Wave Rider v6.1
What's new?
1. Baseline Engine — 8 algorithms in one indicator
Instead of hard-coding one MA, you choose the model that fits your instrument:
- KAMA (Kaufman Adaptive MA) — speeds up in trends, slows down in chop, using an efficiency ratio.
- Ahrens Moving Average — a triple-smoothed adaptive MA, generally smoother than KAMA at the same responsiveness.
- Kernel Epanechnikov — a compact-support kernel-weighted average; reacts fast near the current bar and fades weight quickly going back.
- Kernel Rational Quadratic — a heavy-tailed kernel variant, gives more weight to older bars than Epanechnikov, useful on noisier instruments.
- VHMA (Vertical Horizontal MA) — adapts its smoothing factor using a Vertical Horizontal Filter (trend efficiency squared).
- EPF (Edge Preserving Filter) — stays flat in range conditions and snaps quickly when an "edge" (genuine breakout) is detected, useful for avoiding lag at trend starts.
- TRAMA (Trend Regularity Adaptive MA) — adapts based on how consistently the market is making new highs/lows over the lookback window, not just on raw volatility.
- PKF (Parametric Kalman Filter) — a self-tuning Kalman-style estimator that derives its own gain from the ratio of bar-to-bar noise vs. deviation from a reference SMA, no fixed smoothing constant needed.
Every baseline (where applicable) has an **Adaptive Mode** toggle that scales its responsiveness based on recent volatility, plus a configurable lookback (`BaselineLength`) and applied price.
2. Trend Detection — Slope-Based, Not Crossover-Based
Wave Rider does not flip trend on price crossing the baseline (too noisy). Instead it measures the **slope** of the baseline over `SlopePeriod` bars and compares it against a threshold:
- Threshold Mode: Auto — the threshold self-calibrates from the 25th percentile of recent ATR values, so it adapts automatically to current volatility.
- Threshold Mode: Manual — you set a fixed ATR multiplier.
Two slope methods are available:
- Smoothed Delta — straightforward: trend flips when slope crosses the threshold in either direction.
- Hysteresis — uses separate enter/exit thresholds (controlled by `HysteresisFactor`) to avoid whipsaws in choppy slope conditions; once "locked" into a direction it requires a stronger reversal to flip back.
3. Linear Trajectory — Regression Channel for Pullback Entries
A second, independent layer: a rolling linear regression line (`LT_Length` bars) with a statistically-derived band around it. You choose:
Deviation type (how the band width is calculated): ATR, Standard Deviation, Mean Absolute Deviation, Median Absolute Deviation (most robust to outliers), Gaussian-weighted deviation, Historical Volatility (log-return based), ATR Percent, raw True Range, Residual StdDev (orthogonal to the regression line itself), or Standard Error.
Confidence level: 90%, 95%, or 99% — sets the z-score multiplier on the deviation.
Filter mode: None, Double-Pass Smoothing, or Zero-Lag enhancement, for extra smoothing/responsiveness on the regression baseline itself.
The bands also use a "fitted deviation" calculation that measures actual high/low wick excursions above/below the fitted line rather than a purely symmetric band, so upper and lower bands can differ in width based on real price behavior.
An R-Squared value is computed internally as a goodness-of-fit metric for the regression (how well price is actually trending vs. just chopping around the line).
4. Signals
- Trend signals — arrow printed when the slope-based trend flips direction.
- Pullback signals — the higher-conviction setup: printed when price breaks out of the Linear Trajectory band *in the same direction* as the current slope-based trend. This is the "wave" entry.
- Close signals — printed when the LT band breaks in a direction that contradicts the slope trend, suggesting the current position should be closed.
- Stop loss / take profit lines are auto-plotted using ATR multipliers (`StopLossATRMultiplier`, `TakeProfitATRMultiplier`) for every pullback signal.
5. Live Dashboard & Performance Tracking
An on-chart panel shows current baseline, trend state, hysteresis lock status, live slope value, LT trend state, and the active signal's SL/TP/R:R. Optionally, it also tracks closed-signal statistics in real time: win rate, wins/losses/active count, profit factor, average R, and current win/loss streak — so you can evaluate whether a given baseline/threshold/deviation combination is actually working on the instrument and timeframe you're trading, without needing to run a separate backtest.
6. Practical Notes
- Built for chart-window display with colored candles reflecting current trend state.
- Works on any symbol/timeframe; but originally developed and tested on NAS100/US100 and BTC, M1–M5.
- No external indicator handles besides ATR — all baseline math is computed internally.
Feedback and parameter combos that worked well for you are welcome — as well as any bug you may finds or improvements/concepts you would like to see in a next version.
