OPEN-SOURCE SCRIPT
Autoregressive Covariance Oscillator by Tenozen
Обновлено
Well to be honest I don't know what to name this indicator lol. But anyway, here is my another original work! Gonna give some background of why I create this indicator, it's all pretty much a coincidence when I'm learning about time series analysis.
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Well, the formula of Auto-covariance is:
E{(X(t)-(t) * (X(t-s)-(t-s))}= Y_s
But I don't multiply both values but rather subtract them:
E{(X(t)-(t) - (X(t-s)-(t-s))}= Y_s?
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For arm_vald, the equation is as follows:
arm_vald = val_mu + mu_plus_lsm + et
val_mu --> mean of time series
mu_plus_lsm --> val_mu + LSM
et --> error term
As you can see, val_mu^2. I did this so the oscillator is much smoother.
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After I get the value, I normalize them:
aco = Y_s? / arm_vald
So by this calculation, I get something like an oscillator!
(more details in the code)
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
So how to use this indicator? It's so easy! If the value is above 0, we gonna expect a bullish response, if the value is below 0, we gonna expect a bearish response; that simple. Be aware that you should wait for the price to be closed before executing a trade.
Well, try it out! So far this is the most powerful indicator that I've created, hope it's useful. Ciao.
(more updates for the indicator if needed)
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
Well, the formula of Auto-covariance is:
E{(X(t)-(t) * (X(t-s)-(t-s))}= Y_s
But I don't multiply both values but rather subtract them:
E{(X(t)-(t) - (X(t-s)-(t-s))}= Y_s?
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
For arm_vald, the equation is as follows:
arm_vald = val_mu + mu_plus_lsm + et
val_mu --> mean of time series
mu_plus_lsm --> val_mu + LSM
et --> error term
As you can see, val_mu^2. I did this so the oscillator is much smoother.
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
After I get the value, I normalize them:
aco = Y_s? / arm_vald
So by this calculation, I get something like an oscillator!
(more details in the code)
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
So how to use this indicator? It's so easy! If the value is above 0, we gonna expect a bullish response, if the value is below 0, we gonna expect a bearish response; that simple. Be aware that you should wait for the price to be closed before executing a trade.
Well, try it out! So far this is the most powerful indicator that I've created, hope it's useful. Ciao.
(more updates for the indicator if needed)
Информация о релизе
Fixed:- line plots NaN/Incomplete line.
- Some timeframes plot NaN.
Usage reminder:
- If the resolution is lower than 10 Minutes, it won't plot anything. Please use a resolution equal to or above 10 Minutes.
Информация о релизе
Updating the Indicator PreviewИнформация о релизе
Added src inputИнформация о релизе
Added PVMAИнформация о релизе
Added invert value optionИнформация о релизе
Added custom symbol option and an option to multiply the value by priceСкрипт с открытым кодом
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