Ultimate Money Flow (UMF), Stoch, Multi Time Frame (MTF) [cI8DH]

10 thg 10, 2018

This indicator adds stochastic, multi time frame, signal line, histogram, and bar coloring options to my previous indicators. It can also replicate standard Money Flow Index (MFI), Chaikin's Accumulation/Distribution Line (ADL), On Balance Volume (OBV) and Price-Volume Trend (PVT). This indicator can be used for analyzing momentum, buy/sell pressure, overbought/oversold conditions, and trendiness/choppiness, as well as identifying swings (stoch). Chart below shows example multi-TF setup with bar coloring.



For analyzing price, I made a similar indicator based on Absolute and Relative Strength Indices, which you can find in the link below.

Equation
Here is part of the code used in the script: pastebin.com/raw/YH0VSX6n

Standard MFI, OBV, ADL and PVT
To validate the calculations, I stacked UMF on MFI, OBV, ADL, and PVT in the chart below (100% overlaps validate the calculations). It also shows how you can replicate these indicator if you'd like to use them, or if you want to make your own custom indicator by combining features from different indicators. I do not recommend MFI, ADL or OBV; read "why invent a new indicator" section below. (bear in mind that MFI scale is 0-100, while UMF scales is -100 to 100)



Money Flow based on "Balance of Power" (this is the default mode)
Balance of Power (BoP) equation is: (close - open) / (high - low)
In my opinion, BoP is the most accurate equation to measure the amount of volume accumulated or distributed. I used BoP in my previous open source indicators ADV, ADL, ADP and ADMF. I applied the "True Range" fix to BoP equation similar to what Twiggs did on CMF.

Aggregation Method
By changing aggregation methods, you can replicate my previous indicators which are also linked at the bottom of this page. Please read more about their applications in their respective pages.

aggregation method = Cumulative => ADL indicator: accumulation/distribution (price factoring should be turned off)
aggregation method = MA => ADMF indicator: accurate buy/sell pressure, momentum and divergence
aggregation method = MA Percent => ADP indicator: overbought/oversold conditions, buy/sell pressure, momentum and divergence, failure swings

Smoothing, signal line and histogram to detect trend and choppiness
You can apply additional smoothing to UMF. Also, you can add a signal line and histogram (histogram is the difference between main line and signal line). To do so, set the signal length to a number greater than one. Signal line can help you detect changes in trend similar to the signal line on MACD. If signal line criss-crosses UMF, it shows market is choppy. The worst case is when this criss-crossing coincides with UMF flattening near neutral line and histogram height is short; that means market is ded (until it is not; expansion following a contraction period is a common phenomena)! (Bear in mind that histogram will not show in stoch mode.)



Stochastic
To enable stoch, change the stoch length to a number greater than 1 (default stoch length for the built-in stoch RSI is 14). This length should be calibrated depending on TF and asset. If done correctly, it can be a powerful tool for identifying swings. Stoch can be combined with any aggregation method. I recommend using stoch with MA or cumulative aggregation methods. For conventional uses of stochastic, please read tradingview.com/wiki/Stochastic_(STOCH) and tradingview.com/wiki/Stochastic_RSI_(STOCH_RSI).



Experimental Bar coloring Feature
There is an option to color bars depending on UMF's position relative to the signal line. If both TFs are used in coloring and they are in disagreement, the TF with greater histogram height wins. There are two shades of green and red. The darker shade means both TFs agree. If you use the signal line, bar coloring can help with calibrating the indicator (play with parameters until you see a good looking chart i.e. a lot of green candles followed by a lot of red candles in a row). Please note that bar colors might change until candle(s) close(s). The bar coloring rules will most likely change in the future.

Notes
- Uncheck "Factor Price" for Bitmex or any other exchange that shows volume in terms of money.
- UMF is a replacement to ADP, ADMF and ADL, so no more updates for the old indicators!
- Smooth MA length N = EMA length 2*N-1
- Combined tickers, e.g. (COINBASE:BTCUSD+BITSTAMP:BTCUSD+KRAKEN:XBTUSD)/3, can mitigate inconsistency issues between different exchanges (I recommend not mixing USD and USDT pairs together)

Why invent a new indicator
I have spent a great deal of time to find the best equation that represents accumulation/distribution. Each of the well-known methods have a major flaw.
- Winner-take-all problem
MFI, OBV and to some extent Williams AD assign accumulation or distribution based on the direction of change in price. They don't account for the amount of change. That means the indicator does not differentiate between a full candle and a doji candle.
- Extreme divergence problem
Chaikin tried to avoid winner-take-all problem. However, he ended up with a solution that, in my opinion, is even worse. A big flaw of Chaikin's indicators is that they can diverge too much from price. Most responsive indicators in this class, require at least two candles to diverge from price, but CMF/ADL can diverge in a single candle. Chaikin used the same component (aka Chaikin's money flow multiplier) in both CMF and ADL. CMF's flaws may not be as visible because it is a normalized oscillator. However, this common flaw is more evident in accum/dist indicator which keeps all past information in its memory. As you can see in the chart below, accum/dist is constantly rising during an obviously distribution period.



ADV (Volume)

ADP

ADMF

ADL

Please give a like, and share the interesting configurations you find in the comments.

15 thg 10, 2018

Phát hành các Ghi chú

Here is a TL;DR list of my indicators to save you some time from looking at my obsolete indicators.

27 thg 10, 2018

Phát hành các Ghi chú

- added dots when crossing signal line
- added safe signal cross similar to the feature in UMACD. This feature is useful to avoid trading during sideways. To use this feature, set the std deviation multiplier option to a number greater than 1.
- changed bar coloring mechanism when both TFs are enabled. Now colors change when both TFs agree, otherwise previous color will remain.
- added some visual cues for grouping settings in the UI
- added an inner band

27 thg 10, 2018

Phát hành các Ghi chú

-

27 thg 10, 2018

Phát hành các Ghi chú

- fixed a typo

29 thg 10, 2018

Phát hành các Ghi chú

- a minor fix for an edge case