BB Squeeze Replica For Tradestation

[Soultrader 12]

This is an interesting indicator re-created by other traders on the TS forum. Known as the BB Squeeze Indicator, its concept is based on capturing breakout moves by using the Bollinger Bands and the Keltner Channels.

 

Whenever the Bollinger Bands fall inside the Keltner Channels the indicator will fire a signal. This signal is represented by a red dot on the lower pane.

 

When the Bollinger Bands breakout of the Keltner Channels the indicator fires a squeeze indicated by a blue dot on the lower pane. The trading signal is taken when the blue dot appears after the red dot in the direction of momentum. Momentum is plotted as a histogram. If the momentum is green (up) on a squeeze, this is a long signal. If the momentum is red (down) on a squeeze, this is a short signal.

 

See attachment for a screenshot.

 

Note: Please refer to the Tradestation Forum for the owner of this indicator.

BB_SQUEEZE.ELD

[Freddie 10]

Just taking a look at this indicator and am trying to backtest it in Amibroker. Do you know of a version for Amibroker? Most of it is pretty straight forward; just not sure about the momentum portion and how it is handled.

 

thx,

 

Ed

[Soultrader 12]

No clue Freddie. Youre asking a Tradestation guy

[torero 10]

Has anyone put this backtesting in TS? If not I'm willing to do and share the results with you all. I can convert it into a strategy and see if it's profitable or not. I'll be back on March 7th so I can get started then.

 

I need to get more examples on this indicator so I can have a clear understanding how this works. Any details (links, etc) would greatly help.

 

So I'll start with questions:

 

1) what is considered a dominant momentum? big green histogram? how big and how long is it? Does it have to more of these than red histogram?

2) What about divergence? For example, while prices are making new high, but a green histogram is smaller than the last green histogram peak. Any consideration in that?

3) The signals to trade only when the dots turn blue? Where do we exit? When it turns red?

4) What stops are used? Trailing stops, hard normal stops?

5) Target profits?

6) What timeframes are recommended? Tick or minute charts?

7) What instruments are recommended?

[torero 10]

My initial impression is that from the interpretation and use, there seems to be alot of false signals or that signals fire off but prices stall or just goes the other direction. Prove me wrong.

[walterw 10]

Torero: my experience with this indicator its that you must be a breakout trader... if you are not a breakout trader this indicator its not recomendable... cheers Walter

[Kiwi 16]

To me its like the New Market Paradigm that Walt Downs put together. The bollinger contraction is essentially volatility declining which means that when a breakout occurs it is more likely to continue (volatility expansion/contraction being cyclic).

[Soultrader 12]

I believe the guys over at Trade The Markets use a 5 minute squeeze more often than the others. I personally do not use this indicator but I have seen the 5 minute squeeze give off nice signals before an actual breakdown or breakout.

[torero 10]

It doesn't fly. At least not in putting in a system as instructed specifically by them. Too many false signals despite restricting it to trade only morning, only afternoons, or both. I even optimized the parameters to see if it has some hope of a consistent profitability. Nada. Not sure if I am going put more energy into it.

[Guest FLX]

You have to use this with a trend line break and you might get the result your looking for to trade. What do you do when the BB or macd is Neutralizes that is a valid signal but how can you back test Neutralization in trade station you cant so you have to wait for a trendline break or s/r breaks. (flat lines) If you dont you could miss the trade! If you cant put all the component in to trade station it is not worth back testing.

 

BB in an uptend go's up then flat, goes up than flat, go's up than flat! You get the picture! How do you trade flat ........Trendline breaks! S/R Lines!

[torero 10]

Hi FLX, do you have an example? In charts would be very helpful. I followed strictly the rules of that TTM people gave. Adding other things is a whole new subject. Incorporating trendlines along with Squeeze will be challenging to code.

[dovetree 10]

This may be a difficult question but how do I get this indicator into Tradestation 2000i. ?

 

relatively new to tradestation.

 

Thanks

[Guest FLX]

This is a big subject and something you will have to follow up on due to the vast nature of the trend line, but if you want a good book on the subject look at Tom Demark, The Science of techical Analysis.

If you are not using trendlines you will experience hugh problems determining trendline support and resistence. We have tested all these indicator, but most of the time there late, with a signal to trade so you need a trendline to confirm break out on the 15m and the 60 min. The best example is in choopy market. You must have s/r line and trendlines to confirm breakout. We have wrote our own indicator to avoid this problem. Most of the MACDS are 3 to 5 bars late and the trades are long gone in Most cases.

 

If the macd is turning(not confirmed) you have a trend line break, the trendlline confirmed the move your ready to go what are you going to do wait for the macd that is four bar behind.

 

The biggest mistake a trader can make is not draw fibonacci and trendlines on there chart. Long term and short term DY,WKLY, 240m, 1HR, 15m

 

You dont do what feels good, you do what has to be done! Let the market determine where it will go.

 

I made the mistake last week of determining direction, the direction was correct but it went down 500 dollar before it started to rally.

A simple 60 min trendline would have solved the problem.

 

Always look at the 60 and 15 min trendline!

 

Dont get lock into a direction, let the market tell you the rest of the story.

 

Something i learned if the market moves, (days range 700 points) or more (ER2 Dow SP) the next days volitility is very high and expect major swing in the market the next day.

This is the reason the market went down 300 more than expected!

[walterw 10]

This may be a difficult question but how do I get this indicator into Tradestation 2000i. ?

 

relatively new to tradestation.

 

Thanks

 

Dovee you will have to create an indicator ( name it : _BB Squeeze )and paste this formula, then verify it... try if it works, if it doesnt please tell me.. you may need some functions... should work... cheers Walter.

 

 

[LegacyColorValue = true];

 

 

 

 

{@@14439@@}

{04/05/2006}

//Updated by TradingDude, fixed "division by zero error"

 

{02/16/2005}

{Updated by Redlock}

{

Well, I have been working in this indicator. I have made a couple of changes:

(1) that if the momentum changes direction, it changes color.

(2) I have taken out the plotting of the alertline

(3) have the dots plotted along the axis

(4) Have changed the name of the indicator to BBSqueeze (cuts down on confusion).

 

I think that you will find that it resembles what is on the TTM indicator.}

 

{------------------------------------------------------------------}

{mmillar, 05/12/2005

For anyone interested I made a small change to the indicator(s) above.

I found that the indicator displayed fine for ES, YM etc but screwed up for FX -

this is due to the number of decimal places used by the symbol.

I just added a multiplier so the indicator is normalised across all symbols.

 

Add the following lines...

Vars: LHMult(0);

if ( barnumber=1 ) then Begin

LHMult=pricescale/minmove;

end;

 

And modify the following line so that it includes the LHMult variable...

 

Plot3(value2*LHMult, "NickmNxtMove", color);

 

}

 

{ Bolinger Band Squeeze (BBS) Indicator }

 

{ A variation of an idea by nickm001 (Originally coded by eKam) that when Bollinger Bands (BB) fit inside

the Keltner Channel (KC), a breakout is about to occur. It works on longer term charts, such as

15 minute to daily charts.

 

This code creates an indicator that plots the ratio of BB width to KC width. When BB and KC widths are

the same, the ratio (BBS_Ind)is equal to one (1). When the BB width is less than the KC Width (i.e. BB

fit inside KC), the BBS_Ind is less than one and a breakout is indicated.

 

An Alert Line is provided to indicate the level at which the trader considers that the "sqeeze is on" and

a breakout is eminant.

 

Coded by Kahuna 9/10/2003

 

Added by eKam: 9/10/2003

The average of where price has been relative to the Donchian mid line and Exponential average of the

same length is also plotted as an attempt to predict the direction of the breakout.

 

Added 2/1/2005 For decreasing Delta bar....darker colors to highlight the change.}

 

Inputs: {------------------------------------------------}

Price(Close),

Length(20), { Length for Average True Range (ATR) & Std. Deviation (SD) Calcs }

nK(1.5), { Keltner Channel ATRs from Average }

nBB(2), { Bollinger Band Std. Devs. from Average }

AlertLine( 1 ), { BBS_Index level at which to issue alerts }

NormalColor( Red ), { Normal color for BBS_Ind }

AlertlColor( Blue ); { Color for BBS_Ind below alert line }

 

 

Variables: {---------------------------------------------}

ATR(0), { Average True Range }

SDev(0), { Standard Deviation }

BBS_Ind(0), { Bollinger Band Squeeze Indicator }

alertTextID(-1),

Denom(0),

LHMult(0);

 

 

 

if ( barnumber=1 ) then

Begin

If minmove <> 0 then

LHMult = pricescale/minmove;

end;

 

if barnumber = 1 and alertTextID = -1 then

alertTextID = Text_New(date,time,0,"dummy");

 

{-- Calculate BB Squeeze Indicator ----------------------}

ATR = AvgTrueRange(Length);

SDev = StandardDev(Price, Length, 1);

 

Denom = (nK*ATR);

If Denom <> 0 then

BBS_Ind = (nBB * SDev) /Denom;

 

If BBS_Ind < Alertline then

SetPlotColor(1, NormalColor)

else

SetPlotColor(1, AlertlColor);

 

{-- Plot the Index & Alert Line -------------------------}

Plot1(0, "BBS_Ind");

 

{-- Plot delta of price from Donchian mid line ----------}

value2 = LinearRegValue(price-((Highest(H, Length)+Lowest(L, Length))/2

+ xAverage(c,Length))/2,Length,0);

 

var:color(0); color = yellow;

 

if value2 > 0 then

if value2 > value2[1] then

color = green

else

color = darkgreen;

 

if value2 < 0 then

if value2 < value2[1] then color = red

else

color = darkred;

 

Plot3(value2*LHMult, "NickmNxtMove", color);

{plot3(value2,"BB Squeeze",color);}

 

{-- Issue Alert when the Squeeze is On ------------------}

if BBS_Ind crosses below AlertLine

and Text_GetTime(alertTextID) <> time then

begin

text_setLocation(alertTextID, date, time, 0);

Alert("Check for Squeeze Setups on " + SymbolName);

end;

 

{-- Issue Alert when the Squeeze Releases ---------------}

if BBS_Ind crosses above AlertLine

and Text_GetTime(alertTextID) <> time then

begin

text_setLocation(alertTextID, date, time, 0);

Alert("Squeeze is Over on " + SymbolName);

end;

 

if BBS_Ind crosses below AlertLine then

SetPlotColor(1, Green);

[Guest FLX]

https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=4173&SearchTerm=choas&txtExactMatch=

I dont have time to post this link or indicator on your site but this will help you out a lot, save the time and energy and use this indicator. Choas A/o

I tested this and it work a lot better, use it the same way but has alot better signal. Test it out and let me know if it works better than the bb.

I use it in 5m and 10 min chart and 471TK put up and run with it.

Thanks Mike

[Guest FLX]

Place a momentum indicator over top, the Choas A/O, when it break below.. above the zero line on the Mom ZERO line look to enter off the 5 min Chart. You want the Choas to change Green first or red and moving up/dwn in that direction of the trade at the same time . You can place an order out side the range of the last 5 bar to enter! You had 5 trades on the Em dow on friday! Tell me what you see! Alert Do not trade at 11am thur 13:00 Bad time for indicators......Unless you like Spanked ! Press FLX at the left for a picture image.

[dovetree 10]

Thanks Walter,

 

Will try it

[htptrade 10]

Hi FLX,

I have checked the Chaos indicator and it looks really like the BBSQZ. Since it is a momentum indicator do you use any other indicator to compliment it ?

Thanks

[dovetree 10]

Hi Walter, The code will not verify in 2000i. I think some of the functions are not quite the same, for example it doesn't seem to recognise what the line

"SDev = StandardDev(Price, Length, 1);" is.

either the term Satandarddev or the ( variables in the brackets)

 

Will investigate further but if you have any suggestions I would be grateful.

 

Thanks

[walterw 10]

Hi Walter, The code will not verify in 2000i. I think some of the functions are not quite the same, for example it doesn't seem to recognise what the line

"SDev = StandardDev(Price, Length, 1);" is.

either the term Satandarddev or the ( variables in the brackets)

 

Will investigate further but if you have any suggestions I would be grateful.

 

Thanks

 

 

ok dovee, you have to create a function with the exact name : Standarddev

 

then paste this:

 

{ Standard Deviation of Population or Sample }

 

inputs:

Price( numericseries ),

Length( numericsimple ),

DataType( numericsimple ) ; { pass in 1 if you are working with the entire

population, and 2 if you are working with a sample and want the SD for the

population }

 

Value1 = VariancePS( Price, Length, DataType ) ;

if Value1 > 0 then

StandardDev = SquareRoot( Value1 )

else

StandardDev = 0 ;

 

 

{ ** Copyright © 1991-2003 TradeStation Technologies, Inc. All rights reserved. **

** TradeStation reserves the right to modify or overwrite this analysis technique

with each release. ** }

 

 

 

 

then verify function.... after that go open and an verify again _bbsqueeze indicator... try it if again error tel me maybe need more functions. cheers Walter

[dovetree 10]

Hi Walter, thanks for that. I did just manage to get the other one working by simply removing the "1) in the line. It now works well.

 

 

The Change in colour form red to blue is the squeeze Ind alert, is that correct?

 

Thanks again

[walterw 10]

Hi Walter, thanks for that. I did just manage to get the other one working by simply removing the "1) in the line. It now works well.

 

 

The Change in colour form red to blue is the squeeze Ind alert, is that correct?

 

Thanks again

 

yes dove, the centerline changes color as the bb gets inside or outside keltner, showing market phases... dont take this indicator alone, wont be effective just by itself... its a good indicator to understand market climate (just that)... cheers Walter.

[dovetree 10]

Hi Walter, As I said I'm relatively new to tradestation, so soory for these question but I'm just trying get a handle on what the coding does for this bb Squeeze ind.

Apart from the alert line coloursetc, what term determines the "momentum" part of the indicator. It seems to be "nicknxtmove" but what is the coding for this?

or is this a called function?

[dalby 10]

I trade almost exclusively price action, internals, MP etc. Iow, i don't use lagging indicators.

 

The squeeze indicator is the one exception. I have found it's robust on the 5 min. timeframe, but I do filter trades.

 

For example, if a long squeeze fires above an obvious support level (floor trader pivot) that makes it much more likely i'll take the signal.

 

On the other hand, I won't take it if it is firing long right into a congestion zone or obvious resistance level.

 

I've watched some of the trade the market videos, learned about the indicator, and programmed one into the Quotetracker paintbars.

 

I use it with the understanding that there is no holy grail, and it must be used in conjunction with logical analysis of support/resistance/ and price action.

 

It is true that volatility is much more cyclical and there is more serial correlation in regards to volatility, than price.

 

I think that basic reality is why this indicator works, at least for me

[ygol 10]

Anyone knows if it is possible to have a squeeze for radarscreen? something like ttm with status (squeeze/fired), signal (long/short) and number of bars (it is in squeeze or fired).

 

When adding bbsqueeze to radarscreen, the data doesn't seems to match the infos on a graph.

 

Thank you.