OPEN-SOURCE SCRIPT
VW-MACD + GARCH Filter [Pointalgo]
Overview
The VW-MACD + GARCH Filter is a high-precision momentum oscillator designed to solve the two biggest weaknesses of the standard MACD: lagging price action and "fakeouts" during low-volatility environments.
By combining Volume-Weighted Moving Averages (VWMA) with a GARCH-based volatility engine, this indicator ensures that signals are only generated when there is significant market participation and expanding volatility.
How It Works
1. Volume-Weighted MACD (VW-MACD): Unlike the standard MACD which only uses price, this version uses VWMA for the fast and slow lines. This gives more weight to price levels with higher trading volume, making the crossovers more representative of institutional "smart money" movement.
2. GARCH Volatility Filter: This is the "brain" of the script. It calculates the conditional variance of returns using a simplified GARCH(1,1) model.
3.Institutional Cloud: A dynamic visual fill between the MACD and Signal line provides an immediate "at-a-glance" look at momentum dominance (Cyan for Bullish, Magenta for Bearish).
Key Features
1. Adaptive Signals: Long/Short circles only appear when a crossover coincides with a volatility expansion.
2. Real-time Dashboard: A sleek UI in the bottom-right corner displays the current state of the GARCH filter.
3. Momentum Acceleration Colors: The histogram features "Grow" and "Fade" colors to show when a trend is gaining strength or losing steam.
How to Use
1. Long Entry: Look for a Cyan circle at the bottom. This confirms a bullish VW-MACD cross while volatility is rising.
2. Short Entry: Look for a Red circle at the top. This confirms a bearish VW-MACD cross while volatility is rising.
3. Trend Following: Stay with the trade as long as the "Momentum Cloud" maintains its color and the histogram stays in the "Grow" shade.
Disclaimer :
1. Open Source: This code is published under the Mozilla Public License 2.0.
2. No Financial Advice: This indicator is for educational purposes only. Past performance does not guarantee future results.
3. Originality: This script combines traditional volume-weighting techniques with econometric volatility modeling (GARCH) to provide a unique filtering mechanism.
The VW-MACD + GARCH Filter is a high-precision momentum oscillator designed to solve the two biggest weaknesses of the standard MACD: lagging price action and "fakeouts" during low-volatility environments.
By combining Volume-Weighted Moving Averages (VWMA) with a GARCH-based volatility engine, this indicator ensures that signals are only generated when there is significant market participation and expanding volatility.
How It Works
1. Volume-Weighted MACD (VW-MACD): Unlike the standard MACD which only uses price, this version uses VWMA for the fast and slow lines. This gives more weight to price levels with higher trading volume, making the crossovers more representative of institutional "smart money" movement.
2. GARCH Volatility Filter: This is the "brain" of the script. It calculates the conditional variance of returns using a simplified GARCH(1,1) model.
- Signals Armed: If GARCH volatility is rising above its 20-period average, the market is entering a state of expansion. Signals are permitted.
- Filter Blocked: If volatility is contracting, the script filters out signals to prevent being "chopped up" in a sideways market.
3.Institutional Cloud: A dynamic visual fill between the MACD and Signal line provides an immediate "at-a-glance" look at momentum dominance (Cyan for Bullish, Magenta for Bearish).
Key Features
1. Adaptive Signals: Long/Short circles only appear when a crossover coincides with a volatility expansion.
2. Real-time Dashboard: A sleek UI in the bottom-right corner displays the current state of the GARCH filter.
3. Momentum Acceleration Colors: The histogram features "Grow" and "Fade" colors to show when a trend is gaining strength or losing steam.
How to Use
1. Long Entry: Look for a Cyan circle at the bottom. This confirms a bullish VW-MACD cross while volatility is rising.
2. Short Entry: Look for a Red circle at the top. This confirms a bearish VW-MACD cross while volatility is rising.
3. Trend Following: Stay with the trade as long as the "Momentum Cloud" maintains its color and the histogram stays in the "Grow" shade.
Disclaimer :
1. Open Source: This code is published under the Mozilla Public License 2.0.
2. No Financial Advice: This indicator is for educational purposes only. Past performance does not guarantee future results.
3. Originality: This script combines traditional volume-weighting techniques with econometric volatility modeling (GARCH) to provide a unique filtering mechanism.
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Unlock powerful tools & indicators → pointalgo.com
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Unlock powerful tools & indicators → pointalgo.com
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.