INTRADAY DILATATION FACTOR

• 10/21/2017 at 9:53 AM #50014
  Leo

  Hi all,

  I created a factor which oscillate in a sinusoidal shape. At the moment when the market is more active the value is higher and at night or lunch time the value is minimum (time is in minutes and European time)

  In the picture, there is an example where I calculated a Simple Moving Average of 200 periods bud that Period is multiply for the “Intraday Dilatation Factor (Kd)” i.e. mySMA=average[round(200*Kd)](close)

  Hope you like it, I used often for example, when I want a better value for my Average True Range or the amplitude of Bollinger Bands

  Just share where and do you use this indicator, please.

  P.D: Someone knows how to change automatically the variable “minutesbar”? Thanks in advance

  //INTRADAY DILATATION FACTOR //Kd1=0.7 //smallest dilatation factor //Kd2=1 //highest dilatation factor //minutesbar=1 //time frame in minutes // --> Senosoidal Dilatation factor IF INTRADAYBARINDEX < 345/minutesbar THEN Kd=Kd2 ELSIF INTRADAYBARINDEX>1125/minutesbar THEN Kd=Kd2 ELSE Kd=(Kd1+Kd2)/2+((Kd1-Kd2)/2)*COS((INTRADAYBARINDEX-540/minutesbar)/(735/minutesbar-540/minutesbar)*180) ENDIF Return Kd as "Intraday Dilatation Factor"

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  //INTRADAY DILATATION FACTOR   //Kd1=0.7 //smallest dilatation factor //Kd2=1 //highest dilatation factor //minutesbar=1 //time frame in minutes   //  --> Senosoidal Dilatation factor IF INTRADAYBARINDEX < 345/minutesbar THEN Kd=Kd2 ELSIF INTRADAYBARINDEX>1125/minutesbar THEN Kd=Kd2 ELSE Kd=(Kd1+Kd2)/2+((Kd1-Kd2)/2)*COS((INTRADAYBARINDEX-540/minutesbar)/(735/minutesbar-540/minutesbar)*180) ENDIF   Return Kd as "Intraday Dilatation Factor"

   

  

  Leo

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  10/21/2017 at 9:57 AM #50108
  Nicolas

  Hi Leo, thanks for your post. Because I feel it belongs much more to a concept rather than a complete indicator, I moved it into the forum,  I hope you don’t mind.

  To get how many minutes has a bar in the current timeframe, you can use this code:

  once NbBar = 1 //if BarIndex < NbBar+2 then MyDay=openday dayminutes = 1440*(MyDay-MyDay[1]) MyHour=openhour hourminutes = 60*(MyHour-MyHour[1]) MyMin=openminute barminutes = MyMin - MyMin[1] + hourminutes + dayminutes barminutes=abs(barminutes) Mybarminutes = lowest[NbBar](barminutes)[1] //endif return Mybarminutes as "Timeframe"

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  once NbBar = 1   //if BarIndex < NbBar+2 then MyDay=openday dayminutes = 1440*(MyDay-MyDay[1]) MyHour=openhour hourminutes = 60*(MyHour-MyHour[1]) MyMin=openminute barminutes = MyMin - MyMin[1] + hourminutes + dayminutes barminutes=abs(barminutes) Mybarminutes = lowest[NbBar](barminutes)[1] //endif   return Mybarminutes as "Timeframe"

  It is an interesting idea, but how to make sure there is a correlation between the price behavior and the factor, which could be rather different from a day to another?

  

  Nicolas

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  10/21/2017 at 8:23 PM #50151
  Leo

  Hi Nicolas,

  I were not even sure where to add this concept.

  I just know that at night and after the close of european market things are very quiet as well at lunch time in europe (moments before US open)… it’s like everyone is awaiting for news, macroeconomics data, reports, etc. Therefore I want a tool that “dilatates” all my strategy, indicators, etc. at those moments of the day

  … and when I fixed the Kd1=1 and let the variable Kd2 to be optimised between 1 and 1.25, Yes indeed, the strategies work better 🙂

  Let us know if you find it useful, thanks!

   

   

  

  Leo

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