RSI is in Normal Distribution?Does RSI Follow a Normal Distribution?
The value of RSI was converted to a value between 0~2, 2~4, ..., 98~100, and the number of samples was graphed.
The Z values are expressed so that the values corresponding to 30 and 70 of the RSI can be compared with the standard normal distribution.
Additionally, when using the RSI period correction function of the 'RSI Candle Advanced V2' indicator that I made before, it shows no change in standard deviation.
RSI는 정규분포를 따를까요
RSI의 값을 0~2, 2~4, ..., 98~100 사이 값으로 변환하고 그 표본 갯수를 그래프로 표현하였습니다.
Z 값은 RSI의 30, 70에 해당하는 값을 표준정규분포와 비교할 수 있도록 표현하였습니다.
추가적으로 제가 예전에 만들었던 'RSI Candle Advanced V2' 지표의 RSI 기간 보정 함수를 사용할 경우 표준편차의 변화가 없음을 보입니다.
T-distribution
SFC Smart Money - VolatilityIn statistics, a normal distribution is a type of continuous probability distribution for a real-valued random variable. Normal distributions are important in statistics and are often used in the natural and social sciences to represent real-valued random variables whose distributions are not known.
The indicator provide a deep statistic for the specified period. It calculate the normal distribution of all candles in the particular period, in order to measure the volatility and the probabilities. Also it separate bull from bear candles and calculate the normal distribution of each group. The calculations are mode based on open-open data and high-low data.
Volatility
Volatility is a statistical measure of the dispersion of returns for a given security or market index. In most cases, the higher the volatility , the riskier the security. Volatility is often measured from either the standard deviation or variance between returns from that same security or market index.
Volatility often refers to the amount of uncertainty or risk related to the size of changes in a security's value. A higher volatility means that a security's value can potentially be spread out over a larger range of values. This means that the price of the security can change dramatically over a short time period in either direction. A lower volatility means that a security's value does not fluctuate dramatically, and tends to be more steady.
While variance captures the dispersion of returns around the mean of an asset in general, volatility is a measure of that variance bounded by a specific period of time. Thus, we can report daily volatility , weekly, monthly, or annualized volatility .
This statistic gives very accurate information how the price moved in the past and what are normal movements and spikes. From this information, a future actions can be taken.
For better understanding, all data is calculated in pips.
Features:
- Mean - Mean is the one we are most used to, i.e. the average.
- Median -Sometimes, the data set values can have a few values which are at the extreme ends, and this might cause the mean of the data set to portray an incorrect picture.
Thus, we use the median, which gives the middle value of the sorted data set.
- Mode - In a given dataset, the mode will be the number which is occurring the most.
- Max - Maximum volatility for a given range.
- Min - Minimum volatility for a given range.
- Standard Deviation - The standard deviation tells us how far the value deviates from the mean.
- Range - Range simply gives the difference between the min and max values of the data set.
- ATR - Average True Range measures volatility, taking into account any gaps in the price movement.
- Normal Distribution - The basic premise is that given a range of observations, it is found that most of the values center around the mean and within one standard deviation
away from the mean.
- Probability - probability of outcomes.
We all know that the banks and professional traders do not trade with charts, but with different statistical methods, math. models and macroeconomics. This statistical indicator shows one of these methods.
It is recommended to use the indicator on daily timeframe . It also works on other timeframes, for example 1H for intraday analysis.
For more information how the normal distribution works, please search in internet.
RSI Accumulation/Distribution [M]Hello everyone,
After my long tests, I observed that the rate of change of direction of the price was high after the periods when the RSI spent a long time outside the band. As a result of my observations, I prepared this indicator.
This indicator shows you the accumulation and distribution areas that occur outside the rsi band.
There are 3 different levels available.
Level 1 = 5 Bars
Level 2 = 7 Bars
Level 3 = 9 Bars
For example, if the RSI spends more than 9 bars below the 30 level or above the 70 level, it will paint that area red. Levels can be changed from the indicator settings. The rsi is smoothed with simple moving average to reduce fake signals.
Using the RSI A/D indicator with different indicators or patterns will increase your success rate.
Examples:
True Accumulation/Distribution (TG fork)An accumulation/distribution indicator that works better against gaps and with trend coloring.
Accumulation/Distribution was developed by Marc Chaikin to provide insight into strength of a trend by measuring flow of buy and sell volume .
The fact that A/D only factors current period's range for calculating the volume multiplier causes problem with price gaps. They are ignored or even misinterpreted.
True Accumulation/Distribution solves the problem by using True Range instead of only relying on current period's high and low.
Most of the time, True A/D reverts to producing the same values as the original A/D. The difference between True A/D and original A/D can be better seen when a gap has occurred, True A/D has handles it better than Accumulation/Distribution which a bearish close in period's range cause it to misinterpret the strong buy pressure as sell volume
The Moving Average Cloud is simply the filling between the moving average and the True A/D. This feature was inspired by D7R ACC/DIST closed-source indicator, kudos to D7R for making such neat visual indicators (but unfortunately all closed source!).
This indicator was made to extend the original work by adding MTF support and a moving average cloud and coloring.
If you like this indicator, please show the original author RezzaHmt some love:
Consolidation BoxThis script aims to help identify sideways markets. Once price leaves the Box the market will usually start a trending phase. Users can set a percent range to detect markets moving sideways within the range.
Accumulation Manipulation PO3 and MMXMMuch is said about the market maker or manipulation of price, but there aren't many indicators that try to show this, until now.
Using an easily customisable, but intelligent algorithm, this indicator tries to find and highlight when price is 'ranging', or 'accumulating'. It does this by looking at changes in price and quantifying the strength of the change, based on current and historical changes, and can therfore decide if price is staying in range or breaking out. By showing this on the chart several approaches can be taken.
Simply, you can trade within the range, and also trade breakouts of the range, knowing that price will react at these range 'levels'.
Alternatively, you can use the accumulation boxes to try and identify MMXM models, that is Market Maker Buy and Market Maker Sell Models, where price moves in phases of consolidation, smart money reversal and re-accumulation.
Finally, using the manipulation detection option, you can try to identify when a sudden change in price is actually manipulation by institutions, and plan to trade the distribution phase accordingly. This accumulation, manipulation, distribution is also known as Power of 3, PO3.
This indicator does not try to teach any of these ideas, only help to visualise them on the chart, and as such should not be considered financial advice.
Real-time price distribution in candlesThis indicator splits the candle time into 30 units to indicate where the price was at each time.
In the case of a 1-hour time zone, 60 minutes / 30 = 2 minutes, so this display the location of the price every 2 minutes.
In case of 1 minute time zone, it is displayed every 2 seconds.
CAUTION
If a transaction does not occur, the display may be omitted.
You can change the color of the opening and closing prices and the size of the dots.
Trend Identifier StrategyTrend Identifier Strategy for 1D BTC.USD
The indicator smoothens a closely following moving average into a polynomial like plot and assumes 4 staged cycles based on the first and the second derivatives. This is an optimized strategy for long term buying and selling with a Sortino Ratio above 3. It is designed to be a more profitable alternative to HODLing. It can be combined with 'Accumulation/Distribution Bands & Signals' and 'Exponential Top and Bottom Finder'.
Money Flow LineWhat is this? The Money Flow Line (MFL) indicator is at its core a more even-tempered version of the Price-Volume-Trend (PVT). The primary difference is the usage of `hlc3` ((high + low + close) / 3) rather than `close` to use the "typical price" that it critical to the calculation of the Money Flow Index (MFI). Other similar indicators include the Accumulation Distribution Line (ADL) and the On Balance Volume (OBV) indicators. The purpose of all of these indicators is to attempt to measure the strength of the money flow by combining price and volume into a rolling measurement that can be compared over time to look for confirmations and divergences.
The indicator also includes an optional averaging (smoothing) line that can be enabled in the display settings. Enabling this smoothing line with a desired period allows for simpler trend comparisons and also allows the user to view how far the line has diverged from the mean. This creates an indicator very similar to Elder's Force Index (EFI), which is also a `close * volume` style indicator.
Why is this important? After an extreme movement or volume spike the MFI will "snap back" sharply as that bar eventually exits the set period. This produces a result that is meaningless and skews the indicator away from the market structure. Because of this behavior, range clamping, and the loss of comparative history I prefer to shy away from oscillator style indicators. The Money Flow Line instead gives you all of the history so you may compare and see the broader trend without sharp snaps in history based on an arbitrary period setting.
Why is this better? This produces a no-lag indicator that isn't subject to the harsh skewing produced by they Money Flow Index's period calculation. It doesn't lose history like MFI or EFI, is clear about the trend direction, and prefers a "typical price" (averaging the entire range of each bar) rather than whatever happens to be the closing price for a given bar.
How can I use it? The indicator is attempting to measure supply and demand in the markets. No indicator is perfect, but we can use all of the information we have available to make our best predictions. There are only 3 pieces of data the market gives us:
1. Price (action)
2. Volume
3. Time
The Money Flow Line combines all of these data points into a readable rolling data set that attempts to show subtle balance of power shifts based on changes in volume and "smart money" (or "big money") stepping in and out of the picture. Much like PVT, we look for the same things:
- Trend Identification: an up or down trend appears in the MFL
- Confirmations: the MFL agrees with price action in direction and magnitude
- Divergence: the MFL disagrees with price action, indicating a reversal may be coming soon
When applying the smoothing line we can also look for similar things we would with EFI. The primary case would be to look for the MFL to jump very far away from the mean (a high magnitude movement) which indicates that price may be reverting towards the mean soon (a "mean reversion"). On the other hand, it may indicate strength in the current price direction. All of these predictions depend heavily on price action and market structure. Good luck!
Trend IdentifierTrend Identifier for 1D BTC.USD
It smoothens a closely following moving average into a polynomial like plot.
And assumes 4 stage cycles based on the first and second derivatives.
Green: Bull / Exponential Rise
Yellow: Distribution
Red: Bear / Exponential Drop
Blue: Accumulation
Red --> Blue --> Green: indicates the start of a bull market
Green --> Yellow --> Red: indicates the start of a bear market
Green --> Yellow: Start of a distribution phase, take profits
Red --> Blue: Start of a accumulation phase, DCA
Sequence Distribution Reporta basic tool to retrieve statistics of the distribution of price range sequences.
Treat Sideways👉 What is this indicator ?
Understanding the Sideways Trend is the best trading method, and we have written this script intending to make you a better sideways filter indicator. Treat Sideways helps you understand the sideways trend and trade in a risk free manner.
👉 On which coins can this indicator be used ?
This indicator is best used on all cryptocurrencies, stocks , forex markets
👉 How work this indicator ?
We understand the trend using our secret logic and price action, and After that, we mark the sideways movement in a box. The moving average line helps us to construct this indicator.
👉 Default Coin and Time Frame ?
XRPUSDT
Time Frame : 1 min
MA Line Color Details 👇
The Blue color of the MA line indicates the Sideways Trend
The Red color of the MA line indicates the Down Trend
The Green color of the MA line indicates the Up Trend
Indicator Settings 👇
Box Height : This setting can be used to set the size of the Sideways trend
Time Gap : This option is used to control unexpected down trend and up trend
Up Down Threshold : This option should be adjusted according to the time frame and voltality
Color :
Option to change the color of the box that appears in the sideways trend
Border Color : Option to change the color of the box border that appears in the sideways trend
Opacity : Option to change the opacity of the box border that appears in the sideways trend
Line Width : You can adjust the width of the MA line with this option
Breakout Accumulation/DistributionBasic modification of my SFP Momentum Indicator showing accumulation/distribution patterns based on breakouts above previous anchor points.
Candles are colored based on whether accumulation or distribution was last.
Best if used at HTF then confirmed at LTF.
Accumulation Distribution Volume Oscillator (ADVO) [JoseMetal]============
ENGLISH
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- Description:
This indicator has 2 features (currently):
It shows the net volume in a histogram (buy volume in the upper part, sell volume in the bottom part).
Also calculates the difference between accumulation / distribution in a fast vs slow period to plot 2 moving averages and trigger crossovers.
It has an option to ignore the wicks, which sometimes makes it more accurate.
- Visual:
So first of all is the net volume, in the upper part of the histogram the buy volume is printed in green, if the volume keeps going up the histogram bars gets lighter, darker if the volume goes down.
Similarly, we have the sell volume in the bottom part, in red, it also gets lighter if the sell volume increases, and otherwise it gets darker.
And then we have 2 lines, one for the fast and other for the slow period, both shows the DIFFERENCE of the accumulation vs distribution, which can gives us clues about how the market is heading.
The background color changes depending on the status and crossovers:
Fast moving average crossovers the slow = GREEN, if the opposite happens = RED.
The rest of the time it depends on the position of the moving averages and if the fast is above or below the 0 line:
GREEN: FAST > SLOW and FAST > 0
OLIVE: FAST > SLOW but FAST < 0
RED: FAST < SLOW and FAST < 0
ORANGE: FAST < SLOW but FAST > 0
- Usage and recommendations:
Depending on the timeframe, the default 12 and 26 periods (fast / slow) are good, but i noticed that checking lower timeframes with higher settings it gives a better direction of the higher timeframe, example: you want to trade in 1h, but you check the 5 min timeframe with 25 / 100 periods.
That's because the smaller timeframe gives you a more "realistic" volume, more "detailed" volume I'd say.
In fact, in the real testings, I took a wonderful short by checking the 1 minute timeframe with 50 and 200 periods to decide if the 4h was making an accumulation or distribution.
Finally, there's an option to ignore wicks for the moving averages, sometimes it shows better results because ignoring volume within the wicks gives faster results, but I recommend checking both with and without.
- Customization:
So almost everything is customizable, colors, periods... there's an option for the histogram color scheme, but you can change every single color if you want.
You can also pick the moving average type, sometimes WMA is better, but I got better results with the EMA (which is the default).
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ESPAÑOL
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- Descripción:
Este indicador tiene 2 características (actualmente):
Muestra el volumen neto en un histograma (volumen de compra en la parte superior, volumen de venta en la parte inferior).
También calcula la diferencia entre acumulación/distribución en un periodo rápido vs lento para trazar 2 medias móviles y generar cruces.
Tiene una opción para ignorar las mechas, lo que a veces lo hace más preciso.
- Visual:
En primer lugar está el volumen neto, en la parte superior del histograma se muestra en verde el volumen de compra, si el volumen sigue subiendo las barras del histograma se hacen más claras, más oscuras si el volumen baja.
Del mismo modo, tenemos el volumen de venta en la parte inferior, en rojo, también se aclara si el volumen de venta aumenta, y de lo contrario se oscurece.
Y luego tenemos 2 líneas, una para el periodo rápido y otro para el lento, ambos muestran la DIFERENCIA entre la acumulación y distribución en su período, que nos puede dar pistas sobre la dirección del mercado.
El color del fondo cambia según el estado y los cruces:
La media móvil rápida cruza la lenta = VERDE, si ocurre lo contrario = ROJO.
El resto del tiempo depende de la posición de las medias móviles y de si la rápida está por encima o por debajo del punto 0:
VERDE: RÁPIDO > LENTO y RÁPIDO > 0
OLIVA: RÁPIDO > LENTO pero RÁPIDO < 0
ROJO: RÁPIDO < LENTO y RÁPIDO < 0
NARANJA: RÁPIDO < LENTO pero RÁPIDO > 0
- Uso y recomendaciones:
Dependiendo del marco de tiempo, los 12 y 26 períodos por defecto (rápido / lento) van bien, pero me di cuenta de que vigilar temporalidades más bajas con períodos más largos da una mejor dirección de la temporalidad superior, ejemplo: queremos operar en 1h, pero miramos el de 5 min con 25 / 100 períodos.
Eso es porque el marco de tiempo más pequeño le da un volumen más "realista", más "detallado" en mi opinión.
De hecho, en las pruebas reales, operé un estupendo short comprobando el marco de tiempo de 1 minuto con 50 y 200 períodos para decidir si el 4h estaba haciendo una acumulación o distribución.
Por último, hay una opción para ignorar las mechas para las medias móviles, a veces muestra mejores resultados ya que ignorar el volumen dentro de las mismas da resultados más rápidos, pero recomiendo comprobar el indicador de ambas formas para hacernos una idea general.
- Personalización:
Casi todo es personalizable, los colores, los periodos... hay una opción para el esquema de colores del histograma, pero puedes cambiar todos los colores si quieres.
También puedes elegir el tipo de media móvil, a veces es mejor la WMA, pero yo obtuve mejores resultados con la EMA (que es la que viene por defecto).
Accumulation_&_Distribution_Aka_ConsolidationZone - BasicDear Traders,
It so happens to the traders that once in their lifetime journey they be sure to here the below statement.
1. I got struck in the consolidation zone
2. Signals from technical indicators failed because prices were consolidating.
3. Its pretty tuff to detect consolidation zone. (programmatically)
I don't know about other but I have heard this throughout my trading journey. Hence I started to debug the above 3 statements and came up with this indicator which detects consolidation zones in the chart.
there are 3 inputs settings
1. ATR multiplier = can be used to filter the consolidation box height. higher the value bigger the box (vertical view) and smaller the value smaller the box height.
2. Show Last No of Zones = set the No of previous zones you would like to see.
3. Consolidation Size = If set to small. all kind of sizes will be plotted ( majorly works for day trading) if set to wide, script looks for major consolidation zones (majorly works for higher timeframes). if set to medium, script looks medium size to wide size zones majorly for timeframe with more than 30 min.
What's this indicator is taking into account?
1. Moving Averages
2. Linear Regression curves
3. ATR
4. BB
5. BBW
6. Couple of Math calculation to support the zone identification.
Note: Plz do suggest for any kind of improvements or feedbacks.
Regards
[UPRIGHT Trading] OrderZones - Supply & Demand (Predictive) (cc)Hello Traders,
This is one that I've been working on a very, Very long time. As easy as it is to draw after the fact, as someone well versed in Supply and Demand; it's a bit more difficult to create all the calculations to show them, code them out, and then I went a step further — attempting to predict future ones as well.
Let's talk about what Supply & Demand Zones are. They are a pattern and technical analysis technique used in day and swing trading. Demand zone represents the area with strongest buying pressure and Supply zone represents selling pressure. Often these zones will show Institutional/Large buyers and sellers executing their orders causing price to move up or down very quickly, creating a long wick on a small and sometimes momentum that feeds into the larger timeframes. Therefore, in the simplest terms, the Supply and Demand Orderzones are the zones the price often gets rejected from or returned to; when Demand exceeds Supply, price jumps up and vice versa.
Unlike lines of support and resistance , these are zones more closely than precise lines, but can help gauge Support and Resistance on the fly.
Richard Wykoff was one of the first market analysts to explain the interaction of these phases, giving them four labels. It is in the understanding of Wyckoff's explanation of market price action, that supply and demand zones are also known as Accumulation and Distribution zones (Accumulation, Markup, Distribution, Markdown).
Shows potential entries on break from zone. Pivots. Large breakdowns or breakouts signalling possible trend change.
Super Fast Real-time Orderzone creation. Resistance line at Supply, shows multiple dimensions of each zone when large enough.
Different calculation, line, transparency settings
Minimalist mode with autobox
Features:
Multiple calculation modes with different lengths and displays.
AutoBox (Predictive Orderzones).
Buy/Sell Highlights.
UPRIGHT – Ultimate Reversals (Support/Resistance version).
Breakouts/Breakdowns + Signals.
Pivot Labels (HH, HL, etc).
Pivot Bar.
Pivot Buy /Sell Signals.
Fully Customizable—Change line types, transparency, colors, etc).
I am still working on the calculations for one more addition, but as it is, this should help anyone automate their S/D technical analysis.
Please see author instructions for access.
Cheers,
Mike
(UPRIGHT Trading)
SFP MomentumCustom swing fail detector with levels and breakouts both major and minor plus colored candles based on SFP momentum.
IBP_AccDistThis indicator plots distribution / accumulation.
Distribution is when price falls by 0.2% and volume is 1.25 times the 20 day average volume.
Opposite is accumulation.
If there are 5 distibution days in a span of 20 days then market direction is confirmed down.
William O Neils method. Parameters tweaked based on Indian markets and my experience.
Probability ConesA probability cone is an indicator that forecasts a statistical distribution from a set point in time into the future.
Features
Forecast a Standard or Laplace distribution.
Change the how many bars the cones will lookback and sample in their calculations.
Set how many bars to forecast the cones.
Let the cones follow price from a set number of bars back.
Anchor the cones and they will not update from their last location.
Show or hide any set of cones.
Change the deviation used of any cone's upper or lower line.
Change any line's color, style, or width.
Change or toggle the fill colors between any two cone lines.
Basic Interpretations
First, there is an assumption that the distribution starting from the cone's origin, based on the number of historical bars sampled, is likely to represent the distribution of future price.
Price typically hangs around the mean.
About 68% of price stays within the first deviation cones.
About 95% of price stays within the second deviation cones.
About 99.7% of price stays within the third deviation cones.
When price is between the first and second deviation cones, there is a higher probability for a reversal.
However, strong momentum while above or below the first deviation can indicate a trend where price maintains itself past the first deviation. For this reason it's recommended to use a momentum indicator alongside the cones.
There is no mean reversion assumption when price deviates. Price can continue to stay deviated.
It's recommended that the cones are placed at the beginning of calendar periods. Like the month, week, or day.
Be mindful when using the cones on various timeframes. As the lookback setting, which selects the number of bars back to load from the cone's origin, will load the number of bars back based on the current timeframe.
Second Deviation Strategy
How to react when price goes beyond the second deviation is contingent on your trading position.
If you are holding a losing trade and price has moved past the second deviation, it could be time to stop trading and exit.
If you are holding a winning trade and price has moved past the second deviation, it would be best to look at exit strategies to capitalize on the outperformance.
If price has moved beyond the second deviation and you hold no position, then do not open any new trades.
FunctionProbabilityDistributionSamplingLibrary "FunctionProbabilityDistributionSampling"
Methods for probability distribution sampling selection.
sample(probabilities) Computes a random selected index from a probability distribution.
Parameters:
probabilities : float array, probabilities of sample.
Returns: int.
Function - Probability Chebyshev Inequalityfunction to calculate Chebyshev Inequality. wich can be used to compute the probability that we will diverge from what we expect to obtain.
reference:
- www.omnicalculator.com
- github.com
- statisticstopics.wordpress.com
- en.wikipedia.org
Outlier Detector with N-Sigma Confidence IntervalsA detrended series that oscilates around zero is obtained after first differencing a time series (i.e. subtracting the closing price for a candle from the one immediately before, for example). Hypothetically, assuming that every detrended closing price is independent of each other (what might not be true!), these values will follow a normal distribution with mean zero and unknown variance sigma squared (assuming equal variance, what is also probably not true as volatility changes over time for different pairs). After studentizing, they follow a Student's t-distribution, but as the sample size increases (back periods > 30, at least), they follow a standard normal distribution.
This script was developed for personal use and the idea is spotting candles that are at least 99% bigger than average (using N = 3) as they will cross the upper and lower confidence interval limits. N = 2 would roughly provide a 95% confidence interval.
Function - Entropy Gini Indexfunction to retrieve Gini Impurity / Gini Index.
reference:
- victorzhou.com
- en.wikipedia.org
