8x Multicolour Market States

Forums ProRealTime English forum ProBuilder support 8x Multicolour Market States

  • This topic has 28 replies, 5 voices, and was last updated 4 years ago by avatarBard.
Viewing 15 posts - 1 through 15 (of 29 total)
  • #129950

    So I had this idea years ago that I was going to sit down one day and classify the markets as to whether they were trending, ranging, volatile or calm. The idea came from
    Randy Stuckey who used to develop and sell trading systems with his company Mindfire Systems:

    I then saw this interesting Multicolour Bollinger Bands indicator by @Supertiti: https://www.prorealcode.com/prorealtime-indicators/multicolour-bollinger-bands-market-phases/

    which spurred me on to develop one using implied volatility, the Kaufman Efficiency Ratio and a Bear/Bull indicator I developed a while back that uses the responsive ALMA moving
    Average.

    It’s a second “draft,” I just wondered if anyone had any ideas, perhaps to make the colour zones more solid and longer lasting as in the Supertiti version?
    I wasn’t sure if it was respecting all the rules particularly with the moving averages and closes and there didn’t seem to be enough dark green sections?

    Either way it appears to give an immediate sense of what kind of market environment you’re in.

    Let me know what you think and/or how it could be improved?

    Cheers
    Bard

    Ps/ If you tag me it’s @Brad. Slight admin b^&*s up. Don’t ask… 😀

    “8x Multicolour Market States”

     

    2 users thanked author for this post.
    #130215
    Bel

    Nice work mate, will give it a go. I’m interested in Kaufmans work and I see that you’re as well 🙂

     

    Regards,

    Bel.

    #130226

    Thanks @Bel, it took many hours. Worth also checking out my posts on the work of Cynthia Kase (Kase Dev Stop v3) and John Ehlers.

    1 user thanked author for this post.
    avatar Bel
    #130229
    Bel

    I hear ya and already checking them. Thanks again. Probably its impossible and against the rules of forum to try and communicate for a chat somewhere?

     

    Regards,

    Bel.

    #130230

    Whoever wants to communicate with some users should use the contact form (Contact Us) to ask permission to Admin.

     

    #130231
    Bel

    Done. Thanks.

    #130246
    Bel

    Thanks @Bel, it took many hours. Worth also checking out my posts on the work of Cynthia Kase (Kase Dev Stop v3) and John Ehlers.

    Looking at Kase Dev Stop research and def on the list to explore. Kase bars also should be interesting imo:)

    #130381

    Thanks Bard, very interesting, I had trouble to make the indicator to work, so I attach the code with all settings available at the top.

     

    1 user thanked author for this post.
    #130420

    Good idea, thanks Nicolas. I might try for a simpler 4 state indicator just showing the first 4 defined market states, that or find a better way to make sure conditions like c7 and c8 are more accurate.

    #130552
    Bel

    Sorry for a bit off-topic Brad, just wanted to know if you have researched perhaps Kaufmans Velocity and Accelerator concepts?

     

    Regards,

    Bel.

    #130578

    Hi Bel, no I haven’t. Have you backtested them to see if there is an edge? Maybe worth starting a new topic in a new thread?

    Ps, I am reachable on @Brad but it’s actually “Bard,” despite what my profile link says (it was an admin error)! Lol.

    #130582
    Bel

    Hi Bel, no I haven’t. Have you backtested them to see if there is an edge? Maybe worth starting a new topic in a new thread?

    Ps, I am reachable on @brad but it’s actually “Bard,” despite what my profile link says (it was an admin error)! Lol.

    Hi mate, no worries lol

    I’d def worth to explore but would need to code them as there’s none in PRT language from what I was able to find.

     

    Regards,

    Bel.

    #130606

    just showing the first 4 defined market states,

    Correction: Showing: Trending and Volatile, Trending and Calm, Ranging and Volatile and Ranging and Calm.

    #130681

    The multicolour multi state indicator shows high and low volatility markets trending either up or down.

    Trend is determined by four ALMA moving averages and the volatility is based on a 22 period Williams Vix Fix / Percentile Rank indicator (coded by Vonasi) over 365 days, ranked as a percentage.

    I might yet do a version with an advanced ADX indicator to depict ranging markets (both volatile and calm), that was actually the basis for what turned into this idicator.

    Anyone who says there isn’t a relationship between volatility and trend hasn’t studied volatility and the options market:

    High volatility is synonymous with market bottoms and low volatility with market tops. It’s not a perfect relationship but it is better to know how volatile a market is when you’re entering it and what the potential trend direction might be. A good example of a low volatility top is the peak before the current Covid19 market rout.

    Implied volatility (IV) in the options market is measured over 365 days. The IV is derived from the Black Scholes Options Pricing Model. Higher IV (over historic volatility) implies higher options prices. Go long Puts and write/short Calls.

    Possible improvements might be to add ranging (volatile and calm) markets and to replace the ALMA for a MA Type #65 Ehler’s Zero Lag moving average from the Average Filter Regression indicator on this forum. Next time!

    Update:

    just showing the first 4 defined market states,

    Correction: Showing: Trending and Volatile, Trending and Calm, Ranging and Volatile and Ranging and Calm.

    Changes need on the 8x MultiColour
    Change line 164 to r=153 (previously was a wrong colour)
    Change line 146 to g=205 (for better definition)

    #131170

    This 4x Colour Trend/Range/Volatility/Calm indicator can be used to instantly gauge what kind of market conditions you are in. For example, before the Covid19 market rout in the £/$ you can already see the market was becoming very “skittish” from mid December onwards with lots of  red and blue areas which depict higher volatility.

    The trending colours are red for “Trending and Volatile” and light green for “Trending and Calm.” (Think of trends in terms of red and green as a mnemonic).
    The indicator is non directional but ALMA moving averages and a Zero Lag Bollinger Band has been constructed around price.

    The ranging  market regime is also split into volatile and calm, coloured in blue and aqua blue respectively, (again try thinking of a calm blue sea as a mnemonic for ranging conditions).

    Trending or ranging is determined by use of the Damiani Volatmeter to determine the signal to noise ratio, whilst volatility is determined by a percentile rank of the 22 day implied volatility (“Williams Vix Fix”) compared to 365 day highs and lows of implied volatility. Volatile is set at greater than 50% and calm at 50% or less. You can change these if you wish, perhaps only depicting markets that are very volatile and over 75% or even 95%. Good for options traders.

    I’ve left the effective ALMA Bull/Bear indicator in case you want to experiment with another way of determine a trend. Ditto with the Vix Fix for volatility.

    No indicator is perfect (feel free to play with the settings) but this does go someway to giving you a more statistically based summation of market conditions thanks to Vonasi’s Williams Vix Fix indicator and Bollinger Bands set at 2 standard deviations to capture 95% of the price distribution — if prices were to follow a normal distribution. They don’t as prices suffer from skew/trends caused by the vagaries of human emotions like fear and greed!

    “4x Colour Trend/Range/Volatility/Calm”

     

     

Viewing 15 posts - 1 through 15 (of 29 total)

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