Repaints Hull Moving Average Turning Points and Concavity (2nd Derivatives)

[RmS59]

@mashume

Thank you for the reply! This is an excellent premise and indicator. I look forward to discovering more of your work.

 

[bandzbond]

Thank you for your fantastic idea.

I have a few questions as I'm very new to ToS scripting. I'm trying to replicate this script in Python to do some backtesting.

So I have a few questions to clarify what some steps are doing. I understand the HMA is a list of HMA values.

def delta = HMA[1] - HMA[lookback + 1];

// ^ this line takes the 3rd from last calculated HMA value and subtracts it from last HMA value. so if HMA was [4,6,10], delta would be 6.

def delta_per_bar = delta / lookback;

// ^ here we will take 6 and divide it by lookback (2). Our delta_per_bar here is 6/2 = 3

def next_bar = HMA[1] + delta_per_bar;

// ^ next HMA value (one we are predicting) is 10+3 = 13

def concavity = if HMA > next_bar then 1 else -1;

// here is where I'm getting confused. How are comparing a list of values (HMA) to one singular value (next_bar)? .. Can you explain what's exactly happening in this step? Are you saying if next bar is great than the last HMA value then its concave up?

 

[mashume]

Thank you for your fantastic idea.

I have a few questions as I'm very new to ToS scripting. I'm trying to replicate this script in Python to do some backtesting.

So I have a few questions to clarify what some steps are doing. I understand the HMA is a list of HMA values.

def delta = HMA[1] - HMA[lookback + 1];

// ^ this line takes the 3rd from last calculated HMA value and subtracts it from last HMA value. so if HMA was [4,6,10], delta would be 6.

def delta_per_bar = delta / lookback;

// ^ here we will take 6 and divide it by lookback (2). Our delta_per_bar here is 6/2 = 3

def next_bar = HMA[1] + delta_per_bar;

// ^ next HMA value (one we are predicting) is 10+3 = 13

def concavity = if HMA > next_bar then 1 else -1;

// here is where I'm getting confused. How are comparing a list of values (HMA) to one singular value (next_bar)? .. Can you explain what's exactly happening in this step? Are you saying if next bar is great than the last HMA value then its concave up?

Good question, and I hope you're enjoying the mathematics of this one.

The idea is this, and it's important to know that without a bracket thhinscript references the value at [0] by default (the most recent value in the series) not the series itself. Very unpythonic, I know.

So Here's an illustration of what we're doing...

HMA is the black line in both graphs. The Red dashed line is a forward projection of the slope that we calculate from A (the lookback) and B the price difference over that lookback divided by the length of the lookback. You got that right above.

The trick part of this comes by looking to see if the value of the HMA for the current bar is above or below the predicted (future projection of last HMA + the calculated slope as a change per bar. In the illustration, if it the shaded region between the red dash and the black HMA is red, we're below the value predicted and the concavity is downward. If it's green, we're above the projected value and concavity is upward. The other calculations are simply to decide if the general trend is upward or downward.

Good fun, I think. Hope that helps with what you're trying to sort out. I'd love to see your python code when you've got it sorted (that's my day job btw... python and sql mostly).

happy trading and have fun with the math!

Teaser for anyone reading this far... next up from me is an intraday volume projection indicator... seems interesting.

-mashume

 

[ext99k]

Is it possible to please add orders so we could backtest? For example, with a long only bias, the position would simply close when we get a sell signal... or after user defined X bars = auto close - thanks for the great work @mashume !

 

[bandzbond]

Thank you so much @mashume !! That clarified a lot of things. I will share the code once I'm done (and very excited about the volume indicator)

 

[mashume]

Thank you so much @mashume !! That clarified a lot of things. I will share the code once I'm done (and very excited about the volume indicator)

Volume study is here:
https://usethinkscript.com/threads/intraday-volume-tracking-and-forecasting-vtf.2950/

 

[alex028495]

Hi @mashume how do you backtest this strategy P&L ? I tried AddOrder(OrderType.BUY_AUTO,buy,tickColor = GetColor(6), arrowColor = GetColor(6),name = "test"); and also with sell to exit but it look that when I put this information nothing happens. Thank you!

 

[mashume]

Hi @mashume how do you backtest this strategy P&L ? I tried AddOrder(OrderType.BUY_AUTO,buy,tickColor = GetColor(6), arrowColor = GetColor(6),name = "test"); and also with sell to exit but it look that when I put this information nothing happens. Thank you!

There is some back testing early in this thread. And some discussion of methodology.

Good luck and have fun.
-mashume

 

[kelso]

great job @mashume
is there a way to tweak the scan so it'll give me stocks that are in the orange/green areas only? I'm trying to scan for stocks that are starting to curve upwards.

 

[chewie76]

How do I scan for "Buy Confirmed" signal only ? I used the code here to scan for uptrend, but I would like to get in when "Buy confirmed" has been triggered

I'm looking for the same thing.

 

[GimmickFace]

Started using these indicators a week ago. A week straight so far of gains with it. Easily one of my favorite indicator sets after several years of day trading. Thanks everyone!

 

[tenacity11]

@mashume
Is there a way to scan for when the MA_min sets up. I'm looking to do this on a 2m chart?
TIA

 

[mashume]

@tenacity11 , @chewie76 , @kelso

Lots of good scanner requests. I'm not ignoring you, but I'm kinda swamped with my day job at the moment. I'll see if I can get some code going over the long holiday weekend.

-mashume

 

[tenacity11]

@tenacity11 , @chewie76 , @kelso

Lots of good scanner requests. I'm not ignoring you, but I'm kinda swamped with my day job at the moment. I'll see if I can get some code going over the long holiday weekend.

-mashume

Appreciated I'm finding this very useful in my trading and the scan would be really helpful

 

[mashume]

Scan code. I'm not posting how to edit scanners right now. This is code to put in the scanner custom filter.

@tenacity11:

plot signal = !IsNaN(Concavity().MA_Min) within 2 bars;

@kelso:
if you've got the most recent version (with mobile support) this is pretty straight forward:

plot orange = !isNaN(Concavity().CCD_I);

plot green = !isNaN(Concavity().CCU_I);

or combine them:

plot orange_or_green = !isNaN(Concavity().CCD_I) or !isNaN(Concavity().CCU_I);

if you don't have the most mobile version, you'll need to hack the script to have the 'concavity' be a plot rather than a def, that way you can call it in the condition on your scan...

plot signal =  if Concavity().concavity == 1
    and Concavity().HMA > Concavity().HMA[1]
    then 1 else double.nan;

or something like that.

Don't forget to set your timeframes.

@chewie76 and @newtoazure
Can you tell me what you read as a 'buy confirmed' and I can help you with a scanner. if it's just the 'buy' condition then this may work...

plot signal = !isNaN(Concavity().buy);

-mashume

 

[tenacity11]

Scan code. I'm not posting how to edit scanners right now. This is code to put in the scanner custom filter.

@tenacity11:

plot signal = !IsNaN(Concavity().MA_Min) within 2 bars;

@kelso:
if you've got the most recent version (with mobile support) this is pretty straight forward:

plot orange = !isNaN(Concavity().CCD_I);

plot green = !isNaN(Concavity().CCU_I);

or combine them:

plot orange_or_green = !isNaN(Concavity().CCD_I) or !isNaN(Concavity().CCU_I);

if you don't have the most mobile version, you'll need to hack the script to have the 'concavity' be a plot rather than a def, that way you can call it in the condition on your scan...

plot signal =  if Concavity().concavity == 1
    and Concavity().HMA > Concavity().HMA[1]
    then 1 else double.nan;

or something like that.

Don't forget to set your timeframes.

@chewie76 and @newtoazure
Can you tell me what you read as a 'buy confirmed' and I can help you with a scanner. if it's just the 'buy' condition then this may work...

plot signal = !isNaN(Concavity().buy);

-mashume

Thanks...greatly appreciated...I'm getting an error message
Expected double at 1:16
Invalid statement: Unexpected part of function call at 1:34

 

[kelso]

Dear @mashume,

Is there a definition to a curve up of the HMA line within the study? I'm trying to figure a way to exclude stocks that are curving down.

 

[mashume]

Dear @mashume,

Is there a definition to a curve up of the HMA line within the study? I'm trying to figure a way to exclude stocks that are curving down.

If you're up for digging into the code, the thing you're looking for is the concavity variable. it's 1 when concavity is upward and -1 when downward. It's defined rather than plotted as the code reads now, but you can change that if you want to use it in a scanner. You'd want to include something along the lines of:

...
and Concavity().concavity == 1
...

This is, of course, not code that will run but should give you an idea of how to implement the condition. You can only use PLOT lines from functions in scans, not defined variables, which is why you'd need to make it 'plot' to use it in a scan.

-mashume

 

[murkr]

We all have favorite MAs, so, I've been running your script with HMA and EHMA, EHMA seems to lead by 1-2 bars, rarely they give opposing signals, but when they both agree on a bar, its like a NASA ignition. Using a setting of H+L/2 and 8,2 on a 1 day, 2min chart.

I think the wide swings many experience in current conditions can be decreased by using a simple trailing stop system and with such low commissions, maybe it makes sense to take smaller peices of the pie and let them add up.

@codydog Are you still using this with the EHMA?

 

[codydog]

@murkr - yes, for better or worse..lol