T3 Volatility Quality Index (VQI) & Pips Filtering [Loxx] for ThinkOrSwim

samer800

samer800

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Creator Message:

T3 Volatility Quality Index ( VQI ) w/ DSL & Pips Filtering is a VQI indicator that uses T3 smoothing and discontinued signal lines to determine breakouts and breakdowns. This also allows filtering by pips.***

CODE:
CSS: 
#/ This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
#// © loxx
# https://www.tradingview.com/v/56Q61Aff/
#indicator("T3 Volatility Quality Index (VQI) w/ DSL & Pips Filtering [Loxx]",
# converted by Sam4Cok@Samer800 - 03/2023
declare lower;
#_iT3(src, per, hot, clean)=>
script _iT3 {
    input src = close;
    input per = 5;
    input hot = 0.5;
    input clean = "T3 New";
    def a = hot;
    def _c1 = -a * a * a;
    def _c2 = 3 * a * a + 3 * a * a * a;
    def _c3 = -6 * a * a - 3 * a - 3 * a * a * a;
    def _c4 = 1 + 3 * a + a * a * a + 3 * a * a;
    def alpha1 = 2.0 / (2.0 + (per - 1.0) / 2.0);
    def alpha2 = 2.0 / (1.0 + per);
    def alpha;
    def t3Type = clean == "T3 New";
    alpha = if t3Type then alpha1 else alpha2;
    def _t30;
    def _t31;
    def _t32;
    def _t33;
    def _t34;
    def _t35;
    _t30 = CompoundValue(1, _t30[1] + alpha * (src -  _t30[1]), src);
    _t31 = CompoundValue(1, _t31[1] + alpha * (_t30 - _t31[1]), _t30);
    _t32 = CompoundValue(1, _t32[1] + alpha * (_t31 - _t32[1]), _t31);
    _t33 = CompoundValue(1, _t33[1] + alpha * (_t32 - _t33[1]), _t32);
    _t34 = CompoundValue(1, _t34[1] + alpha * (_t33 - _t34[1]), _t33);
    _t35 = CompoundValue(1, _t35[1] + alpha * (_t34 - _t35[1]), _t34);
    def out = _c1 * _t35 + _c2 * _t34 + _c3 * _t33 +  _c4 * _t32;
    plot return = out;
}
script _declen {
    def mtckstr = TickValue();
    def dstr = if mtckstr < 1 then mtckstr else 0;
    plot out = dstr;
}
#variant(type, src, len) =>
script variant {
    input type = "Exponential Moving Average - EMA";
    input src = close;
    input len = 5;
    def trig;# = 0.0
    def MovType = type == "Exponential Moving Average - EMA";
    def alpha = (2.0 / (2.0 + (len - 1.0) / 2.0));
    def FEMA;
        FEMA = CompoundValue(1, FEMA[1] + alpha * (src - FEMA[1]), src);
    def ema = ExpAverage(src, len);
    trig = if MovType then ema else FEMA;
    plot out = trig;
}
input PriceSmoothing = 5;    # "Source Smoothing Period"
input t3hot = 0.5;           # "T3 Hot"
input t3Type = {default "T3 New", "T3 Original"};    # "T3 Type"
input FilterInPips = 1.9;    # "Filter in Pips"
input sigmatype = {default "Exponential Moving Average - EMA", "Fast Exponential Moving Average - FEMA"};# "Signal/DSL Smoothing"
input Ma1Period = 9;         # "DSL Period"  
input colorbars = yes;       # "Color bars?"
input showSigs = yes;        # "Show signals?"

def na = Double.NaN;
def pipMultiplier = power(10, _declen() % 2);

def cHigh  = _iT3(high, PriceSmoothing, t3hot, t3Type);
def cLow   = _iT3(low, PriceSmoothing, t3hot, t3Type);
def cOpen  = _iT3(open, PriceSmoothing, t3hot, t3Type);
def cClose = _iT3(close, PriceSmoothing, t3hot, t3Type);
def pClose = _iT3(close[1], PriceSmoothing, t3hot, t3Type);

def val;# = 0.,
def valc;# = 0.
def truerng = Max(cHigh, pClose) - Min(cLow, pClose);
def rng = cHigh - cLow;
def vqi = if (rng != 0 and truerng != 0) then ((cClose - pClose) / truerng + (cClose - cOpen) / rng) * 0.5 else val[1];
def vgiValue =  AbsValue(vqi) * (cClose - pClose + cClose - cOpen) * 0.5;
    valc = CompoundValue(1, val[1] + vgiValue, valc[1]);

def cond = AbsValue(valc-valc[1]) < FilterInPips * TickValue() * pipMultiplier;
if (FilterInPips > 0) {
    if cond {
    val = val[1];
} else {
    val = valc;
}
} else {
        val = val[1];
}
def sig = val[1];
def temp = variant(sigmatype, val, Ma1Period);

def levelu = if (val > sig) then temp else levelu[1];
def leveld = if (val < sig) then temp else leveld[1];

def colorout = if val > levelu then 1 else if val < leveld then -1 else 0;

plot VQILine = val;        # "VQI"
VQILine.SetLineWeight(2);
VQILine.AssignValueColor(if colorout > 0 then Color.GREEN else
                         if colorout < 0 then Color.RED else Color.GRAY);

plot LevelUp = levelu;     # "Level Up"
LevelUp.SetDefaultColor(Color.DARK_GREEN);
plot LevelDown = leveld;   # "Level Down"
LevelDown.SetDefaultColor(Color.DARK_RED);

#--- Sig

def goLong  = crosses(val, levelu, CrossingDirection.ABOVE);
def goShort = crosses(val, leveld, CrossingDirection.BELOW);

plot long = if showSigs and goLong then val else na;#, "Long", color.yellow, no);
long.SetPaintingStrategy(PaintingStrategy.SQUARES);
long.SetDefaultColor(Color.CYAN);
long.SetLineWeight(3);
plot short = if showSigs and goShort then val else na;#, "Short", color.MAGENTA, yes);
short.SetPaintingStrategy(PaintingStrategy.SQUARES);
short.SetDefaultColor(Color.MAGENTA);
short.SetLineWeight(3);

AssignPriceColor(if !Colorbars then Color.CURRENT else
                 if colorout > 0 then Color.GREEN else
                 if colorout < 0 then Color.RED else Color.GRAY);


#--- END CODE
 
Last edited by a moderator:

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Last edited:
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Reactions: IPA
In the TV docs., the author mentions -
This indicator is tuned to Forex. If you want to make it useful for other tickers, you must change the pip filtering value to match the asset. This means that for BTC, for example, you likely need to use a value of 10,000 or more for pips filter.

When apply it to future or option data, when u hit apply, there will be a blink show of the indicator and then it will disappear and leave a gray centre line across the chart ...

It seem ok on most other data ...
 
Last edited by a moderator:
@IPA @mactheknife @Zlotko
@AK011

I just excluded the pips calculation from the code. this may work in all markets but with some difference. pls check

CSS: 
#/ This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
#// © loxx
# https://www.tradingview.com/v/56Q61Aff/
#indicator("T3 Volatility Quality Index (VQI) w/ DSL & Pips Filtering [Loxx]",
# converted by Sam4Cok@Samer800 - 03/2023
declare lower;
#_iT3(src, per, hot, clean)=>
script _iT3 {
    input src = close;
    input per = 5;
    input hot = 0.5;
    input clean = "T3 New";
    def a = hot;
    def _c1 = -a * a * a;
    def _c2 = 3 * a * a + 3 * a * a * a;
    def _c3 = -6 * a * a - 3 * a - 3 * a * a * a;
    def _c4 = 1 + 3 * a + a * a * a + 3 * a * a;
    def alpha1 = 2.0 / (2.0 + (per - 1.0) / 2.0);
    def alpha2 = 2.0 / (1.0 + per);
    def t3Type = clean == "T3 New";
    def alpha = if t3Type then alpha1 else alpha2;
    def _t30;
    def _t31;
    def _t32;
    def _t33;
    def _t34;
    def _t35;
    _t30 = CompoundValue(1, _t30[1] + alpha * (src -  _t30[1]), src);
    _t31 = CompoundValue(1, _t31[1] + alpha * (_t30 - _t31[1]), _t30);
    _t32 = CompoundValue(1, _t32[1] + alpha * (_t31 - _t32[1]), _t31);
    _t33 = CompoundValue(1, _t33[1] + alpha * (_t32 - _t33[1]), _t32);
    _t34 = CompoundValue(1, _t34[1] + alpha * (_t33 - _t34[1]), _t33);
    _t35 = CompoundValue(1, _t35[1] + alpha * (_t34 - _t35[1]), _t34);
    def out = _c1 * _t35 + _c2 * _t34 + _c3 * _t33 +  _c4 * _t32;
    plot return = out;
}

#variant(type, src, len) =>
script variant {
    input type = "Exponential Moving Average - EMA";
    input src = close;
    input len = 5;
    def trig;# = 0.0
    def MovType = type == "Exponential Moving Average - EMA";
    def alpha = (2.0 / (2.0 + (len - 1.0) / 2.0));
    def FEMA;
        FEMA = CompoundValue(1, FEMA[1] + alpha * (src - FEMA[1]), src);
    def ema = ExpAverage(src, len);
    trig = if MovType then ema else FEMA;
    plot out = trig;
}
input PriceSmoothing = 5;    # "Source Smoothing Period"
input t3hot = 0.5;           # "T3 Hot"
input t3Type = {default "T3 New", "T3 Original"};    # "T3 Type"
#input FilterInPips = 1.9;    # "Filter in Pips"
input sigmatype = {default "Exponential Moving Average - EMA", "Fast Exponential Moving Average - FEMA"};# "Signal/DSL Smoothing"
input Ma1Period = 9;         # "DSL Period"   
input colorbars = yes;       # "Color bars?"
input showSigs = yes;        # "Show signals?"

def na = Double.NaN;
def tick = TickSize();
def dstr = if tick < 1 then tick else 0;
def declen = dstr;
def decPower = declen % 2;
def pipMultiplier = power(10, decPower);

def cHigh  = _iT3(high, PriceSmoothing, t3hot, t3Type);
def cLow   = _iT3(low, PriceSmoothing, t3hot, t3Type);
def cOpen  = _iT3(open, PriceSmoothing, t3hot, t3Type);
def cClose = _iT3(close, PriceSmoothing, t3hot, t3Type);
def pClose = _iT3(close[1], PriceSmoothing, t3hot, t3Type);

def val;# = 0.,
#def valc;# = 0.
def truerng = Max(cHigh, pClose) - Min(cLow, pClose);
def rng = cHigh - cLow;
def vqi = if (rng != 0 and truerng != 0) then ((cClose - pClose) / truerng + (cClose - cOpen) / rng) * 0.5 else val[1];
def vgiValue =  AbsValue(vqi) * (cClose - pClose + cClose - cOpen) * 0.5;
def valc = CompoundValue(1, val[1] + vgiValue, valc[1]);

def cond = AbsValue(valc-valc[1]) < tick;
    if cond {
    val = val[1];
} else {
    val = valc;
}
def sig = val[1];
def temp = variant(sigmatype, val, Ma1Period);

def levelu = if (val > sig) then temp else levelu[1];
def leveld = if (val < sig) then temp else leveld[1];

def colorout = if val > levelu then 1 else if val < leveld then -1 else 0;

plot VQILine = val;        # "VQI"
VQILine.SetLineWeight(2);
VQILine.AssignValueColor(if colorout > 0 then Color.GREEN else
                         if colorout < 0 then Color.RED else Color.GRAY);

plot LevelUp = levelu;     # "Level Up"
LevelUp.SetDefaultColor(Color.DARK_GREEN);
plot LevelDown = leveld;   # "Level Down"
LevelDown.SetDefaultColor(Color.DARK_RED);

#--- Sig

def goLong  = crosses(val, levelu, CrossingDirection.ABOVE);
def goShort = crosses(val, leveld, CrossingDirection.BELOW);

plot long = if showSigs and goLong then val else na;#, "Long", color.yellow, no);
long.SetPaintingStrategy(PaintingStrategy.SQUARES);
long.SetDefaultColor(Color.CYAN);
long.SetLineWeight(3);
plot short = if showSigs and goShort then val else na;#, "Short", color.MAGENTA, yes);
short.SetPaintingStrategy(PaintingStrategy.SQUARES);
short.SetDefaultColor(Color.MAGENTA);
short.SetLineWeight(3);

AssignPriceColor(if !Colorbars then Color.CURRENT else
                 if colorout > 0 then Color.GREEN else
                 if colorout < 0 then Color.RED else Color.GRAY);


#--- END CODE
 
samer800 said:
@IPA @mactheknife @Zlotko
@AK011

I just excluded the pips calculation from the code. this may work in all markets but with some difference. pls check

CSS: 
#/ This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
#// © loxx
# https://www.tradingview.com/v/56Q61Aff/
#indicator("T3 Volatility Quality Index (VQI) w/ DSL & Pips Filtering [Loxx]",
# converted by Sam4Cok@Samer800 - 03/2023
declare lower;
#_iT3(src, per, hot, clean)=>
script _iT3 {
    input src = close;
    input per = 5;
    input hot = 0.5;
    input clean = "T3 New";
    def a = hot;
    def _c1 = -a * a * a;
    def _c2 = 3 * a * a + 3 * a * a * a;
    def _c3 = -6 * a * a - 3 * a - 3 * a * a * a;
    def _c4 = 1 + 3 * a + a * a * a + 3 * a * a;
    def alpha1 = 2.0 / (2.0 + (per - 1.0) / 2.0);
    def alpha2 = 2.0 / (1.0 + per);
    def t3Type = clean == "T3 New";
    def alpha = if t3Type then alpha1 else alpha2;
    def _t30;
    def _t31;
    def _t32;
    def _t33;
    def _t34;
    def _t35;
    _t30 = CompoundValue(1, _t30[1] + alpha * (src -  _t30[1]), src);
    _t31 = CompoundValue(1, _t31[1] + alpha * (_t30 - _t31[1]), _t30);
    _t32 = CompoundValue(1, _t32[1] + alpha * (_t31 - _t32[1]), _t31);
    _t33 = CompoundValue(1, _t33[1] + alpha * (_t32 - _t33[1]), _t32);
    _t34 = CompoundValue(1, _t34[1] + alpha * (_t33 - _t34[1]), _t33);
    _t35 = CompoundValue(1, _t35[1] + alpha * (_t34 - _t35[1]), _t34);
    def out = _c1 * _t35 + _c2 * _t34 + _c3 * _t33 +  _c4 * _t32;
    plot return = out;
}

#variant(type, src, len) =>
script variant {
    input type = "Exponential Moving Average - EMA";
    input src = close;
    input len = 5;
    def trig;# = 0.0
    def MovType = type == "Exponential Moving Average - EMA";
    def alpha = (2.0 / (2.0 + (len - 1.0) / 2.0));
    def FEMA;
        FEMA = CompoundValue(1, FEMA[1] + alpha * (src - FEMA[1]), src);
    def ema = ExpAverage(src, len);
    trig = if MovType then ema else FEMA;
    plot out = trig;
}
input PriceSmoothing = 5;    # "Source Smoothing Period"
input t3hot = 0.5;           # "T3 Hot"
input t3Type = {default "T3 New", "T3 Original"};    # "T3 Type"
#input FilterInPips = 1.9;    # "Filter in Pips"
input sigmatype = {default "Exponential Moving Average - EMA", "Fast Exponential Moving Average - FEMA"};# "Signal/DSL Smoothing"
input Ma1Period = 9;         # "DSL Period"  
input colorbars = yes;       # "Color bars?"
input showSigs = yes;        # "Show signals?"

def na = Double.NaN;
def tick = TickSize();
def dstr = if tick < 1 then tick else 0;
def declen = dstr;
def decPower = declen % 2;
def pipMultiplier = power(10, decPower);

def cHigh  = _iT3(high, PriceSmoothing, t3hot, t3Type);
def cLow   = _iT3(low, PriceSmoothing, t3hot, t3Type);
def cOpen  = _iT3(open, PriceSmoothing, t3hot, t3Type);
def cClose = _iT3(close, PriceSmoothing, t3hot, t3Type);
def pClose = _iT3(close[1], PriceSmoothing, t3hot, t3Type);

def val;# = 0.,
#def valc;# = 0.
def truerng = Max(cHigh, pClose) - Min(cLow, pClose);
def rng = cHigh - cLow;
def vqi = if (rng != 0 and truerng != 0) then ((cClose - pClose) / truerng + (cClose - cOpen) / rng) * 0.5 else val[1];
def vgiValue =  AbsValue(vqi) * (cClose - pClose + cClose - cOpen) * 0.5;
def valc = CompoundValue(1, val[1] + vgiValue, valc[1]);

def cond = AbsValue(valc-valc[1]) < tick;
    if cond {
    val = val[1];
} else {
    val = valc;
}
def sig = val[1];
def temp = variant(sigmatype, val, Ma1Period);

def levelu = if (val > sig) then temp else levelu[1];
def leveld = if (val < sig) then temp else leveld[1];

def colorout = if val > levelu then 1 else if val < leveld then -1 else 0;

plot VQILine = val;        # "VQI"
VQILine.SetLineWeight(2);
VQILine.AssignValueColor(if colorout > 0 then Color.GREEN else
                         if colorout < 0 then Color.RED else Color.GRAY);

plot LevelUp = levelu;     # "Level Up"
LevelUp.SetDefaultColor(Color.DARK_GREEN);
plot LevelDown = leveld;   # "Level Down"
LevelDown.SetDefaultColor(Color.DARK_RED);

#--- Sig

def goLong  = crosses(val, levelu, CrossingDirection.ABOVE);
def goShort = crosses(val, leveld, CrossingDirection.BELOW);

plot long = if showSigs and goLong then val else na;#, "Long", color.yellow, no);
long.SetPaintingStrategy(PaintingStrategy.SQUARES);
long.SetDefaultColor(Color.CYAN);
long.SetLineWeight(3);
plot short = if showSigs and goShort then val else na;#, "Short", color.MAGENTA, yes);
short.SetPaintingStrategy(PaintingStrategy.SQUARES);
short.SetDefaultColor(Color.MAGENTA);
short.SetLineWeight(3);

AssignPriceColor(if !Colorbars then Color.CURRENT else
                 if colorout > 0 then Color.GREEN else
                 if colorout < 0 then Color.RED else Color.GRAY);


#--- END CODE
Click to expand...

It works.
 
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