaningful. The output is a trend line that behaves more like market structure: it holds its level through noise, then “reprices” in chunks when volatility-adjusted movement is large enough. What the indicator is trying to represent Instead of showing every tiny MA wiggle, StepGMA tries to represent the idea that: Most price movement is noise relative to volatility. Trend only matters when it advances by a meaningful amount. A good trend line should stay stable until the market forces it to move. That makes this indicator useful as: A regime filter (trend vs chop). A trend-following bias line. A structure-like dynamic S/R reference. A signal generator with fewer low-quality flips. Component 1: Moving Average engine (selectable) The base smoothing is not fixed. You can choose between multiple MA types: SMA, EMA, WMA, VWMA: classic smoothing families. DEMA, TEMA: reduced-lag EMA variants. T3: smooth yet responsive, good for trend. HMA: very low lag, can be twitchy without filtering. ALMA: center-weighted smoothing, often “cleaner” visually. KAMA: adaptive smoothing based on efficiency ratio, good in mixed regimes. LSMA: regression-based, tends to track trend direction well. McGinley: dynamic smoothing designed to reduce lag during fast moves. This matters because the StepGMA is not “one MA.” It is a framework that lets you pick the underlying smoothing behavior, then applies the generalization and step logic on top. Component 2: Generalized Moving Average (GMA) Where the idea comes from Generalized MA here is essentially a form of two-stage smoothing compensation . A common trick in signal processing and technical analysis is: Apply a smoother once (MA1). Apply it again (MA2). Use MA2 as a “lag reference,” then combine MA1 and MA2 to reduce lag while keeping smoothness. This is related in spirit to reduced-lag filters (like DEMA/TEMA) and “zero-lag” style constructions that subtract part of the lag component. You are not magically removing lag, you are biasing the output toward the first-pass MA while subtracting some of the second-pass smoothing that represents delayed response. How this script does it It computes: ma1 = MA(src, len) ma2 = MA(ma1, len) Then combines them using a volume factor (vf): generalized = ma1 * (1 + vf) - ma2 * vf Interpretation: ma2 is a “more delayed” version of ma1. Subtracting vf * ma2 and adding (1+vf) * ma1 pushes the output toward responsiveness. vf controls how aggressive that push is. Volume Factor (vf) is really an aggressiveness knob The script clamps vf between 0.01 and 1.0 to keep it stable. Conceptually: Low vf: behaves closer to a normal MA1, smoother, more lag. High vf: more compensation, faster response, more risk of overshoot or noise sensitivity (which is then handled by the step filter). So the GMA stage tries to give you a cleaner, faster trend estimate without just shrinking the MA period. Component 3: Step Filter (the key behavior) What a step filter is A step filter turns a continuous signal (here, the generalized MA) into a discrete “staircase” signal. Instead of updating every bar, it updates only when the input has moved far enough to justify a new step. This is conceptually similar to: A quantizer in signal processing (rounding changes to discrete increments). A volatility threshold filter (ignore changes smaller than X). Market structure logic where levels matter more than micro movement. How it works in this script The filter maintains a persistent value: stepped . Each bar: diff = src - stepped If |diff| < stepSize, do nothing (hold the level). If |diff| >= stepSize, move stepped by a number of step increments. The step increment size is: stepSize = (stepMult / 100) * ATR(atrPeriod) This is critical: In higher volatility, ATR is larger, so steps are larger, fewer updates, more stability. In lower volatility, ATR is smaller, so steps are smaller, more updates, more sensitivity. So the step behavior automatically adapts to volatility. Multiple-step catching behavior If price jumps far beyond one step, the script does not move only one step. It moves by: floor(|diff| / stepSize) * stepSize So it “catches up” in discrete blocks, preserving the stepped character without lagging massively after large moves. Direction and regime Direction is determined by the stepped line, not the raw MA: direction = +1 if steppedMA is rising direction = -1 if steppedMA is falling otherwise direction stays the same Signals only trigger on direction state changes: Long when direction flips to +1 Short when direction flips to -1 This matters because it prevents repeated signals while the trend remains intact. You only get a signal when the market has moved enough (in ATR terms) to justify a structural step in the opposite direction. Secondary line and gradient fill The script also plots a secondary “slow MA” (length 25, same MA type). This is not the core logic, it is a visual context layer: StepGMA is the structure line (discrete, regime-driven). Slow MA is a smoother reference for the underlying drift. The gradient fill highlights separation and dominance. When StepGMA sits above the slow MA, the fill reinforces bullish bias. When below, it reinforces bearish bias. It is basically a “trend pressure” visual, not a separate signal. How to interpret it 1) StepGMA as trend structure Flat steps mean price is not making enough volatility-adjusted progress to move structure. Up-steps mean the market has advanced enough to reprice the trend line upward. Down-steps mean deterioration significant enough to reprice structure downward. 2) Direction is a regime, not a tick-by-tick call Because direction is derived from step changes, it is naturally a regime filter: Fewer flips in chop. Clearer regime transitions. Signals tend to occur later than ultra-fast tools, but with better confirmation quality. 3) Step size controls noise rejection StepMult is the main “anti-chop” control: Higher stepMult = bigger ATR steps = fewer updates, fewer signals, more confirmation, slower to react. Lower stepMult = smaller steps = more updates, more signals, more sensitivity, more chop risk. 4) Generalization controls responsiveness of the underlying trend estimate vf controls how “fast” the MA tries to be before stepping: Higher vf makes the MA respond faster to new price information. Lower vf makes the MA smoother and more conservative. The step filter then decides whether that change is meaningful enough to matter. Practical use cases Trend filter for entries Only take longs when direction is bullish. Only take shorts when direction is bearish. Avoid trades when StepGMA is flat for long periods, market is not repricing meaningfully. Dynamic support and resistance Because the line holds levels, it often behaves like structure: In uptrends it can act as a rising support reference. In downtrends it can act as falling resistance. Signal quality layer The step-based flip signals tend to be higher quality than basic MA crossovers because they require: A meaningful volatility-adjusted move. A confirmed direction change in the stepped trend structure. Trade management Use StepGMA as a trailing invalidation reference. Use direction flips as “hard” regime exits. Use separation vs slow MA as a “pressure” gauge for scaling decisions. Tuning guidelines MA Type Pick based on the character you want: T3, ALMA, KAMA are usually good defaults for clean trend representation. HMA/LSMA are faster but may need larger stepMult to avoid twitch. SMA is slow and stable but can be too laggy unless vf is increased. MA Period Sets the base smoothing horizon. Longer periods give “macro trend,” shorter periods give “tactical trend.” Volume Factor (vf) Sets responsiveness compensation: 0.05–0.25 is usually sensible. Higher than that can get aggressive, step filter will save you, but your steps may fire more often. ATR Period and StepMult These define your structure sensitivity: ATR Period controls how stable the volatility estimate is. StepMult controls how large a move must be to change structure. If you want fewer flips, increase StepMult or ATR Period. If you want quicker reaction, lower StepMult or ATR Period. What this indicator is and is not It is: A trend structure MA that ignores sub-threshold noise. A regime tool that uses volatility-adjusted repricing logic. A configurable framework that works across assets and timeframes. It is not: A predictive reversal tool. A scalping signal machine. A replacement for risk management. Summary Step Generalized Moving Average combines a lag-compensated moving average (generalization via MA1/MA2 blending) with a volatility-scaled step filter (ATR-based quantization). The result is a stable, structure-like trend line that updates only when price movement is meaningful relative to volatility, producing cleaner regimes, fewer chop flips, and clearer trend bias than conventional moving averages.
אינדיקטור Pine Script®
מאת ‎BackQuant‎
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