Hi Fellow Traders,
Since FF helped me develop as a trader in years long past, I wanted to give something back in appreciation.
Attached I have put 2 versions of an indicator I developed. Well, its more of a statistical measure, like ATR,
instead of an indicator. I am not sure it holds any price predictive value.
I searched and surprisingly never found a similar one on line. This indi calculates an average % overlap of
candles given a period length. I used the values to give me a first order estimate of how long a move
may take (setting expectation levels).
For example, if I expect a move to a target 100 pips away and ATR for the timeframe is 10 pips per bar, we would
expect 10 bars to take us there if there were no (read 0%) overlap of any bar. If my timeframe was hourly, then
we would estimate 10 hours (bars) timeframe for the move to complete.
However, since bars rarely form this way, there is usually some overlap. Again if we use the 100 pip target but
our overlap indicator says 40% average overlap, we would expect the move to take much longer.
Here's how I calculate it:
Bars expected = (Target move) / [(ATR) * (1-%overlap) ]
= 100 / [10 * (1-0.40)]
= 100 / [10 * 0.6]
= 100/6
= 16.6 bars, instead of just 10 perfect end to end bars.
Obviously, the more overlap, the longer the move is expected to take. If the bars were at 100% overlap,
the move might never go anywhere (unless the ATR grew).
We would expect larger overlap values during consolidation periods and smaller overlap values during spike type
moves. However, the indicator only provides a historical average as a guideline.
You could set the length to 1 bar and watch the overlap values swing.
As I mentioned above, there are two versions. AOV_v1 just plots the values and does not provide any boundary value
lines as reference. AOV_v2 version does give a 50% reference line.
I am providing these and source openly. Unless there is some glaring issue found, I do not expect to make any
further changes or updates to the code. You may tweak the code to suit your own tastes.
I will be happy to entertain any questions as time allows.
Enjoy.
Since FF helped me develop as a trader in years long past, I wanted to give something back in appreciation.
Attached I have put 2 versions of an indicator I developed. Well, its more of a statistical measure, like ATR,
instead of an indicator. I am not sure it holds any price predictive value.
I searched and surprisingly never found a similar one on line. This indi calculates an average % overlap of
candles given a period length. I used the values to give me a first order estimate of how long a move
may take (setting expectation levels).
For example, if I expect a move to a target 100 pips away and ATR for the timeframe is 10 pips per bar, we would
expect 10 bars to take us there if there were no (read 0%) overlap of any bar. If my timeframe was hourly, then
we would estimate 10 hours (bars) timeframe for the move to complete.
However, since bars rarely form this way, there is usually some overlap. Again if we use the 100 pip target but
our overlap indicator says 40% average overlap, we would expect the move to take much longer.
Here's how I calculate it:
Bars expected = (Target move) / [(ATR) * (1-%overlap) ]
= 100 / [10 * (1-0.40)]
= 100 / [10 * 0.6]
= 100/6
= 16.6 bars, instead of just 10 perfect end to end bars.
Obviously, the more overlap, the longer the move is expected to take. If the bars were at 100% overlap,
the move might never go anywhere (unless the ATR grew).
We would expect larger overlap values during consolidation periods and smaller overlap values during spike type
moves. However, the indicator only provides a historical average as a guideline.
You could set the length to 1 bar and watch the overlap values swing.
As I mentioned above, there are two versions. AOV_v1 just plots the values and does not provide any boundary value
lines as reference. AOV_v2 version does give a 50% reference line.
I am providing these and source openly. Unless there is some glaring issue found, I do not expect to make any
further changes or updates to the code. You may tweak the code to suit your own tastes.
I will be happy to entertain any questions as time allows.
Enjoy.
Attached File(s)
