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Re: No Nonsense Forex - Indicators

162 by Centaur
Strategy Tester Visualization _ Vulkan Profit on BTCUSD,M1 from 2021.01.01 to 2023.02.10 2023-02-15 09-09-53.mp4 Downloaded 1771 times 92.25 MiB
rambo wrote: Wed Feb 15, 2023 4:22 pm it redraws, I tested it on btcusd 1 min, and arrows appeared 3 candles too late
Hi Rambo, I've tested the indicator extensively on all timeframes, and repainting is definitely not an issue see attached screen recording of the BTCUSD 1 minute.

No repainting?
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Re: No Nonsense Forex - Indicators

163 by Centaur
Centaur wrote: Wed Feb 15, 2023 6:16 pm Strategy Tester Visualization _ Vulkan Profit on BTCUSD,M1 from 2021.01.01 to 2023.02.10 2023-02-15 09-09-53.mp4
Hi Rambo, I've tested the indicator extensively on all timeframes, and repainting is definitely not an issue see attached screen recording of the BTCUSD 1 minute.

No repainting?
If you mean the cross is too late for you, its because the tunnel / ribbon / channel need to cross completely before a signal is produced.

Definition of Repainting:
Past indicator data disappears / changes with the addition of new tick information.

This is definitely not the case for the Vulkan Profit or any of my indicators because I only recalculate the current bar with the addition of new tick information, hence past data cannot change, hence repainting is and never will be a problem.
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Re: No Nonsense Forex - Indicators

164 by rambo
Centaur wrote: Wed Feb 15, 2023 6:22 pm If you mean the cross is too late for you, its because the tunnel / ribbon / channel need to cross completely before a signal is produced.

Definition of Repainting:
Past indicator data disappears / changes with the addition of new tick information.

This is definitely not the case for the Vulkan Profit or any of my indicators because I only recalculate the current bar with the addition of new tick information, hence past data cannot change, hence repainting is and never will be a problem.
yes that's what I meant, it's giving to late of a signal since we are nnfx traders right. so this indicator wouldn't work for us

Re: No Nonsense Forex - Indicators

165 by Centaur
Kalman Filter

The Kalman Filter is an efficient optimal estimator (a set of mathematical equations) that provides a recursive computational methodology for estimating the state of a discrete-data controlled process from measurements that are typically noisy, while providing an estimate of the uncertainty of the estimates.

A perfect signal filter for any indicator. Use this to filter direct price data before inputting the information into an indicator calculation or alternatively to filter out noise from an indicator output.

I'm of the opinion this is a much better filter than the Jurik Filter.
These users thanked the author Centaur for the post:
Chickenspicy
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Re: No Nonsense Forex - Indicators

167 by Centaur
sheezey wrote: Sun Feb 19, 2023 4:31 pm Thank you very much for posting the different Vortex calculations. I found this to be very helpful implementing into a version I found on Tradingview.
My pleasure, just a correction, the Vortex is a trademarked indicator by Etienne Botes and Douglas Siepman. The calculations shown was different calculations picked up for an indicator known as "buy sell pressure". The concept is pretty much the same.

Please share the TV version you implemented it on, for interest sake.
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Re: No Nonsense Forex - Indicators

168 by Centaur
Centaur wrote: Thu Feb 16, 2023 10:21 pm Kalman Filter

The Kalman Filter is an efficient optimal estimator (a set of mathematical equations) that provides a recursive computational methodology for estimating the state of a discrete-data controlled process from measurements that are typically noisy, while providing an estimate of the uncertainty of the estimates.

A perfect signal filter for any indicator. Use this to filter direct price data before inputting the information into an indicator calculation or alternatively to filter out noise from an indicator output.

I'm of the opinion this is a much better filter than the Jurik Filter.
Image

Image

Image
An updated calculation for the Kalman Filter, changing input k-value to integer, and removing sharpness value as input (k-value of 1 equivalent to a slow period MA, and a k-value of 2000 is equivalent to a fast MA, reverse way around as normal:

Code: Select all

//+------------------------------------------------------------------+
//| Kalman Filter (KF)                                               |
//+------------------------------------------------------------------+
int filKalman(const int rates_total,
              const int prev_calculated,
              const int k_val, // min val = 1; max val = 2000
              const double &source[],
              double &temp_velocity[],
              double &result[])
  {
//--- bar index start
   int bar_index;
   if(prev_calculated == 0)
      bar_index = 0;
   else
      bar_index = prev_calculated - 1;
//--- main loop
   for(int i = bar_index; i < rates_total && !_StopFlag; i++)
     {
      if(i < 1)
        {
         temp_velocity[i] = 0.0;
         result[i] = source[i];
        }
      else
        {
         double distance = source[i] - result[i - 1];
         double error = result[i - 1] + distance * sqrt((k_val / 10000.0) * 2.0);
         temp_velocity[i] = temp_velocity[i - 1] + (distance * k_val / 10000.0);
         result[i] = error + temp_velocity[i];
        }
     }
   return(rates_total);
  }
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Re: No Nonsense Forex - Indicators

169 by Centaur
Centaur wrote: Sat Nov 19, 2022 4:47 pm Jurik Moving Average

Converted tradingview indicator: https://in.tradingview.com/v/gwzRz6tI/

Please if someone with the previous JMA can compare: some screenshots will be nice.
Image

Image
Updated code for a Jurik Filter, the benefit of this filter is its ability to smooth data:

Code: Select all

//+------------------------------------------------------------------+
//| Jurik Filter (JF)                                                |
//+------------------------------------------------------------------+
int filJurik(const int rates_total,
             const int prev_calculated,
             const int length,
             const int phase,
             const double &source[],
             double &temp_bsmax[],
             double &temp_bsmin[],
             double &temp_volty[],
             double &temp_vsum[],
             double &temp_avolty[],
             double &temp_ma1[],
             double &temp_det0[],
             double &temp_e2[],
             double &result[])
  {
//--- bar index start
   int bar_index;
   double len1 = fmax(log(sqrt(0.5 * (double(length) - 1.0))) / log(2.0) + 2.0, 0.0);
   double len2 = sqrt(0.5 * (double(length) - 1.0)) * len1;
   double pow1 = fmax(len1 - 2.0, 0.5);
   double beta = 0.45 * (double(length) - 1.0) / (0.45 * (double(length) - 1.0) + 2.0);
   double div = 1.0 / (10.0 + 10.0 * (fmin(fmax(double(length) - 10.0, 0.0), 100.0)) / 100.0);
   double phaseRatio = phase < -100 ? 0.5 : phase > 100 ? 2.5 : 1.5 + phase * 0.01;
   double bet = len2 / (len2 + 1);
   if(prev_calculated == 0)
      bar_index = 0;
   else
      bar_index = prev_calculated - 1;
//--- main loop
   for(int i = bar_index; i < rates_total && !_StopFlag; i++)
     {
      if(i < 10)
        {
         temp_bsmax[i] = source[i];
         temp_bsmin[i] = source[i];
         temp_volty[i] = 0.0;
         temp_vsum[i] = 0.0;
         temp_avolty[i] = 0.0;
         temp_ma1[i] = 0.0;
         temp_det0[i] = 0.0;
         temp_e2[i] = 0.0;
         result[i] = source[i];
        }
      else
        {
         //--- price volatility
         double del1 = source[i] - temp_bsmax[i - 1];
         double del2 = source[i] - temp_bsmin[i - 1];
         temp_volty[i] = fabs(del1) > fabs(del2) ? fabs(del1) : fabs(del2);
         //--- relative price volatility factor
         temp_vsum[i] = temp_vsum[i - 1] + div * (temp_volty[i] - temp_volty[i - 10]);
         temp_avolty[i] = temp_avolty[i - 1] + (2.0 / (fmax(4.0 * double(length), 30.0) + 1.0)) * (temp_vsum[i] - temp_avolty[i - 1]);
         double dVolty = temp_avolty[i] > 0.0 ? temp_volty[i] / temp_avolty[i] : 0.0;
         dVolty = fmax(1.0, fmin(pow(len1, 1.0 / pow1), dVolty));
         //--- jurik volatility bands
         double pow2 = pow(dVolty, pow1);
         double Kv = pow(bet, sqrt(pow2));
         temp_bsmax[i] = del1 > 0.0 ? source[i] : source[i] - Kv * del1;
         temp_bsmin[i] = del2 < 0.0 ? source[i] : source[i] - Kv * del2;
         //--- jurik dynamic factor
         double alpha = pow(beta, pow2);
         //--- 1st stage - prelimimary smoothing by adaptive EMA
         temp_ma1[i] = (1.0 - alpha) * source[i] + alpha * temp_ma1[i - 1];
         //--- 2nd stage - one more prelimimary smoothing by kalman filter
         temp_det0[i] = (source[i] - temp_ma1[i]) * (1.0 - beta) + beta * temp_det0[i - 1];
         double ma2 = temp_ma1[i] + phaseRatio * temp_det0[i];
         //--- 3rd stage - final smoothing by unique jurik adaptive filter
         temp_e2[i] = (ma2 - result[i - 1]) * pow(1.0 - alpha, 2.0) + pow(alpha, 2.0) * temp_e2[i - 1];
         result[i] = temp_e2[i] + result[i - 1];
        }
     }
   return(rates_total);
  }
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Re: No Nonsense Forex - Indicators

170 by Centaur
Cong Adaptive Moving Average (CAMA)

https://in.tradingview.com/script/hOCmX ... g-Average/

Code: Select all

//+------------------------------------------------------------------+
//| Cong Adaptive Moving Average (CAMA)                              |
//+------------------------------------------------------------------+
int maCongAdaptive(const int rates_total,
                   const int prev_calculated,
                   const int value_length, // min val: 1; default val: 10
                   const double &source_price[],
                   const double &source_high[],
                   const double &source_low[],
                   const double &source_close[],
                   double &temp_true_range[],
                   double &result_value[],
                   double &result_color[])
  {
//--- bar index start
   int bar_index;
   if(prev_calculated == 0)
      bar_index = 0;
   else
      bar_index = prev_calculated - 1;
//--- main loop
   for(int i = bar_index; i < rates_total && !_StopFlag; i++)
     {
      temp_true_range[i] = i < 1 ? source_high[i] - source_low[i] : fmax(source_high[i] - source_low[i], fmax(fabs(source_high[i] - source_close[i - 1]), fabs(source_low[i] - source_close[i - 1])));
      if(i < value_length)
        {
         result_value[i] = source_price[i];
         result_color[i] = EMPTY_VALUE;
        }
      else
        {
         double denom = 0.0, hh = -DBL_MAX, ll = DBL_MAX;
         for(int k = 0; k < value_length; k++)
           {
            denom += temp_true_range[i - k];
            hh = source_high[i - k] > hh ? source_high[i - k] : hh;
            ll = source_low[i - k] < ll ? source_low[i - k] : ll;
           }
         double num = hh - ll;
         double alpha = num / denom;
         result_value[i] = alpha == 1.0 ? alpha * source_price[i] : alpha * source_price[i] + (1.0 - alpha) * result_value[i - 1];
         result_color[i] = StringToDouble(DoubleToString(result_value[i], _Digits)) > StringToDouble(DoubleToString(result_value[i - 1], _Digits)) ? 0.0 : StringToDouble(DoubleToString(result_value[i], _Digits)) < StringToDouble(DoubleToString(result_value[i - 1], _Digits)) ? 1.0 : result_color[i - 1];
        }
     }
   return(rates_total);
  }
These users thanked the author Centaur for the post (total 4):
sylvester21, Chickenspicy, Jimmy, mrtools
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