Rolling Window Geometric Brownian Motion Projections📊 Rolling GBM Projections + EV & Adjustable Confidence Bands
Overview
The Rolling GBM Projections + EV & Adjustable Confidence Bands indicator provides traders with a robust, dynamic tool to model and project future price movements using Geometric Brownian Motion (GBM). By combining GBM-based simulations, expected value (EV) calculations, and customizable confidence bands, this indicator offers valuable insights for decision-making and risk management.
Key Features
Rolling GBM Projections: Simulate potential future price paths based on drift (μμ) and volatility (σσ).
Expected Value (EV) Line: Represents the average projection of simulated price paths.
Confidence Bands: Define ranges where the price is expected to remain, adjustable from 51% to 99%.
Simulation Lines: Visualize individual GBM paths for detailed analysis.
EV of EV Line: A smoothed trend of the EV, offering additional clarity on price dynamics.
Customizable Lookback Periods: Adjust the rolling lookback periods for drift and volatility calculations.
Mathematical Foundation
1. Geometric Brownian Motion (GBM)
GBM is a mathematical model used to simulate the random movement of asset prices, described by the following stochastic differential equation:
dSt=μStdt+σStdWt
dSt=μStdt+σStdWt
Where:
StSt: Price at time tt
μμ: Drift term (expected return)
σσ: Volatility (standard deviation of returns)
dWtdWt: Wiener process (standard Brownian motion)
2. Drift (μμ) and Volatility (σσ)
Drift (μμ): Represents the average logarithmic return of the asset. Calculated using a simple moving average (SMA) over a rolling lookback period.
μ=SMA(ln(St/St−1),Lookback Drift)
μ=SMA(ln(St/St−1),Lookback Drift)
Volatility (σσ): Measures the standard deviation of logarithmic returns over a rolling lookback period.
σ=STD(ln(St/St−1),Lookback Volatility)
σ=STD(ln(St/St−1),Lookback Volatility)
3. Price Simulation Using GBM
The GBM formula for simulating future prices is:
St+Δt=St×e(μ−12σ2)Δt+σϵΔt
St+Δt=St×e(μ−21σ2)Δt+σϵΔt
Where:
ϵϵ: Random variable from a standard normal distribution (N(0,1)N(0,1)).
4. Confidence Bands
Confidence bands are determined using the Z-score corresponding to a user-defined confidence percentage (CC):
Upper Band=EV+Z⋅σ
Upper Band=EV+Z⋅σ
Lower Band=EV−Z⋅σ
Lower Band=EV−Z⋅σ
The Z-score is computed using an inverse normal distribution function, approximating the relationship between confidence and standard deviations.
Methodology
Rolling Drift and Volatility:
Drift and volatility are calculated using logarithmic returns over user-defined rolling lookback periods (default: μ=20μ=20, σ=16σ=16).
Drift defines the overall directional tendency, while volatility determines the randomness and variability of price movements.
Simulations:
Multiple GBM paths (default: 30) are generated for a specified number of projection candles (default: 12).
Each path is influenced by the current drift and volatility, incorporating random shocks to simulate real-world price dynamics.
Expected Value (EV):
The EV is calculated as the average of all simulated paths for each projection step, offering a statistical mean of potential price outcomes.
Confidence Bands:
The upper and lower bounds of the confidence bands are derived using the Z-score corresponding to the selected confidence percentage (e.g., 68%, 95%).
EV of EV:
A running average of the EV values, providing a smoothed perspective of price trends over the projection horizon.
Indicator Functionality
User Inputs:
Drift Lookback (Bars): Define the number of bars for rolling drift calculation (default: 20).
Volatility Lookback (Bars): Define the number of bars for rolling volatility calculation (default: 16).
Projection Candles (Bars): Set the number of bars to project future prices (default: 12).
Number of Simulations: Specify the number of GBM paths to simulate (default: 30).
Confidence Percentage: Input the desired confidence level for bands (default: 68%, adjustable from 51% to 99%).
Visualization Components:
Simulation Lines (Blue): Display individual GBM paths to visualize potential price scenarios.
Expected Value (EV) Line (Orange): Highlight the mean projection of all simulated paths.
Confidence Bands (Green & Red): Show the upper and lower confidence limits.
EV of EV Line (Orange Dashed): Provide a smoothed trendline of the EV values.
Current Price (White): Overlay the real-time price for context.
Display Toggles:
Enable or disable components (e.g., simulation lines, EV line, confidence bands) based on preference.
Practical Applications
Risk Management:
Utilize confidence bands to set stop-loss levels and manage trade risk effectively.
Use narrower confidence intervals (e.g., 50%) for aggressive strategies or wider intervals (e.g., 95%) for conservative approaches.
Trend Analysis:
Observe the EV and EV of EV lines to identify overarching trends and potential reversals.
Scenario Planning:
Analyze simulation lines to explore potential outcomes under varying market conditions.
Statistical Insights:
Leverage confidence bands to understand the statistical likelihood of price movements.
How to Use
Add the Indicator:
Copy the script into the TradingView Pine Editor, save it, and apply it to your chart.
Customize Settings:
Adjust the lookback periods for drift and volatility.
Define the number of projection candles and simulations.
Set the confidence percentage to tailor the bands to your strategy.
Interpret the Visualization:
Use the EV and confidence bands to guide trade entry, exit, and position sizing decisions.
Combine with other indicators for a holistic trading strategy.
Disclaimer
This indicator is a mathematical and statistical tool. It does not guarantee future performance.
Use it in conjunction with other forms of analysis and always trade responsibly.
Happy Trading! 🚀
Forecasting
Order Block & FVG Finder Explanation of Changes:
1. max_future_bars Limitation:
* Added max_future_bars to limit how far labels and objects can be plotted into the future.
* Objects are only drawn if their position is within the 500-bar limit.
2. Condition in label.new:
* Ensures that the position of the label remains within the bounds by checking the bar_index.
Key Notes:
=> The limitation applies to label.new() and similar drawing functions.
"50 EMA Proximity & Crossover Alert"This script provides traders with a powerful tool for monitoring interactions with the 50-period Exponential Moving Average (EMA). It offers two key features:
Proximity Alerts: The script detects when the price is approaching the 50 EMA within a customizable proximity threshold (default: 0.1%).
Crossover Alerts: Notifications are triggered when the price crosses the 50 EMA, either from above or below.
Key Features:
50 EMA Calculation: The 50-period Exponential Moving Average is plotted as a blue line for trend analysis.
Dynamic Proximity Detection: Alerts are triggered only when the price dynamically moves into the defined proximity range of the 50 EMA. This prevents constant notifications in choppy conditions.
Visual Highlighting: The chart background turns green when the price enters the proximity zone, making it easy to identify areas of interest visually.
Customizable Threshold: The proximity threshold is set to 0.1% of the EMA value by default but can be adjusted directly in the script for tighter or wider zones.
Two Alert Types:
Proximity Alert: When the price nears the EMA.
Crossover Alert: When the price crosses the EMA.
How It Works:
EMA Calculation: The 50 EMA is calculated using the ta.ema() function in Pine Script.
Proximity Threshold: The script uses a threshold defined as a percentage of the EMA value (0.001 * ema50 by default).
Dynamic Conditions: Alerts are only triggered when the price enters the proximity zone dynamically, avoiding constant signals when the price lingers near the EMA.
Visual Representation: The green background highlights proximity areas, while the alert system notifies you of key events.
Usage Instructions:
Add the script to your chart.
Adjust the proximity threshold (schwelle) in the script if needed.
Set up alerts in TradingView:
Proximity Alert: Notify when the price is close to the EMA.
Crossover Alert: Notify when the price crosses the EMA.
Use the visual green background as a quick reference for areas of interest.
Ideal For:
Traders who rely on EMA-based strategies for scalping, swing trading, or trend-following.
Those looking for a tool to notify them of key EMA interactions without constant chart monitoring.
Chart Example:
The script is designed to work cleanly on any time frame (5m, 15m, 1h, etc.). A sample chart shows:
The 50 EMA as a blue line.
A green background indicating proximity zones.
Alerts set for proximity and crossover.
Multi-Timeframe Trend & RSI Trading - FahimExplanation:
Calculate RSI: Calculates the Relative Strength Index (RSI) to identify overbought and oversold conditions.
Calculate Moving Averages: Calculates fast and slow moving averages to identify trend direction.
Calculate Higher Timeframe Moving Averages: Calculates moving averages on higher timeframes (e.g., 12 hours and 1 day) to confirm the overall trend.
Identify Trend Conditions: Determines if the current price is in an uptrend or downtrend based on the moving averages.
Identify Higher Timeframe Trends: Determines if the higher timeframes are also in an uptrend or downtrend.
Identify RSI Divergence: Checks for bullish and bearish divergences between price and RSI.
Generate Buy and Sell Signals: Generates buy signals when bullish divergence occurs and all timeframes are in an uptrend. Generates sell signals when bearish divergence occurs and all timeframes are in a downtrend.
Calculate Fibonacci Levels: Calculates Fibonacci retracement levels based on recent price swings.
Calculate Support/Resistance Levels: Calculates support and resistance levels based on price action.
Plot Signals: Plots buy and sell signals on the chart.
Calculate Take Profit Targets: Calculates take profit targets using Fibonacci levels and support/resistance levels.
Calculate Stop Loss: Calculates a fixed stop loss percentage (2% in this example).
50 EMA Proximity & Crossover Alert50 EMA Proximity & Crossover Alert
This script provides traders with a powerful tool for monitoring interactions with the 50-period Exponential Moving Average (EMA). It offers two key features:
Proximity Alerts: The script detects when the price is approaching the 50 EMA within a customizable proximity threshold (default: 0.1%).
Crossover Alerts: Notifications are triggered when the price crosses the 50 EMA, either from above or below.
Key Features:
50 EMA Calculation: The 50-period Exponential Moving Average is plotted as a blue line for trend analysis.
Dynamic Proximity Detection: Alerts are triggered only when the price dynamically moves into the defined proximity range of the 50 EMA. This prevents constant notifications in choppy conditions.
Visual Highlighting: The chart background turns green when the price enters the proximity zone, making it easy to identify areas of interest visually.
Customizable Threshold: The proximity threshold is set to 0.1% of the EMA value by default but can be adjusted directly in the script for tighter or wider zones.
Two Alert Types:
Proximity Alert: When the price nears the EMA.
Crossover Alert: When the price crosses the EMA.
How It Works:
EMA Calculation: The 50 EMA is calculated using the ta.ema() function in Pine Script.
Proximity Threshold: The script uses a threshold defined as a percentage of the EMA value (0.001 * ema50 by default).
Dynamic Conditions: Alerts are only triggered when the price enters the proximity zone dynamically, avoiding constant signals when the price lingers near the EMA.
Visual Representation: The green background highlights proximity areas, while the alert system notifies you of key events.
Usage Instructions:
Add the script to your chart.
Adjust the proximity threshold (schwelle) in the script if needed.
Set up alerts in TradingView:
Proximity Alert: Notify when the price is close to the EMA.
Crossover Alert: Notify when the price crosses the EMA.
Use the visual green background as a quick reference for areas of interest.
Ideal For:
Traders who rely on EMA-based strategies for scalping, swing trading, or trend-following.
Those looking for a tool to notify them of key EMA interactions without constant chart monitoring.
Chart Example:
The script is designed to work cleanly on any time frame (5m, 15m, 1h, etc.). A sample chart shows:
the 50 EMA is plotted as a blue line by default. Users can customize the line color in their own chart settings if they prefer a different visual style (e.g., yellow, green, etc.) in my case its yellow.
A green background indicating proximity zones.
Alerts set for proximity and crossover.
Scalping Strategy with Risk Management and Trailing Stop//@version=5
indicator("Scalping Strategy with Risk Management and Trailing Stop", overlay=true)
// پارامترهای ورودی
emaShortLength = input.int(9, title="Short EMA Length")
emaLongLength = input.int(21, title="Long EMA Length")
rsiLength = input.int(14, title="RSI Length")
rsiOverbought = input.int(70, title="RSI Overbought Level")
rsiOversold = input.int(30, title="RSI Oversold Level")
riskPercent = input.float(1.0, title="Risk per Trade (%)", step=0.1) // ریسک در هر معامله
accountBalance = input.float(10000, title="Account Balance") // موجودی حساب
atrMultiplier = input.float(1.5, title="ATR Multiplier for Stop Loss", step=0.1) // ضربکننده ATR برای حد ضرر
riskToReward = input.float(2.0, title="Risk-to-Reward Ratio", step=0.1) // نسبت ریسک به ریوارد
enableTrailingStop = input.bool(true, title="Enable Trailing Stop?") // فعالسازی تریلینگ استاپ
trailingATRMultiplier = input.float(1.0, title="Trailing Stop ATR Multiplier", step=0.1) // ضربکننده ATR برای تریلینگ استاپ
// محاسبه اندیکاتورها
emaShort = ta.ema(close, emaShortLength)
emaLong = ta.ema(close, emaLongLength)
rsi = ta.rsi(close, rsiLength)
atr = ta.atr(14)
// شناسایی سیگنالها
isBuySignal = ta.crossover(emaShort, emaLong) and rsi < rsiOversold
isSellSignal = ta.crossunder(emaShort, emaLong) and rsi > rsiOverbought
// محاسبه حجم معامله
riskAmount = accountBalance * (riskPercent / 100) // مقدار سرمایهای که میخواهیم ریسک کنیم
stopLoss = atr * atrMultiplier // حد ضرر
positionSize = riskAmount / stopLoss // حجم معامله بر اساس ریسک
// حد سود و ضرر اولیه
var float longSL = na
var float longTP = na
var float shortSL = na
var float shortTP = na
if (isBuySignal)
longSL := close - stopLoss
longTP := close + (stopLoss * riskToReward)
label.new(bar_index, close, "Buy", style=label.style_label_up, color=color.green, textcolor=color.white)
if (isSellSignal)
shortSL := close + stopLoss
shortTP := close - (stopLoss * riskToReward)
label.new(bar_index, close, "Sell", style=label.style_label_down, color=color.red, textcolor=color.white)
// تریلینگ استاپ
var float trailSL = na
if (enableTrailingStop)
if (not na(trailSL))
if (isBuySignal and close > trailSL + atr * trailingATRMultiplier)
trailSL := close - atr * trailingATRMultiplier
if (isSellSignal and close < trailSL - atr * trailingATRMultiplier)
trailSL := close + atr * trailingATRMultiplier
// رسم خطوط حد ضرر، حد سود و تریلینگ استاپ
plot(longSL, color=color.red, title="Stop Loss (Buy)", style=plot.style_linebr)
plot(longTP, color=color.green, title="Take Profit (Buy)", style=plot.style_linebr)
plot(shortSL, color=color.red, title="Stop Loss (Sell)", style=plot.style_linebr)
plot(shortTP, color=color.green, title="Take Profit (Sell)", style=plot.style_linebr)
plot(trailSL, color=color.blue, title="Trailing Stop", style=plot.style_line)
BITCOIN BTC Neural AI Strategy by NHBprodHey everyone, here's a new trading strategy script for Bitcoin, and I’m super excited to share it with you. It’s called the "BITCOIN BTC Neural AI Strategy." It creates a neural network using RSI, MACD, and EMA which are weighted and undergo a mathematical transformation to result in a single value. Plotting the single value, and adding thresholds gives you the ability to trade. This is the strategy script, but I also have the indicator script which can be used to automate buy and sell signals directly to your phone, email, or your bot.
What It Does
RSI: Measures momentum (like, is the market pumped or tired?).
MACD: Checks if momentum is gaining or slowing (super handy for spotting moves).
EMA: Follows the big trend (like the market’s vibe over time).
Then, it smooshes all this data together and spits out a single number I call the Neural Proxy Value. If the value goes above 0.5, enter a long trade, and if it drops below -0.5, you can sell, and even short it if you'd like.
Backtest Results
Some notables:
I included slippage & I included commission.
77% net profit on a 10,000 starting account.
Hundreds of trades, and covers the maximum amount of time allowed in tradingview.
The script is ready for BITCOIN and I deploy it on the 1 hour timeframe because I feel like 1 hour bars get enough data to make solid judgements.
How to Use It
Look at the Neural Proxy line—it’s color-coded and easy to spot.
For traders who only trade long:
When the Neural Proxy line is above 0.5 = buy
When the Neural Proxy line is below -0.5 = sell
For traders who only trade short:
When the Neural Proxy line is above 0.5 = exit the short
When the Neural Proxy line is below -0.5 = enter the short
This strategy (and the pairing indicator script) is able to be used to trade long only, short only, or both long & short to maximize trade opportunities.
BTCUSDT.P Binance ve BTCUSD.P Bitmex Fiyat KontrolüBitmex Ve Binance arasındaki BTC fiyat farkına göre AL ve SAT sinyalleri üretir. BTC için geçerlidir.
Anchored Geometric Brownian Motion Projections w/EVAnchored GBM (Geometric Brownian Motion) Projections + EV & Confidence Bands
Version: Pine Script v6
Overlay: Yes
Author:
Published On:
Overview
The Anchored GBM Projections + EV & Confidence Bands indicator leverages the Geometric Brownian Motion (GBM) model to project future price movements based on historical data. By simulating multiple potential future price paths, it provides traders with insights into possible price trajectories, their expected values, and confidence intervals. Additionally, it offers a "Mean of EV" (EV of EV) line, representing the running average of expected values across the projection period.
Key Features
Anchor Time Setup:
Define a specific point in time from which the projections commence.
By default, it uses the current bar's timestamp but can be customized.
Projection Parameters:
Projection Candles (Bars): Determines the number of future bars (time periods) to project.
Number of Simulations: Specifies how many GBM paths to simulate, ensuring statistical relevance via the Central Limit Theorem (CLT).
Display Toggles:
Simulation Lines: Visual representation of individual GBM simulation paths.
Expected Value (EV) Line: The average price across all simulations at each projection bar.
Upper & Lower Confidence Bands: 95% confidence intervals indicating potential price boundaries.
EV of EV Line: Running average of EV values, providing a smoothed central tendency across the projection period. Additionally, this line often acts as an indicator of trend direction.
Visualization:
Clear and distinguishable lines with customizable colors and styles.
Overlayed on the price chart for direct comparison with actual price movements.
Mathematical Foundation
Geometric Brownian Motion (GBM):
Definition: GBM is a continuous-time stochastic process used to model stock prices. It assumes that the logarithm of the stock price follows a Brownian motion with drift.
Equation:
S(t)=S0⋅e(μ−12σ2)t+σW(t)
S(t)=S0⋅e(μ−21σ2)t+σW(t) Where:
S(t)S(t) = Stock price at time tt
S0S0 = Initial stock price
μμ = Drift coefficient (average return)
σσ = Volatility coefficient (standard deviation of returns)
W(t)W(t) = Wiener process (standard Brownian motion)
Drift (μμ) and Volatility (σσ):
Drift (μμ) represents the expected return of the stock.
Volatility (σσ) measures the stock's price fluctuation intensity.
Central Limit Theorem (CLT):
Principle: With a sufficiently large number of independent simulations, the distribution of the sample mean (EV) approaches a normal distribution, regardless of the underlying distribution.
Application: Ensures that the EV and confidence bands are statistically reliable.
Expected Value (EV) and Confidence Bands:
EV: The mean price across all simulations at each projection bar.
Confidence Bands: Range within which the actual price is expected to lie with a specified probability (e.g., 95%).
EV of EV (Mean of Sample Means):
Definition: Represents the running average of EV values across the projection period, offering a smoothed central tendency.
Methodology
Anchor Time Setup:
The indicator starts projecting from a user-defined Anchor Time. If not customized, it defaults to the current bar's timestamp.
Purpose: Allows users to analyze projections from a specific historical point or the latest market data.
Calculating Drift and Volatility:
Returns Calculation: Computes the logarithmic returns from the Anchor Time to the current bar.
returns=ln(StSt−1)
returns=ln(St−1St)
Drift (μμ): Calculated as the simple moving average (SMA) of returns over the period since the Anchor Time.
Volatility (σσ): Determined using the standard deviation (stdev) of returns over the same period.
Simulation Generation:
Number of Simulations: The user defines how many GBM paths to simulate (e.g., 30).
Projection Candles: Determines the number of future bars to project (e.g., 12).
Process:
For each simulation:
Start from the current close price.
For each projection bar:
Generate a random number zz from a standard normal distribution.
Calculate the next price using the GBM formula:
St+1=St⋅e(μ−12σ2)+σz
St+1=St⋅e(μ−21σ2)+σz
Store the projected price in an array.
Expected Value (EV) and Confidence Bands Calculation:
EV Path: At each projection bar, compute the mean of all simulated prices.
Variance and Standard Deviation: Calculate the variance and standard deviation of simulated prices to determine the confidence intervals.
Confidence Bands: Using the standard normal z-score (1.96 for 95% confidence), establish upper and lower bounds:
Upper Band=EV+z⋅σEV
Upper Band=EV+z⋅σEV
Lower Band=EV−z⋅σEV
Lower Band=EV−z⋅σEV
EV of EV (Running Average of EV Values):
Calculation: For each projection bar, compute the average of all EV values up to that bar.
EV of EV =1j+1∑k=0jEV
EV of EV =j+11k=0∑jEV
Visualization: Plotted as a dynamic line reflecting the evolving average EV across the projection period.
Visualization Elements
Simulation Lines:
Appearance: Semi-transparent blue lines representing individual GBM simulation paths.
Purpose: Illustrate a range of possible future price trajectories based on current drift and volatility.
Expected Value (EV) Line:
Appearance: Solid orange line.
Purpose: Shows the average projected price at each future bar across all simulations.
Confidence Bands:
Upper Band: Dashed green line indicating the upper 95% confidence boundary.
Lower Band: Dashed red line indicating the lower 95% confidence boundary.
Purpose: Highlight the range within which the price is statistically expected to remain with 95% confidence.
EV of EV Line:
Appearance: Dashed purple line.
Purpose: Displays the running average of EV values, providing a smoothed trend of the central tendency across the projection period. As the mean of sample means it approximates the population mean (i.e. the trend since the anchor point.)
Current Price:
Appearance: Semi-transparent white line.
Purpose: Serves as a reference point for comparing actual price movements against projected paths.
Usage Instructions
Configuring User Inputs:
Anchor Time:
Set to a specific timestamp to start projections from a historical point or leave it as default to use the current bar's time.
Projection Candles (Bars):
Define the number of future bars to project (e.g., 12). Adjust based on your trading timeframe and analysis needs.
Number of Simulations:
Specify the number of GBM paths to simulate (e.g., 30). Higher numbers yield more accurate EV and confidence bands but may impact performance.
Display Toggles:
Show Simulation Lines: Toggle to display or hide individual GBM simulation paths.
Show Expected Value Line: Toggle to display or hide the EV path.
Show Upper Confidence Band: Toggle to display or hide the upper confidence boundary.
Show Lower Confidence Band: Toggle to display or hide the lower confidence boundary.
Show EV of EV Line: Toggle to display or hide the running average of EV values.
Managing TradingView's Object Limits:
Understanding Limits:
TradingView imposes a limit on the number of graphical objects (e.g., lines) that can be rendered. High values for projection candles and simulations can quickly consume these limits. TradingView appears to only allow a total of 55 candles to be projected, so if you want to see two complete lines, you would have to set the projection length to 27: since 27 * 2 = 54 and 54 < 55.
Optimizing Performance:
Use Toggles: Enable only the necessary visual elements. For instance, disable simulation lines and confidence bands when focusing on the EV and EV of EV lines. You can also use the maximum projection length of 55 with the lower limit confidence band as the only line, visualizing a long horizon for your risk.
Adjust Parameters: Lower the number of projection candles or simulations to stay within object limits without compromising essential insights.
Interpreting the Indicator:
Simulation Lines (Blue):
Represent individual potential future price paths based on GBM. A wider spread indicates higher volatility.
Expected Value (EV) Line (Goldenrod):
Shows the mean projected price at each future bar, providing a central trend.
Confidence Bands (Green & Red):
Indicate the statistical range (95% confidence) within which the price is expected to remain.
EV of EV Line (Dotted Line - Goldenrod):
Reflects the running average of EV values, offering a smoothed perspective of expected price trends over the projection period.
Current Price (White):
Serves as a benchmark for assessing how actual prices compare to projected paths.
Practical Applications
Risk Management:
Confidence Bands: Help in identifying potential support and resistance levels based on statistical confidence intervals.
EV Path: Assists in setting realistic target prices and stop-loss levels aligned with projected expectations.
Trend Analysis:
EV of EV Line: Offers a smoothed trendline, aiding in identifying overarching market directions amidst price volatility. Indicative of the population mean/overall trend of the data since your anchor point.
Scenario Planning:
Simulation Lines: Enable traders to visualize multiple potential outcomes, fostering better decision-making under uncertainty.
Performance Evaluation:
Comparing Actual vs. Projected Prices: Assess how actual price movements align with projected scenarios, refining trading strategies over time.
Mathematical and Statistical Insights
Simulation Integrity:
Independence: Each simulation path is generated independently, ensuring unbiased and diverse projections.
Randomness: Utilizes a Gaussian random number generator to introduce variability in diffusion terms, mimicking real market randomness.
Statistical Reliability:
Central Limit Theorem (CLT): By simulating a sufficient number of paths (e.g., 30), the sample mean (EV) converges to the population mean, ensuring reliable EV and confidence band calculations.
Variance Calculation: Accurate computation of variance from simulation data ensures precise confidence intervals.
Dynamic Projections:
Running Average (EV of EV): Provides a cumulative perspective, allowing traders to observe how the average expectation evolves as the projection progresses.
Customization and Enhancements
Adjustable Parameters:
Tailor the projection length and simulation count to match your trading style and analysis depth.
Visual Customization:
Modify line colors, styles, and transparency to enhance clarity and fit chart aesthetics.
Extended Statistical Metrics:
Future iterations can incorporate additional metrics like median projections, skewness, or alternative confidence intervals.
Dynamic Recalculation:
Implement logic to automatically update projections as new data becomes available, ensuring real-time relevance.
Performance Considerations
Object Count Management:
High simulation counts and extended projection periods can lead to a significant number of graphical objects, potentially slowing down chart performance.
Solution: Utilize display toggles effectively and optimize projection parameters to balance detail with performance.
Computational Efficiency:
The script employs efficient array handling and conditional plotting to minimize unnecessary computations and object creation.
Conclusion
The Anchored GBM Projections + EV & Confidence Bands indicator is a robust tool for traders seeking to forecast potential future price movements using statistical models. By integrating Geometric Brownian Motion simulations with expected value calculations and confidence intervals, it offers a comprehensive view of possible market scenarios. The addition of the "EV of EV" line further enhances analytical depth by providing a running average of expected values, aiding in trend identification and strategic decision-making.
Hope it helps!
Buy/Sell Signals with Woodies CCI FilterThis script combines multiple indicators to provide precise buy/sell signals while filtering out false signals. It integrates Bollinger Bands, Woodies CCI, OBV, and ATR to create a robust trading strategy suitable for both trend-following and mean-reversion approaches. Here's how it works:
-Bollinger Bands: Identify overbought and oversold zones based on price volatility.
-Woodies CCI: Acts as a momentum filter to validate buy/sell signals.
-OBV (On-Balance Volume): Confirms the direction of price movement using volume.
-ATR (Average True Range): Determines realistic Take Profit (TP) and Stop Loss (SL) levels based on market volatility.
How It Works
-A Buy Signal is triggered when the price crosses above the short-term moving average (MA), and both the short-term and long-term Woodies CCI confirm upward momentum.
-A Sell Signal is triggered when the price crosses below the short-term MA, and both CCIs confirm downward momentum.
-The script includes realistic TP/SL levels using ATR to manage risks effectively.
Script này kết hợp nhiều chỉ báo để cung cấp tín hiệu mua/bán chính xác đồng thời lọc bỏ các tín hiệu sai. Nó tích hợp Bollinger Bands, Woodies CCI, OBV, và ATR để tạo ra một chiến lược giao dịch mạnh mẽ, phù hợp cho cả phương pháp theo xu hướng và hồi quy giá. Dưới đây là cách hoạt động:
-Bollinger Bands: Xác định vùng giá quá mua và quá bán dựa trên độ biến động.
-Woodies CCI: Là bộ lọc động lượng để xác nhận tín hiệu mua/bán.
-OBV (On-Balance Volume): Xác nhận hướng di chuyển của giá dựa trên khối lượng giao dịch.
-ATR (Average True Range): Xác định mức Take Profit (TP) và Stop Loss (SL) thực tế dựa trên độ biến động của thị trường.
Cách Hoạt Động
-Tín hiệu Mua được kích hoạt khi giá cắt lên đường MA ngắn hạn và cả hai chỉ báo Woodies CCI (ngắn hạn và dài hạn) xác nhận động lượng tăng.
-Tín hiệu Bán được kích hoạt khi giá cắt xuống đường MA ngắn hạn và cả hai chỉ báo CCI xác nhận động lượng giảm.
-Script bao gồm các mức TP/SL thực tế sử dụng ATR để quản lý rủi ro hiệu quả.
GT_VIPПокупка/Продажа индикатор основан на уровнях RSI
Настройка индикатора на дневку, 5 дней и недели
Period - 10
Oversold - 54
Настройка индикатора на месяце
Period - 10
Oversold - 40
Signal buy and sell (Simple Signals)إعدادات المؤشرات
ema_length = input.int(50, title="EMA Length"):
يسمح للمستخدم بتحديد طول المتوسط المتحرك الأسي (EMA) الافتراضي (القيمة الافتراضية هي 50).
هذه القيمة تمثل عدد الشموع المستخدمة لحساب المتوسط المتحرك الأسي.
حساب المتوسط المتحرك الأسي (EMA)
ema_value = ta.ema(close, ema_length):
ta.ema: دالة من مكتبة TradingView تحسب المتوسط المتحرك الأسي.
close: السعر الإغلاق لكل شمعة.
ema_length: طول المتوسط المتحرك (عدد الشموع المستخدم).
إشارات الشراء والبيع
buy_signal = ta.crossover(close, ema_value):
ta.crossover: يتحقق مما إذا كان السعر (close) قد اخترق خط EMA صعودًا.
إذا تحقق الشرط، يتم توليد إشارة شراء (buy_signal).
sell_signal = ta.crossunder(close, ema_value):
ta.crossunder: يتحقق مما إذا كان السعر (close) قد اخترق خط EMA هبوطًا.
إذا تحقق الشرط، يتم توليد إشارة بيع (sell_signal).
رسم المتوسط المتحرك الأسي
plot(ema_value, color=color.yellow, linewidth=2, title="EMA"):
يرسم خط المتوسط المتحرك الأسي (EMA) على الرسم البياني.
color=color.yellow: يحدد اللون الأصفر للخط.
linewidth=2: يحدد سمك الخط ليكون أكثر وضوحًا.
title="EMA": يظهر كاسم للخط عند عرض تفاصيل المؤشر.
رسم إشارات الشراء والبيع
plotshape(series=buy_signal, location=location.belowbar, color=color.green, style=shape.triangleup, title="Buy Signal", text="BUY"):
يظهر سهم أخضر (شكل مثلث) أسفل الشمعة التي تولدت عندها إشارة الشراء.
plotshape(series=sell_signal, location=location.abovebar, color=color.red, style=shape.triangledown, title="Sell Signal", text="SELL"):
يظهر سهم أحمر (شكل مثلث مقلوب) أعلى الشمعة التي تولدت عندها إشارة البيع.
إشعارات التنبيه
if (buy_signal) alert("Buy Signal detected on Gold!", alert.freq_once_per_bar):
عند ظهور إشارة شراء، يتم إرسال تنبيه مكتوب: "Buy Signal detected on Gold!".
alert.freq_once_per_bar: يضمن إرسال التنبيه مرة واحدة لكل شمعة.
if (sell_signal) alert("Sell Signal detected on Gold!", alert.freq_once_per_bar):
عند ظهور إشارة بيع، يتم إرسال تنبيه مكتوب: "Sell Signal detected on Gold!".
الهدف من المؤشر:
المؤشر يساعد المتداولين في تحديد نقاط الشراء والبيع استنادًا إلى تقاطع السعر مع المتوسط المتحرك الأسي (EMA).
يوفر رؤية بصرية واضحة بفضل الأسهم الملونة، ويتيح إشعارات تنبيه لتجنب تفويت الإشارات أثناء التداول.
كيفية تحسين المؤشر:
إضافة فلاتر إضافية مثل RSI أو تحليل الاتجاه العام لتحسين دقة الإشارات.
استخدام أطوال متعددة للـ EMA لتأكيد الاتجاه.
تعديل التنبيهات لتشمل المزيد من التفاصيل مثل السعر الحالي.
S & R - Trend Lines & Channels (Prince of Arabs)Support and Resistance with Trend Channels
This indicator identifies key support and resistance levels based on swing highs and lows over a user-defined lookback period. It also visualizes dynamic trend channels to help traders understand price ranges and market structure.
Key features include:
Support Level: Marked with a green line and labeled "Support," indicating potential buying areas.
Resistance Level: Marked with a red line and labeled "Resistance," indicating potential selling areas.
Trend Channels: Dashed blue (upper) and purple (lower) lines show the price range above resistance and below support, helping to identify overbought and oversold conditions.
Clear Entry Signals: A "Buy" label is displayed near the price when it approaches the support level within a user-defined backtesting range.
Stop Loss and Take Profit Levels: Automatically calculated based on customizable percentages and visualized on the chart for each trade.
Risk-to-Reward Visualization: The indicator simplifies risk management by showing trade levels dynamically.
RSI StrategyCondições de entrada e saída da estratégia:
Entrada em posição longa: A estratégia entra em uma posição comprada (longa) quando o RSI cai abaixo do nível de sobrevenda (20), indicando um possível momento de compra.
Saída de posição longa: A estratégia sai da posição longa em três cenários:
Realização de lucro: Quando o RSI atinge o nível de sobrecompra (70), indicando uma possível reversão de alta para baixa e uma oportunidade de obter lucro.
Stop-loss: Quando o RSI cai abaixo do nível de stop-loss (-15), limitando as perdas em caso de movimento adverso do preço.
Sinal de venda: Quando o RSI atinge novamente o nível de sobrecompra (70), indicando um sinal de venda.
3. Parâmetros da estratégia:
Período do RSI: O período de 14 dias é comumente utilizado para o cálculo do RSI, mas pode ser ajustado de acordo com a preferência do trader e as características do ativo.
Níveis de sobrecompra e sobrevenda: Os níveis de 70 e 20 são valores padrão, mas podem ser ajustados para aumentar ou diminuir a sensibilidade da estratégia.
Nível de stop-loss: O nível de stop-loss de -15 determina o ponto em que a posição é encerrada para limitar as perdas.
Daily Ichimoku Cloud Breakout Signalsoffre des signaux d'achats et de vente grace a l'ichimoku (prendre en compte que les signaux daily)
[ADB] Patternsshow Most profitable pattern on chart. it is very useful for xauusd and session analysis
Bitcoin Halving Cycle Profit with Background ColourThis indicator is a Minor Modification from @KevinSvenson_ indicator, i am just add some background colour
Bitcoin Halving Cycle Profit with Background ColourThis indicator is a Minor Modification from @KevinSvenson_ indicator, i am just add some background colour
"Phát Hiện Trạng Thái Thị Trường - TUNGDUBAI|LTC CapitalĐây là một chỉ báo kết hợp nhiều công cụ phân tích kỹ thuật để xác định trạng thái của thị trường, giúp bạn nhận biết liệu thị trường đang đi ngang (sideway) hay đang có sóng mạnh (strong wave). Dưới đây là giải thích từng phần cơ bản của chỉ báo này:
### 1. **Chỉ báo ADX (Average Directional Index):**
- **Mục đích:** Đo lường sức mạnh của xu hướng.
- **Điều kiện:**
- **ADX < 20:** Thị trường có xu hướng yếu hoặc đi ngang (sideway).
- **ADX > 25:** Thị trường có xu hướng mạnh.
- **Cách sử dụng:** ADX không xác định hướng (tăng hay giảm), chỉ đo lường độ mạnh của xu hướng.
### 2. **Bollinger Bands (BB):**
- **Mục đích:** Xác định phạm vi giá thông qua độ lệch chuẩn.
- **Cấu trúc:**
- **UpperBB:** Đường biên trên, đại diện cho giá cao.
- **LowerBB:** Đường biên dưới, đại diện cho giá thấp.
- **Basis:** Đường trung tâm (moving average) của BB.
- **Điều kiện:** Giá nằm trong hoặc vượt ngoài các dải BB:
- Giá trong dải BB: Thị trường sideway.
- Giá vượt khỏi dải BB: Có khả năng sóng mạnh.
### 3. **RSI (Relative Strength Index):**
- **Mục đích:** Đo lường động lượng và xác định vùng quá mua/quá bán.
- **Điều kiện:**
- **45 < RSI < 55:** Thị trường trung lập, thường xảy ra trong sideway.
- **RSI > 70 hoặc RSI < 30:** Thị trường có động lượng mạnh, gợi ý sóng mạnh.
### 4. **Điều kiện thị trường:**
- **Thị trường đi ngang (Sideway):**
- **ADX < 20**
- Giá nằm trong dải Bollinger Bands.
- RSI nằm trong khoảng 45 - 55.
- Hiển thị nền màu vàng trên biểu đồ.
- **Thị trường có sóng mạnh (Strong Wave):**
- **ADX > 25**
- Giá vượt khỏi dải Bollinger Bands **hoặc** RSI nằm ngoài vùng 30 - 70.
- Hiển thị nền màu xanh trên biểu đồ.
### 5. **Tín hiệu cảnh báo:**
- Khi thị trường đi ngang hoặc xuất hiện sóng mạnh, chỉ báo gửi thông báo cảnh báo để bạn kịp thời đưa ra quyết định giao dịch.
### 6. **Hiển thị trên biểu đồ:**
- **ADX và RSI:** Giúp bạn dễ dàng theo dõi chỉ số sức mạnh và động lượng.
- **Bollinger Bands:** Cho thấy các mức hỗ trợ và kháng cự động dựa trên dải giá.
- **Màu nền:** Phân biệt trạng thái thị trường trực quan hơn.
Chỉ báo này hữu ích cho cả việc xác định vùng tích lũy (sideway) để chờ đợi cơ hội giao dịch, và vùng sóng mạnh (breakout) để tận dụng xu hướng. Nếu có thêm câu hỏi hoặc cần tùy chỉnh, hãy cho mình biết nhé! 😊
BTC Tradingمرحبا يا متداولين
هو مؤشر لتداول البيتكوين باستخدام المتوسطات المتحركة (Moving Averages). إليك شرحًا للمؤشر وطريقة استخدامه:
1. إعداد المتوسطات المتحركة:
المتوسط المتحرك القصير (Short MA): هو متوسط متحرك يستخدم فترة زمنية قصيرة (9 أيام في هذا السكربت).
المتوسط المتحرك الطويل (Long MA): هو متوسط متحرك يستخدم فترة زمنية أطول (21 يومًا في هذا السكربت).
يتم حساب المتوسطات المتحركة باستخدام الدالة ta.sma(close, length), حيث يتم حساب المتوسط على أساس أسعار الإغلاق.
2. إشارات الشراء والبيع:
إشارة الشراء (Buy Signal): تحدث عندما يتقاطع المتوسط المتحرك القصير (Short MA) إلى الأعلى فوق المتوسط المتحرك الطويل (Long MA). هذا يعكس إشارة شراء.
يتم تحديد هذه الإشارة باستخدام الدالة ta.crossover(shortMA, longMA).
إشارة البيع (Sell Signal): تحدث عندما يتقاطع المتوسط المتحرك القصير (Short MA) إلى الأسفل تحت المتوسط المتحرك الطويل (Long MA). هذا يعكس إشارة بيع.
يتم تحديد هذه الإشارة باستخدام الدالة ta.crossunder(shortMA, longMA).
3. رسم المتوسطات المتحركة على الرسم البياني:
يتم رسم المتوسط المتحرك القصير باللون الأخضر باستخدام الدالة plot(shortMA).
يتم رسم المتوسط المتحرك الطويل باللون الأحمر باستخدام الدالة plot(longMA).
4. رسم علامات الشراء والبيع:
عند ظهور إشارة شراء، يتم رسم شكل تحت الشمعة يظهر كلمة "BUY" باللون الأخضر باستخدام الدالة plotshape(series=buySignal).
عند ظهور إشارة بيع، يتم رسم شكل فوق الشمعة يظهر كلمة "SELL" باللون الأحمر باستخدام الدالة plotshape(series=sellSignal).
طريقة استخدامه:
عندما يظهر الخط الأخضر (المتوسط المتحرك القصير) فوق الخط الأحمر (المتوسط المتحرك الطويل)، ستظهر إشارة شراء (BUY).
عندما يظهر الخط الأخضر تحت الخط الأحمر، ستظهر إشارة بيع (SELL).
هذه الإشارات قد تساعد في اتخاذ قرارات شراء وبيع بناءً على تقاطع المتوسطات المتحركة.
التفسير الفني:
إشارة الشراء تعني أن السوق قد يبدأ في الاتجاه الصاعد، حيث يتجاوز المتوسط المتحرك القصير (الذي يعكس تحركات الأسعار على المدى القصير) المتوسط المتحرك الطويل (الذي يعكس الاتجاه العام).
إشارة البيع تعني أن السوق قد يبدأ في الاتجاه الهابط، حيث يبدأ المتوسط المتحرك القصير في الهبوط تحت المتوسط المتحرك الطويل.
ملحوظة: يمكن تعديل الفترات الزمنية للمتوسطات المتحركة حسب التفضيلات الشخصية أو استراتيجية التداول التي تستخدمها.
IU Higher Timeframe MA Cross StrategyIU Higher Timeframe MA Cross Strategy
The IU Higher Timeframe MA Cross Strategy is a versatile trading tool designed to identify trend by utilizing two customizable moving averages (MAs) across different timeframes and types. This strategy includes detailed entry and exit rules with fully configurable inputs, offering flexibility to suit various trading styles.
Key Features:
- Two moving averages (MA1 and MA2) with customizable types, lengths, sources, and timeframes.
- Both long and short trade setups based on MA crossovers.
- Integrated risk management with adjustable stop-loss and take-profit levels based on a user-defined risk-to-reward (RTR) ratio.
- Clear visualization of MAs, entry points, stop-loss, and take-profit zones.
Inputs:
1. Risk-to-Reward Ratio (RTR):
- Defines the take-profit level in relation to the stop-loss distance. Default is 2.
2. MA1 Settings:
- Source: Select the data source for calculating MA1 (e.g., close, open, high, low). Default is close.
- Timeframe: Specify the timeframe for MA1 calculation. Default is 60 (60-minute chart).
- Length: Set the lookback period for MA1 calculation. Default is 20.
- Type: Choose the type of moving average (options: SMA, EMA, SMMA, WMA, VWMA). Default is EMA.
- Smooth: Option to enable or disable smoothing of MA1 to merge gaps. Default is true.
3. MA2 Settings:
- Source: Select the data source for calculating MA2 (e.g., close, open, high, low). Default is close.
- Timeframe: Specify the timeframe for MA2 calculation. Default is 60 (60-minute chart).
- Length: Set the lookback period for MA2 calculation. Default is 50.
- Type: Choose the type of moving average (options: SMA, EMA, SMMA, WMA, VWMA). Default is EMA.
- Smooth: Option to enable or disable smoothing of MA2 to merge gaps. Default is true.
Entry Rules:
- Long Entry:
- Triggered when MA1 crosses above MA2 (crossover).
- Entry is confirmed only when the bar is closed and no existing position is active.
- Short Entry:
- Triggered when MA1 crosses below MA2 (crossunder).
- Entry is confirmed only when the bar is closed and no existing position is active.
Exit Rules:
- Stop-Loss:
- For long positions: Set at the low of the bar preceding the entry.
- For short positions: Set at the high of the bar preceding the entry.
- Take-Profit:
- For long positions: Calculated as (Entry Price - Stop-Loss) * RTR + Entry Price.
- For short positions: Calculated as Entry Price - (Stop-Loss - Entry Price) * RTR.
Visualization:
- Plots MA1 and MA2 on the chart with distinct colors for easy identification.
- Highlights stop-loss and take-profit levels using shaded zones for clear visual representation.
- Displays the entry level for active positions.
This strategy provides a robust framework for traders to identify and act on trend reversals while maintaining strict risk management. The flexibility of its inputs allows for seamless customization to adapt to various market conditions and trading preferences.
US and Asia Trading Hoursadds vertical lines to your chart that show US trading hours 9-4 and NY trading hours based off of EST
