Squeeze Trading Indicator
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Squeeze Trading Indicator
from https://www.netpicks.com/squeeze-out-the-chop/
The basic formulas we need are:
Bollinger Band = Moving Average + (Number of standard deviations X Standard Deviation)
Keltner Channel = Moving Average + (Number of ATR’s X ATR)Or if we translate this into pseudo-code:
BBUpper = Avg(close,period) + (BBDevs X StdDev(close,period)) KCUpper = Avg(close,period) + (KCDevs X ATR(period))The squeeze is calculated by taking the difference between these two values:
Squeeze = BBUpper – KCUpperWhich simplifies down to this:
Squeeze = (BBDevs X StdDev(close,period)) – (KCDevs X ATR(period))- Hello Nicholas sorry for the mix-up sending it to the wrong place hopefully there’s enough information i’ve linked the web page that it’s from and also sticking a picture I can make a basic version of this but it would not use the standard deviation or the ATR so I’d like to see this version with that in it and then test that out, thank you.
- Patrick
Moderators edit: Post edited to remove text from inserted code. Please only insert actual code when using the ‘Insert PRT Code’ button.
This is the one at https://www.prorealcode.com/prorealtime-market-screeners/intraday-volatility-explosion-screener/ (it returns explosions, you can set it as a histogram):
//********* 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 Result = 0 IF validate AND bullishexplosion THEN Result = 1 ELSIF validate AND bearishexplosion THEN Result = -1 ENDIF RETURN ResultI might be able to use this line in a different way like putting a moving average on it so its a zero line Cross plus momentum then use it in conjunction with other indicators might have a winning strategy most likely not
Ok, I changed so that it returns all crossings with different colours:
- bullish explosion: plain GREEN (returns 1)
- bullish implosion: light GREEN (returns 1)
- bearish explosion: plain RED (returns -1)
- bearish implosion: ligtht RED (pink) (returns -1)
The attached pic shows all possible crossings of the Bollinger Bands over/under the Keltner Channel.
//********* Parameters ********* //Keltner channel n = 20 coeff = 1.5 //Bollinger Bands period = 10 deviation = 1 //Candles lookback //xCandles = 4 t = 255 r = 0 g = 128 b = 0 validate = 1 //---------------------------------------------------- //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 //---------------------------------------------------- // Explosion (expansion) //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 crosses over UpperBand bearishexplosion = BBdown crosses under LowerBand //---------------------------------------------------- // Implosion (contraction) //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 bullishimplosion = BBup Crosses under UpperBand bearishimplosion = BBdown crosses over LowerBand //---------------------------------------------------- Result = 0 IF validate THEN IF bullishexplosion OR bullishimplosion THEN Result = 1 IF bullishimplosion THEN t = 48 ENDIF ELSIF bearishexplosion OR bearishimplosion THEN Result = -1 r = 255 g = 0 IF bearishimplosion THEN t = 48 ENDIF ENDIF ENDIF RETURN Result coloured(r,g,b,t) AS "Result",0 AS "Zero"Roberto
you won’t believe this I don’t really believe this but I think I’ve done it even so I still would like to thank you for helping
It’s not 100% because it only incorporates the upper Bollinger band and the upper keltner channel which doesn’t give you 100% Reading somehow how I need to factor in in the lower band and the lower channel into the equation but I don’t know how to do that
Here’s what I have done
REM Computes the daily variations indicator1 = ExponentialAverage[20](close)+2*std[20](close) indicator2, ignored = CALL "Keltner Bands Indicator"[20, 1.7, 0](close) c1 = (indicator1 - indicator2) Squeeze Trading Indicator = c1 return Squeeze Trading Indicator as "STi"
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Topic Details
| Forum: | ProBuilder: Indicators & Custom Tools |
| Language: | English |
| Started: | 02/18/2020 |
| Status: | Active |
| Attachments: | 6 files |
