Market Sentiment Filter Analysis
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Here’s a start of a code to show the sort of thing that I was thinking of:
f1 = close > average[200] f2 = close > weightedaverage[200] f3 = ROC[22] > ROC[22][1] f4 = close > close[300] up1 = close > open up2 = medianprice > medianprice[1] up3 = weightedclose > weightedclose[1] up4 = typicalprice > typicalprice[1] up5 = totalprice > totalprice[1] for a = 1 to 5 if a = 1 then up = up1 endif if a = 2 then up = up2 endif if a = 3 then up = up3 endif if a = 4 then up = up4 endif if a = 5 then up = up5 endif if (f1 and up) or (not f1 and not up) then filter1 = filter1 + 1 endif if (f2 and up) or (not f2 and not up) then filter2 = filter2 + 1 endif if (f3 and up) or (not f3 and not up) then filter3 = filter3 + 1 endif if (f4 and up) or (not f4 and not up) then filter4 = filter4 + 1 endif next return filter1 as "MA", filter2 as "WA", filter3 as "ROC", filter4 as "LookBack"[attachment file=92416]
It can be seen that based on five different quality gauges the ROC[22] sentiment filter scores a far higher sentiment filter quality rating than the average filters or the look back filter.
I realised that there is a flaw in my code as it is recording quality and filter conditions met on the same candle where in reality we need to check filter conditions as being met on the previous candle and then record the quality on the current candle. Here is the modified code so far with some added filters:
f1 = close > average[200] f2 = close > weightedaverage[200] f3 = ROC[14] > ROC[14][1] f4 = close > close[300] f5 = macd[26,12,9] > macd[26,12,9][1] f6 = stochastic[10,5] > stochastic[10,5][1] f7 = rsi[14] > rsi[14][1] f8 = close > exponentialaverage[200] up1 = close > open up2 = medianprice > medianprice[1] up3 = weightedclose > weightedclose[1] up4 = typicalprice > typicalprice[1] up5 = totalprice > totalprice[1] for a = 1 to 5 if a = 1 then up = up1 endif if a = 2 then up = up2 endif if a = 3 then up = up3 endif if a = 4 then up = up4 endif if a = 5 then up = up5 endif if (f1[1] and up) or (not f1[1] and not up) then filter1 = filter1 + 1 endif if (f2[1] and up) or (not f2[1] and not up) then filter2 = filter2 + 1 endif if (f3[1] and up) or (not f3[1] and not up) then filter3 = filter3 + 1 endif if (f4[1] and up) or (not f4[1] and not up) then filter4 = filter4 + 1 endif if (f5[1] and up) or (not f5[1] and not up) then filter5 = filter5 + 1 endif if (f6[1] and up) or (not f6[1] and not up) then filter6 = filter6 + 1 endif if (f7[1] and up) or (not f7[1] and not up) then filter7 = filter7 + 1 endif if (f8[1] and up) or (not f8[1] and not up) then filter8 = filter8 + 1 endif next return filter1 as "MA", filter2 as "WA", filter3 as "ROC", filter4 as "LookBack", filter5 as "MACD", filter6 as "Stoch", filter7 as "RSI", filter8 as "EMA"[attachment file=92423]
RSI[14] rising or falling is currently showing as the best quality sentiment filter on EURUSD Daily.
At the moment I am trying to stick to daily charts but your code and some other filter ideas that I have had have raised the issue that the way it is coded at the moment only allows for sentiment filters where a condition is either met or not met rather than two slightly different conditions that toggle between bullish and bearish (for example your high and low pivot breaks) – so I may have to rethink the way it is coded.
Another thought that I had was that it might make an interesting strategy idea. Quality ratings for each sentiment filter could be recorded and then each new candle checked to see which conditions it meets and given an overall quality rating for bullish or bearish. The quality rating would need to be normalized by dividing the latest result by the number of candles so far so the chart would be more like this:
[attachment file=92443]
Here is my first slightly messy attempt to give each filter a rating and then check the current candle to see which filters it meets and give it an overall rating. if the line is below zero then it indicates short and the further below the stronger the signal.
f1 = close > average[200] f2 = close > weightedaverage[200] f3 = ROC[14] > ROC[14][1] f4 = close > close[300] f5 = macd[26,12,9] > macd[26,12,9][1] f6 = stochastic[10,5] > stochastic[10,5][1] f7 = rsi[14] > rsi[14][1] f8 = close > exponentialaverage[200] f9 = weightedaverage[100] > weightedaverage[200] up1 = close > open up2 = medianprice > medianprice[1] up3 = weightedclose > weightedclose[1] up4 = typicalprice > typicalprice[1] up5 = totalprice > totalprice[1] thisbar = 0 for a = 1 to 5 if a = 1 then up = up1 endif if a = 2 then up = up2 endif if a = 3 then up = up3 endif if a = 4 then up = up4 endif if a = 5 then up = up5 endif if (f1[1] and up) then filter1 = filter1 + 1 thisbar = thisbar + filter1 endif if (not f1[1] and not up) then filter1 = filter1 + 1 thisbar = thisbar - filter1 endif if (f2[1] and up) then filter2 = filter2 + 1 thisbar = thisbar + filter2 endif if (not f2[1] and not up) then filter2 = filter2 + 1 thisbar = thisbar - filter2 endif if (f3[1] and up) then filter3 = filter3 + 1 thisbar = thisbar + filter3 endif if (not f3[1] and not up) then filter3 = filter3 + 1 thisbar = thisbar - filter3 endif if (f4[1] and up) then filter4 = filter4 + 1 thisbar = thisbar + filter4 endif if (not f4[1] and not up) then filter4 = filter4 + 1 thisbar = thisbar - filter4 endif if (f5[1] and up) then filter5 = filter5 + 1 thisbar = thisbar + filter5 endif if (not f5[1] and not up) then filter5 = filter5 + 1 thisbar = thisbar - filter5 endif if (f6[1] and up) then filter6 = filter6 + 1 thisbar = thisbar + filter6 endif if (not f6[1] and not up) then filter6 = filter6 + 1 thisbar = thisbar - filter6 endif if (f7[1] and up) then filter7 = filter7 + 1 thisbar = thisbar + filter7 endif if (not f7[1] and not up) then filter7 = filter7 + 1 thisbar = thisbar - filter7 endif if (f8[1] and up) then filter8 = filter8 + 1 thisbar = thisbar + filter8 endif if (not f8[1] and not up) then filter8 = filter8 + 1 thisbar = thisbar - filter8 endif if (f9[1] and up) then filter9 = filter9 + 1 thisbar = thisbar + filter9 endif if (not f9[1] and not up) then filter9 = filter9 + 1 thisbar = thisbar - filter9 endif next result1 = filter1/barindex result2 = filter2/barindex result3 = filter3/barindex result4 = filter4/barindex result5 = filter5/barindex result6 = filter6/barindex result7 = filter7/barindex result8 = filter8/barindex result9 = filter9/barindex thisbar = (thisbar/barindex)/9 return result1 as "MA", result2 as "WA", result3 as "ROC", result4 as "LookBack", result5 as "MACD", result6 as "Stoch", result7 as "RSI", result8 as "EMA", result9 as "Two WA", thisbar as "This Bar"[attachment file=92451]
It is quiet interesting to see how clearly the bull and bear periods are highlighted by either overall raised ratings or overall lowered ratings when you zoom out.
[attachment file=92454]
stefou102 – How would you set the sentiment filter condition? Today’s pivot is higher or lower than yesterdays pivot? The close is higher or lower than the pivot? I feel it would be a bit choppy as a sentiment filter but we can try something.
Here is the code with the two above filters added and the results with the ‘This Bar’ result hidden.
filterqty = 11 //PPDay Calculations IF dayofweek = 1 THEN dayhigh = DHigh(2) daylow = DLow(2) dayclose = DClose(2) ENDIF IF dayofweek >=2 and dayofweek < 6 THEN dayhigh = DHigh(1) daylow = DLow(1) dayclose = DClose(1) ENDIF PPDay = (dayhigh + daylow + dayclose) / 3 f1 = close > average[200] f2 = close > weightedaverage[200] f3 = ROC[14] > ROC[14][1] f4 = close > close[300] f5 = macd[12,26,9] > macd[12,26,9][1] f6 = stochastic[10,5] > stochastic[10,5][1] f7 = rsi[14] > rsi[14][1] f8 = close > exponentialaverage[200] f9 = weightedaverage[100] > weightedaverage[200] f10 = ppday > ppday[1] f11 = close > ppday up1 = close > open up2 = medianprice > medianprice[1] up3 = weightedclose > weightedclose[1] up4 = typicalprice > typicalprice[1] up5 = totalprice > totalprice[1] thisbar = 0 for a = 1 to 5 if a = 1 then up = up1 endif if a = 2 then up = up2 endif if a = 3 then up = up3 endif if a = 4 then up = up4 endif if a = 5 then up = up5 endif if (f1[1] and up) then filter1 = filter1 + 1 thisbar = thisbar + filter1 endif if (not f1[1] and not up) then filter1 = filter1 + 1 thisbar = thisbar - filter1 endif if (f2[1] and up) then filter2 = filter2 + 1 thisbar = thisbar + filter2 endif if (not f2[1] and not up) then filter2 = filter2 + 1 thisbar = thisbar - filter2 endif if (f3[1] and up) then filter3 = filter3 + 1 thisbar = thisbar + filter3 endif if (not f3[1] and not up) then filter3 = filter3 + 1 thisbar = thisbar - filter3 endif if (f4[1] and up) then filter4 = filter4 + 1 thisbar = thisbar + filter4 endif if (not f4[1] and not up) then filter4 = filter4 + 1 thisbar = thisbar - filter4 endif if (f5[1] and up) then filter5 = filter5 + 1 thisbar = thisbar + filter5 endif if (not f5[1] and not up) then filter5 = filter5 + 1 thisbar = thisbar - filter5 endif if (f6[1] and up) then filter6 = filter6 + 1 thisbar = thisbar + filter6 endif if (not f6[1] and not up) then filter6 = filter6 + 1 thisbar = thisbar - filter6 endif if (f7[1] and up) then filter7 = filter7 + 1 thisbar = thisbar + filter7 endif if (not f7[1] and not up) then filter7 = filter7 + 1 thisbar = thisbar - filter7 endif if (f8[1] and up) then filter8 = filter8 + 1 thisbar = thisbar + filter8 endif if (not f8[1] and not up) then filter8 = filter8 + 1 thisbar = thisbar - filter8 endif if (f9[1] and up) then filter9 = filter9 + 1 thisbar = thisbar + filter9 endif if (not f9[1] and not up) then filter9 = filter9 + 1 thisbar = thisbar - filter9 endif if (f10[1] and up) then filter10 = filter10 + 1 thisbar = thisbar + filter10 endif if (not f10[1] and not up) then filter10 = filter10 + 1 thisbar = thisbar - filter10 endif if (f11[1] and up) then filter11 = filter11 + 1 thisbar = thisbar + filter11 endif if (not f11[1] and not up) then filter11 = filter11 + 1 thisbar = thisbar - filter11 endif next result1 = filter1/barindex result2 = filter2/barindex result3 = filter3/barindex result4 = filter4/barindex result5 = filter5/barindex result6 = filter6/barindex result7 = filter7/barindex result8 = filter8/barindex result9 = filter9/barindex result10 = filter10/barindex result11 = filter11/barindex thisbar = (thisbar/barindex)/filterqty return result1 as "MA", result2 as "WA", result3 as "ROC", result4 as "LookBack", result5 as "MACD", result6 as "Stoch", result7 as "RSI", result8 as "EMA", result9 as "Two WA", result10 as "PPDay-PPDay[1]", result11 as "Close-PPDay", thisbar as "This Bar"[attachment file=92459]
It appears that comparing close to PPDay is a pretty good sentiment filter on the EURUSD although this is a bit like saying what is the probability of price going up tomorrow if price closes above the pivot point? Not really a market filter but maybe something that improves our chance of being right tomorrow!
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Topic Details
| Forum: | General Trading: Market Analysis & Manual Trading |
| Language: | English |
| Started: | 02/26/2019 |
| Status: | Active |
| Attachments: | 6 files |
