Bollinger Squeeze v4_001
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This tool is designed to analyze market price behavior by identifying specific trends and detecting periods of extreme market "compression" or lack of volatility. It achieves this by combining linear regression mathematics with standard volatility indicators to provide a visual map of momentum and potential breakout zones.
Core Logic Components
Trend Momentum Tracking The primary function of the script is to calculate a trend value based on Linear Regression. Unlike simple moving averages that just smooth out prices, this logic looks at the relationship between recent price action and historical averages to determine a "slope."
- Visual Representation: The script translates these mathematical calculations into distinct histograms (bars).
- Directional Awareness: It differentiates between rising and falling momentum. If the momentum is increasing, it highlights the growth; if it begins to slow down or reverse, the logic shifts the visual focus to reflect that change in pace. This allows a user to see not just where the price is going, but the strength and "health" of that movement.
The Volatility Squeeze Detection A unique feature of this script is its ability to identify "Squeezes"—periods where market volatility becomes unnaturally low. It does this by comparing two different types of measurements:
- Average True Range (ATR): Which measures the typical distance price moves.
- Standard Deviation: Which measures how much the price deviates from its average.
By calculating a ratio between these two values, the script determines a "Volatility Score." When this score falls below a specific threshold, it indicates that the market is entering a state of compression.
Alerting System To ensure the user doesn't have to watch the screen constantly, the logic includes an automated notification system. When the mathematical conditions for a "Squeeze" are met (meaning the market is becoming extremely quiet and may be preparing for a sharp move), the script can trigger:
- Visual Warnings: Indicators on the chart.
- Audio Alerts: Sound notifications to grab the user's attention.
- Pop-up Alerts: Text boxes appearing on the trading platform.
Summary of User Experience
Essentially, this script acts as a dual-purpose diagnostic tool. It provides a clear visual history of market momentum (telling you "how" the price is moving) while simultaneously acting as a "pressure gauge" (warning you "when" the market is becoming too quiet). For a trader, this helps in identifying moments where the market might be gathering energy for a significant breakout.
//+------------------------------------------------------------------+
//| bbsqueeze.mq4 |
//| Copyright © 2005, Nick Bilak, beluck[AT]gmail.com |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2005, Nick Bilak"
#property link "http://metatrader.50webs.com/"
#property indicator_separate_window
#property indicator_buffers 6
#property indicator_color1 Blue
#property indicator_color2 Red
#property indicator_color3 DarkSlateBlue
#property indicator_color4 FireBrick
#property indicator_color5 LawnGreen
#property indicator_color6 MediumOrchid
//---- input parameters
extern int totalBars=400;
extern int bolPrd=20;
extern double bolDev=2.0;
extern int keltPrd=20;
extern double keltFactor=1.5;
extern int momPrd=12;
extern bool alertBox=false;
extern bool audioAlert=false;
//---- buffers
double upB[];
double loB[];
double upK[];
double loK[];
double upB2[];
double loB2[];
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,0,2);
SetIndexBuffer(0,upB);
SetIndexEmptyValue(0,0);
SetIndexStyle(1,DRAW_HISTOGRAM,0,2);
SetIndexBuffer(1,loB);
SetIndexEmptyValue(1,0);
SetIndexStyle(4,DRAW_ARROW);
SetIndexBuffer(4,upK);
SetIndexEmptyValue(42,0);
SetIndexArrow(4,159);
SetIndexStyle(5,DRAW_ARROW);
SetIndexBuffer(5,loK);
SetIndexEmptyValue(5,EMPTY_VALUE);
SetIndexArrow(5,159);
SetIndexStyle(2,DRAW_HISTOGRAM,0,2);
SetIndexBuffer(2,upB2);
SetIndexEmptyValue(2,0);
SetIndexStyle(3,DRAW_HISTOGRAM,0,2);
SetIndexBuffer(3,loB2);
SetIndexEmptyValue(3,0);
//----
return(0);
}
int start() {
int counted_bars=IndicatorCounted();
int shift,limit;
double diff,d[],std,bbs;
/* if (counted_bars<0) return(-1);
if (counted_bars>0) counted_bars--;
limit=Bars-31;
if(counted_bars>=31) limit=Bars-counted_bars-1;*/
if (counted_bars<0) return(-1);
limit=totalBars; //Bars-31;
ArrayResize(d,limit);
for (shift=limit;shift>=0;shift--) {
/*upB[shift]=0;
upB2[shift]=0;
loB[shift]=0;
loB2[shift]=0;*/
//d[shift]=(iMomentum(NULL,0,momPrd,PRICE_CLOSE,shift) - iMomentum(NULL,0,momPrd,PRICE_CLOSE,shift+1));
d[shift]=LinearRegressionValue(momPrd,shift);
//d[shift]=0;//FindDirection(shift);
if (shift == 1) Print (d[shift]);
if(d[shift]>0) {
if (d[shift] >= d[shift+1]) {
upB[shift]=d[shift];
upB2[shift]=0;
} else {
upB2[shift]=d[shift];
upB[shift]=0;
}
loB[shift]=0;
loB2[shift]=0;
} else if (d[shift] < 0) {
if (d[shift] <= d[shift+1]) {
loB[shift]=d[shift];
loB2[shift]=0;
} else {
loB2[shift]=d[shift];
loB[shift]=0;
}
upB[shift]=0;
upB2[shift]=0;
} else {
upB[shift]=0.01;
upB2[shift]=0.01;
loB[shift]=-0.01;
loB2[shift]=-0.01;
}
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;
if (alertBox == true && shift == 0) Alert("Warning for ", Symbol(), " on ", Period(), " chart!");
if (audioAlert == true && shift == 0) PlaySound("alert.wav");
} else {
loK[shift]=0;
upK[shift]=EMPTY_VALUE;
}
}
return(0);
}
//+------------------------------------------------------------------+
double FindDirection (int i) {
int j;
double val;
double bulls, bears;
for (j=i+8; j>i; j--) {
bulls += High[j]-Close[j];
bears += Close[j]-Low[j];
if (bulls > bears) {
val = 0.5;
} else if (bears > bulls) {
val = -0.5;
}
//sum += (Close[j] - Open[j]);
//val = sum/j;
}
return (val);
}
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 + iMA(NULL,0,Len,0,MODE_EMA,PRICE_CLOSE,x+shift))/2);
SumY += (Close[x+shift]-((HH+LL)/2 + iMA(NULL,0,Len,0,MODE_EMA,PRICE_CLOSE,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;
//debugPrintln(Intercept+" : "+Slope);
double LinearRegValue = Intercept+Slope * (Len - 1);
return (LinearRegValue);
}
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