Knight wrote: Sat Sep 03, 2022 3:10 am Sorry guys, I honestly didn't know how to get the code out. But gimme a second. Let me try, any help would also be appreciated.

Knight wrote: Sat Sep 03, 2022 3:45 am

Code: Select all

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx

//@version=5
indicator("JCFBaux Volatility [Loxx]", shorttitle = "JCFBV [Loxx]",  timeframe="", timeframe_gaps=true, overlay = false)
greencolor = #2DD204

_a_jurik_filt(src, len, phase) =>
    len1 = math.max(math.log(math.sqrt(0.5 * (len-1))) / math.log(2.0) + 2.0, 0)
    pow1 = math.max(len1 - 2.0, 0.5)
    volty = 7.0, avolty = 9.0, vsum = 8.0, bsmax = 5.0, bsmin = 6.0, avgLen = 65
    
    del1 = src - nz(bsmax[1])
    del2 = src - nz(bsmin[1])
    
    div = 1.0 / (10.0 + 10.0 * (math.min(math.max(len-10, 0), 100)) / 100)
    volty := math.abs(del1) > math.abs(del2) ? math.abs(del1) : math.abs(del2)
    vsum := nz(vsum[1]) + div * (volty - nz(volty[10]))
    
    temp_avg = ta.sma(vsum, avgLen)
    
    y = bar_index + 1
    if(y <= avgLen + 1)
        avolty := nz(avolty[1]) + 2.0 * (vsum - nz(avolty[1])) / (avgLen + 1)	   
    else
        avolty := temp_avg
        
    dVolty = avolty > 0 ? volty / avolty : 0
    dVolty := dVolty > math.pow(len1, 1.0/pow1) ? math.pow(len1, 1.0/pow1) : dVolty
    dVolty := dVolty < 1 ? 1 : dVolty
    pow2 = math.pow(dVolty, pow1)
    len2 = math.sqrt(0.5 * (len - 1)) * len1
    Kv = math.pow(len2 / (len2 + 1), math.sqrt(pow2))
    bsmax := del1 > 0 ? src : src - Kv * del1
    bsmin := del2 < 0 ? src : src - Kv * del2
    phaseRatio = phase < -100 ? 0.5 : phase > 100 ? 2.5 : phase / 100 + 1.5
    beta = 0.45 * (len - 1) / (0.45 * (len - 1) + 2)
    alpha = math.pow(beta, pow2)
    jma1 = 0.0, e0 = 0.0, e1 = 0.0, e2 = 0.0
    e0 := (1 - alpha) * src + alpha * nz(e0[1])
    e1 := (src - e0) * (1 - beta) + beta * nz(e1[1])
    e2 := (e0 + phaseRatio * e1 - nz(jma1[1])) * math.pow(1 - alpha, 2) + math.pow(alpha, 2) * nz(e2[1])
    jma1 := e2 + nz(jma1[1])
    jma1
    

src = input.source(close, "Source")
depth = input.int(15, "Depth")
depthphase = input.float(0, "Jurik Smoothing Phase")
lensmdd = input.int(300, "Smoothing Period")

_jcfbau(src, depth)=>
    jrc04 = 0.0, jrc05 = 0.0, jrc06 = 0.0, jrc13 = 0.0, jrc03 = 0.0, jrc08 = 0.0
    if (bar_index >= bar_index - depth * 2) 
        for k = depth - 1 to 0
            jrc04 := jrc04 + math.abs(nz(src[k]) - nz(src[k+1]))
            jrc05 := jrc05 + (depth + k) * math.abs(nz(src[k]) - nz(src[k+1]))
            jrc06 := jrc06 + nz(src[k+1])
    if(bar_index < bar_index - depth * 2)
        jrc03 := math.abs(src - nz(src[1]))
        jrc13 := math.abs(nz(src[depth]) - nz(src[depth+1]))
        jrc04 := jrc04 - jrc13 + jrc03
        jrc05 := jrc05 - jrc04 + jrc03 * depth
        jrc06 := jrc06 - nz(src[depth+1]) + nz(src[1])
    jrc08 := math.abs(depth * src - jrc06)
    jcfbaux = jrc05 == 0.0 ? 0.0 : jrc08/jrc05
    jcfbaux
    
jcfbaux = _jcfbau(src, depth)
signal = _a_jurik_filt(jcfbaux, lensmdd, depthphase)



plot(signal, color = color.white)
plot(jcfbaux, color = jcfbaux >= signal ? greencolor : color.gray, linewidth = 2)
barcolor(jcfbaux >= signal ? greencolor : color.gray)

JCFBaux is a volatility indicator that is used to detect early volatility spikes. To be used in conjunction with other momentum indicators for confluence. A Jurik-filtered signal line is included to provide a cutoff for when volatility is low. The JCFBaux is also used to calculate Jurik's "Composite Fractal Behavior". This is a directionless indicator. Many advanced traders will use JCFBaux as a drop in replacement for ADX DI.

What is Jurik Volty used in the Juirk Filter?
One of the lesser known qualities of Juirk smoothing is that the Jurik smoothing process is adaptive. "Jurik Volty" (a sort of market volatility ) is what makes Jurik smoothing adaptive. The Jurik Volty calculation can be used as both a standalone indicator and to smooth other indicators that you wish to make adaptive.

What is the Jurik Moving Average?
Have you noticed how moving averages add some lag (delay) to your signals? ... especially when price gaps up or down in a big move, and you are waiting for your moving average to catch up? Wait no more! JMA eliminates this problem forever and gives you the best of both worlds: low lag and smooth lines.

Ideally, you would like a filtered signal to be both smooth and lag-free. Lag causes delays in your trades, and increasing lag in your indicators typically result in lower profits. In other words, late comers get what's left on the table after the feast has already begun.

Code: Select all

<!-- TradingView Chart BEGIN -->
<script type="text/javascript" src="https://s3.tradingview.com/tv.js"></script>
<script type="text/javascript">
var tradingview_embed_options = {};
tradingview_embed_options.width = '640';
tradingview_embed_options.height = '400';
tradingview_embed_options.chart = 'fSTqdHYh';
new TradingView.chart(tradingview_embed_options);
</script>
<p><a href="https://www.tradingview.com/script/fSTqdHYh-JCFBaux-Volatility-Loxx/">JCFBaux Volatility [Loxx]</a> by <a href="https://www.tradingview.com/u/loxx/">loxx</a> on <a href="https://www.tradingview.com/">TradingView.com</a></p>
<!-- TradingView Chart END -->

Knight wrote: Fri Sep 02, 2022 7:28 pm JCFBaux Volatility [Loxx] (close, 15, 0, 300)


Can this indicator be converted to mt4?


It's one of the best for filtering low volatility and choppy markets.

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © loxx

//@version=5
indicator("JCFBaux Volatility [Loxx]", shorttitle = "JCFBV [Loxx]",  timeframe="", timeframe_gaps=true, overlay = false)
greencolor = #2DD204

_a_jurik_filt(src, len, phase) =>
    len1 = math.max(math.log(math.sqrt(0.5 * (len-1))) / math.log(2.0) + 2.0, 0)
    pow1 = math.max(len1 - 2.0, 0.5)
    volty = 7.0, avolty = 9.0, vsum = 8.0, bsmax = 5.0, bsmin = 6.0, avgLen = 65
    
    del1 = src - nz(bsmax[1])
    del2 = src - nz(bsmin[1])
    
    div = 1.0 / (10.0 + 10.0 * (math.min(math.max(len-10, 0), 100)) / 100)
    volty := math.abs(del1) > math.abs(del2) ? math.abs(del1) : math.abs(del2)
    vsum := nz(vsum[1]) + div * (volty - nz(volty[10]))
    
    temp_avg = ta.sma(vsum, avgLen)
    
    y = bar_index + 1
    if(y <= avgLen + 1)
        avolty := nz(avolty[1]) + 2.0 * (vsum - nz(avolty[1])) / (avgLen + 1)	   
    else
        avolty := temp_avg
        
    dVolty = avolty > 0 ? volty / avolty : 0
    dVolty := dVolty > math.pow(len1, 1.0/pow1) ? math.pow(len1, 1.0/pow1) : dVolty
    dVolty := dVolty < 1 ? 1 : dVolty
    pow2 = math.pow(dVolty, pow1)
    len2 = math.sqrt(0.5 * (len - 1)) * len1
    Kv = math.pow(len2 / (len2 + 1), math.sqrt(pow2))
    bsmax := del1 > 0 ? src : src - Kv * del1
    bsmin := del2 < 0 ? src : src - Kv * del2
    phaseRatio = phase < -100 ? 0.5 : phase > 100 ? 2.5 : phase / 100 + 1.5
    beta = 0.45 * (len - 1) / (0.45 * (len - 1) + 2)
    alpha = math.pow(beta, pow2)
    jma1 = 0.0, e0 = 0.0, e1 = 0.0, e2 = 0.0
    e0 := (1 - alpha) * src + alpha * nz(e0[1])
    e1 := (src - e0) * (1 - beta) + beta * nz(e1[1])
    e2 := (e0 + phaseRatio * e1 - nz(jma1[1])) * math.pow(1 - alpha, 2) + math.pow(alpha, 2) * nz(e2[1])
    jma1 := e2 + nz(jma1[1])
    jma1
    

src = input.source(close, "Source")
depth = input.int(15, "Depth")
depthphase = input.float(0, "Jurik Smoothing Phase")
lensmdd = input.int(300, "Smoothing Period")

_jcfbau(src, depth)=>
    jrc04 = 0.0, jrc05 = 0.0, jrc06 = 0.0, jrc13 = 0.0, jrc03 = 0.0, jrc08 = 0.0
    if (bar_index >= bar_index - depth * 2) 
        for k = depth - 1 to 0
            jrc04 := jrc04 + math.abs(nz(src[k]) - nz(src[k+1]))
            jrc05 := jrc05 + (depth + k) * math.abs(nz(src[k]) - nz(src[k+1]))
            jrc06 := jrc06 + nz(src[k+1])
    if(bar_index < bar_index - depth * 2)
        jrc03 := math.abs(src - nz(src[1]))
        jrc13 := math.abs(nz(src[depth]) - nz(src[depth+1]))
        jrc04 := jrc04 - jrc13 + jrc03
        jrc05 := jrc05 - jrc04 + jrc03 * depth
        jrc06 := jrc06 - nz(src[depth+1]) + nz(src[1])
    jrc08 := math.abs(depth * src - jrc06)
    jcfbaux = jrc05 == 0.0 ? 0.0 : jrc08/jrc05
    jcfbaux
    
jcfbaux = _jcfbau(src, depth)
signal = _a_jurik_filt(jcfbaux, lensmdd, depthphase)

plot(signal, color = color.white)
plot(jcfbaux, color = jcfbaux >= signal ? greencolor : color.gray, linewidth = 2)
barcolor(jcfbaux >= signal ? greencolor : color.gray)

Knight wrote: Sat Sep 03, 2022 3:50 am Sorry if it's a bit messy but that's the indicator and the source code from trading view. Apparently, you can't do all of that with a mobile phone.

mrtools wrote: Sat Sep 03, 2022 6:28 am JCFBaux Volatility indicator

It's pretty much a cfb and a jurik cfb cross non-directional volatility type indicator, best I can understand when the cfb crosses the jurik cfb the pair is in a trend. Think this may be close to that version.

mrtools wrote: Sat Sep 03, 2022 6:28 am JCFBaux Volatility indicator

It's pretty much a cfb and a jurik cfb cross non-directional volatility type indicator, best I can understand when the cfb crosses the jurik cfb the pair is in a trend. Think this may be close to that version.