Kahler’s Excess Detector

This topic has 12 replies, 4 voices, and was last updated 2 years ago by Madrosat.

Viewing 13 posts - 1 through 13 (of 13 total)

12/02/2021 at 11:08 PM #182755

ryeratkale

Hi!

This indicator detects excess market moves. It is stated, that it “overcomes many of the downsides of traditional ones like RSI or Bollinger Bands”.
The magic: it only shows bullish or bearish excess trends for a chosen timeframe. No detection, no line.

How to use it:
“If the indicator tells me that there has been an excess bearish move, I will not set up a new short position. I neither would set up a long position if this sell off happened in a bearish market.
If there has been an excess bearish move in an uptrend, I might want to start to scale into a long position, using a tight stop loss at the beginning and the let it run until my indicator flashes a warning sign in the other direction.”

All the info:
https://www.quanttrader.com/index.php/detecting-excess-market-moves/KahlerPhilipp2021

Is it possible to translate this code? Many thanks!

Meta: subchart(false); // (c) Philipp Kahler 2021 quanttrader.com Inputs: minBars(5), maxBars(200), reversaltype(longreversal, shortreversal, both),confirmationbars(1), Volaexcess(3); Arrays: Mom[maxbars]; Variables: kv, kvp, i, m, signal, global::signal, extreme, position; function kvol begin // returns Kahlers Volatility %/bar Variables:i, rp,rc, rpsum, rcsum, call, put, counter; if close[1]<>0 then begin rc=maxlist((close-close[1])/close[1],0); rp=maxlist((close[1]-close)/close[1],0); end; rcsum=rcsum+rc; rpsum=rpsum+rp; if (rc+rp)>0 then counter=counter+1; if counter>1 then begin call=rcsum/counter; put=rpsum/counter; end; Kvol=100*(call+put); end; kv=kvol;//period(10*maxbars); signal=0; if barnumber>200 then begin for i=maxBars to MinBars step -1 begin kvp=kv*sqrt(i); m=100*(close-close[i])/close; mom[i]=abs(m)/kvp; end; end; extremesarray(mom,maxbars,1,extreme,position); if extreme>volaexcess and position>minbars then begin if close[position]>close and (reversaltype=both or reversaltype=shortreversal) and lowest(close[-confirmationbars],confirmationbars)>=close and close=lowest(close,position) and close[position]=highest(close,position+1) then begin drawtrendline(datetime,lowest(close,position),datetime[position],highest(close,position+1),stylesolid,2,red); signal=1; end; if close[position]<close and (reversaltype=both or reversaltype=longreversal) and highest(close[-confirmationbars],confirmationbars)<=close and close=highest(close,position+1) and close[position]=lowest(close,position+1) then begin drawtrendline(datetime,highest(close,position),datetime[position],lowest(close,position+1),stylesolid,2,darkgreen); signal=-1; end; end; global::signal=signal[confirmationbars];

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Meta: subchart(false); // (c) Philipp Kahler 2021 quanttrader.com
Inputs: minBars(5), maxBars(200), reversaltype(longreversal, shortreversal, both),confirmationbars(1), Volaexcess(3);
Arrays: Mom[maxbars];
Variables: kv, kvp, i, m, signal, global::signal, extreme, position;

function kvol begin // returns Kahlers Volatility %/bar
Variables:i, rp,rc, rpsum, rcsum, call, put, counter;
if close[1]<>0 then begin
rc=maxlist((close-close[1])/close[1],0);
rp=maxlist((close[1]-close)/close[1],0);
end;
rcsum=rcsum+rc;
rpsum=rpsum+rp;
if (rc+rp)>0 then counter=counter+1;
if counter>1 then begin
call=rcsum/counter;
put=rpsum/counter;
end;
Kvol=100*(call+put);
end;

kv=kvol;//period(10*maxbars);
signal=0;

if barnumber>200 then begin
for i=maxBars to MinBars step -1 begin
kvp=kv*sqrt(i);
m=100*(close-close[i])/close;
mom[i]=abs(m)/kvp;
end;
end;

extremesarray(mom,maxbars,1,extreme,position);

if extreme>volaexcess and position>minbars then begin
if close[position]>close and (reversaltype=both or reversaltype=shortreversal)
and lowest(close[-confirmationbars],confirmationbars)>=close
and close=lowest(close,position)
and close[position]=highest(close,position+1)
then begin
drawtrendline(datetime,lowest(close,position),datetime[position],highest(close,position+1),stylesolid,2,red);
signal=1;
end;
if close[position]<close and (reversaltype=both or reversaltype=longreversal)
and highest(close[-confirmationbars],confirmationbars)<=close
and close=highest(close,position+1)
and close[position]=lowest(close,position+1)
then begin
drawtrendline(datetime,highest(close,position),datetime[position],lowest(close,position+1),stylesolid,2,darkgreen);
signal=-1;
end;
end;

global::signal=signal[confirmationbars];

ryeratkale

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12/03/2021 at 9:43 AM #182770

Nicolas

Yes, but I think this function:

extremesarray(mom,maxbars,1,extreme,position);

could be difficult to recode, let me try …

Nicolas

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12/03/2021 at 9:59 AM #182773

ryeratkale

Thank you very much, Nicolas.
You did already translate the inside part of the volatility indicator (KVOL) in 2019, here:
https://www.prorealcode.com/topic/kahlers-fair-bet-historical-volatility-indicator/

Hope this helps and that this function is doable!

ryeratkale

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12/03/2021 at 2:17 PM #182775

Nicolas

Here is the Kahler’s Excess Detector indicator translated for ProRealTime.

I’m posting it here because I have technical issues with library at the moment.

2 users thanked author for this post.

denmar,

ryeratkale

Nicolas

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12/03/2021 at 6:21 PM #182783

ryeratkale

It works! Thank you so much for this quick reply. Now I’m going to backtest. Amazing work!

The only thing is with the zoom. I have to zoom in manually, then i looks great. But with a double mouse klick for auto zoom it shows the -1 0 1 diagram at the bottom of the chart as well.
I can live with it. Or did I do something wrong and it’s possible to turn that off?

Thanks again

1 user thanked author for this post.

denmar

ryeratkale

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12/04/2021 at 7:53 AM #182798

murre87

Hi ryeratkale

Did u code a strategy out of the indicator? How does it look?

murre87

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12/06/2021 at 4:01 PM #182887

Nicolas

Price settings / Scale / Use price only,

or remove the “signal” variable from the RETURN instruction.

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ryeratkale

Nicolas

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12/06/2021 at 7:31 PM #182908

Madrosat

Can we start a strategy with begining of the line green or red and not with the signal I doubt???

Madrosat

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12/07/2021 at 11:25 AM #182927

Nicolas

The signals are generated at the end of the line, not at their beginning.

Nicolas

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12/12/2021 at 9:59 AM #183175

ryeratkale

@Nicolas: In the settings of the indicator, changes to the “Volaexcess” have no effect on the indicator. It should have the effect shown in the picture. See red circles and the amount of red/green lines. Could you please look into it?

@all:
As for the strategy:
This indicator tells you when the markets have moved too far. So for the trading stradegy we have to know what the overall trend is.
What do you think of this idea:

Decide on the timeframe (min/maxBars): 3 to 10 bars [short term = 3 to 10 bars, mid term=10 to 21 bars, long term=21 to 200 bars]
What is the Trend? (How to detect a trend with code?)
If general trend is bullish: wait for a red line (excess bearish move), set a long position, and a tight stop loss
I’m not sure on when to sell: wait for the next red line? (maybe the right setting in Volaexcess will help)

ryeratkale

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12/12/2021 at 1:25 PM #183206

Nicolas

Did you test that setting on the same exact instrument in PRT please?

Nicolas

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12/13/2021 at 8:50 AM #183224

ryeratkale

Unfortunalety I couldn’t find the exact same instrument in PRT.
But for the DAX40 Perf Index the Volaexcess works for high numbers. So instead of 1, 3, 5 larger numbers (3-/4-/5-digits) are working.

ryeratkale

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12/19/2021 at 8:13 AM #183583

Madrosat

Nicolas wrote :The signals are generated at the end of the line, not at their beginning.

Hello Nicolas can you help me I can’t crack the code

Can we have a signal at the end of the line ??

or do you have a tip explain for i can use this indicator or ( une partie de l’indicator) for a strategy.

Have a good day

Madrosat

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