Tzotchev Trend [MiesOnCharts]
TZOTCHEV TREND
Tzotchev Trend is a trend following oscillator for crypto, built on the trend strength measure from Tzotchev's paper "Designing Robust Trend-Following System". It reads the trend over three lookbacks and averages them into one line from -1 to +1, with a long, short or neutral state on top.
How it works
Each lookback gets its own reading:
t = sqrt(T) x mean return / standard deviation of returns
ST = 2 x N(t) - 1
T is the lookback in bars, the mean and standard deviation come from the log returns inside that lookback, and N is the normal cumulative distribution. t measures how many standard errors the average return sits from zero, and the curve maps that onto a scale from -1 to +1.
The curve flattens at the extremes. Moving from no trend to a clear trend shifts the reading a long way, while moving from a strong trend to a stronger one barely shifts it. Because each lookback is capped this way before the average, one stretched horizon cannot outvote the other two.
Reading it
- Long: the line closes above the long level.
- Short: the line closes below the short level.
- Between the two levels the last state holds, so a reading drifting around zero does not flip on every bar.
The panel shows each lookback's reading next to the average, so you can see whether the horizons agree. The fast and slow lookbacks can be turned off. With only one lookback on, the line is that window's t statistic on a -1 to +1 scale.
Alerts and repainting
There is one alert for long and one for short. The state, candle colours and alerts only change on a closed bar, and a state shown on a past bar does not change afterwards. On the live bar the line itself moves with price.
It is not a complete trading system. Use it alongside your own analysis and risk management.
This script is for informational and educational purposes only and is not financial advice.
Tzotchev Trend is a trend following oscillator for crypto, built on the trend strength measure from Tzotchev's paper "Designing Robust Trend-Following System". It reads the trend over three lookbacks and averages them into one line from -1 to +1, with a long, short or neutral state on top.
How it works
Each lookback gets its own reading:
t = sqrt(T) x mean return / standard deviation of returns
ST = 2 x N(t) - 1
T is the lookback in bars, the mean and standard deviation come from the log returns inside that lookback, and N is the normal cumulative distribution. t measures how many standard errors the average return sits from zero, and the curve maps that onto a scale from -1 to +1.
The curve flattens at the extremes. Moving from no trend to a clear trend shifts the reading a long way, while moving from a strong trend to a stronger one barely shifts it. Because each lookback is capped this way before the average, one stretched horizon cannot outvote the other two.
Reading it
- Long: the line closes above the long level.
- Short: the line closes below the short level.
- Between the two levels the last state holds, so a reading drifting around zero does not flip on every bar.
The panel shows each lookback's reading next to the average, so you can see whether the horizons agree. The fast and slow lookbacks can be turned off. With only one lookback on, the line is that window's t statistic on a -1 to +1 scale.
Alerts and repainting
There is one alert for long and one for short. The state, candle colours and alerts only change on a closed bar, and a state shown on a past bar does not change afterwards. On the live bar the line itself moves with price.
It is not a complete trading system. Use it alongside your own analysis and risk management.
This script is for informational and educational purposes only and is not financial advice.
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。