add TTM Squeeze - Githubissues

DaveSkender / Stock.Indicators

Stock Indicators for .NET is a C# NuGet package that transforms raw equity, commodity, forex, or cryptocurrency financial market price quotes into technical indicators and trading insights. You'll need this essential data in the investment tools that you're building for algorithmic trading, technical analysis, machine learning, or visual charting.

https://dotnet.StockIndicators.dev

Apache License 2.0

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add TTM Squeeze #986

Open sshquack opened 1 year ago

sshquack commented 1 year ago

What is it?
- It is an indicator created by John Carter Simple Trading from the book Mastering the Trade
- When the Keltner channels and with-in the bounds of the Bollinger bands, then the squeeze is considered “on” market is consolidating and when the break-out happens in the direction of the momentum, then the squeeze is considered “off”
Sources
How to?
- Trend spider (alt name BB/KC Squeeze indicator)
- Simple trading by John Carter (original author)
- How to use for options trading - TD Thinkorswim
Implementations
- TradingView by LazyBear - All-time most liked (82k+) script on TV
Components
- Bollinger bands
- Keltner channel
- Momentum oscillator

Rough pseudo-code of the algo

squeezeOn  = (lowerBB > lowerKC) and (upperBB < upperKC)
squeezeOff = (lowerBB < lowerKC) and (upperBB > upperKC)

Example of what it looks like (from TrendSpider)

DaveSkender commented 1 year ago

I've had this one in the backlog for a while. Thanks for the extra info.

sshquack commented 1 year ago

@DaveSkender Forgot to add my context. I've been using the TTM Squeeze for options trading and it's a helpful too in the toolbox!

Also I noticed that the Trading view code uses the Linear regression function for the histogram and looks like TV just uses the least squares method. I noticed you already have the least squares implementation in the Slope.series.cs

Marcusbaker1 commented 1 year ago

@sshquack Thank you for posting this! I read through it and used it on 2 options entries, works quite well! I nailed both trades.

Will be exciting if it makes it into the indicators library.

sshquack commented 1 year ago

@Marcusbaker1 Glad it helped! It was created mainly by an options trader (Joh carter) and works well for options. Also it is THE most popular indicator of all time on TradingView with 87k installs. So I'm looking forward to this getting incorporated into stock-indicators for algos trading too 😊

DaveSkender commented 1 year ago

This or #979 are good ones to contribute if anyone is interested. They're potentially less complex than others.

As an intermediate workaround, since the underlying indicators are already available here for TTM Squeeze, you may also be able to get this working in your wrapper code by just calling the three prerequisites and adding a bit of logic between them.