Momentum Acceleration by DGT

8 thg 7, 2020

Italian physicist Galileo Galilei is usually credited with being the first to measure speed by considering the distance covered and the time it takes. Galileo defined speed as the distance covered during a period of time. In equation form, that is v = Δd / Δt where v is speed, Δd is change in distance, and Δt is change in time. The Greek symbol for delta, a triangle (Δ), means change.

Is the speed getting faster or slower?

Acceleration will be the answer, acceleration is defined as the rate of change of speed over a set period of time, meaning something is getting faster or slower. Mathematically expressed, acceleration denoted as a is a = Δv / Δt , where Δv is the change in speed and Δt is the change in time.

How to apply in trading

Lets think about Momentum, Rate of Return, Rate of Change all are calculated in almost same approach with Speed

Momentum measures change in price over a specified time period,
Rate of Change measures percent change in price over a specified time period,
Rate of Return measures the net gain or loss over a specified time period,
And Speed measures change in distance over a specified time period

So we may state that measuring the change in distance is also measuring the change in price over a specified time period which is length, hence
speed can be calculated as (source – source[length])/length and acceleration becomes (speed – speed[length])/length

In this study acceleration is used as signal line and result plotted as arrows demonstrating bull or bear direction where direction changes can be considered as trading setups

Just a little fun, since we deal with speed the short name of the study is named after famous cartoon character Speedy Gonzales

Trading success is all about following your trading strategy and the indicators should fit within your trading strategy, and not to be traded upon solely

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5 thg 9, 2020

Phát hành các Ghi chú

add ons;
1-momentum acceleration concept applied to On Balance Volume to add insight for volume changes
2-volume histogram added
3-alert condition added

enhanced to a non-repaint version

24 thg 11, 2020

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backtest ability added

non-repaint version made optional (default repaint version)

2 thg 12, 2020

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exit price calculation error fixed when stop loss condition meets

many many thanks for your highly valuable comments sotiri 🙏

3 thg 12, 2020

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removed "Enable Non-repaint Version" option and made Alerts and BackTest Non-Repaint

8 thg 4, 2021

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Enhancements in BackTest Framework

1-) Historical Data Evaluation
in the real-time processing when the condition is satisfied to avoid repainting the signals are presented on the next bar, this feature was already available with this study
change implemented with this update is to made historical data evaluation behavior same as real-time behavior and all plottings, statistical panel calculations are performed based on the next bar

Hence;
- traders will observe the same behavior both in real-time and in historical bars (even when the study is reloaded)
- trade statistics will display whatever the user traded on the real-time bars with the signals generated
- since the signals are generated on the next bar, “Entry/Exit Price Assumption” input necessity is no longer required, trades with the backtest framework will be assumed as open price on the next candle

2-) Early Warning : Alert + Label
As a rule as explained above, signals are triggered on the next bar in case the condition is still valid and the logic of the study is already aware of the likelihood of an signal occurrence on the next bar but the trader who is analyzing the chart is not (according to this study’s logic of course). So to increase the awareness, with this update ;
 - a label with a warning sign is going to be plotted which of course is subject to repaint but will warn the trader to keep eyes closer on the instrument and proceed trading immediately on the next bar if the signal is confirmed and presented on the chart.
 - for the same warning also an alert is defined (using new alert() function call), so the trader will be able to be notified with the probable not yet confirmed trade opportunity in advance, even if the trader is not monitoring the instrument.
Having said that, I would like to remind : Trading success is all about following your trading strategy and the indicators should fit within your trading strategy, and not to be traded upon solely.

3-) Improved Conditions
 Avoid Sudden Price Changes : Since the long/short conditions are triggered on next bar there might be cases where a sudden change in price direction and hence signal change may occur especially in sideway market conditions with low volatility, this option is to avoid such cases

 Candle Direction as Confirmation : confirms signal if the candle formation is in favor of the trade

Please note : selecting the above options will cause the signals to be executed on the second bar so to have the study non-repaint. For test purposes only you may enable "❗❗❗ Simulate Trade on Next Bar : Only For Test Purpose (REPAINTS)" option to simulate the trade on the next bar.

Important note : stop loss condition will be executed when price fall below the calculated value and trade will be closed with the close price on bar close (not yet able to get the price value at the moment of the cross). Stop loss condition is subject to repainting and to avoid any further loss an alert can be triggered at the moment the first cross is observed. Since stop loss is subject to repaint and in case it happens the statistical panel calculation will not be able to calculate till the bar is closed. You may disable application of stop loss from user dialog box to avoid any inconsistency that may appear on statistical panel and observe results of the trades executed without stop loss.

Other updates in Study
• Enhanced Alerts setup to have two alerts settings for bull condition and two for bear condition, one with the repaint version (early warning) and one non-repaint version (on the next bar if still condition holds true).

21 thg 4, 2022

Phát hành các Ghi chú

* momentum accelaration source now can be selected either price or on balance volume

* improved on balance volume momentum accelaration oscilator display - now available for all timeframes on both log and linear scale
plus added option to display price momentum accelaration oscilator view