VTS_TS
Download script
This script is a specialized technical analysis tool designed to identify potential trend reversals or price breakouts by measuring market volatility and "memory." It works by establishing dynamic boundaries around current prices and filtering out market noise to highlight significant structural shifts.
Core Methodology
The logic operates through three distinct phases:
1. Volatility-Based Boundary Creation The tool begins by calculating a "buffer zone" around the current market price. It uses the Average True Range (ATR)—a standard measure of market volatility—to determine how far the price might reasonably swing. By multiplying this volatility by a specific multiplier, the script creates an upper and lower boundary. This essentially defines the "active range" where the price is currently moving relative to its recent history.
2. Recursive Extremum Filtering (The Layering Effect) This is the most complex part of the logic. The script doesn't just look at these boundaries once; it subjects them to a series of repetitive mathematical comparisons. It continuously looks for the highest highs and lowest lows across consecutive data points, stacking these results over dozens of layers.
Think of this like a funnel: each layer smooths out minor price "jitters" while preserving the significant historical peaks and valleys. By the time the data reaches the final layers, it represents a highly refined set of structural extremes that are resistant to minor market noise.
3. Signal Generation (The Trigger) Finally, the script compares the live closing price against these deeply filtered historical extremes. It looks for specific "breakout" conditions:
- Bullish Context: When the current price moves decisively above the calculated upper structural boundary, a signal is generated.
- Bearish Context: When the current price drops below the calculated lower structural boundary, a signal is generated.
Visual Output
Instead of a continuous line, this script communicates with the user via visual markers (arrows) on the chart. These arrows appear at the exact moment the live price breaches these multi-layered historical boundaries, providing a clear visual cue for potential trend changes or significant momentum shifts.
//+------------------------------------------------------------------+
//| VTS.mq4 |
//| |
//+------------------------------------------------------------------+
#define MAXBARSCOUNT 15000
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1 Blue
#property indicator_color2 Red
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
//extern int Sb = 300;
extern int PeriodAtr = 10;
extern double kATR = 2.0;
double VTS[MAXBARSCOUNT];
double VTS1[MAXBARSCOUNT];
double VTS2[MAXBARSCOUNT];
double VTS3[MAXBARSCOUNT];
double VTS4[MAXBARSCOUNT];
double VTS5[MAXBARSCOUNT];
double VTS6[MAXBARSCOUNT];
double VTS7[MAXBARSCOUNT];
double VTS8[MAXBARSCOUNT];
double VTS9[MAXBARSCOUNT];
double VTS10[MAXBARSCOUNT];
double VTS11[MAXBARSCOUNT];
double VTS12[MAXBARSCOUNT];
double VTS13[MAXBARSCOUNT];
double VTS14[MAXBARSCOUNT];
double VTS15[MAXBARSCOUNT];
double VTS16[MAXBARSCOUNT];
double VTS17[MAXBARSCOUNT];
double VTS18[MAXBARSCOUNT];
double VTS19[MAXBARSCOUNT];
double VTS20[MAXBARSCOUNT];
double VTS21[MAXBARSCOUNT];
double VTS22[MAXBARSCOUNT];
double VTS23[MAXBARSCOUNT];
double VTS24[MAXBARSCOUNT];
double VTS25[MAXBARSCOUNT];
double VTS26[MAXBARSCOUNT];
double VTS27[MAXBARSCOUNT];
double VTS28[MAXBARSCOUNT];
double VTS29[MAXBARSCOUNT];
double VTS_TS[MAXBARSCOUNT];
double VTS_TS1[MAXBARSCOUNT];
int init()
{
//---- indicators
IndicatorBuffers(2);
SetIndexBuffer(0, VTS_TS);
SetIndexStyle(0,DRAW_ARROW);
SetIndexArrow(0,159);
SetIndexBuffer(1, VTS_TS1);
SetIndexStyle(1,DRAW_ARROW);
SetIndexArrow(1,159);
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custor indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start() {
int counted_bars=IndicatorCounted();
//----
int StartBars = Bars - counted_bars+1;
//if (StartBars<Sb) StartBars = Sb;
for(int i = StartBars; i>=0; i--){
VTS[i] = (Close[i]-kATR*iATR(NULL,0,PeriodAtr,i));
VTS1[i]= (Close[i]+kATR*iATR(NULL,0,PeriodAtr,i));
}
for(i = StartBars; i>0; i--){
VTS2[i]= MathMax(VTS[i],VTS[i+1]);
VTS3[i]= MathMin(VTS1[i],VTS1[i+1]);
VTS4[i]= MathMax(VTS2[i],VTS2[i+1]);//VTS2[i+1];
VTS5[i]= MathMin(VTS3[i],VTS3[i+1]);//VTS3[i+1];
VTS6[i]= MathMax(VTS4[i],VTS4[i+1]);//VTS4[i+1];
VTS7[i]= MathMin(VTS5[i],VTS5[i+1]);//VTS5[i+1];
VTS8[i]= MathMax(VTS6[i],VTS6[i+1]);//VTS6[i+1];
VTS9[i]= MathMin(VTS7[i],VTS7[i+1]);//VTS7[i+1];
VTS10[i]= MathMax(VTS8[i],VTS8[i+1]);//VTS8[i+1];
VTS11[i]= MathMin(VTS9[i],VTS9[i+1]);//VTS9[i+1];
VTS12[i]= MathMax(VTS10[i],VTS10[i+1]);//VTS10[i+1];
VTS13[i]= MathMin(VTS11[i],VTS11[i+1]);//VTS11[i+1];
VTS14[i]= MathMax(VTS12[i],VTS12[i+1]);//VTS10[i+1];
VTS15[i]= MathMin(VTS13[i],VTS13[i+1]);//VTS11[i+1];
VTS16[i]= MathMax(VTS14[i],VTS14[i+1]);//VTS6[i+1];
VTS17[i]= MathMin(VTS15[i],VTS15[i+1]);//VTS7[i+1];
VTS18[i]= MathMax(VTS16[i],VTS16[i+1]);//VTS6[i+1];
VTS19[i]= MathMin(VTS17[i],VTS17[i+1]);//VTS7[i+1];
VTS20[i]= MathMax(VTS18[i],VTS18[i+1]);//VTS6[i+1];
VTS21[i]= MathMin(VTS19[i],VTS19[i+1]);//VTS7[i+1];
VTS22[i]= MathMax(VTS20[i],VTS20[i+1]);//VTS6[i+1];
VTS23[i]= MathMin(VTS21[i],VTS21[i+1]);//VTS7[i+1];
VTS24[i]= MathMax(VTS22[i],VTS22[i+1]);//VTS6[i+1];
VTS25[i]= MathMin(VTS23[i],VTS23[i+1]);//VTS7[i+1];
VTS26[i]= MathMax(VTS24[i],VTS24[i+1]);//VTS6[i+1];
VTS27[i]= MathMin(VTS25[i],VTS25[i+1]);//VTS7[i+1];
VTS28[i]= MathMax(VTS26[i],VTS26[i+1]);//VTS6[i+1];
VTS29[i]= MathMin(VTS27[i],VTS27[i+1]);//VTS7[i+1];
VTS_TS[i] = VTS_TS[i+1];
VTS_TS1[i] = VTS_TS1[i+1];
if (Close[i]>VTS29[i]) {
VTS_TS[i] = VTS28[i];
VTS_TS1[i] = 0;//VTS_TS[i+1];
}
if (Close[i]<VTS28[i]) {
VTS_TS1[i]= VTS29[i];
VTS_TS[i] = 0;//VTS_TS1[i+1];
}
}//for(i = StartBars; i>0; i--){
//----
return(0);
}
//+------------------------------------------------------------------+
Comments