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Miha Kralj
58f0812584
- Implemented Vortex Indicator in Vortex.cs, including calculation logic and event handling. - Added detailed documentation for Vortex Indicator in Vortex.md, covering historical context, algorithm, outputs, and trading interpretation. - Updated oscillators index to include TTM Wave indicator. - Added TTM Wave documentation with algorithm and trading interpretation. - Updated reversals index to include TTM Scalper Alert indicator. - Added TTM Scalper Alert documentation with algorithm and trading strategy. - Updated NDepend badges to reflect increased code metrics (classes, methods, lines of code, public types, comments, and complexity).
2.1 KiB
2.1 KiB
TTM_SQUEEZE: TTM Squeeze
Pending Implementation - Placeholder for John Carter's TTM Squeeze indicator
Historical Context
John Carter developed TTM Squeeze as his signature volatility breakout indicator, popularized through his book Mastering the Trade and thinkorswim platform. The indicator combines Bollinger Bands and Keltner Channels to identify low-volatility "squeeze" conditions that typically precede explosive price moves.
Algorithm
Squeeze Detection
- Squeeze On (●): Bollinger Bands inside Keltner Channel
- Squeeze Off (○): Bollinger Bands outside Keltner Channel
Momentum Histogram
Linear regression of price deviation from 20-period midline:
midline = (Highest(20) + Lowest(20)) / 2
momentum = LinReg(close - midline, 20)
Color Coding
- Cyan: Momentum rising above zero
- Blue: Momentum falling but above zero
- Red: Momentum falling below zero
- Yellow: Momentum rising but below zero
Default Parameters
| Parameter | Value | Description |
|---|---|---|
| BB Length | 20 | Bollinger Band period |
| BB Mult | 2.0 | Bollinger Band standard deviation multiplier |
| KC Length | 20 | Keltner Channel period |
| KC Mult | 1.5 | Keltner Channel ATR multiplier |
Outputs
| Output | Type | Description |
|---|---|---|
| Momentum | double | Linear regression momentum value |
| SqueezeOn | bool | True when BB inside KC |
| MomentumRising | bool | True when momentum increasing |
| MomentumPositive | bool | True when momentum > 0 |
Trading Signals
- Squeeze Fired: First bar where SqueezeOn transitions to false
- Long Entry: Squeeze fires + momentum positive + momentum rising
- Short Entry: Squeeze fires + momentum negative + momentum falling
Category
Dynamics - Measures volatility compression and subsequent momentum release.