Trying to create a ”Noise area indicator” like the one attached in the paper below. I don´t get the calculation for the range done properly. Read it, and look at the attached picture.
We have to mathematically define a region where prices are expected to oscillate under conditions of balanced buying and selling pressures. We refer to this region as the Noise Area, an equilibrium zone where markets do not exhibit any exploitable intraday trend.
Practically, the market demonstrates a lack of abnormal imbalances when the intraday
movement from the RTH Open is less than the average movement observed on the same intraday
time interval over the previous days. We define the Noise Area as the space between
2 boundaries. These boundaries are time-of-day dependent and are computed using the
average movements recorded over the previous 14 days.
ChatGPT has not a thourogh knowledge of the ProRealTime (also called ProBuilder) language, so it uses some generic instructions assuming most languages have similar instructions (which generally is).
After a few modification this is the working code:
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// Parameters
period=14// Look-back period (14 days)
timeStart=093000// Start of RTH (Regular Trading Hours)
timeNow=(hour*10000)+(minute*100)+second
// Calculate today's opening price
iftimeNow=timeStartthen
dayOpen=open
endif
// Calculate absolute movement from the Open at each time interval for the past 14 days
moveSum=0
fori=1toperioddo
iftimeNow>timeStartthen
prevMove=abs(close[i]/open[i]-1)// Absolute movement from open
moveSum=moveSum+prevMove
endif
next
// Average movement over the past 14 days
avgMove=moveSum/period
// Calculate Upper and Lower Boundaries
upperBound=dayOpen*(1+avgMove)
lowerBound=dayOpen*(1-avgMove)
// Plot the boundaries on the chart
drawhline(upperBound)coloured(0,0,255)// Blue line for Upper Bound
drawhline(lowerBound)coloured(255,0,0)// Red line for Lower Bound
I have tried Chat GPT to. Get some strange results at the beginnning but its get´s better when you use Pro language promts.
@robertogozzi Unfortunately, can´t see your corrected chat GPT code worked either. I only get a red line around zero on the index both on price or in a new panel.
Here is my one, but first. I´m not shore the calculation is right. And then i do not get it right when overlay it on a pricechart…
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// Noise Area Indicator - Regular Trading Hours Only
// Define parameters
Length=14
// Step 1: Track the RTH open price (fixed at 9:30)
IF(hour=9ANDminute=30)THEN
openRTH=Open[0]// Set the open price at 9:30
ENDIF
// Step 2: Ensure we are in RTH (Regular Trading Hours)
IF(hour=9ANDminute>=30)OR(hour>9ANDhour<16)THEN
// Step 3: Calculate the move in points from the Open for the current bar
moveToday=ABS(Close-openRTH)// Absolute move in points from 9:30 open
// Step 4: Calculate the average absolute move over the last 14 days in points
avgMove=0
FORi=1TOLengthDO
movePast=ABS(Close[i]-Open[i])// Calculate the absolute move in points for each of the last 14 days
avgMove=avgMove+movePast// Sum the moves
NEXT
avgMove=avgMove/Length// Average movement in points
// Step 5: Compute the Upper and Lower Boundaries based on points from the open price
UpperBound=openRTH+avgMove// Upper boundary based on open price
LowerBound=openRTH-avgMove// Lower boundary based on open price
// Step 6: Plot the Noise Area on the chart, anchored to the open price
DRAWSEGMENT(barindex-1,UpperBound,barindex,UpperBound)COLOURED(255,0,0)// Red for Upper Bound
DRAWSEGMENT(barindex-1,LowerBound,barindex,LowerBound)COLOURED(0,255,0)// Green for Lower Bound
ENDIF
// Step 7: Return values for ProBuilder to plot on the main price chart
Yes, you are right @<span class=”bbp-author-name”>robertogozzi </span>it´s working! I was in the wrong timeframe at the beginning. Therefore i saw nothing. Then i changed your code to plot drawsegments instead of drawhline. Now we have done some progress here.
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// Parameters
period=14// Look-back period (14 days)
timeStart=153000// Start of RTH US (Regular Trading Hours) Adjusted for swedish time.
timeNow=(hour*10000)+(minute*100)+second
// Calculate today's opening price
iftimeNow=timeStartthen
dayOpen=open
endif
// Calculate absolute movement from the Open at each time interval for the past 14 days
moveSum=0
fori=1toperioddo
iftimeNow>timeStartthen
prevMove=abs(close[i]/open[i]-1)// Absolute movement from open
moveSum=moveSum+prevMove
endif
next
// Average movement over the past 14 days
avgMove=moveSum/period
// Calculate Upper and Lower Boundaries
upperBound=dayOpen*(1+avgMove)
lowerBound=dayOpen*(1-avgMove)
// Plot the boundaries on the chart
DRAWSEGMENT(barindex-1,UpperBound,barindex,UpperBound)COLOURED(255,0,0)// Red for Upper Bound
DRAWSEGMENT(barindex-1,LowerBound,barindex,LowerBound)COLOURED(0,255,0)// Green for Lower Bound
Return
But, as you see in attached pictures something in the calculation is not correct. In the pics both show the same day, 31 of jan. 2022. from RTH Open 9:30 to close 16:00.
I will try to explain more in detail how i think it should be.
Definition: The Noise Area represents a price zone where the market is considered in balance—no significant demand or supply imbalance is occurring. Outside this area, deviations in price are considered exploitable trends, while within the zone, movements are attributed to market noise, and no trades are made.
Step 1: For each day and time, the absolute move from the RTH OPEN that day is calculated for the last 14 days.
Step 2: The average move over the last 14 days for each time of day is then calculated.
Step 3: The Upper and Lower boundaries of the Noise Area are calculated using the Open price of the current day, adjusted by the average move until that time. Typically, the average intraday movement from
the Open tends to increase over time, peaking at 16:00.
Step4: (Maybe hard to achieve?)To make the evidence of potential imbalances more robust, include the closing from yesterdays RTH close price in
our calculation. This adjustment accounts for overnight gaps, which in themselves often
signal imbalances. For instance, following a gap-down event, the Upper Boundary of the
Noise Area is adjusted upward by a quantity equal to the gap size, and conversely for a
gap-up event, the Lower Boundary is adjusted downward.
With these considerations, the revised mathematical equations for the Upper and Lower Boundaries, including adjustments for overnight gaps, are as follows:
Can you better explain “Step 3: The Upper and Lower boundaries of the Noise Area are calculated using the Open price of the current day, adjusted by the average move until that time. Typically, the average intraday movement from the Open tends to increase over time, peaking at 16:00“?
Step 3 is more a clarification of step 2. Line below is from the source of the original strategy PDF:
“Typically, the average intraday movement from the Open tends to increase over time, peaking at 16:00“
Meaning for example: Take SP500. Say the average range from Open 9:30 to 9:35 is 5 points. It is highly probable thats the average range from Open 9:30 to Close at 16:00 is alot bigger because price has had much longer time to move away and the range is then bigger.
This is possible to see in the two compared pictures i show in one of the earlier posts showing your coded noise area that expand around 5-10 points beside the picture of the noise area from the strategy PDF that have a range around 110 points at 16:00. Sure, its hard to say exactly because
the scale on that picture is not the same but you can see it roughly. Hope it helps.
I want to be able to see the 14 days average move from today’s open 9:30 to any time (depending on bar size) within regular trading hours drawn by segments on the chart. See my attached picture. Your indicator is in the backround, and i have adjusted that to show 3 day average in the code beacuse its easier when we see everything in the same picture. Thats only for this example.
I have tried the best i can to explain in the picture. Hopefully its easier to explain there.
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