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Adaptive lookback indicators
Of adaptive lookback
The Adaptive Lookback (period finder) is truly a market-driven indicator used to determine the variable lookback period for many different indicators, instead of a traditional, fixed figure.
It is based on the frequency of market swings - the time between swing highs or swing lows. A swing high is defined as two consecutive higher highs followed by two consecutive lower highs; a swing low is defined by two consecutive lower lows followed by two consecutive higher lows. As swing points typically accompany reversals, they occur more frequently in choppier and volatile markets than in trends.
Adaptive lookback period is determined as :
Interpretation
This makes the variable lookback period grow in calm or trending markets, and shorten in range-bound and volatile markets. For a trend-following system you would like the opposite to prevent being whipsawed, therefore this indicator and it's usage as a period modifier is more suitable for short-term traders and counter-trend systems (so, in all systems where maximal speed of reaction and signaling is required).
Experiment with applying the adaptive lookback period to different indicators and you'll see how more responsive they become in volatile markets. Some of the experiments are going to be posted on this thread with immediate comparison to "non-adaptive" counterparts
Forum threads
- lb - swing points indicator for MT4 -the post: the basic indicator (simply showing swing points). You will notice that it draws the "peak" with 2 bars displacement. That is done in order to avoid any any kind of repainting (no lag is added to swing points finding thought);
- alb - periods indicator for MT4 -the post: he "next step" : periods already calculated;
- alb - RSI indicator for MT4 -the post: RSI made adaptive with a help of alb period finder;
- alb - swing points indicator for MT5 -the post;
- alb - periods indicator for MT5 -the post;
- alb - RSI indicator for MT5 - the post;
- alb - stochastic and alb_speed - stochastic indicators for MT5 -the post;
- alb - stochastic for MT4 -the post;
- Adaptive lookback moving average indicator for MT4 -the post;
- Adaptive lookback moving average indicator for MT5 -the post;
- speed version of alb indicators for MT5 -the post;
- alb - TriangularMA price zone for MT4 -the post;
- and much more indicators such as alb TriangularMA price zone mtf & alerts_v2c, alb - cci ds jurik, alb - wpr ds jurik, alb Phase Change Index on jurik indicator, Adaptive lookback TMA, zig zag swing, adaptive Gann High-Low activator jma Heiken Ashi arrows using Hilbert Transform, adaptive Gann High-Low activator jma Heiken Ashi arrows-1 indicator, Gann high low activator - Jurik smoothed- mtf indicator for Metatrader 5, Gann high low activator - Jurik smoothed channel - mtf indicator for Metatrader 5, adaptive Smoothed RSI, alb NonLagMA, NonLag ma indicator for Metatrader 5, NonLag ma - mtf & alerts indicator for MT5, Adaptive Macd color mtf-alerts-arrows indicator, and so on -the thread.
The articles
CodeBase
TEMA Jurik Volty Adaptive - indicator for MetaTrader 5
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Composite Fractal Behavior (CFB) invented by Jurik
The forum
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Donchian channel
The forum
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AtrTrend indicator
The forum
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advanced links/threads/tools part #29
T3 ITrend histo indicator is on this post. This is histogram version of iTrend indicator with alerts.
Lwma slope 2 indicator is on this post. Phase accumulation, ForSymbol and Inverse option featured were added.
Squize_MA averages indicator is on this post. This is Squize MA indicator where we can choose among the usual 18 types of averages.
Squize_MA averages zones indicator is on this post. This is improved indicator with added zones and a parameter to choose if we want the zones visible at all or not.
Smoothed FX correlator 1.01 indicator is on this post. It is smoothed version of this multi symbol indicator.
Marney indicators.
Those indicators were discussed in Fx Trader Magazine in the month of July-September.
- Marney volume indicator is on this post. There is one deviation from Marneys original (code is completely different, but that is a consequence of different platforms) : in his code, in cases when a bar is missing from any reason it is used in the average as 0 (it is due to the way he treats arrays) and in mine the missing bars are simply skipped and previous bar that conforms to time search is used. That way the original idea of Caspar Marney is honored to the letter and the average is always an average of AveragePeriods. Just remember that current bar is never going to change (it is actually a "forecast" from past volumes - so it does not change at all while new data is coming in).
- Marney range indicator is on this post. This one works better with longer average period so we suggested to use default one proposed by Caspar Marney in his article - AveragePeriod 50.
- Marney range indicator - extended indicator and Marney volume indicator - extended indicator are on this post. While doing some things it occurred that there is no reason at all that prevents Marney indicators to "extend into the future" (since it is always "predicting" values based on past values). So here they are - extended 1 day to the future (only when time frame is less than daily though).
Klinger volume oscillator is on this post.
past regression deviated - optimized indicator is on this post, and past regression deviated - main indicator and past regression deviated - separate indicator are on this post.
past regression deviated - main with slope line indcator is on this post. Slope line added and removed the 2 outer regression lines.
mama indicator is on this post.
mama macd indicator is on this post. This is mesa adaptive moving average macd with signal line, its mtf with alerts on slope change and zero line cross.
Keltner channel - multiple indicator is on this post. "That is in fact a variation of Keltner channel. It had a lot of names ("atr channel", "Dynamic Price Channel", a "Dynamic Zone Price Channel" name but since you have access to it, you know that it really has nothing in common with it. Decided to call this one multiple Keltner channel since the original is by all means invented by Chester W. Keltner.
In the original Keltner channel the middle line is a simple moving average and the channel is at 1 average true range distance from the average. The variation is that some other moving average type can be used and that different multipliers can be used for 3 channels it is drawing up and down." Read more in advanced elite.
Homodyne discriminator indicator is on this post.
Dual differentiator indicator is on this post.
Phase accumulation indicators are on this post: Phase accumulation, Phase accumulation ema and Phase accumulation MACD. Ehlres uses default value 7 for filter (smoothing) but we set it to no smoothing (when filter is set to 1 or less there is no smoothing)) in order to make it clearer what exactly does the Phase accumulation do.
The more discussion is on this page.
Phase accumulation avgs sw indicator is on this post. Phase accumulation avgs. sw just the avgs. indicator controlled by phase accumulation.
Phase accumulation avgs sw-1 indicator is on this post. It is the fixed version of the previous indicator for Linear weighted ma.
P. A. BB Macd indicator and P. A. i-CAi_dsjma_alerts indicator are on this post.
ht jurik Bollinger indicator and pa jurik Bollinger indicator are on this post. These are double smoothed jurik bollinger bands with the standard deviation Length is controlled by either hilbert phase or hilbert transform.
mtf jurik stlm bands nrp indicator and pa nonlag bbmacd indicator are on this post. It is digital adaptation of stlm with non lag version of phase accumulation bbands.
phase accumulation wprsmooth_w_histo_ma indicator is on this post. What is phase accumulation? John Ehlers calls it as Phase accumulation: how many bars does it take to add up every bars phases and to reach certain cycle (Ehlers uses only 1 full cycle). For now - with WPR smooth, histo and so on.
pa wprsmooth+ma_w_histo_mtf+alerts indicator is on this post. Its the pa adaptive mtf wpr we can either use histogram or not, alerts and arrows are either on the slope or zero cross.
velocity pa adaptive - alerts & arrows indicator is on this post. It is very advanced indicator with alerts, arrows, inverted, for symbol and more.
PA adaptive composite rsi indicator is on this post. Phase accumulation is giving it at least a bit of edge over the "regular" version. With default parameters it is giving useful signals. It is avoiding some of the false signals of the "regular" versions and even with that very moderate 1 cycle it is not lagging at all when compared to the regular version.
PA adaptive Price Trender of averages indicator is on this post. This is phase accumulation adaptive price trender its also mtf.
pa adaptive T3 indicator is on this post. It is phase accumulation adapting T3 indicator. Default PA cycles of 0.75 resemble to a 14 period "regular" T3.
pa adaptive t3 for bars, histo and alerts is on this post. Upgraded the pa adaptive T3 - added alerts, so it is kind of a complete now, made a bars version and made a histogram version - all are multi time frame capable with alerts now.
pa FXCorrelator 3.1 USD indicator is on this post. This is much faster version of the phase accumulation adaptive version of FX correlator. Avoided the built in moving averages usage and it makes it acceptable as far as the speed is concerned.
VQ-Stridsman on jurik mtf+alerts indicator is on this post. It is Volatility Quality-Stridsman on jurik with mtf and alerts.
Complex pairs
The idea of the indicator is to select each currency from currency pairs separately. The currencies are measured in relative units (points). The sum of all currencies at any given time is equal to zero.
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Jurik
Systems and tools (the forum threads/posts)
Articles
CodeBase
Summaries
1. How to Start with MT5, a summary ! (incl the previous thread:How to start with MetaTrader and forex, the beginning)
MetaTrader 4 Help - Client Terminal – User Guide
MetaTrader 5 Help - Trading Platform — User Manual
2. All (not yet) about Strategy Tester, Optimization and Cloud
3. ASCTREND SYSTEM summary (incl 2 good EAs)
4. BRAINTRADING SYSTEM HowTo
5. PriceChannel Parabolic system (incl 2 versions of the EA)
6. Market Condition Evaluation (2 EAs were created)
7. Ichimoku
8. Financial and trading videos - Table of Contents
9. All about Calendar tab and Macro Economic Events
10. All about MQL5 Wizard : create robots without programming
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Dynamic zone indicators
Do not be confused with the name: The "dynamic zone" indicators floating on the net have almost nothing common at all with these indicators posted/coded by Mladen here based on Stocks & Commodities July 1996 issue.
The forum
- Dynamic zone RSI and Dynamic zone synthetic smoothed RSI indicators (with probability for buy zone and probability for sell zone parameter)
- Dynamic zone - pa IFT of RSI_smoothed_alerts_lines_arrows indicator
- Dynamic double zone smooth RSI slope divergence indicator (this is dynamic zone smoothed rsi ma slope divergence, there's 4 different rsi's to choose from, the linear regression channel has width and length and channel line types and colors as external parameters and the rsi ma is smoothed with jurik)
- Dynamic zone ADX, Dynamic zone Wilder's ADX and Dynamic zone all Wilder's DMI indicators
- Dynamic zone MACD (with probability for buy zone and probability for sell zone parameters)
- Dynamic zone ma rsi adaptive MACD indicator
- Dynamic zone cfb adaptive wprsmooth mtf alerts indicator
- Dynamic zone CCI - alerts & arrows2 indicator
- Dynamic zone DSS Bressert indicator (with the following parameters: probability for buy zone 1, probability for buy zone 2, probability for sell zone 1, probability for sell zone 2, period of smoothing EMA used and so on)
- Dynamic zone DSS Bressert - Odysseus indicator
- Bressert - mtf & ZigZag indicator and Dynamic zone DSS Bressert - mtf & alerts & ZigZag indicator
- Dynamic zone rsiv and Dynamic zone rsiv - smoothed indicators
- Dynamic zone pa adaptive Rsx nrp_alerts_lines_divergence
- dynamic double zone insync index smooth & arrows indicator
- and much more indicators (check key thread)
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Hodrick-Prescott filter
The Hodrick-Prescott filter is used in macroeconomics, especially in real business cycle theory to separate the cyclical component of a time series from raw data. It has a zero lag. There is a common disadvantage of such zero lag filters - the recent values are recalculated.
More information on one sided HP filter you can find here : statistics - Hodrick–Prescott filter (one-sided version) - Mathematica Stack Exchange or here time series - Formula for one-sided Hodrick-Prescott filter - Cross Validated and in pdf file attached to this post.
Forum threads (thanks to mladen)
- goertzel_browser_5.2.1 indicator - the post,
- goertzel_browser_5.3 indicator - the post
- goertzel_browser_5.4 indicator - the post
- goertzel_browser_5.4_nrp indicator - the post
- goertzel_browser_5.5 indicator - the post (standalone indicator)
- goertzel_browser_5.51 indicator - the post
- goertzel_browser_5.52 indicator - the post
- goertzel_browser_5.53 indicator - the post
- goertzel_browser_5.1_cs_detrendampsmooth_1 indicator - the post
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Hi Sergey,
Is there any function to calculate OHLC of any Non-Common time frames data such as 45M?!