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Self Tuning Envelopes

Introduction

MT5 ships with the Envelopes indicator. This indicator allows you to create equidistant bands from a moving average by specifying a “deviation.” Unfortunately, the deviation is an arbitrary number. You might determine that 0.220 works well to contain 95% of close prices for USDCHF,H1, but when you change the period to H4, most of the bars are now outside the bands.

So, I created this self-tuning indicator. Instead of specifying a percent “deviation,” you specify the percent of bars you wish to “poke through” the bands. Using the above example, you could specify that you want 5% of bar closes within 200 bars to poke through the bands. That is:

  • Percent Bars Outside = 5

  • Tuning Method = Close

  • Tuning Period = 200

When you switch from H1 to H4, or even to M30, the bands will always contain 95% of closes. You can also switch from EURUSD to GBPJPY without a hitch.

Notes

  • Bands are always equidistant from the center moving average, but bands are not a fixed distance for all bars (as they are with the MT5 Envelopes indicator).

  • The upper and lower band values are calculated from the last “full” bar. That is, bands are not calculated each tick.

  • Upper and Lower band values are not re-painted on the display for new calculations. Once calculated, band values are displayed and not changed. Internal calculations do re-calculate band values when fitting the 5% (example) criterion; however, these internal calculations are not displayed. Just remember: the displayed upper and lower band values are correct only looking into the past, i.e. to the left of the bar in question.

Disclaimers

Mac & Linux

Do not download this product if you have a Mac.

Wine doesn’t support the Market tab. Do not download this product if you do not have a Markets tab in MT5.

Features

  • Auto-tuning on any period or symbol

Indicator’s Parameters

Center MA period – This specifies the period of the center moving average, e.g. 10, 12, 14.

MA Method – This specifies the method of the center moving average, e.g. EMA, SMA, etc.

Applied Price – This specifies the Applied Price of the center moving average, e.g. PRICE_CLOSE.

Tuning Period – This specifies the lookback period for tuning. It should be considerably longer than the MA period. I typically use 200; but you could make this value something like 252 (# of trading days in a year) or 120 (# of trading hours within a week). Add multiple versions of this indicator to the same chart, varying this number, to get a sense of what it does. The larger the number, the more calculations are necessary. If speed is a concern, like on an M5 chart, try changing this to 100. Lesser values, like 50, work—but the resulting bands are very different from the MT5 Envelopes indicator.

Tuning MethodThis specifies if close or high/low prices are used to determine the percent of bars that poke through the bands.

Percent Bars Outside – Specifies was percent of bars poke through the upper and lower bands based upon the Tuning Method. Obviously, High/Low will have slightly wider bands than Close. I typically use 5% for this.

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