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Squeeze Momentum Indicator

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Squeeze Momentum Indicator [LazyBear]

Using Squeeze with ADX: http://www.tradethemarkets.com/public/mastering-the-trade-chapter-11-squeeze.cfm
"TTM Squeeze" by John Carter: https://www.youtube.com/watch?v=lbmUfauTGkU
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study(shorttitle = "SQZMOM_LB_yzong", title="Squeeze Momentum Indicator")
 
length = input(20, title="BB Length")
mult = input(2.0,title="BB MultFactor")
lengthKC=input(20, title="KC Length")
multKC = input(1.5, title="KC MultFactor")
adxlen = input(14, title="ADX Smoothing")
dilen = input(14, title="DI Length")
useTrueRange = input(true, title="Use TrueRange (KC)", type=bool)
use_wave_a = input(true, title = "Wave A", type=bool)
use_wave_b = input(false, title = "Wave B", type=bool)
use_wave_c = input(true, title = "Wave C", type=bool)

 
// ******* SQZ_MOM ******* //
// Calculate BB
source = close
basis = sma(source, length)
dev = mult * stdev(source, length)
upperBB = basis + dev
lowerBB = basis - dev
 
// Calculate KC
ma = sma(source, lengthKC)
range = useTrueRange ? tr : (high - low)
rangema = sma(range, lengthKC)
upperKC = ma + rangema * multKC
lowerKC = ma - rangema * multKC

// Calcultae SQZ
sqzOn  = (lowerBB > lowerKC) and (upperBB < upperKC)
sqzOff = (lowerBB < lowerKC) and (upperBB > upperKC)
noSqz  = (sqzOn == false) and (sqzOff == false)
 
val = linreg(source  -  avg(avg(highest(high, lengthKC), lowest(low, lengthKC)),sma(close,lengthKC)),
            lengthKC,0)
 
bcolor = iff( val > 0,
            iff( val > nz(val[1]), lime, green),
            iff( val < nz(val[1]), red, maroon))
scolor = noSqz ? blue : sqzOn ? black : gray

// ******* ADX ******* //
dirmov(len) =>
	up = change(high)
	down = -change(low)
	truerange = rma(tr, len)
	plus = fixnan(100 * rma(up > down and up > 0 ? up : 0, len) / truerange)
	minus = fixnan(100 * rma(down > up and down > 0 ? down : 0, len) / truerange)
	[plus, minus]

adx(dilen, adxlen) => 
	[plus, minus] = dirmov(dilen)
	sum = plus + minus
	adx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)

sig = adx(dilen, adxlen)

// ******* MACD ******* //

// WAVE CALC
// Wave A
fastMA1 = use_wave_a ? ema(close, 8) : na
slowMA1 = use_wave_a ? ema(close, 34) : na
macd1 =  use_wave_a ? fastMA1 - slowMA1 : na
signal1 =  use_wave_a ? ema(macd1, 34) : na
hist1 =  use_wave_a ? macd1 - signal1 : na

fastMA2 = use_wave_a ? ema(close, 8) : na
slowMA2 = use_wave_a ? ema(close, 55) : na
macd2 = use_wave_a ? fastMA2 - slowMA2 : na
signal2 = use_wave_a ? ema(macd2, 55) : na
hist2 = use_wave_a ? macd2 - signal2 : na

// Wave B
fastMA3 = use_wave_b ? ema(close, 8) : na
slowMA3 = use_wave_b ? ema(close, 89) : na
macd3 = use_wave_b ? fastMA3 - slowMA3 : na
signal3 = use_wave_b ? ema(macd3, 89) : na
hist3 = use_wave_b ? macd3 - signal3 : na

fastMA4 = use_wave_b ? ema(close, 8) : na
slowMA4 = use_wave_b ? ema(close, 144) : na
macd4 = use_wave_b ? fastMA4 - slowMA4 : na
signal4 = use_wave_b ? ema(macd4, 144) : na
hist4 = use_wave_b ? macd4 - signal4 : na

// Wave C
fastMA5 = use_wave_c ? ema(close, 8) : na
slowMA5 = use_wave_c ? ema(close, 233) : na
macd5 = use_wave_c ? fastMA5 - slowMA5 : na
signal5 = use_wave_c ? ema(macd5, 233) : na
hist5 = use_wave_c ? macd5 - signal5 : na

fastMA6 = use_wave_c ? ema(close, 8) : na
slowMA6 = use_wave_c ? ema(close, 377) : na
macd6 = use_wave_c ? fastMA6 - slowMA6 : na
signal6 = use_wave_c ? ema(macd6, 377) : na
hist6 = use_wave_c ? macd6 -signal6 : na

// ******* Config ******* //
// if ADX is below 20/25, sequeeze happening
// buy when ADX is up, macd up, val is larger than previous 

// buy order 1: during sqz on
// buy order 2: the first grey after sqz on
// buy order 3: diff(adx) should be larger than > 0.3??? 
buy_order_1 = sqzOn and (sig > nz(sig[1])) and (nz(sig[1]) > nz(sig[2])) and (sig < 25)
buy_order_2 = sqzOff and (sqzOn[1]) and (sig > nz(sig[1])) and (nz(sig[1]) > nz(sig[2])) and (sig < 25)
buy_order_3 = (sig - nz(sig[1])) >= 0.35
buy_order_4 = (sig - nz(sig[2])) >= 0.50
//buy_order = (buy_order_1 or buy_order_2) and buy_order_3 and buy_order_4
buy_order = (buy_order_1 or buy_order_2) and buy_order_4

// go long 1: macd is continuously up in last 3 time bar
// go long 2: val is continuously up in last 3 time bar
// go long 3: val is from red to green
// go long 4: val is from drak green to light green
// go long 5: val diff
// go long 6: macd from - to +
// go long 7: macd from + to ++ or -- to -
// go long 8: macd diff
go_long_1 = (hist1 > nz(hist1[1])) and (nz(hist1[1]) > nz(hist1[2]))
go_long_2 = (val > nz(val[1])) and (val > nz(val[2]))
go_long_3 = val > 0 and nz(val[1]) < 0
go_long_4 = val > 0 and nz(val[1]) > 0 and (val > nz(val[1]))
go_long_5 = abs((val - nz(val[1]))) >= 0.005
buy_call = go_long_1 and go_long_2 and go_long_5 and buy_order

// go short 1: macd is continuously down in last 3 time bar
// go short 2: val is continuously down in last 3 time bar
// go short 3: val is from green to red
// go short 4: val is from drak red to light red
// go short 5: val diff
// go short 6: macd from + to -
// go short 7: macd from ++ to + or - to --
// go short 8: macd diff
go_short_1 = (hist1 < nz(hist1[1])) and (nz(hist1[1]) < nz(hist1[2]))
go_short_2 = (val < nz(val[1])) and (val < nz(val[2]))
go_short_3 = val < 0 and nz(val[1]) > 0
go_short_4 = val < 0 and nz(val[1]) < 0 and (val < nz(val[1]))
go_short_5 = abs((val - nz(val[1]))) >= 0.005

buy_put = go_short_1 and go_short_2 and go_short_5 and buy_order

// PLOT
plot(val, color=bcolor, style=histogram, linewidth=4)
plot(0, color=scolor, style=cross, linewidth=2)
barcolor(buy_call ? black : buy_put ? aqua : na)
//plotshape(buy_call, color=lime, style=shape.arrowup, text="Call")
//plotshape(buy_put, color=red, style=shape.arrowdown, text="Put")


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