December 2023 updates
December 11, 2023
Liquidity prints and Price based concepts get a visual rehaul. Indicator visuals as well as settings menu are now more structured, clear and distinct. Liquidity prints default visuals are now set to bubbles, taking into account transaction activity at print. This information is useful for distinguishing prints with low participation interest from high participation interest. The bigger the bubble, the higher the transaction activity. Those with affection for lines/nodes are not forgotten! Lines too now visualize transaction activity. The bigger the fill on line, the higher the transaction activity.
Previously implemented backtest metrics were good at telling when indications are clearly not working, but they did not do a very good job at catching the varying chart to chart performance. It was also not that easy to understand what's being measured and why, so we revised. Liquidity prints are backtested using two key metrics, resistance and reversion.
Resistance score is calculated by tracking print highs/lows and measuring how many invalidations occur during backtesting period. Reversion score is calculated by comparing peak trend before print to peak trend after print, resulting in a percentage score indicating how much reversion occurs after a print.
As for Price based concepts, market structure is now backtested using two key metrics, net price change and supportive change. Net change is calculated by cumulating price change on structure states, positive change being added to cumulative counters, negative change subtracted from cumulative counters. Supportive price change is essentially a win rate calculation, indicating how many structure states end with expected net change. All calculations are verifiable and open for inspection by users.
So for both Liquidity prints and Price based concepts we're applying two tests to catch charts where performance is not ideal and warrants our caution. Users can set thresholds for all tests that must be passed to consider performance optimal. When thresholds are not met, an orange dot will appear next to metric tables. By hovering over the dot, we're prompted with a performance summary stating which tests have failed. We also get some additional data by hovering over the tooltips.
Introducing a new way to set alerts. Users can now choose trigger conditions for alerts using settings menu. When set conditions match, an event is triggered. Using Price based concepts as an example, we can configure our alerts based on the following conditions. We can group the conditions based on AND/OR logic. When interpretation is set to AND, set conditions must match simultaneously to cause an event trigger. When set to OR, any of the set conditions being true causes an event trigger. Events can be previewed on chart by ticking "Preview events"
When we have configured our events, we can set alerts for them by choosing respective events via alert menu.
Events also leave a "trace" in the form of a value, which can be set to anything from -1000 to 1000. Event output values will appear on Data Window menu under "Signal output", e.g. bullish market structure shift -> Signal output = 1. We can then take this value and pass it to another indicator, such as backtested strategy and use it as a component in our strategy, e.g. bullish market structure shift = execute a buy order.
Price based concepts: Conditional visibility
Visibility for each pivot type (HH, HL, LL, HL, EQH, EQL) can now be set according to market structure criteria, e.g. show only on upside/downside structure. Each label type can also be disabled separately. This feature can be used to decrease clutter by narrowing down pivot types to ones that represent key information. One example of this is lower highs on an upside structure and higher lows on a downside structure, which can be a precursor to an imminent market structure shift. Idea behind being that these pivots are not constructive/supportive for their market structure states and therefore indicate weakness.
That's a wrap!
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