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Price-o-Meter Current Price Action Speed Indi
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Author:  RisklessPips [ Mon Jul 18, 2016 2:34 pm ]
Post subject:  Price-o-Meter Current Price Action Speed Indi
Welcome to the Price-o-Meter (price-awe-mit-ah) indicator brought to you by renexxxx and myself RisklessPips.

I took the idea behind this indicator to Rene and he kindly turned it into a working reality for me. Together we are proud to share this indi with members of SHF.

The PoM indicator is quite simple in logic but nonetheless alerts users to unusually fast price movements that require further investigation for either corrective or additive trading decisions.

Definition

PoM is an indicator that tells the user how fast or slow price is currently moving relative to ATR, within a given time frame. That word “currently” is the key defining feature of this indi.

What Does PoM Do?

There are many standard momentum, volatility and rate of change indicators available out there. This indicator resembles some of those with important differences.

ATR tells you how far in Pips you can expect the price to move within a given TF. This has the fundamental weakness that it does not tell you, until some point after the fact, when prices start to move faster (or indeed slower) than would be expected within a time frame.

ROC tells you the rate of price change between now and a previous point in time. A weakness with this is there is no benchmark against which to compare the acceleration or deceleration in price action.

PoM uses a symbol’s ATR for a specific TF as the benchmark for judging price movement. It then calculates, on a continuous basis, the time elapsed since the current price bar started.

Using these two pieces of information, it works out how fast (or slow) price is moving relative to ATR, with reference to the elapsed time since the current bar started.

PoM measures and informs the user about current (i.e immediate) out-of-normal price action acceleration.

This is why PoM compliments both ROC and ATR but is also a stand alone indicator.

Underlying Premise for PoM

All things being equal, one would expect the price for symbol xxxyyy to move (approximately) the ATR distance within the duration of a given time frame.

Price does not move in a rigidly predictable fashion, but neither does it normally move in wildly erratic waves (Unless it is CHF in 2015!!). The ebb and flow are unpredictable but not wild.

For instance - It is clear that price does not normally move most of the ATR distance in the first 10 minutes of an H1 time frame and then slow down for the next 50 minutes. Neither does it move 10% in the first 50 minutes and then another 90% in the last 10.

Similarly, although it would be simplistic to say that price moves 50% of the ATR within the first 30 minutes, and another 50% in the last 30 minutes, a smoothed average would suggest price moves the ATR distance “fairly evenly” over the TF duration. This is the simple premise underlying PoM.

If, for instance on the H1 time frame 10 minutes have elapsed (that is 17% of the time frame has elapsed), and if the price has moved 150% of the ATR for H1 (that is, it has moved one and a half times the recent ATR) then something may be going on that requires investigation.

That rate of movement represents a price speed during the current bar which is accelerating outside the range of what one would normally expect.

In logic terms, PoM measures rate of change in price from the start of the current bar, benchmarked against ATR. It then sets that rate of change against the time elapsed, in the relevant time frame, to discern if price is moving at a pace as would be normally expected.

If price action speed is currently quicker than would be expected, PoM alerts the user so they can do something about it NOW.

Note: Please do not underestimate the power of the simple premise underlying PoM. If you have ever used a Moving Average, you have used a very simple premise which says current price has a relationship with an average of past prices. This is a simple concept and yet it is perhaps the most widely used Technical Analysis indicator in Forex.

Practical Application of PoM
PoM.png
PoM will tell the user

1) If the price speed is higher than would be expected in a long direction by a green background in the relevant symbol and TF cell. (Long means current price is higher than start of bar price)

2) If the price speed is higher than would be expected in a short direction by a red background in the relevant symbol and TF cell. (Short means current price is lower than start of bar price)

3) How much of the TF has elapsed since the current bar started, in percentage terms.

4) PoM Value. This is the percentage of the ATR that price has travelled, from the start of the current bar. If the figure is positive it means price is moving away from the current bar’s starting price in a long direction. If the figure is negative it means the price is moving away from the current bar’s start price in a short direction.

Using these pieces of information, the user can quickly see when a symbol’s current price movement is speeding up as in spiking. They can then either add to their position if the spike is in their direction or close out if the spike is against them.

Pips can be made very quickly, but beware the cautionary warning at the bottom of this post !!

Spikes are not the only occasion when prices speed up.

If a news event or other market moving event occurs, the price may not spike but it may start travelling significantly faster than recent ATR and elapsed time would warrant, in a stable environment. PoM will show the user this non-spiking, yet faster price acceleration and they can, after due diligence, choose whether or not to trade on that information.

Many times (particularly during the Asia session) the matrix may have very few Green or Red cells. This is because during that session prices do not move with the same changes in acceleration per time frame as happens when the Euro and US sessions open.

By watching the matrix over a period of time the user will become aware of the times (in general) when red and green cells are appearing with greater regularity. These are the periods with greater price volatility and where Pips can be mined with greater possibility of success.

Summary

In practical terms the user needs to investigate symbols where the PoM has a Red or Green background and where the PoM% value is significantly divergent from the elapsed time for that TF.

As an example - If elapsed time is 10% and the PoM value for a symbol is 12% there is not a great deal of difference – this is within a reasonable zone of price speed relative to time elapsed.

However, if the elapsed time is say only 20% and the PoM value is 150% then this requires investigation because that price speed is in a zone totally out of character given the shorter elapsed time.

Trade Management Actions

More than just giving a user notice of possible trade entry (or trade addition) points, PoM can be used by manual traders to set better informed stop losses (SL), trailing stops (TS) and take profit (TP) points.

The ATR has long been used as a starting point for SL, TS and TP decisons. With PoM those decisions become better informed based on current market price action conditions.

A symbol whose price is moving faster than would be expected in a particular time frame requires more latitude to give the price room to breathe. Thus even though the ATR is known, if the PoM tells you a price is moving faster than expected, you can put your SL, TS and TP further away from the price action than mere ATR would suggest.

Conversely, if the PoM shows a slower speed for the symbol’s price than would be expected under normal circumstances, tighter stops can be applied.

My installation
My PoM.png
T&C’s

1) This shareware is offered as is with no warranty as to suitability of purpose or with regards to use

2) This shareware may NOT be offered anywhere else, other than on SHF (this) forum.

3) renexxxx wrote this shareware using ideas I presented to him. Any fault in logic is entirely mine.

4) Suggestions for enhancements are welcome on this topic thread. DO NOT bother renexxxx with ideas or suggestions for improvements or enhancements without passing them through this thread first for consideration. Any such abuse of his time will not be looked upon kindly.

Caution / Warning

Rene taught me a lesson about price feeds. Every symbol has its own price feed and these are not synchronised with regards to when a new bar starts for a given TF.

This technical issue, which is beyond our control, has a very short term impact of PoM and the calculations it does at the point when a TF resets to 0% elapsed time.

Because of this small time difference in symbol feeds moving into a new bar, PoM is NOT suitable for use on short TF’s namely M1 and M5 !!!

On M15 and M30 the PoM values can change quickly from fast to normal and vice versa. This can make it difficult to follow signals usefully as trade decision makers.

On H1 and above price action moves somewhat more sedately and good informed trade decisions can be made without undue fear of quick reversals.

Technically you can use PoM on a TF of M15 and M30. However, practically it is best used on H1 and above.

You have been cautioned !!

Enjoy

Charles

======> Edits History Begins Here <======
Update 1
A week has 7 days right ? Not always it seems.

Initially PoM calculated elapsed time for a week based on a 7 day week, but we have now found out our broker (GP) provides streaming candles for 7200 minutes (120 hours, or 5 days).

This was throwing out the elapsed time calculation for the W1 TF. The version of PoM now attached corrects this. I hope it works for all other brokers too. You can test if it is working by doing a calculation for W1 elapsed time as follows.

Using the elapsed time on your instal of PoM for the W1 TF do the following

elapsed time in percentage multiplied by 7200. Divide the answer by 60. That is the number of hours elapsed since the week began if your broker uses 7200 like GP !

Update 2
This is a major update due to the launch success of PoM

PoM now comes in two flavours

1) PoM-Indi – This is an indicator

This is the original indicator with better management of elapsed time calculations. This should now work across all brokers for all the timeframes.

Enhancements - clicking on the pair / TF ATR cell will open a chart for that pair. Set your template in user inputs.

PoM-Indi goes into your indicators folder and works exactly as described above in this post.

User Inputs PoM-Indi
PoM-IndiUser.png
2) PoMTrader – This is the PoM EA

What can I say except Rene has outdone my expectations and delivered a bombshell of an EA.

PoMTrader takes the indi and adds powerful functionality to help users take advantage of
very fast and often short lived price speed movements.

PoMTrader – Trade Entry

1) Allows the user to open a pair / TF chart by clicking on the pair / TF ATR cell. Set your template in user inputs

2) Allows the user to open a long trade at market price with a user set SL and TP in pips by clicking a green coloured PoM value cell

3) Allows the user to open a short trade at market price with a user set SL and TP in pips by clicking a red coloured PoM value cell

PoMTrader – Trade Exit

1) Allows the user to close the open trade at market price by clicking on the relevant PoM value cell again.
Alternatively the trade will be closed upon reaching the TP or SL

Warning on the EA - This has been built to trade ONE trade per pair from the matrix. DO NOT try to open multiple trades, hedges or whatever else you can think of. KISS is the way to go.

User Inputs - PoMTrader
PoMTraderUser.png
See screen shot below for what this EA does.
PoMTrader.png
Update 3
With this update PoMTrader is now fully automatic.

Please read these update notes carefully before attempting to use PoMTrader. No responsibility will be accepted for any mishaps with your account if you use this EA.

PoMTrader has now evolved into a fully automated trader although it retains the semi automatic functionality of its original incarnation.

As a fully automatic trader, PoMTrader will take PoM values, the ATR of the relevant symbols, the elapsed time of the TF’s a user trades and use these pieces of information to open and close trades.

The user inputs are described in the screen shot below. Most are self explanatory, but please do ask if confused or unsure of what they do or mean.

User Inputs
PoMTrader User Inputs.png
PoMTrader has changed from the original semi automatic version in terms of colours and their meanings. See screenshot below.
PoMTrader Auto version.png
Reference Setfile

I also attach my setfile with the other files for PoMTrader below for reference purposes. Below is what my setfile is trading.

Trade Entries

PoMTrader trades at 3 TF’s – 5, 15 and 30 minutes.
I have a requirement that PoMTrader ONLY takes trades if the PoM average value (see screen shot above for where this value is displayed) for the TF has exceeded 50% in an elapsed time of 30% or less.
The EA will only open trades when the PoM value for the symbol and TF is between 50 and 55% of its ATR.

Trade Exits

PoMTrader has these trade exit methods

1) Give me my pips now exit strategy.
On a TF having elapsed a certain percentage close all open trades for that TF that are in profit. In the setfile attached on a TF completing 30% of its duration the EA will start to look for profitable trades at that TF with a value of 0.30 dollars or more.

Rationale : Candles nearly always have wicks which means they do not hit hi/lo at start or end of candle but somewhere in the duration of their life. This exit method allows the user to take profit from the current candle if the defined elapsed time has been achieved AND the trade is in profit to the amount also defined.

2) I made a mistake close me out strategy
Stop loss - This is the exit we don't want but will occur from time to time.

3) Don't be greedy exit strategy 2
Take Profit - This and close strategy 1 above may be very similar in results but whichever is hit first gets the vote

4) I'm fearful of losing any profit exit strategy
Trailing stop – For this the user can apply any of the numerous trade managers available her at SHF.

5)Discretionary exits
Discretionary exits whenever the user deems it necessary.

Caution Depending on user parameter settings and how fast the markets are moving in general, this EA can open one trade per symbol per timeframe.

Do the math – If you display and trade 1 TF with 28 symbols it is possible the EA can open 28 trades if they all hit the entry conditions. If you have 2 TF’s it can double to 56 and so on.

Even though the trader uses the exit methods listed above to close trades on a continuous basis, this can lead to a consumption of your margin at a rate faster than the price action you are trying to capture. You don't want this !

Take a hint. Trade no more than 3 TF’s, with high trade entry hurdles (see the reference setfile and then play around with the values) to restrict the number of trades PoMTrader will open and then take profits as per the exit methods.

If you get stuck with this thing open the Expert advisors properties and set “allow the EA to place trades” variable to false.

Take PoMTrader for a spin on demo and feedback here so we can learn and make adjustments. PoMTrader takes a lot of small pips and using the setfile attached as a starting point you can make adjustments to improve its performance.

If you have any questions or ideas on how to enhance this EA please get posting.

Update 4

Added hedging functionality - For USA traders or others who don't want to hedge, PoM has a user variable that switches this functionality on and off.
PoM has a lot of internal trade management functionality, but some extra auto management is required which is provided by a trade manager found online - details are in the user guide.

Update 5 - 6th Sept 2016

1) SL / TP functionality in PoM is based on ATR. These levels can now be set dynamically as the trading day changes the average ATR for a TF. - Details are in the updated user guide
2) New trade exit strategies - Testing revealed what I already knew but decided to forget - Don't second guess Mr Market. As a result the exit strategies for taking frequent fractions of pips have changed. Full details at bottom of user guide
3) Renee as usual has outdone my expectations and embedded his news filter into PoMTrader. This means that extra volatile scheduled news periods (NFP for instance) can now be filtered out to prevent abnormal trading.
4) PoMTrader now uses Steve's great trade management EA - MPTM. The attached zip directories have the setfiles I am using for this tool for both the hedged and unhedged configurations. Note - PoMTrader has internal capability to manage hedge trades, but due to its current minimum refresh rate of 1 sec, I decided to set the functionality off by using unrealistic parameters (see the setfiles) and instead manage all trades including hedges, by MPTM which can have its refresh rate modified below 1 second.

======> Edits History Ends Here <=======

You do NOT need both the indi and the EA files below - Choose the one that fits in with what you want to do with Price-o-Meter

The indicator is just that. The EA allows you to trade from the display matrix

PoMTrader - This goes in your Experts folder
PoMTrader_V3.5.ex4
PoMTrader Setfiles for non hedged configuration
No Hedge Set files.zip
PoMTrader Setfiles for hedged configuration
Hedge Set files.zip
PoM User Guide
PoM V3.5 User Guide.pdf
Get MPTM from its own thread on this forum

PoM-Indi - This goes in your indicator folder
PoM-Indi.ex4
PoM-Indi Setfile for reference
PoM.set
Author:  RisklessPips [ Mon Jul 18, 2016 2:39 pm ]
Post subject:  Price-o-Meter Current Price Action Speed Indi
PoM-Indi is a great tool for alerting you to unexpectedly quick moves happening NOW.

PoMTrader can be dangerous because the moves are so quick and can reverse with equal suddenness. This is not for widows and orphans.

Please read this link post 2 or 3 times before thinking of using PoMTrader. http://www.stevehopwoodforex.com/phpBB3 ... 30#p143649

I have sequestered this post because I want to use it to demonstrate a few things about PoM as well as give some ideas on how to trade or use this indi to help with your normal trading methods. The stuff that was here is no longer relevant having been fixed in PoM upgrades.

Here is a subtle "artform" in reading PoM
PoMsubtle.png
Notice how in 10% elapsed time of the M15 TF
EURJPY has moved 57% of its ATR in a short direction
AUDCAD has moved 59% of its ATR in a long direction

Now you try it - given the subtle read above what would you make of the shot below ?
PoMsubtle2.png
Author:  RisklessPips [ Mon Jul 18, 2016 6:50 pm ]
Post subject:  Price-o-Meter Current Price Action Speed Indi
I know you cannot see speed in Price Action from a static chart but look at the following shots to see how PoM is telling users about fast price speed and the resultant large move in a short time frame.
EURCAD.png
After an elapsed time of 21% on the M30 chart, EURCAD has posted a 69% price move against ATR in a short direction.

That discrepancy represents a speed of movement out of the ordinary. Lets investigate.
EURCADChart.png
Despite HGI showing a Green Trend arrow, you can see the current bar is a massive short when compared to the previous bars. I know you cannot see from this static shot how fast it was moving, but the fast momentum has led to the big drop in price.

If you had been watching this you could have entered short, added to a short position or exited a long one.

This trade may have lasted only a few minutes - we have no way of knowing what caused the market to move down as quickly as it did for those few minutes- but from start of bar to low point was some 21 pips.
Author:  Boulder [ Mon Jul 18, 2016 7:02 pm ]
Post subject:  Price-o-Meter Current Price Action Speed Indi
Superbe stuff guys! I applaud you :clap: :clap: :clap:
Author:  Eamonn [ Mon Jul 18, 2016 7:11 pm ]
Post subject:  Price-o-Meter Current Price Action Speed Indi
BRILLIANT :clap: :party: :party:
Author:  AZJeff [ Mon Jul 18, 2016 8:23 pm ]
Post subject:  Price-o-Meter Current Price Action Speed Indi
RisklessPips & renexxxx,

This is Very impressive.
Can it worth other ea's say if I had a private ea that wanted to pull information from it?

Regards,
Jeff
Author:  hannele [ Mon Jul 18, 2016 9:46 pm ]
Post subject:  Price-o-Meter Current Price Action Speed Indi
:clap: :clap: :clap: :clap: :clap: :clap: Thank you :smile:
Author:  renexxxx [ Tue Jul 19, 2016 1:09 am ]
Post subject:  Price-o-Meter Current Price Action Speed Indi
RisklessPips » Tue Jul 19, 2016 12:39 am wrote:Renee and I came across a Empty4 anomally in the creation of this indi with regards to when it thinks a W1 time frame starts.
I want to add the following to this, to be more specific:

On Global Prime (eg.) if you now call:

Code: Select all

iTime( _Symbol, PERIOD_W1, 0 )
you get the datetime 17th of July, at 0:00. In other words, Empty4 believes that the weekly candle started on Sunday, 17th, server time. However, the first tick arrived only on the 18th of July, at 0:00 server time. Also, the trading week is not 10080 minutes long (that would translate to 168 hours). Since PoM needs to know what percentage of a week has passed, it needs to figure out the correct time the Weekly candle started and the correct number of hours your br0ker provides streaming candles.

Therefore (for the coders), I came up with the following two functions:

Code: Select all

//+------------------------------------------------------------------+
//| This function returns the datetime of the first H1 candle        |
//| in the trading week                                              |
//+------------------------------------------------------------------+
datetime getWeekStart() {

   datetime startTime = TimeCurrent();
   
   int hourShift = 0;
   datetime hourTime = iTime( _Symbol, PERIOD_H1, hourShift );
   
   datetime prevHourTime = iTime( _Symbol, PERIOD_H1, hourShift+1 );
   while( (hourTime - prevHourTime) < 7200 ) {
      hourShift++;
      hourTime = prevHourTime;
      prevHourTime = iTime( _Symbol, PERIOD_H1, hourShift+1 );
   }
   return(hourTime);
}

//+------------------------------------------------------------------+
//| This function returns the number of minutes there are in         |
//| in the trading week                                              |
//+------------------------------------------------------------------+
int getWeekDuration() {

   int hourShift = 0;
   datetime hourTime = iTime( _Symbol, PERIOD_H1, hourShift );
   
   datetime lastWeek = hourTime - 168*60*60;
   
   while ( hourTime > lastWeek ) {
      hourShift++;
      hourTime = iTime( _Symbol, PERIOD_H1, hourShift );
   }

   return(hourShift*60);
}
I would like to know if someone has a better solution.
Author:  Jemook [ Tue Jul 19, 2016 3:42 am ]
Post subject:  Price-o-Meter Current Price Action Speed Indi
I've been watching this today, very cool concept and well done to the both of you! Will keep an eye on it and see if I can spot any potential trade applications

Cheers
Jeremy
Author:  RisklessPips [ Tue Jul 19, 2016 4:06 am ]
Post subject:  Price-o-Meter Current Price Action Speed Indi
At 7 hrs after the new day started today this is the first thing I saw.

EURNZD moving at PoM above 96% within an elapsed time of just under 30%
EURNZD.png
Here is the chart
EURNZDchart.png
This thing has moved in 7 hrs over 188 Pips

Could you have entered a trade here?
Could you have added to a position here ?

Update

Speed is a fantastic thing - at 8.25 look at what is going on now. PoM reading has risen to 99% i.e this pair has completed its ATR for a daily TF in 35% of the TF .

Will it sit around now doing nothing since it has done its ATR ?
Will it retrace ?
Will it speed further ahead ?

Welcome to the world of Formula 1 speed trading.

Why is this thing moving like this ? I have no clue but I'm guessing some fundamental came out that I haven't had time to read about and weakened NZD. No matter I trade what I see not what I think I know.
EURNZD1.png
And here is the chart - Pips gained now are over 220
EURNZDchart1.png
I do not want to overplay my hand here - just showing what measuring current speed has the potential to do !
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