Squeeze Trading Indicator

• 02/18/2020 at 4:38 PM #119856
  Patrick K Templar

  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))

  1 2	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 – KCUpper

  1	Squeeze = BBUpper – KCUpper

   

  Which simplifies down to this:

  Squeeze = (BBDevs X StdDev(close,period)) – (KCDevs X ATR(period))

  1	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.

  

  Patrick K Templar

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  02/18/2020 at 5:20 PM #119861
  robertogozzi

  These screeners uses BB + KC to tell a squeeze: https://www.prorealcode.com/topic/bollinger-band-squeeze-with-rsi-divergence/#post-28411, https://www.prorealcode.com/prorealtime-market-screeners/intraday-volatility-explosion-screener/.

  Did you ever happen to use the search box?  It’s your friend, don’t be afraid.

  

  robertogozzi

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  02/18/2020 at 5:50 PM #119862
  Patrick K Templar

  Hello robertogozzi 

  Does the screener show up on the charts as an indicator because I’m doing a lot of backtesting and I use the simplified creation tool for backtesting so it helps a lot to have it on the chart thank you

  Patrick

   

  

  Patrick K Templar

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  02/18/2020 at 6:12 PM #119864
  robertogozzi

  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 Result

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  //********* 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 Result

   

  

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  02/18/2020 at 6:35 PM #119871
  Patrick K Templar

  That indicated that you shared me is only a breakout indicator can you change it into a zero line Cross please

  I have only a very basic understanding of coding I’ve watched quite a few videos, if I Could code it myself I would, zero line cross indicator version might be more beneficial

  Thank you

  Patrick

  

  Patrick K Templar

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  02/18/2020 at 6:53 PM #119874
  robertogozzi

  What do you mean by zero line?

  BB & KC do not have 0.

  

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  02/18/2020 at 7:06 PM #119875
  Patrick K Templar

  I 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

   

  

  Patrick K Templar

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  02/18/2020 at 7:14 PM #119878
  Patrick K Templar

  Yes you’re right the Bollinger bands and keltner channels do not but the indicator based on them that I would like you to build would,

  just to clarify rate of Change would be a zero line cross.

  thank you

  Patrick

  

  Patrick K Templar

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  02/18/2020 at 11:47 PM #119903
  robertogozzi

  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"

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  //********* 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"

   

  

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  02/19/2020 at 1:55 AM #119910
  Patrick K Templar

  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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  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"

   

  

  Patrick K Templar

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  02/19/2020 at 2:47 AM #119912
  Patrick K Templar

  The other one might be better

  SqueezeTradingIndicator

  indicator1 = ExponentialAverage[20](close)+2*std[20](close) indicator2, ignored = CALL "Keltner Bands Indicator"[20, 1.7, 0](close) c1 = (indicator1 - indicator2) indicator3 = ExponentialAverage[20](close)-2*std[20](close) ignored, indicator4 = CALL "Keltner Bands Indicator"[20, 1.7, 0](close) c2 = (indicator3 - indicator4) SqueezeTradingIndicator = c1+c2/2 return SqueezeTradingIndicator as "SqueezeTradingIndicator"0 as "0 level"

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  indicator1 = ExponentialAverage[20](close)+2*std[20](close) indicator2, ignored = CALL "Keltner Bands Indicator"[20, 1.7, 0](close) c1 = (indicator1 - indicator2)   indicator3 = ExponentialAverage[20](close)-2*std[20](close) ignored, indicator4 = CALL "Keltner Bands Indicator"[20, 1.7, 0](close) c2 = (indicator3 - indicator4)       SqueezeTradingIndicator = c1+c2/2   return SqueezeTradingIndicator as "SqueezeTradingIndicator"0 as "0 level"

   

  Thank you again

  Patrick

  

  Patrick K Templar

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  02/19/2020 at 7:55 AM #119916
  Vonasi

  You don’t need to call the indicator twice so the code can be simplified a little further. Also you forgot a comma in your return line.

  Please always use the ‘Insert PRT Code’ button when posting code. I tidied up your first code that you posted. 🙂

  indicator1 = ExponentialAverage[20](close)+2*std[20](close) indicator3 = ExponentialAverage[20](close)-2*std[20](close) indicator2, indicator4 = CALL "Keltner Bands Indicator"[20, 1.7, 0](close) c1 = (indicator1 - indicator2) c2 = (indicator3 - indicator4) SqueezeTradingIndicator = c1+c2/2 return SqueezeTradingIndicator as "SqueezeTradingIndicator",0 as "0 level"

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  indicator1 = ExponentialAverage[20](close)+2*std[20](close) indicator3 = ExponentialAverage[20](close)-2*std[20](close) indicator2, indicator4 = CALL "Keltner Bands Indicator"[20, 1.7, 0](close)   c1 = (indicator1 - indicator2) c2 = (indicator3 - indicator4)   SqueezeTradingIndicator = c1+c2/2   return SqueezeTradingIndicator as "SqueezeTradingIndicator",0 as "0 level"

   

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  Vonasi

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  02/19/2020 at 10:58 AM #119930
  Nicolas

  Various “squeeze” codes:

  https://www.prorealcode.com/tag/squeeze/

  https://www.prorealcode.com/topics-tag/squeeze/

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