Intraday volatility explosion screener
This screener is an attempt to find price volatility explosion in intraday. The code spots if the last activity of the Bollinger bands were quiet before it breaks up or down a keltner channel made of typical price moving average.
The default parameters work well for forex on a 5 minutes timeframe.
You can try and explore the parameters for any instrument and timeframe horizons. If you find better parameters or ideas to complete this code, I would be glad to improve it.
//********* Parameters *********
//Keltner channel
n=20
coeff=1.5
//Bollinger Bands
period=10
deviation=1
//Candles lookback
xCandles=4
//******************************
//keltner bands
MA = Average[N](TypicalPrice)
UpperBand = MA + coeff*Average[N](Range)
LowerBand = MA - coeff*Average[N](Range)
//bollinger bands
BBmiddle = average[period](close)
dev = std[period](close)
BBup = BBmiddle+dev*deviation
BBdown = BBmiddle-dev*deviation
count = 0
for i = 1 to xCandles do
c1 = BBup[i]<UpperBand[i]
c2 = BBdown[i]>LowerBand[i]
if c1 and c2 then
count = count+1
endif
next
validate = count=xCandles
bullishexplosion = BBup>UpperBand
bearishexplosion = BBdown<LowerBand
SCREENER [validate AND (bullishexplosion OR bearishexplosion)] (close-MA)
Comments
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// Hammer up Hup = close[i]>high[i+1] Hdown = close[i]open(i+1) and high(i+1)=close(i+1) and (open(i+1)-low(i+1))>=2.5*(close-open) //Candles lookback xCandles=4 //****************************** TIMEFRAME (daily) countd = 0 for i = 1 to xCandles do b1 = (Hup=0) b2 = (Hdown=0) if Hammer and b1 and b2 then countd = countd+1 endif next c1=Hammer and Hup and countd<=xCandles
Hallo Nicolas, I think this is a great Idea. I tried a screener "Hammer breakout within 4 bars after the occure of a hammer" So the screener should deliver all shares with a hammer and with a close over the high of the hammer with the first, the second, the third or at least with the fourth bar. I tried various hours, but I couldnt get a perfect working screener. Could you help me? Best regards Michael
Hello, First time to post. What are "Criteria" in your scanner? What is its metric?