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

[switchfire]

@mashume I've done some basic back testing, using instead MA_Min as a Buy and MA_Max as a sell signal, with Close and 21 length. Seems pretty good so far. Have you tried back testing with those? What are your thoughts on using those MAs as signals?

Thanks again for all your effort and time!

 

[Playstation]

manual eye back test Friday market on futures.
Singular ticker purely using concavity total possible trades at 31 = 8 losses vs. 23 wins.
25% of the time lose vs. 75% wins of the time.
Combined with AMM. only 3 trades in 1 day, but 100% win.
This isn't the holy grail, but it's close. You just need other signals to support the move.
A pity the HMA colors don't work on mobile.

 

[toopoor88]

Now that the busy week is over and great trading I had free time to test out version 3 of this. Glad to see it no longer has the 1-3 bar delay in printing. Love you kept my request to have alerts in . So far I think it's pretty nice indicator if you want to quickly see where the market it is. Tomorrow will look more into it but good work.

 

[mashume]

manual eye back test Friday market on futures.
Singular ticker purely using concavity total possible trades at 31 = 8 losses vs. 23 wins.
25% of the time lose vs. 75% wins of the time.
Combined with AMM. only 3 trades in 1 day, but 100% win.
This isn't the holy grail, but it's close. You just need other signals to support the move.
A pity the HMA colors don't work on mobile.

Yep. Shame. That's why I put together the lower study. It graphs the change in slope of the HMA, so that zero crossings on the lower are the concavity changes shown on the HMA upper. Same data, different way to view it. when the lower goes from negative to positive, the concavity has changed. I have both on mobile, and it seems to work OK. Not perhaps as artistically satisfying, but then I do like the Bauhaus ethic of form following function.

As a bonus, the lower can give you a preview of when things might be approaching a concavity shift, and how quickly or perhaps decisively they are crossing.

mashume

 

[amalia]

Just skimmed chat but if you want to change colors in a mobile version, write 2 different conditions for the colors.
ex
plot upCond = If(Value>Value[1], Value, Double.NaN);
plot dnCond = If(Value<Value[1], Value, Double.NaN);
upCond.SetDefaultColor(Color.CYAN);
dnCond.SetDefaultColor(Color.MAGENTA);

then in the mobile app, just assign a different color to each plot and this is what you get:

 

[mashume]

@amalia

Great idea! This is why I like to share things here at usethinkscript. Feedback that's constructive, and great extension ideas.

This code will apply (or set you up to apply) colors to all four conditions of the HMA line

plot CCD_D = if concavity == -1 and HMA < HMA[1] then HMA else double.nan;
CCD_D.SetDefaultColor(Color.RED);
CCD_D.SetLineWeight(3);

plot CCD_I = if concavity == -1 and HMA >= HMA[1] then HMA else double.nan;
CCD_I.SetDefaultColor(Color.DARK_ORANGE);
CCD_I.SetLineWeight(3);

plot CCU_D = if concavity == 1 and HMA <= HMA[1] then HMA else double.nan;
CCU_D.SetDefaultColor(COLOR.DARK_GREEN);
CCU_D.SetLineWeight(3);

plot CCU_I = if concavity == 1 and HMA > HMA[1] then HMA else double.nan;
CCU_I.SetDefaultColor(COLOR.GREEN);
CCU_I.SetLineWeight(3);

It leaves an annoying gap in the HMA line at some points around turning points, but the turning point plot itself is undisturbed. I just appended this to the end of the study and turned off the HMA plot. Instant colors on mobile.



-Mashume

P.S.
CCD = concave down
CCU = concave up
I = increasing
D = decreasing

Also,

What is the other indicator you're using to draw horizontal lines?

 

[switchfire]

@mashume Thanks for your efforts! I'm attempting to create a custom watch list column that would color code based on concavity for the specified time frame. I haven't been successful and was hoping for some guidance. It looks something like this image (not letting me attach right now):

I've seen it from this site: https://www.hahn-tech.com/thinkorswim-watchlist-ttm-squeeze/

Thanks again!!

 

[mashume]

I opted for the ConcavityDivergence code, as it's more compact and has a plot that's more easily accessed for this purpose. Watchlist Column coloured to match the indicator. I think.

script ConcavityDivergence {
# 
# Hull Moving Average Concavity Divergence
#  or
# The Second Derivative of the Hull Moving Average
# 
# Author: Seth Urion (Mahsume)
# Version: 2020-02-23 V3
# Watchlist Column 2020-03-06 V2
# 
# This code is licensed (as applicable) under the GPL v3
# 
# ----------------------

declare lower;

input price = HL2;

input HMA_length = 55;
input lookback = 2;

plot HMA = HullMovingAvg(length = HMA_length, price = price);

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

def next_bar = HMA[1] + delta_per_bar;

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

plot zero = 0;
zero.setdefaultcolor(Color.LIGHT_GRAY);
zero.setpaintingstrategy(PaintingStrategy.DASHES);

plot divergence = HMA - next_bar;
divergence.setDefaultColor(Color.LIME);
divergence.SetLineweight(2);

plot cx_up = if divergence crosses above zero then 0 else double.nan;
cx_up.SetPaintingStrategy(PaintingStrategy.POINTS);
cx_up.SetDefaultColor(Color.LIGHT_GREEN);
cx_up.SetLineWeight(4);

plot cx_down = if divergence crosses below zero then 0 else double.nan;
cx_down.SetPaintingStrategy(PaintingStrategy.POINTS);
cx_down.SetDefaultColor(Color.RED);
cx_down.SetLineWeight(4);

plot good_momentum = 0.32 * highest(divergence, HMA_Length * 2);
good_momentum.SetPaintingStrategy(PaintingStrategy.LINE);
good_momentum.SetStyle(Curve.SHORT_DASH);
good_momentum.SetDefaultColor(Color.GREEN);

plot bad_momentum = 0.32 * lowest(divergence, HMA_Length * 2);
bad_momentum.SetPaintingStrategy(PaintingStrategy.LINE);
bad_momentum.SetStyle(Curve.SHORT_DASH);
bad_momentum.SetDefaultColor(Color.RED);


}
plot data = ConcavityDivergence().divergence;
def HMA = ConcavityDivergence().HMA;

data.AssignValueColor(if  data > data[1] then Color.BLACK else Color.WHITE);
AssignBackgroundColor(if data >= 0 then if HMA > HMA[1] then Color.GREEN else Color.DARK_GREEN else if HMA > HMA[1] then color.DARK_ORANGE else color.DARK_RED);

 

[switchfire]

Wow you truly are a wizard @mashume !! Thanks a million! My original intention was to have it match the upper indicator, but I really don't wanna ask too much. This gives me an idea of ones at least approaching that (if i understand it correctly)

 

[mashume]

Hmmmmm.

The column colours may not be working quite right.

Hmmmmm.......

 

[technicallydreaming]

Does anyone know how to remove the values from the watchlist script ? That way I could just have colors on the watchlist and sort by green to red.

 

[mashume]

Code above has been fixed.

 

[switchfire]

Code above has been fixed.

Looks great man. Thanks again!!

 

[mashume]

Does anyone know how to remove the values from the watchlist script ? That way I could just have colors on the watchlist and sort by green to red.

Right now, with the values, it sorts by measure of how drastically the curve is bending. the larger the value the more it's curving. very small values indicate lack of will to turn. very large values (both positive and negative) indicate radical turns.

-mashume

 

[Playstation]

thanks @amalia and @mashume for this change of HMA colors. Gonna help tremendously when at work!

 

[Joreha]

manual eye back test Friday market on futures.
Singular ticker purely using concavity total possible trades at 31 = 8 losses vs. 23 wins.
25% of the time lose vs. 75% wins of the time.
Combined with AMM. only 3 trades in 1 day, but 100% win.
This isn't the holy grail, but it's close. You just need other signals to support the move.
A pity the HMA colors don't work on mobile.

What settings and timeframe did you backtest? Thanks

 

[Playstation]

55 the rest default

 

[pk1729]

@mashume If I am not asking for too much, can you update the 1st post in this thread with the latest version of indicator, scan and watchlist code. It will be easy for anyone to try. Thanks for building and sharing this selflessly.

 

[amalia]

@amalia

Great idea! This is why I like to share things here at usethinkscript. Feedback that's constructive, and great extension ideas.

This code will apply (or set you up to apply) colors to all four conditions of the HMA line

plot CCD_D = if concavity == -1 and HMA < HMA[1] then HMA else double.nan;
CCD_D.SetDefaultColor(Color.RED);
CCD_D.SetLineWeight(3);

plot CCD_I = if concavity == -1 and HMA >= HMA[1] then HMA else double.nan;
CCD_I.SetDefaultColor(Color.DARK_ORANGE);
CCD_I.SetLineWeight(3);

plot CCU_D = if concavity == 1 and HMA <= HMA[1] then HMA else double.nan;
CCU_D.SetDefaultColor(COLOR.DARK_GREEN);
CCU_D.SetLineWeight(3);

plot CCU_I = if concavity == 1 and HMA > HMA[1] then HMA else double.nan;
CCU_I.SetDefaultColor(COLOR.GREEN);
CCU_I.SetLineWeight(3);

It leaves an annoying gap in the HMA line at some points around turning points, but the turning point plot itself is undisturbed. I just appended this to the end of the study and turned off the HMA plot. Instant colors on mobile.



-Mashume

P.S.
CCD = concave down
CCU = concave up
I = increasing
D = decreasing

Also,

What is the other indicator you're using to draw horizontal lines?

insideBar study = )

 

[Ramesh16]

insideBar study = )

Hi Amalia, Is it possible to post inside bar line code here?
Thank you so much!