alexgrover

Efficient Price

Trading The Movements That Matters

Inspired by the Price Volume Trend indicator the Efficient Price aim to create a better version of the price containing only the information a trend trader must need.


Calculation

This indicator use the Efficiency Ratio as a smoothing constant, it is calculated as follow :

ER = abs(change(close,length))/sum(abs(change(close)),length)

The goal of the Efficiency Ratio is to show if the market is trending or ranging.If ER is high then the market is considered to be trending, if ER is low then the market is considered to be ranging.

Then the Efficient Price is calculated :

EP = cum(change(close)*ER)

When the price is trending, the indicator will show movements of the price with unchanged volatility , but if the price is not trending then the indicator will flatten those movements.Think of this indicator as both a filter and a compressor and the Efficient Price as some kind of threshold.


The Efficient Price As Input For Indicators/Strategies

If the indicator show the movement of the trending price, it can be interesting to use it as input in order to reduce the number of false signals in a strategy.

We will test 2 MACD strategy provided by tradingview, one using the closing price (In Red) and one with the efficient price (In White) as input
with both the following parameters :

fastLength = 50
slowlength = 200
MACDLength = 20
length = 50

Where length is the parameter of the Efficient Price.A spread of 2 pips is used.


Without Efficient Price : 26.88% of profitability, 69 pips of profit.
With Efficient Price : 38.46% of profitability, 336 pips of profit.


The difference of profitability is of 11.58%, the strategy with the Efficient Price made few trades and its equity have a lower variance than the equity of the MACD strategy using closing price.


Smoothed Version

It is possible to smooth the indicator output by using the following code :

EP = cum(change(close,length)*ER)


Hope you enjoy

For any questions/demands feel free to pm me, i would be happy to help you

Patreon: https://www.patreon.com/alexgrover

Become a Patreon and get access to exclusive technical indicators!

You can also check out some of the indicators I made for luxalgo : https://www.tradingview.com/u/LuxAlgo/#published-scripts
오픈 소스 스크립트

이 스크립트의 오써는 참된 트레이딩뷰의 스피릿으로 이 스크립트를 오픈소스로 퍼블리쉬하여 트레이더들로 하여금 이해 및 검증할 수 있도록 하였습니다. 오써를 응원합니다! 스크립트를 무료로 쓸 수 있지만, 다른 퍼블리케이션에서 이 코드를 재사용하는 것은 하우스룰을 따릅니다. 님은 즐겨찾기로 이 스크립트를 차트에서 쓸 수 있습니다.

면책사항

이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.

차트에 이 스크립트를 사용하시겠습니까?