Adaptive Fisherized Z-score

2월 19일

Hello Fellas,

It's time for a new adaptive fisherized indicator of me, where I apply adaptive length and more on a classic indicator.
Today, I chose the Z-score, also called standard score, as indicator of interest.

Special Features
Advanced Smoothing: JMA, T3, Hann Window and Super Smoother
Adaptive Length Algorithms: In-Phase Quadrature, Homodyne Discriminator, Median and Hilbert Transform
Inverse Fisher Transform (IFT)
Signals: Enter Long, Enter Short, Exit Long and Exit Short
Bar Coloring: Presents the trade state as bar colors
Band Levels: Changes the band levels

Decision Making
When you create such a mod you need to think about which concepts are the best to conclude. I decided to take Inverse Fisher Transform instead of normalization to make a version which fits to a fixed scale to avoid the usual distortion created by normalization.

Moreover, I chose JMA, T3, Hann Window and Super Smoother, because JMA and T3 are the bleeding-edge MA's at the moment with the best balance of lag and responsiveness. Additionally, I chose Hann Window and Super Smoother because of their extraordinary smoothing capabilities and because Ehlers favours them.

Furthermore, I decided to choose the half length of the dominant cycle instead of the full dominant cycle to make the indicator more responsive which is very important for a signal emitter like Z-score. Signal emitters always need to be faster or have the same speed as the filters they are combined with.

Usage
The Z-score is a low timeframe scalper which works best during choppy/ranging phases. The direction you should trade is determined by the last trend change. E.g. when the last trend change was from bearish market to bullish market and you are now in a choppy/ranging phase confirmed by e.g. Chop Zone or KAMA slope you want to do long trades.

Interpretation
The Z-score indicator is a momentum indicator which shows the number of standard deviations by which the value of a raw score (price/source) is above or below the mean value of what is being observed or measured. Easily explained, it is almost the same as Bollinger Bands with another visual representation form.

Signals
B -> Buy -> Z-score crosses above lower band
S -> Short -> Z-score crosses below upper band
BE -> Buy Exit -> Z-score crosses above 0
SE -> Sell Exit -> Z-score crosses below 0

If you were reading till here, thank you already. Now, follows a bunch of knowledge for people who don't know the concepts I talk about.

T3
The T3 moving average, short for "Tim Tillson's Triple Exponential Moving Average," is a technical indicator used in financial markets and technical analysis to smooth out price data over a specific period. It was developed by Tim Tillson, a software project manager at Hewlett-Packard, with expertise in Mathematics and Computer Science.

The T3 moving average is an enhancement of the traditional Exponential Moving Average (EMA) and aims to overcome some of its limitations. The primary goal of the T3 moving average is to provide a smoother representation of price trends while minimizing lag compared to other moving averages like Simple Moving Average (SMA), Weighted Moving Average (WMA), or EMA.

To compute the T3 moving average, it involves a triple smoothing process using exponential moving averages. Here's how it works:

Calculate the first exponential moving average (EMA1) of the price data over a specific period 'n.'
Calculate the second exponential moving average (EMA2) of EMA1 using the same period 'n.'
Calculate the third exponential moving average (EMA3) of EMA2 using the same period 'n.'
The formula for the T3 moving average is as follows:

T3 = 3 * (EMA1) - 3 * (EMA2) + (EMA3)

By applying this triple smoothing process, the T3 moving average is intended to offer reduced noise and improved responsiveness to price trends. It achieves this by incorporating multiple time frames of the exponential moving averages, resulting in a more accurate representation of the underlying price action.

JMA
The Jurik Moving Average (JMA) is a technical indicator used in trading to predict price direction. Developed by Mark Jurik, it’s a type of weighted moving average that gives more weight to recent market data rather than past historical data.

JMA is known for its superior noise elimination. It’s a causal, nonlinear, and adaptive filter, meaning it responds to changes in price action without introducing unnecessary lag. This makes JMA a world-class moving average that tracks and smooths price charts or any market-related time series with surprising agility.

In comparison to other moving averages, such as the Exponential Moving Average (EMA), JMA is known to track fast price movement more accurately. This allows traders to apply their strategies to a more accurate picture of price action.

Inverse Fisher Transform
The Inverse Fisher Transform is a transform used in DSP to alter the Probability Distribution Function (PDF) of a signal or in our case of indicators.
The result of using the Inverse Fisher Transform is that the output has a very high probability of being either +1 or –1. This bipolar probability distribution makes the Inverse Fisher Transform ideal for generating an indicator that provides clear buy and sell signals.

Hann Window
The Hann function (aka Hann Window) is named after the Austrian meteorologist Julius von Hann. It is a window function used to perform Hann smoothing.

Super Smoother
The Super Smoother uses a special mathematical process for the smoothing of data points.
The Super Smoother is a technical analysis indicator designed to be smoother and with less lag than a traditional moving average.

Adaptive Length
Length based on the dominant cycle length measured by a "dominant cycle measurement" algorithm.

Happy Trading!

Best regards,
simwai

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Credits to

• cheatcountry
• everget
• loxx
• DasanC
• blackcat1402

2월 19일

릴리즈 노트

Renamed Z-Score to Z-score

2월 19일

릴리즈 노트

...

6월 11일

릴리즈 노트

Added missing group to one input

6월 22일

릴리즈 노트

Updated scale fix
Removed max value on smoothing factor