MTF VFSMA Squeeze

The purpose of this indicator is to detect a market squeeze (lack of volatility) period and to identify the initiation and direction of the breakout.

It is based on Variety-Filtered, Squeeze Moving Averages [Loxx] indicator.https://www.tradingview.com/script/t0xt2nWn-Variety-Filtered-Squeeze-Moving-Averages-Loxx/

• The original indicator created by Loxx identifies both squeeze zones and breakouts/breakdowns. A squeeze zone is defined when price is below a specific volatility threshold calculated as the difference between a fast- and slow-moving average and filtered using ATR- or Pips-based threshold.

• It operates on a single timeframe and includes Loxx's Expanded Source Types, signals, alerts, etc. and 35+ Loxx's Moving Averages. These adaptive, minimal-lag indicators are built upon advanced mathematical and signal processing DSP techniques that far surpass traditional Moving Averages.

This currently published indicator includes the following main developments:

1. Squeeze Detection using Percentile Rank Method
   It detects the Squeeze by applying a Percentile Rank to the historical distance (spread) between the two MAs.
   MA Spread: The basis for Squeeze detection is the distance between the two moving averages.
   Percentile Rank: A statistical measure that indicates the percentage of past Spread values within the set lookback period that are lower than the current MA Spread.
   Squeeze State: A Squeeze occurs when the Percentile Rank is below the set Squeeze Threshold (%)).
   Example: If the threshold is 20% and the Rank is 15%, it means the MA Spread is in its tightest 15% range, below the set threshold. Therefore, the condition is currently met.
   Goal: Objective volatility measurement that adapts to market conditions.
   
   
2. Squeeze Duration Filter
   A key condition for a Breakout signal is that the MAs must have remained in the Squeeze zone for a specified minimum duration.
   Goal: To filter out market noise and False Breakouts.
   Multi-Timeframe (MTF) Confluence
   Multi-Timeframe trend and squeeze monitoring for 3 timeframes (TFs).
   Provides confirmation using the MA status from two higher timeframes (TF2, TF3).
   Goal: Trend and momentum confirmation from a broader market context.
   
   
3. Signals Only on Bar Close?
   By selecting the signalOnClose parameter to enabled, it is possible to avoid repainting on the chart TF. If it is checked, all events on the chart (L/S signals, Squeeze Start/End, MA color change) will only appear after the bar has closed, preventing repainting. Higher TF events remain in real-time.
   Goal: To increase the reliability of signals.
   
   
4. Multi-Level Alerts and Info Panel
   Comprehensive, confluence-weighted alerts and real-time status display.
   Enhanced Alerts based on multi-timeframe confluences. Alerts are ready to enable/disable for Any alert() function call and ready for watchlists. Alert Frequency is also configurable in Inputs window. „Once per bar close” is the most reliable for signals. „Always” or „Once per bar” alert frequencies may generate temporary signal alerts.
   Please note that even if "Once per bar close" is selected as alert frequency, this only applies to the chart TF, and TF2 and TF3 status may be modified until the close of the relevant candle.
   Goal: Transparent decision-making.
   
   
5. Other Improvements
   • Unlike the original indicator, the coloring of the MA curves on the chart depends on the relative positions of the fast MA and slow MA. The curves are colored bullish when the fast MA is above the slow MA, bearish when the opposite is true, and neutral in the squeeze zone.
     
   • Data Window with Squeeze Start/End, Buy/Sell, Status, Squeeze Percentile etc. on all 3 TFs.
     
   • Ready for Pine Screener.
     Please be aware that currently only the chart TF is configurable in Pine Screener, TF2 and TF3 are set to their default values.
     
   • Pine Script® version 6.

Limitations
When setting the indicator parameters, please take into account the limitations of TradingView. (Lookback period of Percentile Rank and Moving Averages periods, Execution time limit (timeout) etc.)
For example, if a NaN% message appears as the Percentile Rank value, please reduce the lookback period.


How to use it

This indicator is a Breakout-following system, but it can also be the basis for Range Trading.

1. The Setup Phase
   This is the preparation stage. The indicator signals low volatility as the bands tighten.
   Squeeze Dynamics: Monitoring the Squeeze Duration is essential. The longer the price spends in the Squeeze zone, the more likely the resulting breakout will be powerful.
   
   
2. The Signal Phase (Breakout)
   The Breakout signal appears on the bar where the Percentile Rank first crosses above the Squeeze threshold, indicating a sudden return of volatility.
   Further condition: Meets the SqueezeDuration filter.
   Breakout direction: Bullish: Fast MA > SLow MA, Bearish: Fast MA < SLow MA
   Applying MTF Confluence:
   The most promising trades that are in line with higher timeframes:
   Total Confluence: Chart TF Signal + TF2 Bullish/Bearish + TF3 Bullish/Bearish. This is the strongest, highest-probability setup.
   Simple signal: Only the Chart TF signals. This should be handled with caution, as the higher timeframes (TF2, TF3) might still be in a Squeeze or in a conflicting state.
   
   
3. Alternative Use: Range Trading within the Squeeze Bands
   If the market has low volume, the squeeze bands can be used as dynamic support/resistance for bounces off the edges of the range:
   The probability of a successful range trade increases if the boundaries of the squeeze zone have only been touched a few times previously. Each touch weakens the zone boundaries and increases the chance of a Breakout.

Suggested Tactics and Risk Management

When using Breakout strategies, strict risk management and the use of confirmations are essential:

• Volume Confirmation: A strong, above-average volume Breakout candle increases the probability of a successful breakout.
  
• False Breakout: If the breakout occurs on low volume, there is a higher chance of a pullback and a False Breakout.
  
• Entry After Retest: A safer entry: wait until the price breaks out, but only enter if it returns to the squeeze zone and bounces back from there. This reduces the risk of a False Breakout trap.
  
  The Risk of False Breakout:
  
• False Breakouts are part of any Breakout strategy. Always have a strict Stop Loss set.
  
• Reversal: Be prepared for the possibility that after a Breakout signal (e.g., Long), the price returns to the zone and then breaks out in the opposite (Short) direction.
  
• Please note that all technical analysis and trading signals only indicate probabilities. Always use your own risk management rules and follow market regulations.

Disclaimer

This indicator is provided for educational and informational purposes only. It is not financial advice.

Trading involves substantial risk of loss and is not suitable for every investor. Past performance shown in examples is not indicative of future results.

The indicator provides signals and calculations, but trading decisions are solely your responsibility. Always:
Test strategies on paper before using real money
Never risk more than you can afford to lose
Understand that all trading involves risk
Consider seeking advice from a licensed financial advisor


The publisher makes no guarantees regarding accuracy, profitability, or performance. Use at your own risk.