OPEN-SOURCE SCRIPT
Price Density (Market Noise) by Alejandro P
업데이트됨
This is an indicator based on the Price Density concept. Price Density is a quantifiable method of measuring market noise for a certain period of candles.
This indicator also has the option to use relative percentile values which transforms the indicator from an absolute value measure to a percentile based measure so it can be more easily compared across vastly different assets.
We can use Price Density to set rules and only trade particular systems when noise is at an appropriate level. For example, if noise is high then we would want to avoid trend following strategies and instead trade mean-reversion strategies, and vice-versa when the opposite is true. Price Density can also be used to match assets to strategies. Some assets will be naturally more noisy than others and therefore we might have a principle where we only trade those noisy assets with our mean reversion strategies and the more quiet assets with trend following strategies.
Price Density can be used by looking at indicator and seeing how efficiently the indicator line moves from one side to the other. Is it in a straight line? Or are there lots of zigs and zags? The straighter the line, the less market noise there is.
Calculations:
Price Density = Sum(ATR(1), Length) / (Max(High) - Min(Low))
The numerator on top looks at the high of each of the bars, the low of a bar, calculates the difference and then sums up all of those values for the time period. This gives us an idea of the fluctuation of the individual price moves. Next, the denominator uses the maximum value from all of the highs of those bars and subtracts the minimum low out of all of the bars. This gives us the range or the height of the box and so if there's a lot of price fluctuation compared to the actual range this means we'll have a high value which gives the indication that we have high levels of noise. If however those individual fluctuations are small compared to the range this means we'll get a low value for the price density and therefore have low levels of noise.
This indicator also has the option to use relative percentile values which transforms the indicator from an absolute value measure to a percentile based measure so it can be more easily compared across vastly different assets.
We can use Price Density to set rules and only trade particular systems when noise is at an appropriate level. For example, if noise is high then we would want to avoid trend following strategies and instead trade mean-reversion strategies, and vice-versa when the opposite is true. Price Density can also be used to match assets to strategies. Some assets will be naturally more noisy than others and therefore we might have a principle where we only trade those noisy assets with our mean reversion strategies and the more quiet assets with trend following strategies.
Price Density can be used by looking at indicator and seeing how efficiently the indicator line moves from one side to the other. Is it in a straight line? Or are there lots of zigs and zags? The straighter the line, the less market noise there is.
Calculations:
Price Density = Sum(ATR(1), Length) / (Max(High) - Min(Low))
The numerator on top looks at the high of each of the bars, the low of a bar, calculates the difference and then sums up all of those values for the time period. This gives us an idea of the fluctuation of the individual price moves. Next, the denominator uses the maximum value from all of the highs of those bars and subtracts the minimum low out of all of the bars. This gives us the range or the height of the box and so if there's a lot of price fluctuation compared to the actual range this means we'll have a high value which gives the indication that we have high levels of noise. If however those individual fluctuations are small compared to the range this means we'll get a low value for the price density and therefore have low levels of noise.
릴리즈 노트
Updated to pinescript V5오픈 소스 스크립트
진정한 TradingView 정신에 따라, 이 스크립트의 저자는 트레이더들이 이해하고 검증할 수 있도록 오픈 소스로 공개했습니다. 저자에게 박수를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 출판물에서 이 코드를 재사용하는 것은 하우스 룰에 의해 관리됩니다. 님은 즐겨찾기로 이 스크립트를 차트에서 쓸 수 있습니다.
차트에 이 스크립트를 사용하시겠습니까?
면책사항
이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.