Indicators with optimal filtering of noise in the foreign exchange market

[Ivanov_Aleksei]

Indicators with optimal filtering of noise in the foreign exchange market.


Most of the indicators currently used by traders in the Forex market were created for another market - the stock market and for another time when there were sufficiently monotonous trends and quotes were not as volatile as they are now when there are no trends (as stable trends of unidirectional price movement). Moreover, the random noise of the foreign exchange market is now so great that (due to the summation of many random walks) they can even give rise to illusions of trends that will be determined by classical indicators that then give false signals. Therefore, almost the entire existing arsenal of indicators is not very suitable for trading on the Forex market and does not reflect key aspects of the state of this market.

The author has developed the number of new algorithms F ({Pi}) for recognizing and filtering random noise of market quotes and based on these algorithms he wrote indicators that, after optimizing them for the corresponding market, they allow you to enter it (the market) most profitably and close it in time open positions. Both the delay time T ({Pi}) of the filters constructed on their basis and the reliability R ({Pi}) of the signal generated by them depend on the parameters {Pi} of these algorithms. Both of these (T and R) factors influence the average profit B ({Pi}), which, therefore, depends on the {Pi} parameters. Therefore, such parameters {Pi0} filters are selected to the history of quotes of currency pairs that maximize the average statistical profit max (B) = B ({Pi0}), which is the essence of optimal filtering of market noise.

In addition, the author developed indicators that reveal the microstructure of the process of price changes and establish the true statistical characteristics of its regular and random components, which allowed us to develop effective algorithms for filtering market noise.

You can buy or download free indicators with optimal noise filtering on the MQL5 website at the link.

 

[Ivanov_Aleksei]

Sensitive Signal

Sensitive Signal

The Sensitive Signal (SS) indicator, using the filtering methods developed by the author, allows, with a high degree of probability, to establish the beginning of the true (filtered from interference - random price walks) trend movement. It is clear that such an indicator is very effective for trading on the currency exchange, where signals are highly distorted by random noise. The filtration developed by the author is carried out in several iterations and reveals the true trajectory of the regular price movement (more precisely, the most likely curve of such movement) and draws it.

Indicator readings are visual, extremely simple and do not require comments. Blue triangles are located on the uptrend of the regular component of the price movement, red triangles - on the downward. Accordingly, entry points for Buy are where the blue triangles appear immediately behind the red triangles, and for Sell, the opposite. The level of sensitivity of the indicator is adjusted by setting «Select sensitivity level». At the same time, you need to understand that increasing the sensitivity level not only reduces the signal delay (which, in fact, is small for all levels), but increases the probability of issuing a false signal.


Indicator settings.

• Price type - applied price. Values: Close price, Open price, High price, Low price, Median price ((high + low)/2 - default), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging method - averaging method. Values: Simple, Exponential (default), Smoothed, Linear weighted.
• The averaging period - - averaging period. Values: any integer (20 default).
• Select sensitivity level - sensitivity level of the Indicator. Values: Low, Middle (default), High and Strongest.
• Dimensions of markers – Dimensions of the markers. Values: any integer (2 default).
• Signal Identification Method - Values: By the last two bars (default), By closed candle, By closed candle and by the previous for it bar.
• The Signal method - Type of trading signal alert. Values: No, Send alert, Print (in expert), Comment (in chart), Sound + Print, Sound + Comment, Sound, Push + Comment, Push, Mail + Comment, Mail.

 

[Ivanov_Aleksei]

StatChannel

The principle of the indicator.

The StatChannel (SC) indicator is a development of the Bollinger Bands indicator (ВВ). BB is a moving average, on both sides of which two lines are drawn, separated from it by standard deviations std multiplied by the corresponding coefficient. At the same time, a moving average with an averaging period (2n + 1) bars is always obtained lagging behind n bars. Sliding std is also lagging behind on n bars, also calculated by (2n + 1) points. Such a strong delay reduces the efficiency of using BB.

The SC indicator is constructed in the same way as a classic BB, but only on the basis of the non-lagging moving average. Such a curve is calculated at points (Inf, n + 1], as a moving average at the segment (Inf, 0], where 0 is the number of the last bar, shifted back by n bars, and at the points of the segment [n, 0] it is estimated. The estimate is a curvilinear sector (sweeping confidence interval) in which the line of the non-lagging moving average is laid with a given confidence level. The non-lagging average is also surrounded by non-lagging std, which is determined at points at points (Inf, n + 1) in the same way as the non-lagging moving average, and at points of the segment [n, 0] - by a special algorithm that calculates the set of values std, that will be within the specified value of the confidence interval.





Trade using the SC indicator.

The SC indicator builds the distribution patterns of the current channels, into which all price fluctuations fit in heap and evenly. The figure of the middle line gives directly those values for the current price that fit into the given (in the settings) confidence level. The figures of the upper and lower lines describe the allowable variations in price fluctuations at the top and bottom, respectively.

If the lower border of the figure sector of the middle component of the SC indicator moves to the up, then there is an upward trend. If the upper boundary of the curvilinear sector of the middle component of the SC indicator is oriented downwards, then there is a downward trend. In such cases, you can be confident in the correctness of the established trend direction with a given confidence level.

If the upper limit of the figure sector of the middle component of the SC indicator moves to the up, and the lower limit moves down, then there is a flat, which serves as a signal for closing trend positions.

If the colored sectors are clearly divided, then when the price approaches the upper edge of the upper line, you need to open a position on Sell, and when the price approaches the lower edge of the lower line on Buy, which, of course, needs to be done if there is a pronounced trend with regard to it directions, i.e. Do not play against this trend. Closing positions, on the contrary, Sell when the price drops to the figure sector of the lower line, and Buy when the price rises to the figure sector of the upper line.

A strong overlap of sectors indicates a high probability of a change in trend.





Indicator settings.

• Price type - applied price. Values: Close price, Open price, High price, Low price, Median price ((high + low)/2 - default), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging method - averaging method. Values: Simple (default), Exponential, Smoothed, Linear weighted.
• The averaging period - averaging period. Values: any integer (21 default).
• Confidence probability Values: any real number from 0 to 0.999 (0.67 default).
• Channel width factor in STD - channel width factor in standard deviations. Values: any real number (1.0 default).
• Global shift - Global shift of the beginning of the indicator readings in bars. Values: any positive integer (0 default).
• Top line color – Color of the top line and figure sector. Default Turquoise.
• Midline color - Color of the midline and figure sector. Default Orange.
• Bottom line color - Color of the bottom line and figure sector. Default FireBrick.
• Paint over the confidence interval? - To color the figure sector of the confidence interval? Values: true (default), false.

 

[Ivanov_Aleksei]

Identify Trend PRO

The Identify Trend PRO indicator is an advanced version of the popular Identify Trend, indicator, to which three new modes have been added. In each of these modes, unique averaging algorithms developed by the author are used, which have low delays and, at the same time, are the most appropriate false signal filters for the foreign exchange market.



The Identify Trend PRO indicator, as well as the Identify Trend, allows very accurately and, most importantly, with a small delay to establish the optimal entry points in the positions, as well as the beginning of the true trend movement. Such capabilities of the indicator allow it to be effectively used both for trading by scalper strategies and using long-term trading strategies.



As averaging, Identify Trend used simple averaging by means of a moving median



4) XM=(Max({x})+Min({x}))/2.



The following three more promising averaging algorithms are used in the Identify Trend PRO indicator



1) XC=XF - XS + SMMA



2) XF=<x/SMMA>*SMMA



3) XS=<x*SMMA>/SMMA,



where x is the points of history, <...> - is the averaging procedure, the algorithms of which are presented in detail in the last screenshot.



Indicator readings are visual, extremely simple and do not require comments. The blue line of the indicator marks an uptrend, the golden line is flat, and the red line is the downward trend. Accordingly, entry points for Buy, when the red or gold line is replaced by blue, and for Sell - on the contrary, when the blue line or gold line is replaced by red.



The indicator has all kinds of alerts. The alert is activated when the indicator indications (for the trend direction) coincide on the last two bars.







Indicator settings.

• Price type - applied price. Values: Close price, Open price, High price, Low price, Median price ((high + low)/2 - default), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging method - Values: XC=XF - XS + SMMA (default), XF=<x/SMMA>*SMMA, XS=<x*SMMA>/SMMA, XM=(Max({x})+Min({x}))/2.
• The averaging period - averaging period. Values: any integer (3 default).
• The Signal method - Type of trading signal alert. Values: No, Send alert, Print (in expert), Comment (in chart), Sound + Print, Sound + Comment, Sound, Push + Comment, Push, Mail + Comment, Mail.

Identify Trend PRO

 

[Ivanov_Aleksei]

Profit MACD

I present an indicator for professionals. ProfitMACD is very similar to classic MACD in appearance and its functions. However, ProfitMACD is based on completely new algorithms (for example, it has only one averaging period) and is more robust, especially on small timeframes, since it filters random price walks. The classic MACD indicator (Moving Average Convergence / Divergence) is a very good indicator following the trend, based on the ratio between two moving averages, namely the EMA with periods of 12 and 26, i.e.

MACD = EMA(CLOSE, 12)-EMA(CLOSE, 26),
and the signal line - 9-period moving average from the indicator itself

SIGNAL = SMA(MACD, 9).

The algorithm of the indicator ProfitMACD is much more complicated and is shown in the screenshot.

ProfitMACD, like the classic MACD, is most effective when the market fluctuates with a large amplitude in the trading corridor.In the latest (2.0) version of the indicator, all kinds of alerts have been added.



Benefits of ProfitMACD.

1. Classic MACD gives a lot of false signals on small timeframes, providing good results on weekly and daily charts. ProfitMACD works on hour timeframes and can be quite accurate even on M5, which allows it to be used for scalping.
   
   
2. In addition, the ProfitMACD indicator has less lag.
   
   
3. According to the value of the main line ProfitMACD, presented in points, you can, if there is a signal, set the position of Take Profit when playing on the oscillations inside the channel. And when playing by the trend at this value, you can set the value of Stop Loss.
   

ProfitMACD signals.
The signals for these indicators are: (1) intersections, (2) overbought / oversold conditions, and (3) divergences.

1. Intersections.

If the main line of the indicator falls below the signal line, then you should sell; if it rises above the signal line, buy. As signals to buy / sell, the intersection of the main line of the zero mark up / down is also used.

2. Overbought / Oversold conditions.

If the indicator is very high, the price is too high and will soon return to a more realistic level.

3. Divergences.

If a higher price high is not confirmed by a higher high on the indicator (bearish divergence) or vice versa, a lower minimum is not confirmed by a minimum on the indicator (bullish divergence), this means the end of the trend and the possible reversal of the trend. Discrepancies are most significant if they form in overbought / oversold areas.


Indicator settings.

• Price type - applied price. Values: Close price (default), Open price, High price, Low price, Median price ((high + low)/2), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging period - averaging period. Values: any integer (9 default).
• Data in points of possible profit? - Show data in points of possible profit? Values: true (default), false.
• The Signal method - Type of trading signal alert. Values: No, Send alert, Print (in expert), Comment (in chart), Sound + Print, Sound + Comment, Sound, Push + Comment, Push, Mail + Comment, Mail.

 

[Ivanov_Aleksei]

Cunning crocodile

Cunning crocodile

Structure of the indicator.

The Cunning crocodile indicator consists of three moving averages (applied to the price Median price = (high + low)/2): 1) the usual SMA or the mean <X> of the process X and her two generalizations 2) <XF> = <X / <X >> * <X> and 3)< XS> = <X * <X >> / <X> with the same averaging period. All three curves intersect at common points that (such an intersection in which the cunning crocodile, unlike the usual one, "never bites his tongue") indicates a change in the trend in the price movement. Formulas for these generalized averages, one of which <XF> is faster, and the other <XS> is slower than the usual SMA, are presented in the last screenshot.



Using the Cunning crocodile indicator and its advantages.

The trade of the Cunning crocodile indicator is similar to that of the trade of the usual Alligator indicator, but it has the following advantages. First, averaging over the algorithm< XF> is less delay than behind the fast SMMA used in the classical Alligator. Secondly, the small slope of the slow <XS> is also faster achieved than the small slope of the slow SMMA of the normal Alligator. Therefore, the indicator Cunning crocodile more quickly indicates the transition to both trend and flat market conditions than the classic Alligator.


Trade with the Cunning crocodile indicator.

If after reaching a single point of intersection of all three curves "the mouth of the crocodile" is widely opened and the slow average <XS> acquires a significant slope, then there is a trend. In this case, the position on Buy (Sell) opens when the price is higher (lower) than the fast average <XF> and closes when it is below (above) <XF> (those. in the "mouth" Cunning crocodile).

If the slow mean <XS> is practically horizontal and (that occupies a significant section of the history) all three lines intersect repeatedly (3 to 6 times) at single points, then the price consolidation takes place. At the same time, the length of the subsequent trend is usually proportional to the length of the previous consolidation area, in which the market spends most of the time (70% -80%), which provides additional information for assessing the state of the market, i.e. it allows to judge whether the trend reversal starts or the trend ends. A rough estimate is as follows: if the trend lasted for 25% -40% of the time of the previous consolidation, then, most likely, there will be a trend end; if the trend lasted less than 20% of the time of the previous consolidation, then a rollback.



Indicator parameters.

• Price type - Values: Close price, Open price, High price, Low price, Median price ((high + low)/2 – default), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging period - Values: Integer. Default is 5.
• The Signal method - Type of trading signal alert. Values: No, Send alert, Print (in expert), Comment (in chart), Sound + Print, Sound + Comment, Sound, Push + Comment, Push, Mail + Comment, Mail.

 

[Ivanov_Aleksei]

StatPredict

StatPredict

Introduction.
The indicator predicts the price in accordance with the prevailing trend and its own small statistical price fluctuations around this trend. At the same time, in StatPredict, you need to set the time horizon of the forecasted events, which is set by the parameter settings of the “Length of forecast in bars” indicator and determined by the characteristic time scale of the current trend, which is best measured by the ProfitMACD indicator or by the previous price consolidation period, from which as a forecast horizon, you can take one-fourth.

The final calculation of the indicator readings after installing it on the chart occurs when a new tick arrives.

Information about the operation mode of the indicator is printed when it is installed on a chart in the “expert” tab.



1. Purpose of the indicator.
Using mathematical methods for predicting random processes, StatPredict indicator predicts the most probable values of the future price and calculates the confidence interval for them.

The StatPredict indicator works on all time scales and is suitable for both long-term play and scalpers.

In addition to the position of the most likely forecast points (indicated by arrows oriented by the calculated price movement at the corresponding future bar), considered for the median price (high + low) / 2, StatPredict calculates the limits of the confidence interval for the predictions that are indicated by triangles and are considered at the top of the confidence channel for maximum price, and at the bottom of the channel for the minimum price. The value of the confidence probability used in the algorithm is specified in the indicator settings.

Additionally, the indicator also draws an unbiased average curve, which allows for a better determination of the scale of trend movements.



2. The use of the indicator in the trade.

The StatPredict indicator predicts the future emerging from the already established trend trends and steady own “statistical fluctuations” of prices. The prediction algorithm cannot deliberately take into account the strong effects on the price caused by large events that have not yet occurred, such as important news, etc. Therefore, it is incorrect to use StatPredict for the forecast before the release of important news and immediately after their release (it is advisable to wait for the volatility to decrease). It is also incorrect, using the indicator on small timeframes, to capture with its horizon of forecasting the future moments of the release of important news.

The use of the indicator is very simple. The indicator with arrows draws the trajectory of the future price movement, on which TakeProfit of the opened positions are placed, and StopLoss are placed on the boundaries of the confidence level channel. With an increase in the forecast price, positions are opened on Buy, and when they fall on Sell.

StatPredict also provides the option to calculate the lot, based on the positions of the last points of the calculated channel of confidence probability, as well as the size of the deposit and the allowable risk, which are specified in the indicator settings. Lot sizes are printed in the comments (on the MT screen) along with the positions of the corresponding StopLoss.



3. Indicator settings.

• Length of forecast in bars - The number of bars that are forecasted. Values: any positive integer (7 default).
• Confidence probability - Values: any real number from 0 to 0.999 (0.67 default).
• Global indicator shift (to estimate the forecast) - Shift indicator to adjust its operation. Values: any positive integer (0 default).
• Dimensions of markers - Marker sizes to display forecast points. Values: any positive integer from 0 to 5 (3 default).
• Calculate the lot size from the risk, deposit and CP*? – Calculate the size of the lot, based on the risk, the size of deposit and channel size of confidence probability level? Values: true, false (default).
• Deposit in $ - Deposit amount in dollars (5000 $ default).
• Allowable losses in % - Permissible loss as the percentage of the deposit (2% default).

StatPredict

 

[Ivanov_Aleksei]

Asummetry


Asummetry

The principle of the indicator.


The Asummetryindicator allows you to predict the beginning of a change in the direction of trends, long before their visual appearance on the price chart.

The author statistically revealed that before changing the direction of the trend, the probability distribution function of the price is made as asymmetric as possible. More precisely, the price movement in any direction always pulls sideways the function of its distribution, but when the third-degree root of asymmetry divided by the standard deviation exceeds the unit in absolute value, the price will change its direction. The indicator operation is based on this regularity. The indicator calculates the value of the third degree root asymmetry normalized to the standard deviation, i.e. magnitude

ASUMM= (< (x - <x>)^3 >)^(1/3)/ (< (x - <x>)^2 >)^(1/2),

where <...> is the averaging sign, which, when it is module exceeded the unit , serves as a powerful signal to change the direction of a previously established trend.



It has also been established that the asymmetry plot changes sign when the price probability density function makes a sharp jump, which is characteristic of price dynamics.

The sliding asymmetry counted in a particular window, as well as the variance and the moving average, lags behind by about the floor of the averaging period used. Therefore: (1) For past price values, the asymmetry plot shifts back through history by the amount of delay; (2) To receive a signal in a timely manner, a special compression algorithm for the asymmetry calculation period is applied when approaching the beginning of the current history. At the same time, to ensure the possibility of calculating such asymmetry (creating a sufficient array of calculated points) on the M5-H4 time frames, be used the data of the minute chart is M1, the daily time frame is - M5, the weekly - M30, and the monthly - H1. On M1, this indicator, respectively, is not used.



Using the Asummetry indicator in trading.
The indicator is very sensitive to the current state of the market and, therefore, is dynamic for current values, which is not its disadvantage. The interval of the indicator readings, that important for the trader (for the current history), where the averaging period compression algorithm is used, is colored in other colors than the rest of the indicator readings, and all points of this interval serve to assess the current market situation.

If the position according to the trend is already open, then even a one-time exceeding by the module of ASUMM by one serves as the signal to close the position, since after that, a trend change is likely to follow.

If the position is not open yet, then | ASUMM |> 1 gives the trader a sign that a new trend will begin soon and the trader should then be in a state of readiness to open a position. But the direction of the trend and the moment of entry into the position need to be determined by another indicator, for example, Identify_Trend or Sensitive Signal or some other sensitive trend indicator.


Indicator settings.

• Price type - applied price. Values: Close price (default)), Open price, High price, Low price, Median price ((high + low)/2), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging period - averaging period. Values: any integer (15 default).
• Number of countable bars of the current chart. - Number of calculated indicator graph bars . Values: any positive integer (1000 default).
• Global shift - Global shift of the beginning of the indicator readings in bars. Values: any positive integer (0 default).
• The non-lagging asymmetry is calculated? - Values: true(default), false.

 

[Ivanov_Aleksei]

Signal Bands

Signal Bands
Signal Bands is a sensitive and convenient indicator, which performs deep statistical processing of information. It allows to see on one chart (1) the price trend, (2) the clear price channel and (3) latent signs of trend change. The indicator can be used on charts of any periods, but it is especially useful for scalping due to its high sensitivity to the current market state.



The functions of the indicator:

• First, the Signal Bands indicator draws channels into which all price fluctuations exactly fit, so with default parameters, the price will never exceed the limits of this channel (except for the occurrence of very high peaks of signal information).
• Sharp movements on channel lines (sharp peaks) indicate a change in price direction. Signals provided by such sharp peaks are often leading, i.e. they occur about 1-2 bars before the beginning of price reversal. A sharp downward peak at the bottom line of the channel down is the criterion for the reversal of the price upwards. Conversely, the sharp upward peak of the upper channel line precedes the downward price reversal.

The signals of the Signal Bands indicator are algorithmically formed based on the analysis of the current density of the price probability, which is subject to a strong asymmetry before the very moment of price direction change due to short-term price surges (which might be aiming at hitting the StopLoss of most traders) in the direction opposite to its new movement.



Indicator Settings

• Price type. Values: Close price (default), Open price, High price, Low price, Median price ((high + low)/2), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging method. Values: Simple (default), Exponential, Smoothed, Linear weighted.
• The averaging period - averaging period. Integer. Default is 20.
• Channel width factor - channel width factor. The real number Default is 1.0.
• The factor of sensibility. - Coefficient of sensitivity to price surges. The real number. Values from 2.0 to 6.0. Default is 4.0.
• Show one branch? - Show one branch? Values: true - one branch, false - two branches.

Signal Bands

 

[Ivanov_Aleksei]

Probability distribution PRO
Probabilities distribution of price
Probability distribution FREE

Probability distribution PRO
Indicator is used for:

1. defining price probability distributions. This allows for a detailed representation of the channel and its borders and forecast the probability of a price appearing at each segment of its fluctuations;
2. defining the channel change moment.

Operation principles and features
Indicator analyzes a quote history on lower timeframes and calculates a price probability distribution on higher ones. Forecast algorithms allow the indicator to calculate probability distributions and moving averages without delays that usually accompany conventional moving averages.

The indicator operation is based on processing a deep and detailed quote history. Therefore, before launching indicator on a symbol chart, make sure to download the quote history ( Tools/History Center) of the symbol and increase "Max bars in history" and "Max bars in chart" to the maximum possible value ( Tools/Options/Charts). Indicator produces a large amount of calculations and therefore is resource-intensive. It requires at least a 4-core 2.8 GHz CPU and 4.00 GB of RAM. If the indicator causes much load on MetaTrader 4, decrease the "Number of countable bars of the current chart" parameter in the indicator settings having the default value of 200.

The program splits the total price fluctuation for a given averaging period by seven equal intervals and calculates the frequency of price hits at these intervals. Based on these calculations, the indicator builds the probability columns, which can be displayed in the main terminal window in two ways:

1. as a color code, by the type of the visible light spectrum when the most probable values are closer to the violet area, while the least probable values are close to the red one. The intervals are colored accordingly (the order of coding of the decreasing probability by means of the color scale is specified in the settings and can be changed by users);
2. as values specifying the probability of hitting the given intervals with the corresponding color.

The indicator also calculates non-lagging normalized asymmetry

ASUMM= (< (x - <x>)^3 >)^(1/3)/ (< (x - <x>)^2 >)^(1/2) ,

where <...> is the averaging sign, which, when it is module exceeded the unit, serves as a powerful signal to change the direction of a previously established trend.


Operation modes and settings

Algorithm settings:

• The averaging period in the bars of the current graph (2n+1) - averaging period (1-99).
• Number of countable bars of the current chart (<=200) - number of calculated indicator graph bars (1-200).
• Shifting the calculation area of the indicator - global indicator shift (0-100).
• The non-lagging distribution is calculated - calculate a non-lagging distribution.
• The non-late channel is calculated - calculate the current non-lagging channel.
• Show the values of the probabilities of zones - display area probability values.

Color and display settings:

Colors in probability density descending order.

• Color of the maximum probability zone (0);
• Color of zone (1);
• Color of zone (2);
• Color of the zone of average probability (3);
• Color of zone (4);
• Color of zone (5);
• Color of the minimum probability zone (6);
  

Parameters of non-lagging moving average.

• Moving average price type.
• The averaging method.
• Confidence probability - Values: from 0 to 0.999 (0.5 by default).
• Color of the moving average line=clrDarkOliveGreen; - The color of the indicator line and its figure sector.
• Paint over the confidence interval? Values: true, false(by default).

Trading mode settings:

• Calculate the lot size from the risk, deposit and channel
• Deposit in $
• Allowable losses in %
• The channel strategy is used - true - intra-channel strategy (false - channel breakthrough strategy)
• Color of message about the size of the lot
• Information about the lot at the bottom of the channel (false - information at the top of the channel)

Using in trading

Intra-channel strategy. The strategy is used in case of a formed white line - area of maximum probability. Open order when the price deviates into the yellow or orange areas. Close when the price returns to the white area.

Trend-following strategy. An order is opened when a change of band is identified (the middle falls into the red or yellow sector).

StopLoss is placed slightly further than the channel borders.

Probability distribution PRO
Probabilities distribution of price
Probability distribution FREE

 

[Ivanov_Aleksei]

Iterative Moving Average

Iterative Moving Average

Iterative Moving Average – IMA. IMA is obtained by correcting the usual MA. The correction consists in addition to MA averaged difference between the time series (X) and its MA, i.e. IMA(X)=MA(X) + MA (Х-MA(X)). Correction is done in several iterations (and, exactly, 2 iterations in this indicator) and with a change in the averaging period.

As a result, the time-series points begin to cluster around (on all sides) of the getting IMA and with a smaller delay than around the usual MA. Therefore, IMA is a more effective tool for manual and automatic trading than all types of conventional MA (SMA, EMA, SSMA, LMA). Formulas for IMA are given in the last screenshot.


Indicator Settings.

• Price type. Values: Close price, Open price, High price, Low price, Median price ((high + low)/2 - default), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging method. Values: Simple, Exponential (default), Smoothed, Linear weighted.
• The main averaging period. Integer. Default is 14.
• Coefficient of division of the averaging period. - The coefficient determines the period of the next iteration. Values: any positive real number, which is not zero. Default is 1.62 (Golden Ratio).

Iterative Moving Average

 

[Ivanov_Aleksei]

Absolute Bands FREE

Absolute Bands

Principles of construction of the indicator.

The Absolute Bands (AB) indicator is reminiscent of the Bollinger Bands indicator with its appearance and functions, but only more effective for trading due to the significantly smaller number of false signals issued to them. This effectiveness of the Absolute Bands indicator is due to its robust nature.

In the Bollinger Bands indicator, on both sides of the moving average - Ma, there are lines spaced from Ma by the standard deviations Std=Sqrt(<(X- Ma)^2>) (where X is the price history, <...> is the averaging procedure for a given number of bars) multiplied by the number (2.0 by default). In mathematics, it is proved that an estimate that provides a minimum of the standard deviation is a mathematical expectation, i.e. the moving average on which the Bollinger Bands indicator is based. Therefore, the Bollinger Bands contain all points of the price history in a concentrated manner.

The Absolute Bands indicator is based on the Median = (Max + Min) / 2 moving median line. On both sides of the Median, there are lines spaced from it by moving averages absolute deviations <| X- Median |> multiplied by a number (1.5 by default). At the same time, it is the median that minimizes mean absolute deviations, which is used by the Absolute Bands indicator. Mean absolute deviations are less sensitive to the often purely random price spikes that occur on the market, which makes the Absolute Bands indicator more robust or less responsive to such emissions. While random price surges lead to the classic Bollinger Bands indicator giving false signals.



Absolute Bands indicator readings and trading with it.

1. A trend occurs after a period of price consolidation, which is expressed by the Absolute Bands indicator in horizontal middle line and the convergence of the upper and lower lines. If after the consolidation period (1.1) the upper and lower lines diverged, (1.2) the price rose above the upper line (or dropped below the lower line), and (1.3) the middle line went up (down) sharply, then this indicates the beginning of the trend and you need to open position on Buy (Sell).
   
   
2. If the price moves from the top line down (from the bottom line up), and the middle line is horizontal, this indicates the origin of the channel (the price most likely reaches the opposite border) and you need to open positions on Sell (Buy).
   
   
3. If peaks and valleys outside the boundaries of the Absolute Bands indicator band are followed by peaks and valleys within its band, then a previously established tendency (trend, channel) may end.
   

Indicator settings.

• Price type - applied price. Values: Close price, Open price, High price, Low price, Median price ((high + low)/2 - default), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging period - averaging period. Any integer (20 by default).
• Channel width factor - channel width factor. Values: any real number (1.5 by default).

Absolute Bands

 

[Ivanov_Aleksei]

Estimation moving average without lag

Estimation moving average without lag

The principle of the indicator.

A simple moving average (SMA) with an averaging period (2n + 1) of bars is always obtained lagging by n bars. If SMA or other types of moving averages are the basis for making trading decisions, then their strong delay does not allow to open positions in time and close positions, which leads to losses.

The Estimation moving average without lag (EMAWL) indicator calculates the non-lagging moving average, which is calculated at the points (Inf, n + 1) in the usual way, and at the points of the [n, 0] segment, where 0 is the last bar number, is algorithmically and there is a curvilinear sector (cover out the confidence interval) in which the line of the non-lagging moving average fits with the confidence level specified in the indicator settings. It is clear that the more the confidence probability value is taken (which by default is equal to 0.67), the wider the curvilinear sector of the confidence interval is obtained. If we take the confidence probability equal to zero, then the sector of the indicator readings at points [n, 0] will shrink to a curve, which will pass through the most probable values of the non-lagging average. Statistical studies show that the price around the non-remaining average is distributed according to the Laplace law. Knowledge of the distribution law and the algorithm for calculating the most likely non-lagging average on the [n, 0] segment allow us to calculate the confidence interval sector.


Trade using the Estimation moving average without lag indicator.

If the lower border of the figure sector of the EMAWL indicator moves to the up, then there is an uptrend and you need to open positions on Buy. If the upper boundary of the curvilinear sector of the EMAWL indicator is oriented downwards, then there is a downward trend and you need to open positions on Sell. In such cases, you can be sure of the correctness of the established trend direction with the confidence level set in the indicator settings. If the upper limit of the figure sector of the EMAWL indicator moves to the up, and the lower limit moves down, then there is a flat, which serves as a signal for closing trend positions.



Indicator settings.

• Price type - applied price. Values: Close price, Open price, High price, Low price, Median price ((high + low)/2 - default), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging method - averaging method. Values: Simple (default), Exponential, Smoothed, Linear weighted.
• The averaging period - averaging period. Any integer (21 by default).
• Confidence probability - Values: from 0 to 0.999 (0.67 by default).
• Global shift - Global shift to start calculating indicator readings. Values: any integer (0 by default).
• Paint over the confidence interval? - Values: true (by default), false.
• Color of the line. – The color of the indicator line and its figure sector.

 

[Ivanov_Aleksei]

Strong Trend Flat Signal

Strong Trend Flat Signal

The principle of the indicator.
The Strong Trend Flat Signal (STFS) indicator is the intersection of two, developed by the author, non-lagging moving averages with averaging periods 21 and 63.

A simple moving average (SMA) with an averaging period (2n + 1) of bars is always obtained lagging by n bars. If SMA or other types of moving averages are the basis for making trading decisions, then their strong delay does not allow to open positions in time and close positions, which leads to losses.

Non-lagging moving averages calculated at the points (Inf, n + 1) in the usual way, and at the points of the [n, 0] segment, where 0 is the last bar number, is algorithmically and there is a curvilinear sector (cover out the confidence interval) in which the line of the non-lagging moving average fits with the confidence level specified in the indicator settings. It is clear that the more the confidence probability value is taken (which by default is equal to 0.67), the wider the curvilinear sector of the confidence interval is obtained. If we take the confidence probability equal to zero, then the sector of the indicator readings at points [n, 0] will shrink to a curve, which will pass through the most probable values of the non-lagging average. Statistical studies show that the price around the non-remaining average is distributed according to the Laplace law. Knowledge of the distribution law and the algorithm for calculating the most likely non-lagging average on the [n, 0] segment allow us to calculate the confidence interval sector.



Trade using the Strong Trend Flat Signal indicator.
If the lower border slow component of the figure sector of the STFS indicator moves to the up, then there is an uptrend and you need to open positions on Buy. If the upper boundary of the slow component of the curvilinear sector of the STFS indicator is oriented downwards, then there is a downward trend and you need to open positions on Sell. In such cases, you can be sure of the correctness of the established trend direction with the confidence level set in the indicator settings.

If the upper limit of the slow component of the figure sector of the STFS indicator moves to the up, and the its lower limit moves down, then there is a flat, which serves as a signal for closing trend positions.

If the slow component of the indicator determines the flat or channel, but the sector of the fast component is noticeably beyond the sector of the slow component, then this means the breakdown of the channel and serves as a signal to open the corresponding position.

If the slow component of the indicator determines the trend, but the sector of the fast component noticeably leaves the sector of the slow component from the opposite direction of the trend, this means the end of the trend and serves as the signal to close the corresponding position.



Indicator settings.

• Price type - applied price. Values: Close price, Open price, High price, Low price, Median price ((high + low)/2 - default), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging method - Values: Simple (default), Exponential, Smoothed, Linear weighted.
• The first averaging period - Any integer (21 by default).
• The second averaging period - Any integer (63 by default).
• Confidence probability - Values: from 0 to 0.999 (0.67 by default).
• Global shift - Global shift of the beginning of the indicator readings in bars. Values: any positive integer (0 default).
• Color of the first line. – The color of the indicator first line and its figure sector.
• Color of the second line. – The color of the indicator second line and its figure sector.
• Paint over the confidence interval? - Values: true (by default), false.

 

[Ivanov_Aleksei]

Channel Builder FREE

Channel Builder
The Channel Builder (CB) or Ivanov Bands indicator is a broad generalization of the Bollinger Bands indicator. First, in CB, the mean line <X> is calculated using various averaging algorithms. Secondly, the mean deviations calculated by Kolmogorov averaging are plotted on both sides of the middle line <X>.

The middle line <X>, besides the standard SMA, EMA, SMMA and LWMA averaging algorithms, can be Median = (Max + Min) / 2 sliding median (which is the default). In addition, for the calculation of <X>, the moving averaging algorithms <XF> (fast) and< XS> (slow) are used, which are developed by the author. These algorithms specifically filter out the harmful noise that is largely present in the highly volatile currency market. The filtering algorithm <XF> allows you to quickly identify the beginning of the trend. And the filtering algorithm <XS> allows you to better define the transition to flat. And, finally, CB allows you to build a weighted by the volume averaging of the price <XV>.

CB allows you to plot an infinite number of different channels similar to Bollinger Bands, but different from it, including Bollinger Bands only as a special case. CB is essentially an experimental stand form plotting and studying different channels in order to find the most suitable one for the manual or automatic strategy used by trader.

CB allows (through various filtering): (1) determine the earliest moment of transition from flat to trend or vice versa, (2) from trend to flat, and when building channels, you can (3) level out the sharp price spikes (that is, the robust method), obtaining smooth lines (with weak response to spikes) for more reliable channels, or, conversely, (4) make the channels very sensitive to such spikes, which allows using sharp breaks of their lines as very reliable sources of additional information on changes in the price movement direction.

The CB indicator uses six different particular implementations of the general algorithm for calculating the average deviation from <X>, while only the first of them - (1) mean power deviation leads to construction of the Bollinger Bands lines in the case of exponent n=2 and <X>=SMA. In addition, CB also employs algorithms for calculating the following averages: (2) logarithmic, (3) exponential, (4) exponential root mean square, (5) sinusoidal and (6) angular deviations. Each of them (except for logarithmic) can be configured to robust and inverse modes.

The formulas for moving averages and mean deviations used to construct the CB channels are presented in the last screenshots.



Setting up the indicator

• Price type - applied price. Values: Close price (default), Open price, High price, Low price, Median price ((high + low)/2), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging method - averaging method. Values: Simple, Exponential, Smoothed, Linear weighted, Median=(Max+Min)/2 (default), <XF>, <XS> and <XV>.
• Choose simulation Bands mode – select the algorithm for calculating the mean deviations. Values:
  • 1. (<(|x - <x>|)^n>)^(1/n) - mean power (default)
  • 2. exp(<ln(|x - <x>|)>) - mean log
  • 3. n*std*ln(<exp(|x - <x>|/(n*std))>) - average exponential
  • 4. n*std*sqrt(ln(<exp(sign(n)*((x - <x>)/(n*std*))^2)>)) – exponential root mean square
  • 5. n*std*arcsin(<sin(pi*|x - <x>|/|n*std|/2)>)/(pi/2) - average sinusoidal
  • 6. n*std*sin(<arcsin(|x - <x>|/|n*std|)>) - angular mean
• The averaging period - averaging period. Any integer (20 by default).
• Channel width factor 'K' - channel width factor. Values: any real number (2.0 by default).
• Exponent 'n' - exponent for (1) the exponential averaging algorithm. Scale multiplier for other averaging types (3-6). Values: any real number except 0 (2.0 by default).

 

[Ivanov_Aleksei]

Alligator Analysis FREE

Alligator Analysis
Indicator description.

The “Alligator Analysis” (AA) indicator allows you to build various (by averaging types and by scales) “Alligators” and their combinations, i.e. allows you to analyze the state of the market based on the correlation of this state with a whole range of different "Alligators". The classic "Alligator" by Bill Williams is based on moving averages and Fibonacci numbers, which makes it one of the best indicators now. The classic "Alligator" is based on Fibonacci numbers and is a combination of three smoothed moving averages (SМMA) with periods 5, 8 and 13, which are part of the Fibonacci sequence. In this case, the moving averages are shifted forwards by 3, 5, and 8 bars, respectively, which are numbers from the same sequence (preceding the corresponding period values).

Alligators from the AA indicator is based, on the same principle as the classic “Alligator”, but on different parts of a number of Fibonacci numbers, as well as on different moving average averaging algorithms.

First of all, in the AA indicator you can create 8 types of alligators and their combinations:

1. Fast alligator with periods (3,5,8) and shifts (2,3,5);
   
   
2. Classic alligator - (5,8,13) and (3,5,8);
   
   
3. Big alligator - (8,13,21) and (5,8,13);
   
   
4. Huge alligator - (13,21,34) and (8,13,21);
   
   
5. Monster - (21,34,55) and (13,21,34);
   
   
6. Fast and Huge - (3,5,8,13,21,34) and (2, 3, 5, 8, 13, 21);
   
   
7. Classic and Monster - (5,8,13,21,34,55) and (3,5,8,13,21,34);
   
   
8. All alligators - (3,5,8,13,21,34,55) and (2, 3,5,8,13,21,34).
   
   Secondly, the indicator AA uses 6 types of averaging, where the classical averaging SMA, EMA, SMMA, LMA are supplemented by averaging the moving average by the median and averaging weighted by volume.
   
   Line shifts can be removed. The colors of the AA indicator lines are set according to the type of color spectrum: from violet for a small smoothing period to red - for the largest period.
   
   
   
   Application of "Alligator Analysis" in trade.
   

In the “Fast alligator”, “Classic alligator”, “Big alligator”, “Huge alligator” and “Monster” modes, you can evaluate market trends in their respective (incremental) time scales. In “All alligators” modes and near to it - “Fast and Huge” and “Classic and Monster” - the indicator “Alligator Analysis” allows you to see market tendency of different (but important for trading on this chart) time scales on the same chart. As a result, it is easy to visually identify not only the states of (A) price consolidation near a level (convergence and interlacing of lines, which become horizontal), (B) the beginning of trends ("opening the mouth of a crocodile") and (C) their ends (interlacing of lines, indicating a new consolidation), as in the classic Alligator, but also (D) rollbacks of trends.

Namely, if the "mouth of the crocodile" is widely open on moving averages with large periods, which have a trend identified on their timeframes, while a consolidation starts on the moving averages of smaller scales, then a trend rollback is likely to take place. At the same time, the length of a trend on the corresponding timeframe is usually proportional to the length of the preceding consolidation area (of the same scale), where the market remains most of the time (70%-80%), which provides additional information for evaluating the market situation, i.e. allows seeing if a trend rollback is beginning or ending. A rough estimate is that if the trend lasted for 25% -40% of the time of the consolidation before it, then, most likely, there will not be a trend rollback, but a trend end; if the trend lasted less than 20% of the time of the previous consolidation, the convergence of the fast lines of the indicator «Alligator Analysis» indicates a rollback.



Indicator parameters.

• Price type - Values: Close price, Open price, High price, Low price, Median price ((high + low)/2 – default), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• Alligator type - Values: «Fast alligator», «Classic alligator» (default), «Big alligator», «Huge alligator», «Monster», «Fast and Huge», «Classic and Monster» and «All alligators».
• The averaging method - Values: SMA, EMA, SMMA (default), LMA, Median=(Max+Min)/2 and <xv>=<x*v>/<v> volume weighted.
• The moving averages shifting? Values: true (default), false.

 

[Ivanov_Aleksei]

Indicators with optimal market noise filtering.
Sensitive Signal
StatChannel
Identify Trend PRO
Profit MACD

Cunning crocodile
StatPredict
Asummetry
Signal Bands
Iterative Moving Average
Absolute Bands FREE
Estimation moving average without lag

Strong Trend Flat Signal

Market research indicators.
Probability distribution PRO
Probabilities distribution of price
Alligator Analysis FREE
Channel Builder FREE

 

[Ivanov_Aleksei]

A professional version of the indicator with wide capabilities has been released -
Identify Trend ELITE

Identify Trend ELITE

Identify Trend ELITE Indicator is a professional version of the popular Identify Trend indicator. The Identify Trend ELITE indicator uses eight different (developed by the author) averaging algorithms, which are optimal false signal filters.

The Identify Trend ELITE indicator, as well as the Identify Trend, allows very accurately and, most importantly, with a small delay to establish the optimal entry points in the positions, as well as the beginning of the true trend movement. Such capabilities of the indicator allow it to be effectively used both for trading by scalper strategies and using long-term trading strategies.

Identify Trend ELITE uses the following filters:

1) XC=XF - XS + SMMA

2) XF=<x/SMMA>*SMMA

3) XS=<x*SMMA>/SMMA,

4) XM=<Max({x})+Min({x})>/2,

5) SMA without lag (SMAWL),

6) EMA without lag (EMAWL),

7) SSMA without lag (SSMAWL),

8) LWMA without lag (LWMAWL),



where x are the points of history, <...> is the averaging procedure, the algorithms of which, with the exception of the non-lagging averages (which are the know-how of the author), are presented in detail in the last screenshot.

Indicator readings are visual, extremely simple and do not require comments. The blue line of the indicator marks an uptrend, the golden line is flat, and the red line is the downward trend. Accordingly, entry points for Buy, when the red or gold line is replaced by blue, and for Sell - on the contrary, when the blue line or gold line is replaced by red.

Possible moments of the change in the direction of price movement are also indicated by arrows.

The indicator has all kinds of alerts. The alert is activated when the indicator indications (for the trend direction) coincide on the last two bars.

Indicator settings.

• Price type - applied price. Values: Close price, Open price (default), High price, Low price, Median price ((high + low)/2), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
• The averaging method - Values: XC=XF - XS + SMMA (default), XF=<x/SMMA>*SMMA, XS=<x*SMMA>/SMMA, XM=(Max({x})+Min({x}))/2, SMAWL, EMAWL, SSMAWL, LWMAWL.
• The averaging period - averaging period. Values: any integer (3 default).
• The display method. Values: Show only arrows (default), Show lines and arrows, Show only lines.
• Line (arrows) thickness. Values : a ny integer (2 default).
• Trend DOWN line color=Red
• Trend UP line color= Aqua
• FLAT line color=Gold
• Trend DOWN arrow color=Magenta
• Trend UP arrow color=Lime
• The Signal method - Type of trading signal alert. Values: No, Send alert, Print (in expert), Comment (in chart), Sound + Print, Sound + Comment, Sound, Push + Comment, Push, Mail + Comment, Mail.