Kase Peak Oscillator
The Kase Peak Oscillator is made of statistical observation of prices over the last KPeriod. It automatically adapt its cycle to any timeframe or instrument by using a percentile rank of what happen now in comparison of the whole distribution of past values.
The KPeriod would be adapted to trade horizons.
KPeriod = 30
sq = sqrt(KPeriod)
rge = averagetruerange[KPeriod]
RWHL = ((High-Low[KPeriod])-(High[KPeriod]-Low)) / (rge*sq)
Pk = weightedaverage[3](RWHL)
mnn = average[KPeriod](Pk)
dSum=0
for i = 0 to KPeriod do
dSUM = dSUM+(Pk[i]-mnn)*(Pk[i]-mnn)
next
sd = sqrt(dSUM/KPeriod)
v1 = MAX(2.08,mnn+(1.33*sd))
v2 = MIN(-1.92,mnn-(1.33*sd))
if (pK[1]>=0 and pK>0) then
Line = v1
elsif (pK[1]<=0 and pK<0) then
Line = v2
else
Line = 0
endif
RETURN Line as "Line", pK as "Kase Peak Oscillator"
Comments
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Hi Nicolas, re-upping the coding request as you suggested for the genuine version of Kase's Oscillator and Con/Divergence indicator. If you recall this is the one that had a statistical 78% leading signal entry accuracy (the indicator is accurate in signifying coming market turns) when tested on 47,000 days of data, or about 185 years in total. A higher accuracy entry will have a positive knock on effect on the more important aspects of money management risk/reward ratios, that can in turn increase trade size, and lower drawdowns. Thanks, Bard
FYI: I found this other code in an old NL forum:
pri=Customclose
len=p
smooth=c
atr = AverageTrueRange[len](pri)
/// Kase Peak Osc ///
RWH=(High-Low[len])/(atr*SQRT(len))
RWL=(High[len]-Low)/(atr*SQRT(len))
X=RWH-RWL
pek=WeightedAverage[smooth](X)
mean=Average[len](pek)
sd=STD[len](pek)
c1=(mean+(1.33*sd)) > 2.08
c2=(mean-(1.33*sd)) < -1.92
c3=pek[1] >= 0 And pek > 0
c4=pek[1] <= 0 And pek < 0
If c1 Then
v1=mean+(1.33*sd)
Else
v1=2.08
Endif
If c2 Then
v2=mean-(1.33*sd)
Else
v2=-1.92
Endif
If c3 Then
v3=v1
Elsif c4 Then
v3=v2
Else
v3=0
Endif
/// Kase CD ///
pk=WeightedAverage[smooth](X)
KCD=(pk)-Average[8](pk)
Return pek as "Kase Peak Osc", v3 as "Peak Osc Line", KCD as "Kase CD"
(p = length (30) ; c = smooth (3))
Yes thanks, if you could, they're in Metatrader and I think you will find them an improvement, particularly having the Kase CD as well. I'll clean them up a bit so the lines and lines of spacing of between portions of the code are minimised.
p.s. I posted on the indicator builder part of the forums earlier (Subject starts with "This looks interesting - this indicator measures how many ATR units..." The first post had a wrong bit of code but I couldn't find it when i searched the forum, I reposted with the correct bit of code and now I come back to that Safari tab hours later and the text is still in the bottom of the window in the editor? So I looked for it but again but I can't see it in the forum, so I posted it again...
It occurs to me now that there may actually be 3 posts up now.... sorry if there is, (it's the last one thats relevant).
Cheers
Hi Nicolas,
I found the original code for the Kase Peak Oscillator in Metatrader.
The current public version uses predefined fixed values of 2.08 and -1.92 for the Peak Out line. As you’ll recall the KPO uses a 50 period cycle look back (looking for max values of the RWI Low and Highs) which allows it to use “a statistical measure of trend or serial dependency over a look-back length that adapts automatically to the most significant cycle length.”
I also have the code for the Kase Permission Screen and the Kase CD (convergence/divergence) Indicator. Would you like me to post it here or add it to the conversation in post #5675 — Choppiness Index and Range Trading where I posted info about Kase’s PeakOscillator? There is also an improved version of the Kase Dev Stop using a RWI crossover.
Cheers
Brad
Thanks very much Nicolas, but I can't post my reply here if I want to add a url link.
When I added a URL link in my first original reply I inserted the url and this page then just jumped to the bottom of the page and every time I try to get back to this text field where I am writing this now it jumps back to the bottom of the page? It's impossible and very frustrating as I've never seen this problem with my Macbook + Safari on any other public forums I have used!
I just refreshed this page to see if that helped thinking the cookie might at least save my original reply here (because I can't access it due to the jumping page issue) but it's an empty white text box and I have lost the text of my original reply... so I'm having to start my reply all over again. (What your reading right now is my second attempt and I won't be able to add the url link I wanted).
I am going to move this Kase Peak Oscillator, Kase CD and Kase Permission Screen to a new thread as you suggested.
I was trying to reply to point out that the 2.08 and -1.92 for the Peak Out line are an incorrect work around to Kase's original code which I emailed you on the 1st March. Pls see my very first comment above.
Cheers
Bard