Summary:
This indicator script measures the underlying indicator volatility by calculating the standard error around the linear regression line of the past N periods.

Calculation:
Complex, see script.

Developer:
Paul Kirshenbaumm, Phd.

Interpretation:
1. Support: When the underlying indicator is moving downwards towards the indicator script, the underlying indicator is likely to reverse direction and move upwards.
2. Support Broken: When the underlying indicator breaks support by crossing below the indicator script, the underlying indicator is likely to continue moving downwards.

                    
#region Namespaces using System; #endregion namespace ScriptCode { /// <summary> /// Indicator scripts are used for calculating a series of numerical values. /// /// This script can be used in several ways: /// (1) It can be used on a chart. /// (2) It can be used from another script. /// (3) It can be used as a script column in a watchlist. /// </summary> public partial class MyIndicator : IndicatorScriptBase // NEVER CHANGE THE CLASS NAME { #region Variables // Use for the underlying indicator on which to calculate the indicator script. private Indicator _indicator; // Use for the EMA indicator. private Indicator _EMA; // Use for the number of periods to use in the moving average calculation. private int _periods1; // Use for the number of periods to use in the linear regression calculation. private int _periods2; // Use for the number of standard errors. private int _stdErrors; #endregion #region OnInitialize /// <summary> /// This function accepts the user parameters for the script and is called when a new indicator instance is created. /// One of the parameters accepted by it must be that of a symbol or another script that is /// based on a symbol (drawing, indicator, pattern or signal). This symbol will be used as the underlying symbol for the indicator. /// /// The parameter values can be specified from the user interface (UI) or from another script, depending on usage. /// </summary> /// -------------------------------------------------------------------------------------------------- /// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS /// -------------------------------------------------------------------------------------------------- /// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION. /// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION. /// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS. /// REQUIRED ATTRIBUTES: /// (1) name: The exact parameter name. /// (2) type: The type of data to collect from the user: /// Set to "Integer" when the data type is 'int' /// Set to "IntegerArray" when the data type is 'int[]' /// Set to "DateTime" when the data type is 'long' /// Set to "DateTimeArray" when the data type is 'long[]' /// Set to "Boolean" when the data type is 'bool' /// Set to "BooleanArray" when the data type is 'bool[]' /// Set to "Double" when the data type is 'double' /// Set to "DoubleArray" when the data type is 'double[]' /// Set to "String" when the data type is 'string' /// Set to "StringArray" when the data type is 'string[]' /// Set to "Indicator" when the data type is 'Indicator' /// Set to "Pattern" when the data type is 'Pattern' /// Set to "Signal" when the data type is 'Signal' /// Set to "Drawing" when the data type is 'Drawing' /// Set to "Symbol" when the data type is 'int' representing a symbol index. /// OPTIONAL ATTRIBUTES: /// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double or String. /// (4) min: The minimum parameter value is only valid when the type is Integer or Double. /// (5) max: The maximum parameter value is only valid when the type is Integer or Double. /// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param> /// -------------------------------------------------------------------------------------------------- /// <param name="indicator" type="Indicator">Use for the underlying indicator on which to calculate the indicator script.</param> /// <param name="periods1" type="Integer" default="10" min="1">Use for the number of periods to use in the moving average calculation.</param> /// <param name="periods2" type="Integer" default="20" min="1">Use for the number of periods to use in the linear regression calculation.</param> public void OnInitialize( Indicator indicator, int periods1, int periods2) { // Set the indicator. _indicator = indicator; // Set the number of periods for the moving average. _periods1 = periods1; // Set the number of periods for the LR. _periods2 = periods2; // Create the EMA indicator. _EMA = IndicatorEMA(indicator, periods1); } #endregion #region OnBarUpdate /// <summary> /// This function is used for calculating the indicator value for the latest bar (see the Indicator functions). /// </summary> /// <returns>The indicator value for the latest bar.</returns> public override double OnBarUpdate() { // Use for the sum of X times Y, the sum of X, the sum of Y, the sum of X^2 double sumXY = 0; double sumX = 0; double sumY = 0; double sumXPower = 0; // Use for the linear regression calculation. double LR = 0; // Use for the average of the squared errors. double averageError = 0; // Calculate the linear regression and the average of the squared errors. for (int i = _periods2 - 1; i >= 0; i--) { sumXY = 0; sumX = 0; sumY = 0; sumXPower = 0; for (int j = i + _periods2 - 1; j >= i; j--) { sumXY += j * _indicator[j]; sumX += j; sumY += _indicator[j]; sumXPower += j * j; } LR = (sumY - (1 * ((_periods2 * sumXY) - (sumX * sumY)) / (_periods2 * sumXPower - (sumX * sumX))) * sumX) / _periods2; averageError += Math.Pow(_indicator[i] - LR, 2); } // Calculate the average error. averageError = Math.Sqrt(averageError / _periods2); // Calculate the lower band. return _EMA[0] - averageError; } #endregion #region OnChartSetup /// <summary> /// This function is used for setting up the indicator on the chart and registering its pens (see the IndicatorRegisterPen function). /// </summary> public override void OnChartSetup() { // Register a pen. IndicatorRegisterPen(0, "Pen", IQ_Color.DARK_ORANGE, IQ_DashStyle.SOLID, 2); } #endregion #region OnSelectPen /// <summary> /// This function is used for selecting a registered indicator pen with which to color the latest indicator value. /// Call the IndicatorRegisterPen function from the OnChartSetup function in order to register an indicator pen. /// </summary> /// <returns>The indicator pen index to use for coloring the latest indicator value.</returns> public override byte OnSelectPen() { // Color the indicator value with the zero pen. return 0; } #endregion } }

The Automated Trading Software for Hedge Funds and Quants