OPEN-SOURCE SCRIPT
已更新 Autoregressive Covariance Oscillator by Tenozen
Well to be honest I don't know what to name this indicator lol. But anyway, here is my another original work! Gonna give some background of why I create this indicator, it's all pretty much a coincidence when I'm learning about time series analysis.
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Well, the formula of Auto-covariance is:
E{(X(t)-(t) * (X(t-s)-(t-s))}= Y_s
But I don't multiply both values but rather subtract them:
E{(X(t)-(t) - (X(t-s)-(t-s))}= Y_s?
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For arm_vald, the equation is as follows:
arm_vald = val_mu + mu_plus_lsm + et
val_mu --> mean of time series
mu_plus_lsm --> val_mu + LSM
et --> error term
As you can see, val_mu^2. I did this so the oscillator is much smoother.
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After I get the value, I normalize them:
aco = Y_s? / arm_vald
So by this calculation, I get something like an oscillator!
(more details in the code)
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
So how to use this indicator? It's so easy! If the value is above 0, we gonna expect a bullish response, if the value is below 0, we gonna expect a bearish response; that simple. Be aware that you should wait for the price to be closed before executing a trade.
Well, try it out! So far this is the most powerful indicator that I've created, hope it's useful. Ciao.
(more updates for the indicator if needed)
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
Well, the formula of Auto-covariance is:
E{(X(t)-(t) * (X(t-s)-(t-s))}= Y_s
But I don't multiply both values but rather subtract them:
E{(X(t)-(t) - (X(t-s)-(t-s))}= Y_s?
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
For arm_vald, the equation is as follows:
arm_vald = val_mu + mu_plus_lsm + et
val_mu --> mean of time series
mu_plus_lsm --> val_mu + LSM
et --> error term
As you can see, val_mu^2. I did this so the oscillator is much smoother.
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
After I get the value, I normalize them:
aco = Y_s? / arm_vald
So by this calculation, I get something like an oscillator!
(more details in the code)
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
So how to use this indicator? It's so easy! If the value is above 0, we gonna expect a bullish response, if the value is below 0, we gonna expect a bearish response; that simple. Be aware that you should wait for the price to be closed before executing a trade.
Well, try it out! So far this is the most powerful indicator that I've created, hope it's useful. Ciao.
(more updates for the indicator if needed)
發行說明
Fixed:- line plots NaN/Incomplete line.
- Some timeframes plot NaN.
Usage reminder:
- If the resolution is lower than 10 Minutes, it won't plot anything. Please use a resolution equal to or above 10 Minutes.
發行說明
Updating the Indicator Preview發行說明
Added src input發行說明
Added PVMA發行說明
Added invert value option發行說明
Added custom symbol option and an option to multiply the value by price開源腳本
本著TradingView的真正精神，此腳本的創建者將其開源，以便交易者可以查看和驗證其功能。向作者致敬！雖然您可以免費使用它，但請記住，重新發佈程式碼必須遵守我們的網站規則。
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這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。