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.
Açık kaynak kodlu komut dosyası
Gerçek TradingView ruhuyla, bu komut dosyasının mimarı, yatırımcıların işlevselliğini inceleyip doğrulayabilmesi için onu açık kaynaklı hale getirdi. Yazarı tebrik ederiz! Ücretsiz olarak kullanabilseniz de, kodu yeniden yayınlamanın Topluluk Kurallarımıza tabi olduğunu unutmayın.
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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.
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, alım satım veya diğer türden tavsiye veya öneriler anlamına gelmez ve teşkil etmez. Kullanım Koşulları bölümünde daha fazlasını okuyun.
Açık kaynak kodlu komut dosyası
Gerçek TradingView ruhuyla, bu komut dosyasının mimarı, yatırımcıların işlevselliğini inceleyip doğrulayabilmesi için onu açık kaynaklı hale getirdi. Yazarı tebrik ederiz! Ücretsiz olarak kullanabilseniz de, kodu yeniden yayınlamanın Topluluk Kurallarımıza tabi olduğunu unutmayın.
🔵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.
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, alım satım veya diğer türden tavsiye veya öneriler anlamına gelmez ve teşkil etmez. Kullanım Koşulları bölümünde daha fazlasını okuyun.