Welford Variance VertexFX Indicator

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verde.soltions
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Welford Variance VertexFX Indicator

Postby verde.soltions » Wed Oct 09, 2019 10:04 am

The Welford Variance indicator is a useful VertexFx client-side indicator for identifying trend changes on higher time-frames.

It calculates the standard deviation and variance of the price changes over the Variance Period (VAR_PERIOD), and then smoothes it using a smoothing co-efficient. The Welford Variance indicator should be used in combination with other trend-following oscillators like Relative Strength Index (RSI), Moving Average Convergence Divergence (MACD) or Stochastic Oscillator.
The standard deviation defines how much the current price is deviating from the mean price. Higher the standard deviation, greater is the volality. In the first step, we calculate the mean and standard deviation of the recent VAR_PERIOD candles. In the next step, we calculate the variance by subtracting the price from the standard deviation. Finally, we smooth the variance, using the co-efficient, which is reciprocal of (1 + VAR_PERIOD). When the variance increases, the probabilty of fast price movement in the current direction is very high. As a result the Welford Variance indicator can provide powerful trade entries with minimal lag.
BUY / EXIT SHORT - Enter LONG (or exit SHORT) at the close after the Welford Variance indicator has bottomed out and is rising, and other confirmation indicator like RSI, MACD or Stochastic Oscillator has turned bullish. The stop-loss can be set to the nearest Swing Low.

SHORT / EXIT LONG - Enter SHORT (or exit LONG) at the close after the Welford Variance indicator has peaked out and is falling, and other confirmation indicator like RSI, MACD or Stochastic Oscillator has turned bearish. The stop-loss can be set to the nearest Swing High.
Attachments
Welford.png
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variance welford.rar
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verde.soltions
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KalmanFilterVelocity VertexFX indicator

Postby verde.soltions » Mon Oct 28, 2019 9:58 am

The KalmanFilterVelocity (KFV) is a powerful VertexFX client-side indicator based on the Kalman Filter (KF) algorithm.

The KalmanFilterVelocity indicator employs the Kalman Filter to estimate the direction and strength of the trend. It is particularly useful in identifying reversal or trends. It enhances the standard Kalman Filter but detecting the velocity (the rate of change) of the base Kalman Filter. A change in the direction of the velocity implies a change a trend.

In the first step we calculate the Kalman Filter also known as Linear Quadratic Estimation for all the prices. We use the change in the closing price of each candle and its predecessor to estimate whether this change is sustainable. Hence, if prices are rising, but at a slower rate it implies that the trend is ending. Likewise, if the price is falling, but at a slower rate it implies that the bearish trend is ending.
When the KFV changes from RED to BLUE below the zero level it implies that a strong bullish trend has started and the trader can enter LONG positions. On the contrary, when the KFV changes from BLUE to RED above the zero level it implies that a strong bearish trend has started and the trader can enter SHORT positions. A change from RED to BLUE above the zero level, or from BLUE to RED below the zero level is ignored because it is identified as weakness or whipsaws.

BUY / EXIT SHORT - In TREND mode, enter LONG (or exit SHORT) at the close of the candle when the KFV indicator turns BLUE below the zero level. In KALMAN mode, enter LONG (or exit SHORT) when the KFV indicator turns BLUE. The stop-loss should be placed at the nearest Swing Low.

SHORT / EXIT LONG - In KALMAN mode, enter SHORT (or exit LONG) at the close of the candle when the KFV indicator turns RED above the zero level. In KALMAN mode, enter SHORT (or exit LONG) when the KFV indicator turns RED. The stop-loss should be placed at the nearest Swing High.
Attachments
KalmanFilterVelocity (2).rar
(3.87 KiB) Downloaded 34 times
kalman.png
kalman.png (23.7 KiB) Viewed 496 times


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