ATS Round Number Cascade Stats

ATS Round Number Cascade Stats measures what price did after crossing round levels on your own symbol, using your broker's price history. The result is shown on a dashboard in the corner of the chart. The levels are drawn as lines on the chart.

Many traders watch round prices as possible reaction levels. This indicator does not assume that they matter. It counts what happened after each cross and compares it with levels chosen at random.

What it measures

• Each first cross of a round level after price has been at least 1 ATR away on the other side within the previous 3 hours, with no cross since. Such a level is called "armed".
• ATR means Average True Range: the typical size of a 15-minute bar. All distances are shown in this unit, so different symbols can be compared.
• Where price was 15, 30 and 60 minutes after the cross, in the direction of the cross.
• How often price moved 1 ATR in the direction of the cross before moving 1 ATR against it.
• The same numbers for random levels: the grid of levels shifted each day by a random part of the step, in 5 different sets.
• A t statistic for the difference between round and random levels at 60 minutes, with crosses grouped by day. The t statistic compares the difference with its typical variation. The further it is from zero (about 2 or more in either direction), the less the difference looks like random variation. It does not prove that the levels can be traded.

The verdict at the top of the dashboard

• LEVELS MATTER: t is 2 or more. After a cross, price moved further in the direction of the cross than after crossing random levels.
• NO MEASURABLE EFFECT: t is between -2 and 2. Round levels behaved like random levels.
• LEVELS REJECT: t is -2 or less. After a cross, price moved on average less far in the direction of the cross than after random levels.
• SAMPLE TOO SMALL: fewer than 60 crosses were found. Use a longer history or a smaller step.

Results depend on the symbol, the step and the period. All numbers describe the past. They are not a forecast, not a trading result and do not include spread or other costs.

What you see

• Round levels drawn above and below the price, with armed levels highlighted
• Separate statistics for crosses upwards and downwards
• Bars comparing round and random levels at 15, 30 and 60 minutes
• Number of crosses, years covered, step, base bars (5-minute or 1-minute) and the typical spread as a share of ATR
• Optional alert and push notification when an armed level is crossed. Alerts start once at least 60 crosses have been measured.

Notes

• The indicator never opens, modifies or closes an order. It gives no buy or sell signals.
• The statistics need a long history. Set "Max bars in chart" in the terminal (Tools > Options > Charts) to a high value.
• The numbers come from your broker's past data. Different brokers and periods give different numbers.
• The statistics use closed bars only. The alert reacts to the current bar.
• If +1 ATR and -1 ATR are both touched within the same bar, the case is counted as against. Crosses where neither is reached within 60 minutes are counted in neither group.
• The heavy calculation runs once at start and again every 7 days.
• Optional export of every measured cross to a comma-separated text file (CSV, in the Common\Files folder), so you can check the numbers yourself.
• Two read-only buffers for your own Expert Advisor: buffer 0 = t statistic (empty below 60 crosses), buffer 1 = number of crosses.

Settings

Round step (0 = automatic, about 1.2% of the price), base timeframe for the statistics, maximum bars, number of levels drawn above and below, alerts and push notifications, level colors, export to a comma-separated text file, dashboard size and position.

Works on any symbol and timeframe. Dashboard size 0.6 to 1.2 (default about 330 x 575 pixels), position set in the inputs.

Andy Trading Solutions