Hello hello,
I would like to integrate the TTM Squeeze Oscillator in my trading strategy.
Here is the link of the indicator coded by Nicolas : https://www.prorealcode.com/prorealtime-indicators/ttm-squeeze-oscillator-price-version/.
To make things easier :), I would like to use 2 timeframes.
For example, I want to place a buy order when the trend is bullish on the 30min chart and bullish on the 1min chart.
I tried something below but I am not sure/convinced this is correct, can someone have a look please?
I basically want to understand which elements in the indicator I should use to apply it to my strategy.
Thank you in adcance!
Best, Jo
DEFPARAM CumulateOrders = False
// TTM Squeeze indicator
//---Settings
//length=20
//mult=2
//lengthKC=20
//multKC=1.5
//squeezeDotsOffset=0
//candlesticksSqueeze=0 //boolean variable
//---End of settings
//BB
basis = average[length](close)
dev = mult * Std[length](close)
upperBB = basis + dev
lowerBB = basis - dev
//KC
ma = average[lengthKC](close)
myrange = range[lengthKC]
rangema = average[lengthKC](myrange)
upperKC = ma+rangema * multKC
lowerKC = ma-rangema * multKC
Timeframe (30 minutes, updateonclose)
sqzOn15 = (lowerBB>lowerKC) AND (upperBB<upperKC)
c1 = (sqzOn15=1)
c2 = (sqzOn15=0)
//
Timeframe (1 minute,UpdateOnClose)
sqzOn1 = (lowerBB>lowerKC) AND (upperBB<upperKC)
c3 = (sqzOn1=1)
c4 = (sqzOn1=0)
// Conditions to enter long
IF NOT LongOnMarket AND c1 AND c3 THEN
BUY 1 CONTRACT AT MARKET
ENDIF
// Conditions to exit a buy position
If LongOnMarket AND c4 THEN
SELL AT MARKET
ENDIF
// Conditions to enter short
IF NOT ShortOnMarket AND c2 AND c4 THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF
// Conditions to exit a sell position
IF ShortOnMarket AND c3 THEN
EXITSHORT AT MARKET
ENDIF
JSParticipant
Senior
Hi @jodal
I have organised your code a bit so that the “calculations” are under the relevant time frames…
// TTM Squeeze TS
//---Settings
length=20
mult=2
lengthKC=20
multKC=1.5
Timeframe (30 minutes, UpdateOnClose)
//BB
HTFbasis = average[length](close)
HTFdev = mult * Std[length](close)
HTFupperBB = HTFbasis + HTFdev
HTFlowerBB = HTFbasis - HTFdev
//KC
HTFma = average[lengthKC](close)
HTFmyrange = range[lengthKC]
HTFrangema = average[lengthKC](HTFmyrange)
HTFupperKC = HTFma+HTFrangema * multKC
HTFlowerKC = HTFma-HTFrangema * multKC
HTFsqzOn = (HTFlowerBB>HTFlowerKC) AND (HTFupperBB<HTFupperKC)
c1 = (HTFsqzOn=1)
c2 = (HTFsqzOn=0)
Timeframe (1 minute, UpdateOnClose)
//BB
LTFbasis = average[length](close)
LTFdev = mult * Std[length](close)
LTFupperBB = LTFbasis + LTFdev
LTFlowerBB = LTFbasis - LTFdev
//KC
LTFma = average[lengthKC](close)
LTFmyrange = range[lengthKC]
LTFrangema = average[lengthKC](LTFmyrange)
LTFupperKC = LTFma+LTFrangema * multKC
LTFlowerKC = LTFma-LTFrangema * multKC
LTFsqzOn = (LTFlowerBB>LTFlowerKC) AND (LTFupperBB<LTFupperKC)
c3 = (LTFsqzOn=1)
c4 = (LTFsqzOn=0)
// Conditions to enter long
IF NOT LongOnMarket AND c1 AND c3 THEN
BUY 1 CONTRACT AT MARKET
ENDIF
// Conditions to exit a buy position
If LongOnMarket AND c4 THEN
SELL AT MARKET
ENDIF
// Conditions to enter short
IF NOT ShortOnMarket AND c2 AND c4 THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF
// Conditions to exit a sell position
IF ShortOnMarket AND c3 THEN
EXITSHORT AT MARKET
ENDIF
Hi @JS
Thanks a lot for your reply and reactivity.
I have 3 questions:
- Is it possible to take into account the momentum squeeze (green/red dots in the indicator)? So that one condition to execute the trade is that the market is trending (green dot).
- I would also like to consider ONLY when the trend is not decreasing( the light blue and red candle)
I guess I need to include the “val” and “value” elements in the code?
- Do you confirm that with your code above, the update will be done at the end of each candle? For example, if the M30 candle at 15:00 meets all conditions, then every time a M1 candle meets the conditions between 15:30 and 16:00, an order will be executed?
Have a nice day!
Jo
JSParticipant
Senior
Hi
@jodal
I think it should first be clear what all those beautiful colours stand for 😉
In the original indicator it is described that when there is a consolidation going on that the points in the oscillator turn red and when the market is in a trend that the points turn green.
When I look at the corresponding chart, I think it is the other way around, when there is a consolidation, the points turn green and when the market is in a trend the points turn red.
When the BB falls within the KC then the volatility is low and there is a consolidation (points are green) and when the BB outside the KC then the volatility is high, and the market is in a trend (points are red).
What I think are the best signals:
Trend rising: red points + rising light blue (momentum increases in the rising trend)
Trend downwards: red points + falling red (momentum increases in a downward trend)
In code:
Trend rising: sqzOn = 0 (red) and val > 0 and val > val[1] (light blue)
Trend downwards: sqzOn = 0 (red) and val < 0 and val < val[1] (red)
Hi
@JS,
Thank you for your feedback and for thinking along with me!
Actually there was a mistake from Nicolas in the original code (you can check the comments below the indicator code).
So the trend is rising when : green points + rising light blue (momentum increases in the rising trend)
and the trend is going downwards when : green points + falling red (momentum increases in a downward trend)
Red points mean that we are in a consolidation.
Or maybe I am mistaken?
Does the code you proposed remain the same?
JSParticipant
Senior
Hi
@jodal,
What I see in the original chart and in the original code is that a trend goes hand in hand with red dots and a consolidation with green dots…
The code can be adapted to the conditions I have indicated:
Trend rising: sqzOn = 0 (red) and val > 0 and val > val[1] (light blue)
Trend downwards: sqzOn = 0 (red) and val < 0 and val < val[1] (red)
(or do you want me to change the code?)
