Asummetry
- Indicators
-
Aleksey Ivanov
👑 Theoretical physicist, programmer, trader with 15 years of experience.
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💰 Presented products: - Version: 1.10
- Updated: 4 September 2019
- Activations: 5
The principle of the indicator.
The Asummetry indicator allows you to predict the beginning of a change in the direction of trends, long before their visual appearance on the price chart.
The author statistically revealed that before changing the direction of the trend, the probability distribution function of the price is made as asymmetric as possible. More precisely, the price movement in any direction always pulls sideways the function of its distribution, but when the third-degree root of asymmetry divided by the standard deviation exceeds the unit in absolute value, the price will change its direction. The indicator operation is based on this regularity. The indicator calculates the value of the third degree root asymmetry normalized to the standard deviation, i.e. magnitude
ASUMM= (< (x - <x>)^3 >)^(1/3)/ (< (x - <x>)^2 >)^(1/2),
where <...> is the averaging sign, which, when it is module exceeded the unit , serves as a powerful signal to change the direction of a previously established trend.
It has also been established that the asymmetry plot changes sign when the price probability density function makes a sharp jump, which is characteristic of price dynamics.
The sliding asymmetry counted in a particular window, as well as the variance and the moving average, lags behind by about the floor of the averaging period used. Therefore: (1) For past price values, the asymmetry plot shifts back through history by the amount of delay; (2) To receive a signal in a timely manner, a special compression algorithm for the asymmetry calculation period is applied when approaching the beginning of the current history. At the same time, to ensure the possibility of calculating such asymmetry (creating a sufficient array of calculated points) on the M5-H4 time frames, be used the data of the minute chart is M1, the daily time frame is - M5, the weekly - M30, and the monthly - H1. On M1, this indicator, respectively, is not used.
The indicator, working on large timeframes, uses information from small timeframes. Therefore, for the indicator to work correctly in the tester, you need to load the history of the analyzed quote (Tools / History Center ) .
Using the Asummetry indicator in trading.
The indicator is very sensitive to the current state of the market and, therefore, is dynamic for current values, which is not its disadvantage. The interval of the indicator readings, that important for the trader (for the current history), where the averaging period compression algorithm is used, is colored in other colors than the rest of the indicator readings, and all points of this interval serve to assess the current market situation.
If the position according to the trend is already open, then even a one-time exceeding by the module of ASUMM by one serves as the signal to close the position, since after that, a trend change is likely to follow.
If the position is not open yet, then | ASUMM |> 1 gives the trader a sign that a new trend will begin soon and the trader should then be in a state of readiness to open a position. But the direction of the trend and the moment of entry into the position need to be determined by another indicator, for example, Identify_Trend or Sensitive Signal or some other sensitive trend indicator.
Indicator settings.
- Price type - applied price. Values: Close price (default)), Open price, High price, Low price, Median price ((high + low)/2), Typical price ((high + low + close)/3), Weighted price ((high + low + 2*close)/4).
- The averaging period - averaging period. Values: any integer (15 default).
- Number of countable bars of the current chart. - Number of calculated indicator graph bars . Values: any positive integer (1000 default).
- Global shift - Global shift of the beginning of the indicator readings in bars. Values: any positive integer (0 default).
- The non-lagging asymmetry is calculated? - Values: true(default), false.
