ChrisMoody

_CM_BarRange_Percentile

I know a Trader that went 18 months without a losing trade. This Trader averaged trading 700-800 contracts per month in the Futures markets.

The was not his only system but here were his rules.

He looked at the 60 minute bar and calculated the ranges of the bars over the last 3 months. IF the range of the Bar was Greater Than the 99th Percentile, He would Fade that move or take the trade in the opposite direction.

Thought process is If the Price Bar is Greater Than the 99th Percentile then typically the market reverses. This happens a lot of times at news events. If you’ve studied the markets long enough you know if a Nes based event causes a Huge Move, which we define as Greater than the 99th Percentile, the Market typically moves in the opposite direction.

***This is dependent on the Instrument your trading and the time frame your trading. Some Instruments and time frames this signals a continuation move.

I also added in the Low of the Range based on the 99th Percentile. Often times Low Range Bars…especially if they appear at the top of a swing move, or the bottom of a swing move…create a high probability entry once the High or Low of the bar is taken out in the opposite direction of the previous move…The Low Range bars show indecision after a strong move and create great reversal opportunities.

Works on All Time Frames…again depending on the instrument your trading.

On instruments that MOVE or have High Volatility like Crude and Oil you can get great signals on 1 minute bars.

***Code includes ability to pick ham many bars you want your Look Back Period To Be.
***You can change the percentages to use the 99th Percentile, or 95th percentile, etc…
***The Green Line is the Value of the High Range Percentile.
***The Red Line is the Value of the Low Range Percentile.
***Plots a Magenta Cross on the Red Line if the Range is Below the Low Range Percentile.
***Plots a yellow Cross on the Green Line if the Range is Greater Than the High Range Percentile.
***The Aqua line is the Midpoint of the Range. Or the Average Price Move.
***Colors the Price Bar Yellow if the Range exceeds the High Range Percentile.
***Colors The Bar Magenta if the Range is Less Than the Low Range Percentile

***All parameters can be turned on or off via Check Boxes in the Inputs Tab
Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Want to use this script on a chart?
//Created by ChrisMoody on 6-22-2014
//Plots the High Range of Price bars, based on X Bars Back, converted into a percentile.
//Also plots the Low Range based on the same Criteria mentioned above.  Plots the Midpoint.
//Gives a signal if > than High Range, or < than Low Range.
study(title="_CM_BarRange_Percentile", overlay=false)
lb = input(60, title="Look Back Period (In Bars)")
ph = input(.99, title="Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%")
pl = input(1.01, title="Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%")
hp = input(true, title="Show Value of High Range - Based on Percentile and LookBack Period?")
lp = input(true, title="Show Value of Low Range - Based on Percentile and LookBack Period?")
mp = input(true, title="Show Value of Average Range - Based on Percentile and LookBack Period?")
er = input(true, title="Show Histogram When Range Is Greater Than High Range Percentile?")
lr = input(true, title="Show Histogram When Range Is Less Than Low Range Percentile?")
//Paint Bar Inputs
spbh = input(true, title="Show Paint Bar If Range Is Greater Than High Percentile?")
spbl = input(true, title="Show Paint Bar If Range Is Less Than Low Percentile?")

range = high - low

rangeHigh = (highest(range, lb)) * ph
rangeHighPlot = range > rangeHigh
rangeHighPlot2 = rangeHighPlot * range
rangeLow = (lowest(range, lb))[1] * pl
rangeLowPlot = range < rangeLow
rangeLowPlot2 = rangeLowPlot

//50% Value of Range
averageRange = (rangeHigh + rangeLow)/2
//Paint Bar definitions
isHighPercentile() => rangeHighPlot
isLowPercentile() => rangeLowPlot

circleYPosition = rangeLow
circleYPositionH = rangeHigh

plot(hp and rangeHigh ? rangeHigh : na, title="Range High Percentile", style=line, linewidth=4, color=lime)
plot(er and rangeHighPlot2 ? circleYPositionH : na, title="Signal Greater Than Range High Percentile", style=cross, linewidth=6, color=yellow)
plot(lr and rangeLowPlot2 ? circleYPosition : na, title="Range Low Percentile", style=cross, linewidth=8, color=fuchsia)
plot(lp and rangeLow ? rangeLow : na, title="Range Low Percentile", style=line, linewidth=4, color=red)
plot(lr and rangeLowPlot2 ? circleYPosition : na, title="Signal Less Than Range High Percentile", style=cross, linewidth=8, color=fuchsia)
plot(mp and averageRange ? averageRange : na, title="Range High Percentile", style=circles, linewidth=3, color=aqua)
barcolor(spbh and isHighPercentile() ? yellow : na)
barcolor(spbl and isLowPercentile() ? fuchsia : na)