PriceProbabilities

This signal indicator for automated trading, which provides estimates of the probability of successful buying or selling on each bar. It is based on statistical processing of history and analyzes of price changes in relation to the slots in bars, for which the change occurs. The core of the indicator - the same as in the display PriceProbability for manual trading. Unlike PriceProbability, the indicator is intended to be called from an expert or visual analysis of history.

The indicator 2 indicates the evaluation:

1. Simple quantitative assessment of opportunities to buy or sell (a thin green and red histogram); It can be used as an auxiliary signal or aggressive trade;


2. The probability measure as a ratio of total probabilities enter in the purchase and sale (thick blue and yellow histogram); It can be used as the main signal;

It is important to note that both estimates are non-deterministic. Even with the receipt of the evaluation of about 100%, you can not be sure that the corresponding price movement does occur. Due to the probabilistic nature, each individual signal can work out quite differently, but the general rules of conduct are maintained. Thus, in perspective statistical approach gives more wins than losses.

Options:

• HistoryDepth - the number of bars to calculate statistics; default - 5000; the bigger, the better; you must ensure that there are no holes in the history of the specified number of bars; minimum value - 1000;


• ForecastDepth - the number of bars used for calculating probabilities; analyzes all the intervals of bars until 1 ForecastDepth; ; 100 - by default maximum - 1000; history must contain at least HistoryDepth a plus ForecastDepth bars; NB: in the tester at the start point of testing is available only to about 1000 bars;


• MaxBar - the number of bars, on which the calculation of probabilities and mapping; ; 100 - by default Attention! calculations much CPU intensive, so setting this to 1000 may require up to a minute (Depending on CPU); when calling from expert code put this parameter to 1;


• Offset - the amount of displacement of the bars back in history; Default - 0;


• Divider - factor to accelerate the calculations; default - 1, which means the analysis of the price of each item and provides the greatest accuracy; when the parameter is greater than, e.g., 10, calculations are accelerated to a predetermined number of times, but the results become coarse;


• Mode - calculation mode - one of the two 0 and 1; Default - 0;

The indicator can operate in two modes, selectable via parameter Mode. In mode 0, probabilities are calculated strictly: any change in price in the last ForecastDepth bars refers to the calculation of the purchase or the hypothesis or the hypothesis of the sale depending on the sign. Mode 1 more tricky - it operates independently of the two hypotheses, i.e. Only positive price changes are involved in the calculation of the purchase hypotheses and only negative - in the calculation of the sale of the hypothesis. Mode 0 - versatile, suitable for medium and long-term trading, including in terms of the trend. Mode 1 is suitable for short-term trading in terms of local price fluctuations without clear trend.

The indicator is calculated on each new bar, tics are not processed. 

Recommended timeframes: M15 - H1.