OBV MACD Indicator
So this script is my improvement to macd that we all know . it faster and more accurate with less lag first is based on OBV as it primary source next we convert the OBV to MA style format , in this case we can add…
So this script is my improvement to macd that we all know . it faster and more accurate with less lag first is based on OBV as it primary source next we convert the OBV to MA style format , in this case we can add all form of MA in order to calculate it . as you will see in settimgs it has many type of MA as each beahave differently I make the signal to be in linear form jst to make it more sharp / and in the end in order to make the signal i use Alex grover method (this guy is a genius:) ) in final step we can make pivots point on our new for macd end resolt is a faster more accurate MACD and much more options fro modification then the regular macd this is volume indicator based so in some graph where volume does not exist this will not work
backtest
Parameters
| Name | Default | What it controls |
|---|---|---|
| v_input_1 | true | OBV Length |
| v_input_2 | 0 | MA Type: DEMA | TTEMA | TEMA | TDEMA | EMA | AVG | THMA | ZLEMA | ZLDEMA | ZLTEMA | DZLEMA | TZLEMA | LLEMA | NMA |
| v_input_3 | 9 | MA Length |
| v_input_4 | 26 | MACD Slow Length |
| v_input_5 | 2 | len5 |
| v_input_6 | false | showsignal |
| v_input_7 | true | Hide pivots? |
| v_input_8 | 50 | period |
Source Pine Script
/*backtest
start: 2022-04-30 00:00:00
end: 2022-05-29 23:59:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
study("OBV MACD Indicator",overlay=false)
// MACD
src1 = close
window_len = 28
v_len = 14
price_spread = stdev(high-low, window_len)
v = cum(sign(change(src1)) * volume)
smooth = sma(v, v_len)
v_spread = stdev(v - smooth, window_len)
shadow = (v - smooth) / v_spread * price_spread
out = shadow > 0 ? high + shadow : low + shadow
//plot(out, style=line,linewidth=3, color=color)
len10=input(1,title="OBV Length ")
obvema=ema(out,len10)
//
src = obvema
type = input(defval="DEMA", title="MA Type", options=["TDEMA", "TTEMA", "TEMA", "DEMA", "EMA", "AVG", "THMA", "ZLEMA", "ZLDEMA", "ZLTEMA", "DZLEMA", "TZLEMA", "LLEMA", "NMA"])
showma = true
len = input(9, title="MA Length ")
showma1 = false
len1 = 26
showma2 =false
len2 = 52
nma(src, length1, length2) =>
lambda = length1 / length2
alpha = lambda * (length1 - 1) / (length1 - lambda)
ma1 = ema(src, length1)
ma2 = ema(ma1, length2)
nma = (1 + alpha) * ma1 - alpha * ma2
dema(src, len) =>
ma1 = ema(src, len)
ma2 = ema(ma1, len)
2 * ma1 - ma2
tema(src, len) =>
ma1 = ema(src, len)
ma2 = ema(ma1, len)
ma3 = ema(ma2, len)
3 * (ma1 - ma2) + ma3
tdema(src, len) =>
ma1 = dema(src, len)
ma2 = dema(ma1, len)
ma3 = dema(ma2, len)
3 * (ma1 - ma2) + ma3
ttema(src, len) =>
ma1 = tema(src, len)
ma2 = tema(ma1, len)
ma3 = tema(ma2, len)
3 * (ma1 - ma2) + ma3
tnma(src, len) =>
ma1 = nma(src, len, 3)
ma2 = nma(ma1, len, 3)
ma3 = nma(ma2, len, 3)
3 * (ma1 - ma2) + ma3
hma(src, len) => wma(2*wma(src, len/2)-wma(src, len), round(sqrt(len)))
thma(src, len) =>
ma1 = hma(src, len)
ma2 = hma(ma1, len)
ma3 = hma(ma2, len)
3 * (ma1 - ma2) + ma3
zlema(src, len) =>
lag = round((len - 1) / 2)
zlsrc = src + (src - src[lag])
ema(zlsrc, len)
zldema(src, len) =>
lag = round((len - 1) / 2)
zlsrc = src + (src - src[lag])
dema(zlsrc, len)
zltema(src, len) =>
lag = round((len - 1) / 2)
zlsrc = src + (src - src[lag])
tema(zlsrc, len)
dzlema(src, len) =>
ma1 = zlema(src, len)
ma2 = zlema(ma1, len)
2 * ma1 - ma2
tzlema(src, len) =>
ma1 = zlema(src, len)
ma2 = zlema(ma1, len)
ma3 = zlema(ma2, len)
3 * (ma1 - ma2) + ma3
llema(src, len) =>
srcnew = 0.25*src + 0.5*src[1] + 0.25*src[2]
ema(srcnew, len)
lltema(src, len) =>
srcnew = 0.25*src + 0.5*src[1] + 0.25*src[2]
tema(srcnew, len)
myma(src, len) =>
if type == "EMA"
ema(src, len)
else
if type == "DEMA"
dema(src, len)
else
if type == "TEMA"
tema(src, len)
else
if type == "TDEMA"
tdema(src, len)
else
if type == "TTEMA"
ttema(src, len)
else
if type == "THMA"
thma(src, len)
else
if type == "ZLEMA"
zlema(src, len)
else
if type == "ZLDEMA"
zldema(src, len)
else
if type == "ZLTEMA"
zltema(src, len)
else
if type == "DZLEMA"
dzlema(src, len)
else
if type == "TZLEMA"
tzlema(src, len)
else
if type == "LLEMA"
llema(src, len)
else
if type == "NMA"
nma(src, len, len1)
else
avg(ttema(src, len), tdema(src, len))
ma = showma ? myma(src, len) : na
slow_length = input(title="MACD Slow Length", type=input.integer, defval=26)
//signal_length = input(title="MACD Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 9)
src12=close
plot(0,linewidth=3,color=color.black)
// Calculating MACD
slow_ma = ema(src12, slow_length)
macd =ma-slow_ma
//signal_length=input(9)
//signal = ema(macd, signal_length)
//plot(signal,linewidth=2)
src5 = macd
len5 = input(2)
offset = 0
calcSlope(src5, len5) =>
sumX = 0.0
sumY = 0.0
sumXSqr = 0.0
sumXY = 0.0
for i = 1 to len5
val = src5[len5-i]
per = i + 1.0
sumX := sumX + per
sumY := sumY + val
sumXSqr := sumXSqr + per * per
sumXY := sumXY + val * per
slope = (len5 * sumXY - sumX * sumY) / (len5 * sumXSqr - sumX * sumX)
average = sumY / len5
intercept = average - slope * sumX / len5 + slope
[slope, average, intercept]
var float tmp = na
[s, a5, i] = calcSlope(src5, len5)
tt1=(i + s * (len5 - offset))
////script based on alex grover from https://www.tradingview.com/script/KzTi6CZP-T-Channels/
p = 1,src15=tt1
b5 = 0.,dev5 = 0.,oc = 0
n5 = cum(1) - 1
a15 = cum(abs(src15 - nz(b5[1],src15)))/n5*p
b5 := src15 > nz(b5[1],src15) + a15 ? src15 : src15 < nz(b5[1],src15) - a15 ? src15 : nz(b5[1],src15)
//----
dev5 := change(b5) ? a15 : nz(dev5[1],a15)
//----
oc := change(b5) > 0 ? 1 : change(b5) < 0 ? -1 : nz(oc[1])
//----
cs = oc == 1 ? color.blue : color.red
//change(oc)>0
plot(b5,color=cs,linewidth=4,transp=50)
//
down = change(oc)<0
up = change(oc)>0
showsignal=input(false)
plot(showsignal and up ?tt1 :na, style=plot.style_cross, color=color.blue, linewidth=4, transp=0,offset=-1)
plot(showsignal and down ?tt1 :na, style=plot.style_cross, color=color.red, linewidth=4, transp=0,offset=-1)
//hist = macd - signal
//barColor =hist >= 0 and hist> signal ? color.teal : hist > 0 and hist < signal ? color.lime : hist < 0 and hist < signal ? color.red : color.orange
//plot(hist, color=barColor, style=plot.style_histogram, linewidth=3)
upper = tt1
lower = tt1
// DIVS code
piv = input(true, "Hide pivots?")
shrt = false
xbars = input(50, "period", input.integer, minval=1)
hb = abs(highestbars(upper, xbars))
lb = abs(lowestbars(lower, xbars))
max = float(na)
max_upper = float(na)
min = float(na)
min_lower = float(na)
pivoth = bool(na)
pivotl = bool(na)
max := hb == 0 ? close : na(max[1]) ? close : max[1]
max_upper := hb == 0 ? upper : na(max_upper[1]) ? upper : max_upper[1]
min := lb == 0 ? close : na(min[1]) ? close : min[1]
min_lower := lb == 0 ? lower : na(min_lower[1]) ? lower : min_lower[1]
if close > max
max := close
max
if upper > max_upper
max_upper := upper
max_upper
if close < min_lower
min_lower := lower
min_lower
if lower < min_lower
min_lower := lower
min_lower
pivoth := max_upper == max_upper[2] and max_upper[2] != max_upper[3] ? true : na
pivotl := min_lower == min_lower[2] and min_lower[2] != min_lower[3] ? true : na
plotshape(piv ? na : shrt ? na : pivoth ? max_upper + 2 : na, location=location.absolute, style=shape.labeldown, color=color.red, size=size.tiny, text="Pivot", textcolor=color.white, transp=0, offset=0)
plotshape(piv ? na : shrt ? na : pivotl ? min_lower - 2 : na, location=location.absolute, style=shape.labelup, color=color.blue, size=size.tiny, text="Pivot", textcolor=color.white, transp=0, offset=0)
if pivoth
strategy.entry("Enter Long", strategy.long)
else if pivotl
strategy.entry("Enter Short", strategy.short)Published by ChaoZhang on the FMZ strategy square · last modified 2022-05-31. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.
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