mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-20 03:28:05 +00:00
feat: add new indicators (Decay, Edecay, MinusDi, MinusDm, PlusDi, PlusDm, Maxindex, Minindex, Sarext) and update pine scripts, core libs, validation tests, and python bindings
This commit is contained in:
Miha Kralj
@@ -12,9 +12,8 @@ namespace QuanTAlib;
|
||||
/// <remarks>
|
||||
/// <b>Calculation steps:</b>
|
||||
/// <list type="number">
|
||||
/// <item>highDiff = |High - prevHigh|, lowDiff = |prevLow - Low|</item>
|
||||
/// <item>Inside bar (High < prevHigh AND Low > prevLow) → Temperature = 0</item>
|
||||
/// <item>Otherwise Temperature = max(highDiff, lowDiff)</item>
|
||||
/// <item>highDiff = max(High − prevHigh, 0), lowDiff = max(prevLow − Low, 0)</item>
|
||||
/// <item>Temperature = max(highDiff, lowDiff)</item>
|
||||
/// <item>Signal = EMA(Temperature, period) with bias compensation</item>
|
||||
/// </list>
|
||||
///
|
||||
@@ -271,10 +270,9 @@ public sealed class Etherm : AbstractBase
|
||||
prevL = lastValidLow;
|
||||
}
|
||||
|
||||
double highDiff = Math.Abs(h - prevH);
|
||||
double lowDiff = Math.Abs(prevL - l);
|
||||
bool isInsideBar = h < prevH && l > prevL;
|
||||
temp = isInsideBar ? 0 : Math.Max(highDiff, lowDiff);
|
||||
double highDiff = Math.Max(h - prevH, 0.0);
|
||||
double lowDiff = Math.Max(prevL - l, 0.0);
|
||||
temp = Math.Max(highDiff, lowDiff);
|
||||
}
|
||||
|
||||
if (!double.IsFinite(temp) || temp < 0)
|
||||
@@ -345,10 +343,9 @@ public sealed class Etherm : AbstractBase
|
||||
}
|
||||
else
|
||||
{
|
||||
double highDiff = Math.Abs(high - s.PrevHigh);
|
||||
double lowDiff = Math.Abs(s.PrevLow - low);
|
||||
bool isInsideBar = high < s.PrevHigh && low > s.PrevLow;
|
||||
temp = isInsideBar ? 0 : Math.Max(highDiff, lowDiff);
|
||||
double highDiff = Math.Max(high - s.PrevHigh, 0.0);
|
||||
double lowDiff = Math.Max(s.PrevLow - low, 0.0);
|
||||
temp = Math.Max(highDiff, lowDiff);
|
||||
}
|
||||
|
||||
// NaN/Infinity safety on computed temp
|
||||
|
||||
+70
-220
@@ -2,275 +2,125 @@
|
||||
|
||||
| Property | Value |
|
||||
| ---------------- | -------------------------------- |
|
||||
| **Category** | Volatility |
|
||||
| **Inputs** | OHLCV bar (TBar) |
|
||||
| **Parameters** | `period` (default 22) |
|
||||
| **Outputs** | Single series (Etherm) |
|
||||
| **Output range** | $\geq 0$ |
|
||||
| **Warmup** | `period` bars |
|
||||
| **Category** | Volatility |
|
||||
| **Inputs** | OHLCV bar (TBar) |
|
||||
| **Parameters** | `period` (default 22) |
|
||||
| **Outputs** | Temperature + Signal (EMA) |
|
||||
| **Output range** | $\geq 0$ |
|
||||
| **Warmup** | `period` bars |
|
||||
|
||||
### TL;DR
|
||||
|
||||
- Elder's Thermometer (ETHERM) measures how far today's price bar extends beyond yesterday's range, capturing the maximum absolute expansion in eithe...
|
||||
- Parameterized by `period` (default 22).
|
||||
- Output range: $\geq 0$.
|
||||
- Elder's Thermometer (ETHERM) measures how far today's price bar protrudes beyond yesterday's range, capturing the maximum outward extension in either direction.
|
||||
- Parameterized by `period` (default 22) for the EMA signal line.
|
||||
- Output range: $\geq 0$ (same units as price).
|
||||
- Requires `period` bars of warmup before first valid output (IsHot = true).
|
||||
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
|
||||
|
||||
> "Markets run a fever before they crash. The thermometer tells you when to reach for the aspirin."
|
||||
|
||||
Elder's Thermometer (ETHERM) measures how far today's price bar extends beyond yesterday's range, capturing the maximum absolute expansion in either direction. Developed by Dr. Alexander Elder and described in *Come Into My Trading Room* (2002, p.162), the indicator distinguishes between sleepy, quiet periods and hot episodes when market crowds become excited. The raw thermometer reading is smoothed with an EMA to produce a signal line; when temperature spikes to triple the signal, it flags an explosive move worth fading. At 5 operations per bar for the raw value and O(1) EMA update, ETHERM is among the cheapest volatility measures to compute.
|
||||
Elder's Thermometer (ETHERM) measures bar-to-bar range extension — the maximum outward protrusion of the current bar beyond the previous bar's high or low. Developed by Dr. Alexander Elder, it captures only outward expansions; inward contractions clamp to zero. An EMA signal line with bias compensation provides a smoothed reference for detecting explosive moves (temperature significantly exceeding the signal).
|
||||
|
||||
## Historical Context
|
||||
|
||||
Dr. Alexander Elder, a psychiatrist-turned-trader who emigrated from the Soviet Union in the 1970s, built his reputation on applying behavioral psychology to market analysis. His first book *Trading for a Living* (1993) introduced the Elder-Ray Index and the Triple Screen system. His second, *Come Into My Trading Room* (2002), added the Market Thermometer on page 162, filling a gap he identified: existing volatility tools (ATR, Bollinger Width) measured absolute dispersion, but none specifically isolated the *bar-to-bar range extension* that characterizes crowd excitement.
|
||||
|
||||
Elder's insight was deceptively simple. Adjacent bars in a quiet market overlap. The high barely exceeds yesterday's high; the low barely undercuts yesterday's low. When the crowd gets excited, bars start pushing outside previous ranges. The thermometer captures exactly this phenomenon: how many price units did today's bar extend beyond yesterday's boundaries?
|
||||
|
||||
The formula differs from True Range in a critical way. TR measures the total possible price excursion including gaps (max of H-L, |H-prevC|, |L-prevC|). ETHERM ignores the close entirely and focuses on high-to-high and low-to-low comparisons. A stock that gaps up 5 points but trades within a 1-point range registers TR=5 but ETHERM near zero (assuming yesterday's high was close to today's high). The two indicators answer different questions: TR asks "how far could price have traveled?" while ETHERM asks "how much did today's bar escape yesterday's?"
|
||||
|
||||
Several implementations exist across platforms. The ProRealCode and MotiveWave versions match Elder's original formula precisely. The LightningChart JS version diverges significantly, comparing current bars to N-periods-ago bars rather than the previous bar. This QuanTAlib implementation follows Elder's original specification: previous bar comparison with inside-bar detection.
|
||||
Dr. Alexander Elder introduced the Market Thermometer in *Come Into My Trading Room* (2002) as part of his Triple Screen trading system refinements. Elder observed that bars extending well beyond the prior bar's range signaled heightened volatility — the market "running a fever." The thermometer provides a simple, bar-level volatility measure that distinguishes between outward breakouts and inward consolidation, making it ideal for stop placement and position sizing decisions.
|
||||
|
||||
## Architecture & Physics
|
||||
|
||||
ETHERM has three components: raw temperature calculation, EMA signal smoothing, and threshold detection.
|
||||
ETHERM is a **two-stage pipeline**: a per-bar range-extension measurement followed by an exponential smoother.
|
||||
|
||||
### 1. Raw Temperature Calculation
|
||||
**Stage 1 — Temperature:** For each bar, compute how far the high protrudes above the previous high and how far the low protrudes below the previous low. Only outward extensions count; inward contractions clamp to zero. The temperature is the larger of the two protrusions.
|
||||
|
||||
The thermometer measures the maximum absolute extension beyond the previous bar:
|
||||
**Stage 2 — Signal:** A bias-compensated EMA of the temperature provides a smoothed baseline. The bias compensation ensures accuracy from the first bar by dividing out the geometric decay factor $e_t$, converging to a standard EMA as $e_t \to 0$.
|
||||
|
||||
$$
|
||||
\text{highDiff}_t = |H_t - H_{t-1}|
|
||||
$$
|
||||
### Transfer Function
|
||||
|
||||
$$
|
||||
\text{lowDiff}_t = |L_{t-1} - L_t|
|
||||
$$
|
||||
The signal line is a standard EMA applied to the temperature series:
|
||||
|
||||
Three cases determine the output:
|
||||
$$H(z) = \frac{\alpha}{1 - \beta z^{-1}}, \quad \alpha = \frac{2}{N+1}, \quad \beta = 1 - \alpha$$
|
||||
|
||||
$$
|
||||
T_t = \begin{cases}
|
||||
0 & \text{if } H_t < H_{t-1} \text{ AND } L_t > L_{t-1} \text{ (inside bar)} \\
|
||||
\max(\text{highDiff}_t, \text{lowDiff}_t) & \text{otherwise}
|
||||
\end{cases}
|
||||
$$
|
||||
### Half-Life
|
||||
|
||||
The inside bar case is significant. When today's entire range fits within yesterday's range, there is zero range extension in either direction. The crowd is dormant.
|
||||
$$t_{1/2} = \frac{-\ln 2}{\ln \beta}$$
|
||||
|
||||
### 2. EMA Signal Line
|
||||
For `period = 22`: $\beta \approx 0.913$, $t_{1/2} \approx 7.6$ bars.
|
||||
|
||||
The raw temperature is smoothed with an exponential moving average:
|
||||
### Warmup Period
|
||||
|
||||
$$
|
||||
\alpha = \frac{2}{N + 1}
|
||||
$$
|
||||
|
||||
$$
|
||||
S_t = \alpha \cdot T_t + (1 - \alpha) \cdot S_{t-1}
|
||||
$$
|
||||
|
||||
Default period $N = 22$ (approximately one trading month). The EMA provides a baseline "normal temperature" against which spikes and troughs are measured.
|
||||
|
||||
### 3. Threshold Detection
|
||||
|
||||
Elder defined two key thresholds:
|
||||
|
||||
**Explosive move:** When the thermometer reaches or exceeds the signal multiplied by a factor (default 3.0):
|
||||
|
||||
$$
|
||||
\text{Explosive} = T_t \geq S_t \times M
|
||||
$$
|
||||
|
||||
where $M$ is the multiplier (default 3.0).
|
||||
|
||||
**Idle market:** When the thermometer remains below the signal for a sustained number of consecutive bars (Elder suggested 5-7 bars). This is a secondary signal not computed in the indicator itself but observable from the histogram.
|
||||
|
||||
### 4. First Bar Handling
|
||||
|
||||
For the first bar (no previous bar available):
|
||||
|
||||
$$
|
||||
T_0 = 0
|
||||
$$
|
||||
|
||||
Using `nz(high[1], high)` maps the previous high to today's high, making highDiff and lowDiff both zero. This is correct: with no history, there is no range extension to measure.
|
||||
QuanTAlib uses bias-compensated EMA, which converges after approximately `period` bars. During warmup, outputs are produced but `IsHot` returns false until the compensator $e_t \leq 0.05$.
|
||||
|
||||
## Mathematical Foundation
|
||||
|
||||
### Why Absolute Values?
|
||||
### Step 1: Outward Protrusions
|
||||
|
||||
Consider a bar where today's high is 102 and yesterday's high was 105. The extension is $|102 - 105| = 3$. Without the absolute value, the result would be $-3$, hiding the magnitude. Elder's thermometer cares about *size* of escape, not direction. A 3-point high compression and a 3-point low extension represent equal amounts of crowd activity.
|
||||
$$\text{highDiff}_t = \max(H_t - H_{t-1},\; 0)$$
|
||||
$$\text{lowDiff}_t = \max(L_{t-1} - L_t,\; 0)$$
|
||||
|
||||
### Relationship to True Range
|
||||
### Step 2: Temperature
|
||||
|
||||
True Range and ETHERM share a structural similarity but measure different phenomena:
|
||||
$$T_t = \max(\text{highDiff}_t,\; \text{lowDiff}_t)$$
|
||||
|
||||
| Scenario | TR | ETHERM |
|
||||
| :--- | :--- | :--- |
|
||||
| No gap, wide bar | $H - L$ | $\max(\|H-H_{-1}\|, \|L_{-1}-L\|)$ |
|
||||
| Large gap up, narrow bar | $H - C_{-1}$ (large) | Near 0 (similar H-to-H) |
|
||||
| Breakout bar exceeding prior range | $H - L$ | Large (extension detected) |
|
||||
| Inside bar | $H - L$ (positive) | 0 (no extension) |
|
||||
### Step 3: EMA Signal with Bias Compensation
|
||||
|
||||
ETHERM specifically detects range *expansion*. TR detects total price travel. A market that gaps and then consolidates shows high TR but low ETHERM.
|
||||
$$\text{ema}_t = \beta \cdot \text{ema}_{t-1} + \alpha \cdot T_t$$
|
||||
|
||||
### EMA Warmup Compensation
|
||||
$$e_t = \beta \cdot e_{t-1}, \quad e_0 = 1$$
|
||||
|
||||
The PineScript reference implementation uses warmup-compensated EMA to eliminate initialization bias:
|
||||
$$\text{Signal}_t = \begin{cases} \frac{\text{ema}_t}{1 - e_t} & \text{if } e_t > \epsilon \\ \text{ema}_t & \text{otherwise} \end{cases}$$
|
||||
|
||||
$$
|
||||
e_t = e_{t-1} \cdot (1 - \alpha), \quad e_0 = 1
|
||||
$$
|
||||
|
||||
$$
|
||||
S_{compensated} = \frac{S_{raw}}{1 - e_t} \quad \text{when } e_t > \epsilon
|
||||
$$
|
||||
|
||||
This ensures accurate signal values from the first bar rather than waiting for the EMA to "fill up."
|
||||
|
||||
### Convergence
|
||||
|
||||
For EMA period $N = 22$, $\alpha = 2/23 \approx 0.087$:
|
||||
|
||||
$$
|
||||
\text{WarmupPeriod} \approx \frac{\ln(0.05)}{\ln(1 - \alpha)} \approx \frac{-3.0}{-0.091} \approx 33 \text{ bars}
|
||||
$$
|
||||
|
||||
After 33 bars, the initialization bias drops below 5%.
|
||||
|
||||
### Inside Bar Probability
|
||||
|
||||
In typical equity markets, inside bars occur approximately 15-25% of trading days. The zero-temperature reading for inside bars creates a natural floor that keeps the EMA signal from rising without genuine range extension. This asymmetry is intentional: Elder wanted the thermometer to measure heat, not cold.
|
||||
where $N$ = `period`, $H_t$ = High, $L_t$ = Low, $\epsilon = 10^{-10}$.
|
||||
|
||||
## Performance Profile
|
||||
|
||||
### Operation Count (Streaming Mode, Scalar)
|
||||
### Operation Count (per bar)
|
||||
|
||||
Per-bar operations:
|
||||
| Operation | Count | Notes |
|
||||
| --------------- | ----- | ---------------------------------- |
|
||||
| Subtract | 2 | High/low diffs |
|
||||
| Max | 3 | Clamp to 0 (×2), final max |
|
||||
| FMA | 1 | EMA update |
|
||||
| Multiply | 2 | $\alpha \cdot T$, $\beta \cdot e$ |
|
||||
| Division | 1 | Bias compensation |
|
||||
| Compare/branch | 2 | Finite check, bias threshold |
|
||||
| **Total** | ~11 | O(1) per bar, no allocations |
|
||||
|
||||
| Operation | Count | Cost (cycles) | Subtotal |
|
||||
| :--- | :---: | :---: | :---: |
|
||||
| SUB | 2 | 1 | 2 |
|
||||
| ABS | 2 | 1 | 2 |
|
||||
| CMP | 3 | 1 | 3 |
|
||||
| MAX | 1 | 1 | 1 |
|
||||
| FMA | 1 | 5 | 5 |
|
||||
| MUL | 2 | 3 | 6 |
|
||||
| DIV | 1 | 15 | 15 |
|
||||
| **Total** | **12** | | **~34 cycles** |
|
||||
### SIMD Applicability
|
||||
|
||||
ETHERM is extremely lightweight. No logarithms, no square roots, no transcendental functions. The EMA update dominates at ~60% of total cost.
|
||||
Not beneficial — the recursive EMA dependency prevents vectorization. Each bar depends on the previous bar's state.
|
||||
|
||||
### Batch Mode (512 values, SIMD/FMA)
|
||||
### Memory Layout
|
||||
|
||||
| Operation | Scalar Ops | SIMD Ops (AVX2) | Speedup |
|
||||
| :--- | :---: | :---: | :---: |
|
||||
| Subtractions (H-prevH, prevL-L) | 1024 | 128 | 8x |
|
||||
| Absolute values | 1024 | 128 | 8x |
|
||||
| Comparisons + MAX | 1536 | 192 | 8x |
|
||||
| EMA update | 512 | 512 | 1x (sequential) |
|
||||
|
||||
The raw temperature calculation vectorizes perfectly. The EMA is inherently sequential (each value depends on the previous), limiting overall batch speedup to roughly 3-4x.
|
||||
|
||||
### Memory Profile
|
||||
|
||||
- **Per instance:** ~64 bytes (state struct with prevHigh, prevLow, EMA state, warmup)
|
||||
- **No ring buffer required** (only needs previous bar's high and low)
|
||||
- **100 instances:** ~6.4 KB
|
||||
|
||||
### Quality Metrics
|
||||
|
||||
| Metric | Score | Notes |
|
||||
| :--- | :---: | :--- |
|
||||
| **Accuracy** | 10/10 | Exact calculation, no approximations |
|
||||
| **Timeliness** | 9/10 | Minimal lag; raw value is instantaneous, EMA adds slight delay |
|
||||
| **Smoothness** | 4/10 | Raw thermometer is spiky by design; signal line smooths |
|
||||
| **Simplicity** | 9/10 | Two subtractions, two abs, one max, one EMA |
|
||||
| **Interpretability** | 8/10 | Direct physical meaning: price units of range extension |
|
||||
| Field | Type | Bytes | Purpose |
|
||||
| -------------- | -------- | ----- | ---------------------------- |
|
||||
| `PrevHigh` | `double` | 8 | Previous bar's high |
|
||||
| `PrevLow` | `double` | 8 | Previous bar's low |
|
||||
| `Ema` | `double` | 8 | Running EMA of temperature |
|
||||
| `E` | `double` | 8 | Bias compensator |
|
||||
| `LastValidHigh`| `double` | 8 | NaN fallback for high |
|
||||
| `LastValidLow` | `double` | 8 | NaN fallback for low |
|
||||
| `LastValidTemp`| `double` | 8 | NaN fallback for temperature |
|
||||
| `Count` | `int` | 4 | Bar counter |
|
||||
| **Total** | | 60 | Single cache line |
|
||||
|
||||
## Validation
|
||||
|
||||
ETHERM is not widely implemented in major open-source libraries under a standard name. Most implementations are custom scripts.
|
||||
|
||||
| Library | Status | Notes |
|
||||
| :--- | :---: | :--- |
|
||||
| **TA-Lib** | N/A | Not implemented |
|
||||
| **Skender** | N/A | Not implemented |
|
||||
| **Tulip** | N/A | Not implemented |
|
||||
| **OoplesFinance** | N/A | Not implemented |
|
||||
| **PineScript** | ✅ | Matches etherm.pine reference |
|
||||
| **ProRealCode** | ✅ | Matches Elder's original formula |
|
||||
| **MotiveWave** | ✅ | Confirms formula: "highest absolute difference" |
|
||||
| **Manual** | ✅ | Validated against Elder p.162 formula |
|
||||
|
||||
The absence from standard libraries is unsurprising. ETHERM was published in a trading book, not an academic paper. It lacks the institutional pedigree of Wilder's indicators (ATR, RSI) or Bollinger's Bands. The algorithm is simple enough that most platforms implement it as a custom script rather than a built-in function.
|
||||
| Library | Match | Notes |
|
||||
| -------- | ----- | ---------------------------------------- |
|
||||
| TA-Lib | — | No Elder Thermometer function |
|
||||
| Skender | — | No direct equivalent |
|
||||
| Tulip | — | No direct equivalent |
|
||||
| Self | ✓ | Batch ⟷ streaming ⟷ span consistency |
|
||||
| Pine | ✓ | `etherm.pine` matches C# output |
|
||||
|
||||
## Common Pitfalls
|
||||
|
||||
1. **Confusing ETHERM with ATR**: ATR measures total price excursion including gaps (uses close). ETHERM measures bar-to-bar range extension (ignores close entirely). A large gap-up with a narrow range produces high ATR but near-zero ETHERM. Using one where the other is intended produces meaningfully wrong signals.
|
||||
|
||||
2. **Inside bar handling**: Some implementations omit the inside bar check, computing `max(highDiff, lowDiff)` even when both differences are negative (meaning compression, not expansion). This incorrectly reports range contraction as if it were expansion. Elder's original formula explicitly returns zero for inside bars.
|
||||
|
||||
3. **Absolute value omission**: The formula requires absolute values of the differences. When `Low_today > Low_yesterday`, `Low_yesterday - Low_today` is negative. Without `abs()`, the max function may select highDiff by default even when lowDiff is the dominant extension. Approximately 10-15% of signals will be wrong.
|
||||
|
||||
4. **EMA period sensitivity**: Elder's default of 22 bars (roughly one trading month) works for daily charts. On 5-minute charts, 22 bars spans less than 2 hours. For intraday use, scale the period proportionally: ~250 for 5-min, ~50 for hourly. Using period 22 on intraday data produces an overly responsive signal line.
|
||||
|
||||
5. **Multiplier calibration**: The default 3.0 multiplier for explosive moves was designed for daily equity data in the late 1990s. Crypto and high-volatility assets may need higher multipliers (4.0-5.0) to avoid false positives. Low-volatility instruments (bonds, utilities) may need lower multipliers (2.0-2.5). Test the multiplier against historical data before relying on it.
|
||||
|
||||
6. **Zero-temperature clustering**: Inside bars cluster during consolidation. Extended periods of zero readings followed by a breakout bar produce a spike that appears dramatic relative to the suppressed EMA. This is feature, not bug: Elder designed the indicator to flag exactly this transition. But traders should be aware that the spike magnitude reflects the prior calm as much as the current excitement.
|
||||
|
||||
7. **No directional information**: ETHERM measures magnitude of range extension but not direction. A 10-point extension could be bullish (new highs) or bearish (new lows). Pair ETHERM with directional indicators (Elder-Ray, Impulse System) for complete context.
|
||||
|
||||
## Trading Applications
|
||||
|
||||
### Entry Timing
|
||||
|
||||
Elder's primary recommendation: enter positions when Thermometer < Signal:
|
||||
|
||||
```text
|
||||
If system generates entry signal AND ETHERM < Signal:
|
||||
Execute entry (low slippage environment)
|
||||
If system generates entry signal AND ETHERM > Signal:
|
||||
Wait or reduce size (hot market, slippage likely)
|
||||
```
|
||||
|
||||
### Profit-Taking on Spikes
|
||||
|
||||
Exit (or take partial profits) when Thermometer >= Signal x 3:
|
||||
|
||||
```text
|
||||
If ETHERM >= Signal × multiplier:
|
||||
Take profits on existing positions
|
||||
Panics are short-lived; cash in before reversion
|
||||
```
|
||||
|
||||
### Volatility Regime Filter
|
||||
|
||||
Track consecutive bars below the signal line:
|
||||
|
||||
```text
|
||||
If ETHERM < Signal for 7+ consecutive bars:
|
||||
Market is idle/consolidating
|
||||
Prepare for potential breakout
|
||||
Tighten stops or reduce position size
|
||||
```
|
||||
|
||||
## Relationship to Other Indicators
|
||||
|
||||
| Indicator | Relationship to ETHERM |
|
||||
| :--- | :--- |
|
||||
| **TR** | TR measures total price travel (with gaps); ETHERM measures range extension only |
|
||||
| **ATR** | Smoothed TR; both measure volatility but from different perspectives |
|
||||
| **Elder-Ray** | Bull/Bear Power measures distance from EMA; complements ETHERM's range extension |
|
||||
| **Impulse System** | Directional classification; pair with ETHERM for timing |
|
||||
| **Bollinger Width** | Measures band expansion/contraction; slower-moving volatility gauge |
|
||||
| **ADX** | Trend strength; ETHERM measures volatility regardless of trend |
|
||||
1. **Using close-only data** — ETHERM requires High and Low prices. When fed a single value (TValue), it treats H=L, producing zero temperature. Always use `Update(TBar)`.
|
||||
2. **Confusing temperature with signal** — The `Value` property returns the raw temperature (current bar only); the `Signal` property returns the smoothed EMA. Use signal for trend comparisons.
|
||||
3. **Inside bars** — Both protrusions clamp to zero, so inside bars always produce temperature = 0. This is by design, not a bug.
|
||||
4. **First bar** — No previous bar exists, so temperature = 0. The EMA signal starts building from the second bar.
|
||||
5. **Explosive threshold** — A common strategy is to flag bars where temperature exceeds `Signal × multiplier` (e.g., 3×) as explosive moves.
|
||||
|
||||
## References
|
||||
|
||||
- Elder, A. (2002). *Come Into My Trading Room: A Complete Guide to Trading*. John Wiley & Sons. pp. 162-164.
|
||||
- Elder, A. (1993). *Trading for a Living: Psychology, Trading Tactics, Money Management*. John Wiley & Sons.
|
||||
- Elder, A. (2014). *The New Trading for a Living*. John Wiley & Sons. (Updated treatment of the Thermometer.)
|
||||
- LazyBear. (2015). "Elder's Market Thermometer." TradingView Community Scripts.
|
||||
- MotiveWave Documentation. "Elders Thermometer (THER)." docs.motivewave.com.
|
||||
- **Elder, Alexander** (2002). *Come Into My Trading Room: A Complete Guide to Trading*, Wiley. p. 162.
|
||||
- **Elder, Alexander** (1993). *Trading for a Living*, Wiley. (Earlier discussion of volatility-based stops.)
|
||||
@@ -1,4 +1,4 @@
|
||||
// The MIT License (MIT)
|
||||
// Licensed under the Apache License, Version 2.0
|
||||
// © mihakralj
|
||||
//@version=6
|
||||
indicator("Elder's Thermometer", "ETHERM", overlay=false)
|
||||
@@ -12,14 +12,13 @@ etherm(simple int period) =>
|
||||
runtime.error("Period must be greater than 0")
|
||||
|
||||
// Step 1: Calculate raw thermometer value
|
||||
// Temperature = max(abs(High - prevHigh), abs(prevLow - Low))
|
||||
// Inside bar (High < prevHigh AND Low > prevLow) => 0
|
||||
// Temperature = max of upward high protrusion and downward low protrusion
|
||||
// Only outward extensions count; contractions clamp to zero
|
||||
float prevHigh = nz(high[1], high)
|
||||
float prevLow = nz(low[1], low)
|
||||
float highDiff = math.abs(high - prevHigh)
|
||||
float lowDiff = math.abs(prevLow - low)
|
||||
bool isInsideBar = high < prevHigh and low > prevLow
|
||||
float temp = isInsideBar ? 0.0 : math.max(highDiff, lowDiff)
|
||||
float highDiff = math.max(high - prevHigh, 0.0)
|
||||
float lowDiff = math.max(prevLow - low, 0.0)
|
||||
float temp = math.max(highDiff, lowDiff)
|
||||
|
||||
// Step 2: EMA of thermometer with warmup compensation
|
||||
float alpha = 2.0 / float(period + 1)
|
||||
@@ -51,4 +50,4 @@ color thermColor = isExplosive ? color.red : isHot ? color.orange : color.new(co
|
||||
|
||||
// Plot
|
||||
plot(thermValue, "Thermometer", color=thermColor, style=plot.style_histogram, linewidth=2)
|
||||
plot(signalValue, "Signal", color=color.yellow, linewidth=2)
|
||||
plot(signalValue, "Signal", color=color.yellow, linewidth=2)
|
||||
Reference in New Issue
Block a user