Math Trading Concepts [SS]

1월 14일

Presenting a mashup of the key elements I use for day-to-day trading: Volume, Z-Score, Autoregressive Forecasting, and a new addition, ANOVA analysis of variance.

I've aptly named it "Math Trading Concepts" in a nod to established trading concepts like "Smart Money" and "liquidity," but it's also fitting because these elements are fundamental to most quantitative/mathematical trading strategies.

What does it do?

The indicator visualizes Z-Score bands over a user-selected lookback period (defaulted to 14), akin to Bollinger Bands. Within these bands, it provides additional data, including trend identification. Uptrends are displayed in varying shades of green (brighter for stronger trends), while downtrends appear in red (with intensity reflecting strength).

Now, let's delve into each point individually:

Volume:
The indicator converts volume into a Z-Score over the specified lookback period. It distinguishes between buying and selling volume, calculating separate Z-Scores for each. A signal is triggered when the Z-Score exceeds 2 (for buying) or falls below -2 (for selling).

Z-Score:
The Z-Score clouds represent the outer parameters of the standard deviation over the lookback period (set at 2 and 3). Users can adjust the lookback time, and the indicator analyzes previous Z-Score reversal areas over the last 75 candles, signaling buy or sell based on historical reversals.

If you want to make it like BB, select the lookback length for the Z-Score at 25.

Autoregressive Forecasting:
This unique approach to autoregressive forecasting involves regressing a lagged variable while incorporating a time element. The time length is auto-determined based on the strongest trend. The indicator plots both autoregressed highs and lows.

ANOVA:
ANOVA, a discovery of mine, is introduced here. It reliably triggers significant readings before a pivot or breakout by measuring variance between means. When a statistically significant ANOVA occurs using the high, low, and close lagged values, it indicates an impending significant market move. While ANOVA alerts are not specific about the nature of the move, complementary tools like Volume, trend analysis, and Z-Bands provide additional insights.

Expect more educational content on ANOVA in the future, given its unique discovery. I was hoping to do one before releasing anything ANOVA based but alas, I haven't had the time!

The remainder of the indicator is self-explanatory. Feel free to ask any questions that arise or were not addressed in this description.

Special thanks to Trendoscope for his arrays library which has made it possible for you to use the autoregression forecast while actively trading without it intruding on the chart :-).

Safe trades, everyone!

1월 14일

릴리즈 노트

I forgot to include the autofit linear regression channel.
As this indicator is a combination of all the different stuff I use in the course of a day while trading, I wanted to be sure to include all of the tools I will reference.

This feature will autofit a linear reg channel extended by 3 standard deviations (you can see in the updated chart that SPY is approaching the top of the channel at 3 standard deviations).
It will offset based on the start of the trend and extend based on the current strongest trend.