BB_Squeeze_4c_JMA
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This script is designed as a technical analysis tool for the MetaTrader platform, specifically created to help traders identify periods of low market volatility (squeezes) and determine the direction of price momentum. It achieves this by combining three distinct mathematical concepts: linear regression, trend smoothing, and standard deviation.
Core Functional Logic
The logic operates through three primary stages to translate raw price data into visual signals:
1. Trend Analysis via Linear Regression and Smoothing The script calculates a "Linear Regression Value." Unlike a simple moving average that just takes the mean of past prices, linear regression attempts to find the "line of best fit" for price action over a specific timeframe. To make this data more reliable and less noisy, the script incorporates a smoothing algorithm (JMA). By analyzing the slope of these regressions, the tool identifies whether the current market momentum is trending upward or downward.
2. The "Squeeze" Detection Mechanism A primary purpose of this script is to detect when the market is "squeezing"—a state where price movement becomes very tight and compressed before a potential breakout. It does this by comparing two different types of volatility:
- Average True Range (ATR): This measures the current daily price movement.
- Standard Deviation: This measures how much the price is fluctuating away from its average.
The script calculates a ratio between these two measurements. When this ratio falls below a certain threshold, it indicates that the market volatility is abnormally low relative to its historical norm, signaling a "Squeeze."
3. Visual Signaling The script translates these complex calculations into a visual dashboard at the bottom of the trading chart:
- Directional Histograms: Based on the linear regression values, the tool displays different colored bars to indicate whether the momentum is currently positive (upward) or negative (downward).
- Squeeze Alerts: The script utilizes specific markers (arrows) to notify the user when the "Squeeze" conditions are met. Essentially, it highlights moments where the market is coiled like a spring, potentially preparing for a significant move in the direction indicated by the momentum histograms.
Summary for the User
In plain terms, this tool looks at the market's history to see which way it is leaning (Momentum) and simultaneously measures how "tight" the price action is currently squeezed (Volatility). It helps traders stay alert during quiet periods so they can prepare for the explosive moves that often follow a period of low activity.
//+------------------------------------------------------------------+
//|BB_Squeeze_4c_JMA bbsqueeze.mq4 |
//| Copyright © 2005, Nick Bilak, beluck[AT]gmail.com |
//|2007fxtsd enhanced a little bit by CJ Rivas, carlos[AT]vealo.com |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2005, Nick Bilak"
#property link "http://metatrader.50webs.com/"
#property indicator_separate_window
#property indicator_buffers 6
#property indicator_color1 C'36,36,255'
#property indicator_color2 Red
#property indicator_color3 C'0,0,191'
#property indicator_color4 Maroon
#property indicator_color5 Orange
#property indicator_color6 SlateBlue
#property indicator_width1 2
#property indicator_width2 2
#property indicator_width3 2
#property indicator_width4 2
//---- input parameters
extern int LRegrPeriod = 14;
extern int JMAPhase = 0;
extern int bolPrd=20;
extern double bolDev=2.0;
extern int keltPrd=20;
extern double keltFactor=1.5;
extern int MaxBarsToCount =900;
extern bool DataDisplayOff = true;
//extern int momPrd=12;
//---- buffers
double upB[];
double upB2[];
double loB[];
double loB2[];
double upK[];
double loK[];
int i,j,slippage=3;
double breakpoint=0.0;
double ema=0.0;
int peakf=0;
int peaks=0;
int valleyf=0;
int valleys=0, limit=0;
double ccis[61],ccif[61];
double delta=0;
double ugol=0;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
SetIndexStyle(0,DRAW_HISTOGRAM,EMPTY);
SetIndexBuffer(0,upB);
SetIndexEmptyValue(0,EMPTY_VALUE);
SetIndexStyle(1,DRAW_HISTOGRAM,EMPTY);
SetIndexBuffer(1,loB);
SetIndexEmptyValue(1,EMPTY_VALUE);
SetIndexStyle(4,DRAW_ARROW,EMPTY);
SetIndexBuffer(4,upK);
SetIndexEmptyValue(4,EMPTY_VALUE);
SetIndexArrow(4,159);
SetIndexStyle(5,DRAW_ARROW,EMPTY);
SetIndexBuffer(5,loK);
SetIndexEmptyValue(5,EMPTY_VALUE);
SetIndexArrow(5,159);
SetIndexStyle(2,DRAW_HISTOGRAM,EMPTY);
SetIndexEmptyValue(2,EMPTY_VALUE);
SetIndexBuffer(2,upB2);
SetIndexStyle(3,DRAW_HISTOGRAM,EMPTY);
SetIndexEmptyValue(3,EMPTY_VALUE);
SetIndexBuffer(3,loB2);
SetIndexLabel(0,"upB");
SetIndexLabel(1,"loB");
SetIndexLabel(2,"upB2");
SetIndexLabel(3,"loB2");
SetIndexLabel(4,"upK");
// SetIndexLabel(5,"loK");
if (DataDisplayOff)
{
SetIndexLabel(0,"");
SetIndexLabel(1,"");
SetIndexLabel(2,"");
SetIndexLabel(3,"");
SetIndexLabel(4,"");
SetIndexLabel(5,"");
}
IndicatorShortName("BB_Sqz JMA ("+LRegrPeriod+")");
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custor indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int shift, limit=IndicatorCounted();
double diff,d,dPrev, std,bbs;
if (limit<0) return(-1);
if (limit>0) limit--;
limit=MathMin(Bars-limit,MaxBarsToCount);
for (shift=limit;shift>=0;shift--) {
//d=iMomentum(NULL,0,momPrd,PRICE_CLOSE,shift);
d=LinearRegressionValue(LRegrPeriod,shift);
dPrev=LinearRegressionValue(LRegrPeriod,shift+1);
if(d>0) {
if ((dPrev>0) && (dPrev > d))
{ upB2[shift]=d; upB[shift] = 0; }
else { upB[shift]= d; upB2[shift] = 0; }
//upB[shift]=0;
loB[shift]=0;
loB2[shift]=0;
} else {
if ((dPrev<0) && (dPrev < d))
{ loB2[shift]=d; loB[shift] = 0; }
else { loB[shift]= d; loB2[shift] = 0; }
upB[shift]=0;
upB2[shift]=0;
//loB[shift]=d;
}
diff = iATR(NULL,0,keltPrd,shift)*keltFactor;
std = iStdDev(NULL,0,bolPrd,MODE_SMA,0,PRICE_CLOSE,shift);
bbs = bolDev * std / diff;
if(bbs<1) {
upK[shift]=0;
loK[shift]=EMPTY_VALUE;
} else {
loK[shift]=0;
upK[shift]=EMPTY_VALUE;
}
}
return(0);
}
//+------------------------------------------------------------------+
double LinearRegressionValue(int Len,int shift) {
double SumBars = 0;
double SumSqrBars = 0;
double SumY = 0;
double Sum1 = 0;
double Sum2 = 0;
double Slope = 0;
SumBars = Len * (Len-1) * 0.5;
SumSqrBars = (Len - 1) * Len * (2 * Len - 1)/6;
for (int x=0; x<=Len-1;x++) {
double HH = Low[x+shift];
double LL = High[x+shift];
for (int y=x; y<=(x+Len)-1; y++) {
HH = MathMax(HH, High[y+shift]);
LL = MathMin(LL, Low[y+shift]);
}
Sum1 += x* (Close[x+shift]-((HH+LL)/2 + iCustom(NULL,0,"JMA",Len,JMAPhase,0,x+shift))/2);
SumY += (Close[x+shift]-((HH+LL)/2 + iCustom(NULL,0,"JMA",Len,JMAPhase,0,x+shift))/2);
}
Sum2 = SumBars * SumY;
double Num1 = Len * Sum1 - Sum2;
double Num2 = SumBars * SumBars-Len * SumSqrBars;
if (Num2 != 0.0) {
Slope = Num1/Num2;
} else {
Slope = 0;
}
double Intercept = (SumY - Slope*SumBars) /Len;
double LinearRegValue = Intercept+Slope * (Len - 1);
return (LinearRegValue);
}
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