Standard Error of the Estimate -Jon Andersen- V2Original implementation idea of bands by:
Traders issue: Stocks & Commodities V. 14:9 (375-379):
Standard Error Bands by Jon Andersen
Standard Error Bands are quite different than Bollinger's.
First, they are bands constructed around a linear regression curve.
Second, the bands are based on two standard errors above and below this regression line.
The error bands measure the standard error of the estimate around the linear regression line.
Therefore, as a price series follows the course of the regression line the bands will narrow , showing little error in the estimate. As the market gets noisy and random, the error will be greater resulting in wider bands .
Thanks to the work of @glaz & @XeL_arjona
In this version you can change the type of moving averages and the source of the bands.
Add a few studies of @dgtrd
1- ADX Colored Directional Movement Line
Directional Movement (DMI) (created by J. Welles Wilder ) consists of the Average Directional Index ( ADX ), to define whether or not there is a trend present, and Plus Directional Indicator (+D I) and Minus Directional Indicator (-D I) serve the purpose of determining trend direction
ADX Colored Directional Movement Line is custom interpretation of Directional Movement (DMI) with aim to present all 3 DMI indicator components with SINGLE line and ability to be added on top of the price chart (main chart)
How to interpret :
* triangle shapes:
▲- bullish : diplus >= diminus
▼- bearish : diplus < diminus
* colors:
green - bullish trend : adx >= strongTrend and di+ > di-
red - bearish trend : adx >= strongTrend and di+ < di-
gray - no trend : weekTrend < adx < strongTrend
yellow - week trend : adx < weekTrend
* color density:
darker : adx growing
lighter : adx falling
2- Volatility Colored Price/MA Line
Custom interpretation of the idea “Prices high above the moving average (MA) or low below it are likely to be remedied in the future by a reverse price movement”. Further details can be found under study “Price Distance to its MA by DGT”
How to interpret :
-▲ – Bullish , Price Action above Moving Average
-▼ – Bearish , Price Action below Moving Average
-Gray/Black - Low Volatility
-Green/Red – Price Action in Threshold Bands
-Dark Green/Red – Price Action Exceeds Threshold Bands
3- Volume Weighted Bar s
Volume Weighted Bars, a study of Kıvanç Özbilgiç, aims to present whether volume supports price movements. Volume Weighted Bars are calculated based on volume moving average.
How to interpret :
-Volume high above the volume moving average be displayed with red/green colors
-Average volume values will remain as they are and
-Volume low below the volume moving average will be indicated with darker colors
4- Fear & Greed index value, using technical anlysis approach calculated based on :
⮩1 - Price Momentum : Price Distance to its Moving Average
⮩2 - Strenght : Rate of Return, price movement over a period of time
⮩3 - Money Flow : Chaikin Money Flow, quantify changes in buying and selling pressure. CMF calculations is based on Accumulation/Distribution
⮩4 - Market Volatility : CBOE Volatility Index ( VIX ), the Volatility Index, or VIX , is a real-time market index that represents the market's expectation. It provides a measure of market risk and investors' sentiments
⮩5 -Safe Haven Demand: in this study GOLD demand is assumed
Поиск скриптов по запросу "curve"
M8 BUY @ END OF DAYI've read a couple of times at a couple of different places that most of the move in the market happens after hours, meaning during non-standard trading hours.
After-market and pre-market hours and have seen data presented showing that systems which bought just before end normal market hours and sold the next morning had really amazing resutls.
But when testing those I found the results to be quite poor compared to the pretty graphs I saw, and after much tweaking and trying different ideas I gave up on the idea until I recently decided to try a new position management system.
The System
Buys at the end of the trading day before the close
Sells the next morning at the open IF THE CLOSE OF THE CURRENT BAR IS HIGHER THAN THE ENTRY PRICE
When the current price is not higher, the system will keep the position open until it EITHER gets stops out or closes on profit <<< this is WHY it has the high win %
The system has a high win ratio because it will keep that one position open until it either reaches profit or stops out
This "system" of waiting, and keeping the trade open, actually turned out to be a fantastic way to kind of put the complete trading strategy in a kind of limbo mode. It either waits for market failure or for a profit.
I don't really care about win % at all, almost always high win % ratio systems are just nonsense. What I look for is a PF -- profit factor of 1.5 or above, and a relatively smooth equity curve. -- This has both.
The Stop Loss setting is set @ .95, meaning a 5% stop loss. The Red Line on the chart is the stop loss line.
There is no set profit target -- it simply takes what the market gives.
Non-Repainting System
This does use a 200D Simple Moving Average as a filter. Like a Green Light / Red Light traffic light, the system will only trade long when the price is above its 200 Moving average.
Here is the code: "F1 = close > sma(security(syminfo.tickerid, "D", close ), MarketFilterLen) // HIGH OF OLD DATA -- SO NO REPAINTING"
I use "close ", so that's data from two days ago, it's fixed, confirmed, non-repainting data from the higher timeframe.
-- I would only suggest using this on direction tickers like SPY, QQQ, SSO, TQQQ, market sectors with additional filters in place.
{Gunzo} Trend Sniper (WMA with coefficient)Trend Sniper is a trend-following indicator that sticks closer to the trend than others moving averages as it is using an upgraded weighted moving average implementation.
OVERVIEW :
It is typical to use a moving average indicator (SMA, EMA, WMA or TMA) to identify the trend of an asset. Standard moving averages indicators smooth the price and doesn’t stick very closely to the actual price, showing potential lagging information.
CALCULATION :
In order to have a trendline that sticks to the price, we are going to use a weighted moving average as it puts more weight on recent candles and less on past candles. The weight is usually calculated using the distance from current candle to the other candles used in the calculation. We have the following formula for the standard calculation as implemented in TradingView :
WMA_standard = (Price1 * Weight1 + …… + PriceN * WeightN)) / (Weight1 + …… + WeightN)
This “Trend Sniper” indicator uses an additional coefficient to alter even more the weight of each candle.
WMA_with_coefficient = (Price1 * (Weight1 - Coefficient) + …… + PriceN * (WeightN - Coefficient)) / ((Weight1 - Coefficient) + …… + (WeightN - Coefficient))
SETTINGS :
MA source : Source used for moving average calculation (ex : “close”)
MA length : Length of the moving average. Higher values will give a smoother line, lower values will give a more reactive line.
Use extra smoothing : Enable/disable usage of a EMA to extra smooth the line curve. If activated the indicator may be lagging, but it will also avoid many false buy/sell signals.
MA extra smoothing length : Length of the moving average of the extra smoothing.
Change candle colors : Enable/disable painting the candles of the chart with the colors of the weighted moving average.
Display buy/sell signals : Display buy/sell signals (circles) when the moving average is changing direction
VISUALIZATIONS :
This indicator has 3 possible visualizations :
Moving Average line : the line represents the weighted moving average that is following the price of the asset, when the line goes up we are in a uptrend (green line) when the line goes down we are in a downtrend (red line).
Candle coloring : the color of the moving average line can be applied to the candles of the chart for better readability.
Signals : Buy/Sell signals can be displayed at the bottom of the chart
USAGE :
This indicator can help analyze the trend directional changes :
First of all, if the moving average line is under the price (or above the price), then we can assume that the uptrend is strong (or downtrend is strong).
If the current candle crosses the moving average line, it is the first sign that the trend is weakening and possibly starting to revert.
If the weighted moving average is changing direction, then the trend change is confirmed and the color of the line changes
LV Cop&RMA w HeikinA buy signal is generated when the indicator turns upwards from previous indicator level.
A sell signal is generated when the indicator turns downwards from previous indicator level.
The indicator is trend-following, and based on averages, so by its nature it doesn't pick a bottom, but rather shows when a rally has started.
It is designed for daily period use.
Frequent buy/sell signals can occur on low and high levels.
It is designed with the mentality of Coppock curve. Rma is used instead of Wma and Heikin-Ashi closing price is used instead of standard closing price.
[blackcat] L2 Ehlers RSI with NETLevel: 2
Background
John F. Ehlers introuced RSI with Noise Elimination Technology (NET) in Dec, 2020.
Function
Many indicators produce more or less noisy output, resulting in false or delayed signals. Dr. Ehlers proposed “Noise Elimination Technology,” in Dec, 2020. He introduces using a Kendall correlation to reduce indicator noise and provide better clarification of the indicator direction. This approach attempts to reduce noise without using smoothing filters, which tend to introduce indicator lag and therefore, delayed decisions. With this script, I use his “MyRSI” indicator, which he introduced in his May 2018 article in S&C, by adding some Tradingview pine v4 code for the noise elimination technology. The indicator plots the MyRSI value as well as the value after applying NET to MyRSI. This de-noising technology uses the Kendall correlation of the indicator with a rising slope. Compared with a lowpass filter, this method does not delay the signals.
The technology appears to work well in this example for removing the noise. But note that the NET function is not meant as a replacement of a lowpass or smoothing filter; its output is always in the -1 to +1 range, so it can be used for de-noising oscillators, but not, for instance, to generate a smoothed version of the price curve.
Key Signal
NET --> Ehlers RSI with NET fast line
Trigger --> Ehlers RSI with NET slow line
Pros and Cons
100% John F. Ehlers definition translation, even variable names are the same. This help readers who would like to use pine to read his book.
Remarks
The 99th script for Blackcat1402 John F. Ehlers Week publication.
Readme
In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.
The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works.
Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element.
Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level.
Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated.
Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop.
Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.
Combo Backtest 123 Reversal & Kase Dev Stops This is combo strategies for get a cumulative signal.
First strategy
This System was created from the Book "How I Tripled My Money In The
Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
The strategy buys at market, if close price is higher than the previous close
during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
The strategy sells at market, if close price is lower than the previous close price
during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
Second strategy
The Kase Dev Stops system finds the optimal statistical balance between letting profits run,
while cutting losses. Kase DevStop seeks an ideal stop level by accounting for volatility (risk),
the variance in volatility (the change in volatility from bar to bar), and volatility skew
(the propensity for volatility to occasionally spike incorrectly).
Kase Dev Stops are set at points at which there is an increasing probability of reversal against
the trend being statistically significant based on the log normal shape of the range curve.
Setting stops will help you take as much risk as necessary to stay in a good position, but not more.
You can change long to short in the Input Settings
Please, use it only for learning or paper trading. Do not for real trading.
WARNING:
- For purpose educate only
- This script to change bars colors.
Cycle Swing MomentumAdaptive Ultra-Smooth Momentum indicator
The Cycle-Swing-Indicator "CSI" provides an optimized "momentum" oscillator based on the current dominant cycle by looking at the swing of the dominant cycle instead of the raw source momentum. Offering the following improvements:
Smoothness
Zero delay
Sharpness at turning points
Robust and adaptable to market conditions
Accurate deviation detection
The following common problems with standard indicators are solved by this indicator:
First, normal indicators introduce a lot of false signals due to their noisy signal line. Second, to compensate for the noise, one would normally try to add some smoothing. But this only results in adding more delay to the indicator, which makes it almost useless. Third, standard indicators require a length adjustment to derive reliable signals. However, you never know how to set the right length.
All three problems described above are solved by the developed adaptive cyclic algorithm.
The above chart shows current Bitcoin 4h data from the last days as of writing with the proposed signal reading for this indicator. The standard momentum indicator is included for comparison.
HOW TO USE
The indicator works without any parameter and can be applied to any chart and any time-frame. It will adapt automatically to the Dominant Cycle and use the dominant cycle of the source data to derive the ultra smooth momentum curve. Adaptive upper/lower bands are included and highlight areas with extreme readings. Automatic divergence detection can be turned off/on.
HOW TO READ
The indicator can be used like any oscillator. In addition, it provides adaptive high and low bands.
* Look for turns above the upper/lower bands
* Look for divergences between source and signals line
Further reading/Original source:
The indicator uses the dominant cycle to optimize signal, smoothing and cyclic memory. To get more in-depth information on the Cycle Swing Indicator, please read Chapter 10 "Cycle Swing Indicator: Trading the swing of the dominant cycle" of the book "Decoding the Hidden Market Rhythm, Part 1" available at your favorite book store.
Related ideas:
Please also check the cyclic RSI indicator which also uses cyclic information to improve the signal.
Bitcoin M2 supply adjusted priceThis script plots bitcoin candles adjusted by M2 supply (blue line), helping the trader to obtain insight of new support/resistance levels adjusted by M2 supply.
Note: As it was not possible to make the price adjust automatically by the last M2 value (pinescript limitation, I guess), the input parameter "M2Last" must be updated manually observing the last M2 value in blue curve.
Future Value: Compound Interest with Regular Deposits [racer8]This isn't no ordinary FV equation, this one takes into account regular deposits. I had to derive this equation myself.
This calculator calculates future value based on the following inputs:
- Present value
- Yearly return
- Yearly deposit
- years
Application: Can be used to determine you're future value of your equity curve.
C = c*m^n + a*m*{(m^(n-1)-1)/(m-1)}
C = Future value
c = present value
m = yearly return multiplier
n = years
a = yearly deposit amount
Enjoy :)
Ichimoku Cloud using Tilson T3 SmoothingThe standard Ichimoku Cloud is derived from Donchian Channels and is based on the range of the data set. However the channels are choppy and may not always be easy to read. By using moving averages, similar leading spans can be generated with a smoother outline. The T3 averages further smooths out the curve.
BTC Contango IndexInspired by a Twitter post by Byzantine General:
This is a script that shows the contango between spot and futures prices of Bitcoin to identify overbought and oversold conditions. Contango and backwardation are terms used to define the structure of the forward curve. When a market is in contango, the forward price of a futures contract is higher than the spot price. Conversely, when a market is in backwardation, the forward price of the futures contract is lower than the spot price.
The aggregate prices on top exchanges are taken and then averaged to obtain a Spot Average and a Futures Average. The script then plots (Futures Average/Spot Average) - 1 to illustrate the percent difference (contango) between spot and futures prices of Bitcoin.
When in contango, Bitcoin may be overbought.
When in backwardation, Bitcoin may be oversold.
XBT % ContangoSimilar to my other indicators, but measures XBTUSD Contango in terms of percent.
Also, built it so you could change the values that give the red and green signals. Default values are 0% or less (backwardation) indicates green. However, i found that a 0.5% setting worked will finding local bottoms for current contract of XBTH20 (March 2020). The upper value default is at 5%, and signals red when the next contract reaches over 5%.
My assumption is as BTC increases in value over time, measuring contango in terms of percent will be a better measure of the XBT futures curve.
Leverage Strategy and a few words on risk/opportunityHello traders,
I started this script as a joke for someone... finally appears it could be used for educational content
Let's talk about leverage and margin call
Margin Call
A margin call is the broker's demand that an investor deposit additional money or securities so that the account is brought up to the minimum value, known as the maintenance margin.
A margin call usually means that one or more of the securities held in the margin account has decreased in value below a certain point.
Leverage
A leverage is a system which allows the trader to open positions much larger than his own capital. ... “Leverage” usually refers to the ratio between the position value and the investment needed,
Strat
The strategy simulates long/short positions on a 4h high/low breakout based on the chart candle close.
The panel below shows the strategy equity curve. Activating the margin call option will show when the account would be margin called giving the settings
Casino
I'm not doing any financial recommendation here.
I made this strategy so that people include more risk management metrics into their strategy.
From the code, we see it's fairly easy to calculate a leveraged position size and a margin call flag - when that flag is hit, the system stops trading.
I simplified things to the extreme here but my point is that the leverage is a double-edge sword gift.
Assuming we always take the same position sizing, increasing the leverage speed up how fast a margin could be ..... called. (bad joke? feel free to tell me). Not saying it will, saying it introduces more risk by design.
Then one could say "I'll just turn off that stupid margin call option". And that's when someone starts backtesting with unrealistic market conditions.
Finally...
When I backtest I always assume the worst in every scenario possible (because I'm French), I always try to minimize the risk first (also because I'm French), keeping as close from 0 as possible (French again)
Then I add the "opportunity" component, looking to catch the maximum of opportunity while keeping the risk low.
It's like a Rubix cube puzzle - decreasing the risk is one side of the equation but whenever I try to catch more opportunity... my risks increases.
Then I update my risk... and now the opportunity decreases... (#wut #wen #simple)
Completely removing the risk from a trading strategy isn't something I wouldn't dare doing.
Trading involves risk. Being obsessed by decreasing the risk is what I do BEST :)
Dave
Kase Dev Stops Backtest The Kase Dev Stops system finds the optimal statistical balance between letting profits run,
while cutting losses. Kase DevStop seeks an ideal stop level by accounting for volatility (risk),
the variance in volatility (the change in volatility from bar to bar), and volatility skew
(the propensity for volatility to occasionally spike incorrectly).
Kase Dev Stops are set at points at which there is an increasing probability of reversal against
the trend being statistically significant based on the log normal shape of the range curve.
Setting stops will help you take as much risk as necessary to stay in a good position, but not more.
WARNING:
- For purpose educate only
- This script to change bars colors.
Kase Dev Stops Strategy The Kase Dev Stops system finds the optimal statistical balance between letting profits run,
while cutting losses. Kase DevStop seeks an ideal stop level by accounting for volatility (risk),
the variance in volatility (the change in volatility from bar to bar), and volatility skew
(the propensity for volatility to occasionally spike incorrectly).
Kase Dev Stops are set at points at which there is an increasing probability of reversal against
the trend being statistically significant based on the log normal shape of the range curve.
Setting stops will help you take as much risk as necessary to stay in a good position, but not more.
WARNING:
- For purpose educate only
- This script to change bars colors.
Kase Dev Stops The Kase Dev Stops system finds the optimal statistical balance between letting profits run,
while cutting losses. Kase DevStop seeks an ideal stop level by accounting for volatility (risk),
the variance in volatility (the change in volatility from bar to bar), and volatility skew
(the propensity for volatility to occasionally spike incorrectly).
Kase Dev Stops are set at points at which there is an increasing probability of reversal against
the trend being statistically significant based on the log normal shape of the range curve.
Setting stops will help you take as much risk as necessary to stay in a good position, but not more.
Lucid SARI wrote this script after having listened to Hyperwave with Sawcruhteez and Tyler Jenks of Lucid Investments Strategies LLC on July 3, 2019. They felt that the existing built-in Parabolic SAR indicator was not doing its calculations properly, and they hoped that someone might help them correct this. So I tried my hand at it, learning Pine Script as I went. I worked on it through the early morning hours and finished it by 4 am on July 4, 2019. I've added a few bits of code since, adding the rule regarding the SAR not advancing beyond the high (low) of the prior two candles during an uptrend (downtrend), but the core script is as it was.
This code is open source under the MIT license. If you have any improvements or corrections to suggest, please send me a pull request via the github repository github.com
For more details on the initial script, see
Sawcruhteez from Lucid Investment Strategies wrote the following description of the Parabolic SAR, where the quotes are from Section II of J. Welles Wilder, Jr.'s book New Concepts in Technical Trading Systems (1978)
--------------------------------------------------------------------------------------------------------------------------
Parabolic SAR
"The Parabolic Time / Price System derives its name from the fact that when charted, the
pattern formed by the stops resembles a parabola, or if you will, a French Curve. The system
allows room for the market to react for the first few days after a trade is initiated and then the
stop begins to move up more rapidly. The stop is not only a function of price but also a function
of time .
"The stop never backs up. It moves an incremental amount each day, only in the direction which
the trade has been initiated."
"The stop is also a function of price because the distance the stop moves up is relative to the
favorable distance the price has moved... specifically, the most favorable price reached since the
trade was initiated."
A. The calculation for a bullish Parabolic SAR is:
Tomorrow’s SAR = Today’s SAR + AF(EP - Today’s SAR)
"Acceleration Factor (AF) is one of a progression of numbers beginning at 0.02 and ending at
0.20. The AF is increased by 0.02 each period that a new high is made" (if long) or new low is
made (if short).
EP is the "Extreme Price Point for the trade made so far. If Long , EP is the extreme high price for
the trade; if Short , EP is the extreme low price for the trade.”
Most websites will provide the above calculation for the Parabolic SAR but almost all of them
leave out this crucial detail:
B. "Never move the SAR into the previous day’s range or today’s range
"1. If Long , never move the SAR for tomorrow above the previous day’s low or
today’s low . If the SAR is calculated to be above the previous day’s low or
today’s low, then use the lower low between today and the previous day as
the new SAR. Make the next days calculations based upon this SAR.
"2. If Short , never move the SAR for tomorrow below the previous day’s high or
today’s high . If the SAR is calculated to be below the previous days’ high or
today’s high, then use the higher high between today and the previous day
as the new SAR. Make the next days calculations based upon this SAR."
When a Bullish SAR is broken then it gets placed at the SIP (significant point) of the prior trend.
In otherwords it is placed above the current candle and at the price that was the SIP.
The inverse is true for the first Bullish SAR.
"This system is a true reversal system; that is, every stop point is also a reverse point." If breaking
through a bearish SAR (one above price) that simultaneously signals to close a short and go
long.
DSL Synthetic MomentumThis indicator combines 5 running moving averages of different periods, calculate their momentum and synthesize the result into 1 single curve.
Dynamic levels made of the discontinued signal lines function are added to create pseudo overbought and oversold levels.
Rolling Skew (Returns) - Beasley SavageSkewness is a term in statistics used to describe asymmetry from the normal distribution in a set of statistical data. Skewness can come in the form of negative skewness or positive skewness, depending on whether data points are skewed to the left and negative, or to the right and positive of the data average. A dataset that shows this characteristic differs from a normal bell curve.
MMI SignalTrend trading strategies filtered by the Market Meanness Index.
This is a port of the experiment described at
www.financial-hacker.com
www.financial-hacker.com
www.financial-hacker.com
www.financial-hacker.com
The Market Meanness Index tells whether the market is currently moving in or out of a "trending" regime. It can this way prevent losses by false signals of trend indicators. It is a purely statistical algorithm and not based on volatility, trends, or cycles of the price curve.
The indicator measures the meanness of the market - its tendency to revert to the mean after pretending to start a trend. If that happens too often, all trend following systems will bite the dust.
Inputs
Price Source: Either open, high, low, close, hl2, hlc3, or ohlc4. The default value is hlc3.
Trend MA Type: Either SMA, EMA, LowPass, Hull MA, Zero-Lag MA, ALMA, Laguerre, Smooth, Decycle. The default value is LowPass.
Trend MA Period: Sets the lookback period of trend MA. The default value is 200.
MMI Period: Sets the lookback period of the Market Meanness Index. The default value is 300.
NG [Gaussian Filter Multi-Pole]When smoothing data there is always a trade-off between lag and removal of noise.
Gaussian filter has a consistently low lag and a very smooth curve.
This filter works for poles higher than the 4 (usual usage).
Mathematically maximum poles is 15 after which coefficients are too high to see any difference.
By tuning Lag and number of Poles you can achieve a very smooth MA with least lag possible.
It's just as good as 3rd gen moving averages and can be used as input feed for other indicators.
Standard Error of the Estimate -Composite Bands-Standard Error of the Estimate - Code and adaptation by @glaz & @XeL_arjona
Ver. 2.00.a
Original implementation idea of bands by:
Traders issue: Stocks & Commodities V. 14:9 (375-379):
Standard Error Bands by Jon Andersen
This code is a former update to previous "Standard Error Bands" that was wrongly applied given that previous version in reality use the Standard Error OF THE MEAN, not THE ESTIMATE as it should be used by Jon Andersen original idea and corrected in this version.
As always I am very Thankfully with the support at the Pine Script Editor chat room, with special mention to user @glaz in order to help me adequate the alpha-beta (y-y') algorithm, as well to give him full credit to implement the "wide" version of the former bands.
For a quick and publicly open explanation of this truly statistical (regression analysis) indicator, you can refer at Here!
Extract from the former URL:
Standard Error Bands are quite different than Bollinger's. First, they are bands constructed around a linear regression curve. Second, the bands are based on two standard errors above and below this regression line. The error bands measure the standard error of the estimate around the linear regression line. Therefore, as a price series follows the course of the regression line the bands will narrow, showing little error in the estimate. As the market gets noisy and random, the error will be greater resulting in wider bands.
Standard Error Bands by @XeL_arjonaStandard Error Bands - Code by @XeL_arjona
Original implementation by:
Traders issue: Stocks & Commodities V. 14:9 (375-379):
Standard Error Bands by Jon Andersen
Version 1
For a quick and publicly open explanation of this Statistical indicator, you can refer at Here!
Extract from the former URL:
Standard Error bands are quite different than Bollinger's. First, they are bands constructed around a linear regression curve. Second, the bands are based on two standard errors above and below this regression line. The error bands measure the standard error of the estimate around the linear regression line. Therefore, as a price series follows the course of the regression line the bands will narrow, showing little error in the estimate. As the market gets noisy and random, the error will be greater resulting in wider bands.
