OPEN-SOURCE SCRIPT
Roll Spread Estimator [forexobroker]
Roll Spread Estimator implements Roll (1984) — the bid-ask bounce induces negative serial covariance in observed returns. Spread = 2 * sqrt(-cov(r[t], r[t-1])) when cov is negative. Tight spread = liquid market = clean breakouts; wide spread = thin = breakouts to fade. Signals fire on EMA cross during a tight regime. Stacked-flag visual signature distinct from any other hero indicator.
🔶 ALGORITHM
1. r0 = close - close[1]; r1 = close[1] - close[2].
2. cov(r0, r1) = sma(r0 * r1, N) - sma(r0, N) * sma(r1, N).
3. Spread = 2 * sqrt(-cov) when cov < 0; otherwise 0.
4. Quantile q (e.g., 70th percentile) over rolling window.
5. Tight regime when spread <= q.
6. EMA cross within tight fires entries.
🔶 SIGNAL LOGIC
- Buy: tight AND close crosses EMA up AND not already long AND cooldown elapsed AND barstate.isconfirmed.
- Sell: tight AND close crosses EMA down.
- Position-lock state machine.
🔶 INPUTS
- Cov Window (default 40)
- Tight Spread Quantile (default 0.7)
- Pullback EMA Length (default 8)
- Cooldown Bars (default 4)
- Visual: dashboard, glow (3 stacked flags), spread channel, buy / sell colors
🔶 ALERTS
RSE Buy, RSE Sell, RSE Any Signal, RSE Tight Start, RSE Tight End, RSE Bounce, RSE EMA Up, RSE EMA Down, RSE Webhook JSON.
🔶 LIMITATIONS
- Roll's estimator assumes the bid-ask bounce is the dominant source of negative covariance; trend-following autocorrelation can produce positive cov, in which case the estimator is undefined and returns 0.
- Forex and equities show clear bid-ask bounces; pure spot-market crypto is less consistent.
- The stacked-flag visual uses 3 overlapping flags for a thicker appearance — visually distinct but slightly heavier draw.
- Quantile-based threshold means tight is *relative* to recent history, not absolute.
🔶 ALGORITHM
1. r0 = close - close[1]; r1 = close[1] - close[2].
2. cov(r0, r1) = sma(r0 * r1, N) - sma(r0, N) * sma(r1, N).
3. Spread = 2 * sqrt(-cov) when cov < 0; otherwise 0.
4. Quantile q (e.g., 70th percentile) over rolling window.
5. Tight regime when spread <= q.
6. EMA cross within tight fires entries.
🔶 SIGNAL LOGIC
- Buy: tight AND close crosses EMA up AND not already long AND cooldown elapsed AND barstate.isconfirmed.
- Sell: tight AND close crosses EMA down.
- Position-lock state machine.
🔶 INPUTS
- Cov Window (default 40)
- Tight Spread Quantile (default 0.7)
- Pullback EMA Length (default 8)
- Cooldown Bars (default 4)
- Visual: dashboard, glow (3 stacked flags), spread channel, buy / sell colors
🔶 ALERTS
RSE Buy, RSE Sell, RSE Any Signal, RSE Tight Start, RSE Tight End, RSE Bounce, RSE EMA Up, RSE EMA Down, RSE Webhook JSON.
🔶 LIMITATIONS
- Roll's estimator assumes the bid-ask bounce is the dominant source of negative covariance; trend-following autocorrelation can produce positive cov, in which case the estimator is undefined and returns 0.
- Forex and equities show clear bid-ask bounces; pure spot-market crypto is less consistent.
- The stacked-flag visual uses 3 overlapping flags for a thicker appearance — visually distinct but slightly heavier draw.
- Quantile-based threshold means tight is *relative* to recent history, not absolute.
Skrip sumber terbuka
Dalam semangat TradingView sebenar, pencipta skrip ini telah menjadikannya sumber terbuka, jadi pedagang boleh menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupuan anda boleh menggunakan secara percuma, ingat bahawa penerbitan semula kod ini tertakluk kepada Peraturan Dalaman.
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All scripts & content provided by Forexobroker are for informational & educational purposes only.
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.
Skrip sumber terbuka
Dalam semangat TradingView sebenar, pencipta skrip ini telah menjadikannya sumber terbuka, jadi pedagang boleh menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupuan anda boleh menggunakan secara percuma, ingat bahawa penerbitan semula kod ini tertakluk kepada Peraturan Dalaman.
🔵Gain access to our powerful tools : forexobroker.com/tv
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.