// This source code is subject to the terms of the Mozilla Public License 2.

0 at
https://mozilla.org/MPL/2.0/
// � dineeshk

//@version=4

study("HVSD-SSL", overlay=true)

show_Baseline = input(title="Show Baseline", type=input.bool, defval=true)

show_SSL1 = input(title="Show SSL1", type=input.bool, defval=false)
show_atr = input(title="Show ATR bands", type=input.bool, defval=true)
//ATR
atrlen = input(14, "ATR Period")
mult = input(1, "ATR Multi", step=0.1)
smoothing = input(title="ATR Smoothing", defval="WMA", options=["RMA", "SMA",
"EMA", "WMA"])

ma_function(source, atrlen) =>

if smoothing == "RMA"
rma(source, atrlen)
else
if smoothing == "SMA"
sma(source, atrlen)
else
if smoothing == "EMA"
ema(source, atrlen)
else
wma(source, atrlen)
atr_slen = ma_function(tr(true), atrlen)
////ATR Up/Low Bands
upper_band = atr_slen * mult + close
lower_band = close - atr_slen * mult

////BASELINE / SSL1 / SSL2 / EXIT MOVING AVERAGE VALUES

maType = input(title="SSL1 / Baseline Type", type=input.string, defval="HMA",
options=["SMA","EMA","DEMA","TEMA","LSMA","WMA","MF","VAMA","TMA","HMA", "JMA",
"Kijun v2", "EDSMA","McGinley"])
len = input(title="SSL1 / Baseline Length", defval=60)

SSL2Type = input(title="SSL2 / Continuation Type", type=input.string, defval="JMA",

options=["SMA","EMA","DEMA","TEMA","WMA","MF","VAMA","TMA","HMA",
"JMA","McGinley"])
len2 = input(title="SSL 2 Length", defval=5)
//
SSL3Type = input(title="EXIT Type", type=input.string, defval="HMA",
options=["DEMA","TEMA","LSMA","VAMA","TMA","HMA","JMA", "Kijun v2", "McGinley",
"MF"])
len3 = input(title="EXIT Length", defval=15)
src = input(title="Source", type=input.source, defval=close)

//
tema(src, len) =>
ema1 = ema(src, len)
ema2 = ema(ema1, len)
ema3 = ema(ema2, len)
(3 * ema1) - (3 * ema2) + ema3
kidiv = input(defval=1,maxval=4, title="Kijun MOD Divider")

jurik_phase = input(title="* Jurik (JMA) Only - Phase", type=input.integer,

defval=3)
jurik_power = input(title="* Jurik (JMA) Only - Power", type=input.integer,
defval=1)
volatility_lookback = input(10, title="* Volatility Adjusted (VAMA) Only -
Volatility lookback length")
//MF
beta = input(0.8,minval=0,maxval=1,step=0.1, title="Modular Filter, General Filter
Only - Beta")
feedback = input(false, title="Modular Filter Only - Feedback")
z = input(0.5,title="Modular Filter Only - Feedback Weighting",step=0.1, minval=0,
maxval=1)
//EDSMA
ssfLength = input(title="EDSMA - Super Smoother Filter Length", type=input.integer,
minval=1, defval=20)
ssfPoles = input(title="EDSMA - Super Smoother Filter Poles", type=input.integer,
defval=2, options=[2, 3])

//----

//EDSMA
get2PoleSSF(src, length) =>
PI = 2 * asin(1)
arg = sqrt(2) * PI / length
a1 = exp(-arg)
b1 = 2 * a1 * cos(arg)
c2 = b1
c3 = -pow(a1, 2)
c1 = 1 - c2 - c3

ssf = 0.0
ssf := c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])

get3PoleSSF(src, length) =>

PI = 2 * asin(1)

arg = PI / length
a1 = exp(-arg)
b1 = 2 * a1 * cos(1.738 * arg)
c1 = pow(a1, 2)

coef2 = b1 + c1
coef3 = -(c1 + b1 * c1)
coef4 = pow(c1, 2)
coef1 = 1 - coef2 - coef3 - coef4

ssf = 0.0
ssf := coef1 * src + coef2 * nz(ssf[1]) + coef3 * nz(ssf[2]) + coef4 *
nz(ssf[3])

ma(type, src, len) =>

float result = 0
if type=="TMA"
result := sma(sma(src, ceil(len / 2)), floor(len / 2) + 1)
if type=="MF"
ts=0.,b=0.,c=0.,os=0.
//----
alpha = 2/(len+1)
a = feedback ? z*src + (1-z)*nz(ts[1],src) : src
//----
 b := a > alpha*a+(1-alpha)*nz(b[1],a) ? a : alpha*a+(1-alpha)*nz(b[1],a)
c := a < alpha*a+(1-alpha)*nz(c[1],a) ? a : alpha*a+(1-alpha)*nz(c[1],a)
os := a == b ? 1 : a == c ? 0 : os[1]
//----
upper = beta*b+(1-beta)*c
lower = beta*c+(1-beta)*b
ts := os*upper+(1-os)*lower
result := ts
if type=="LSMA"
result := linreg(src, len, 0)
if type=="SMA" // Simple
result := sma(src, len)
if type=="EMA" // Exponential
result := ema(src, len)
if type=="DEMA" // Double Exponential
e = ema(src, len)
result := 2 * e - ema(e, len)
if type=="TEMA" // Triple Exponential
e = ema(src, len)
result := 3 * (e - ema(e, len)) + ema(ema(e, len), len)
if type=="WMA" // Weighted
result := wma(src, len)
if type=="VAMA" // Volatility Adjusted
/// Copyright � 2019 to present, Joris Duyck (JD)
mid=ema(src,len)
dev=src-mid
vol_up=highest(dev,volatility_lookback)
vol_down=lowest(dev,volatility_lookback)
result := mid+avg(vol_up,vol_down)
if type=="HMA" // Hull
result := wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len)))
if type=="JMA" // Jurik
/// Copyright � 2018 Alex Orekhov (everget)
/// Copyright � 2017 Jurik Research and Consulting.
phaseRatio = jurik_phase < -100 ? 0.5 : jurik_phase > 100 ? 2.5 :
jurik_phase / 100 + 1.5
beta = 0.45 * (len - 1) / (0.45 * (len - 1) + 2)
alpha = pow(beta, jurik_power)
jma = 0.0
e0 = 0.0
e0 := (1 - alpha) * src + alpha * nz(e0[1])
e1 = 0.0
e1 := (src - e0) * (1 - beta) + beta * nz(e1[1])
e2 = 0.0
e2 := (e0 + phaseRatio * e1 - nz(jma[1])) * pow(1 - alpha, 2) + pow(alpha,
2) * nz(e2[1])
jma := e2 + nz(jma[1])
result := jma
if type=="Kijun v2"
kijun = avg(lowest(len), highest(len))//, (open + close)/2)
conversionLine = avg(lowest(len/kidiv), highest(len/kidiv))
delta = (kijun + conversionLine)/2
result :=delta
if type=="McGinley"
mg = 0.0
mg := na(mg[1]) ? ema(src, len) : mg[1] + (src - mg[1]) / (len *
pow(src/mg[1], 4))
result :=mg
if type=="EDSMA"
 zeros = src - nz(src[2])
avgZeros = (zeros + zeros[1]) / 2

// Ehlers Super Smoother Filter

ssf = ssfPoles == 2
? get2PoleSSF(avgZeros, ssfLength)
: get3PoleSSF(avgZeros, ssfLength)

// Rescale filter in terms of Standard Deviations

stdev = stdev(ssf, len)
scaledFilter = stdev != 0
? ssf / stdev
: 0

alpha = 5 * abs(scaledFilter) / len

edsma = 0.0
edsma := alpha * src + (1 - alpha) * nz(edsma[1])
result := edsma
result

///SSL 1 and SSL2

emaHigh = ma(maType, high, len)
emaLow = ma(maType, low, len)

maHigh = ma(SSL2Type, high, len2)

maLow = ma(SSL2Type, low, len2)

///EXIT
ExitHigh = ma(SSL3Type, high, len3)
ExitLow = ma(SSL3Type, low, len3)

///Keltner Baseline Channel

BBMC = ma(maType, close, len)
useTrueRange = input(true)
multy = input(0.2, step=0.05, title="Base Channel Multiplier")
Keltma = ma(maType, src, len)
range = useTrueRange ? tr : high - low
rangema = ema(range, len)
upperk =Keltma + rangema * multy
lowerk = Keltma - rangema * multy

//Baseline Violation Candle

open_pos = open*1
close_pos = close*1
difference = abs(close_pos-open_pos)
atr_violation = difference > atr_slen
InRange = upper_band > BBMC and lower_band < BBMC
candlesize_violation = atr_violation and InRange
plotshape(candlesize_violation, color=color.white,
size=size.tiny,style=shape.diamond, location=location.top, transp=0,title="Candle
Size > 1xATR")

//SSL1 VALUES
Hlv = int(na)
Hlv := close > emaHigh ? 1 : close < emaLow ? -1 : Hlv[1]
sslDown = Hlv < 0 ? emaHigh : emaLow
//SSL2 VALUES
Hlv2 = int(na)
Hlv2 := close > maHigh ? 1 : close < maLow ? -1 : Hlv2[1]
sslDown2 = Hlv2 < 0 ? maHigh : maLow

//EXIT VALUES
Hlv3 = int(na)
Hlv3 := close > ExitHigh ? 1 : close < ExitLow ? -1 : Hlv3[1]
sslExit = Hlv3 < 0 ? ExitHigh : ExitLow
base_cross_Long = crossover(close, sslExit)
base_cross_Short = crossover(sslExit, close)
codiff = base_cross_Long ? 1 : base_cross_Short ? -1 : na

//COLORS
show_color_bar = input(title="Color Bars", type=input.bool, defval=true)
color_bar = close > upperk ? #00c3ff : close < lowerk ? #ff0062 : color.gray
color_ssl1 = close > sslDown ? #00c3ff : close < sslDown ? #ff0062 : na

//PLOTS
plotarrow(codiff, colorup=#00c3ff, colordown=#ff0062,title="Exit Arrows",
transp=20, maxheight=20, offset=0)
p1 = plot(show_Baseline ? BBMC : na, color=color_bar, linewidth=4,transp=0,
title='MA Baseline')
DownPlot = plot( show_SSL1 ? sslDown : na, title="SSL1", linewidth=3,
color=color_ssl1, transp=10)
barcolor(show_color_bar ? color_bar : na)
up_channel = plot(show_Baseline ? upperk : na, color=color_bar, title="Baseline
Upper Channel")
low_channel = plot(show_Baseline ? lowerk : na, color=color_bar, title="Basiline
Lower Channel")
fill(up_channel, low_channel, color=color_bar, transp=90)

////SSL2 Continiuation from ATR

atr_crit = input(0.9, step=0.1, title="Continuation ATR Criteria")
upper_half = atr_slen * atr_crit + close
lower_half = close - atr_slen * atr_crit
buy_inatr = lower_half < sslDown2
sell_inatr = upper_half > sslDown2
sell_cont = close < BBMC and close < sslDown2
buy_cont = close > BBMC and close > sslDown2
sell_atr = sell_inatr and sell_cont
buy_atr = buy_inatr and buy_cont
atr_fill = buy_atr ? color.green : sell_atr ? color.purple : color.white
LongPlot = plot(sslDown2, title="SSL2", linewidth=2, color=atr_fill,
style=plot.style_circles, transp=0)
u = plot(show_atr ? upper_band : na, "+ATR", color=color.white, transp=80)
l = plot(show_atr ? lower_band : na, "-ATR", color=color.white, transp=80)

//ALERTS
alertcondition(crossover(close, sslDown), title='SSL Cross Alert', message='SSL1
has crossed.')
alertcondition(crossover(close, sslDown2), title='SSL2 Cross Alert', message='SSL2
has crossed.')
alertcondition(sell_atr, title='Sell Continuation', message='Sell Continuation.')
alertcondition(buy_atr, title='Buy Continuation', message='Buy Continuation.')
alertcondition(crossover(close, sslExit), title='Exit Sell', message='Exit Sell
Alert.')
alertcondition(crossover(sslExit, close), title='Exit Buy', message='Exit Buy
Alert.')
alertcondition(crossover(close, upperk ), title='Baseline Buy Entry', message='Base
Buy Alert.')
alertcondition(crossover(lowerk, close ), title='Baseline Sell Entry',
message='Base Sell Alert.')

//
***********************************************************************************
*******************Dinesh

// === INPUTS
useDaily = input(true, title="Use Daily Data to Calculate HV (default), otherwise
chart TF")
LookBack = input(21, minval=1, type=input.integer)
annual = input(252, minval=1, type=input.integer)
DaystoExpire_ = input(defval=0, minval=0, type=input.integer, title="Calender Days
to Expiry (0=Auto, default)")
src1 = input(close, title="Settlement Source (close=default)")
sLength_ = input(1, minval=1, type=input.integer, title="Settlement Volume Weighted
Average Length (1=Use end of day)")
//
stddev1 = input(true, title="Display 1x Standard Deviation Levels")
stddev2 = input(false, title="Display 2x Standard Deviation Levels")
stddev3 = input(false, title="Display 3x Standard Deviation Levels")
pivotNow = input(false, title="Display Only Todays Deviation Levels")
sHiLo = input(false, title="Show Previous Day's High Low Levels")
sHiLoNow = input(false, title="Show Current Day's Running High Low Levels")
//
// === /INPUTs
dodgerblue = #1E90FF
//
// Test for new Daily Session or start of new month for Daily.
sLength = timeframe.isintraday ? sLength_ : 1
nstart = security(syminfo.tickerid, "D", bar_index, barmerge.gaps_off,
barmerge.lookahead_on)
start = security(syminfo.tickerid, "D", time, barmerge.gaps_off,
barmerge.lookahead_on)
first = security(syminfo.tickerid, "D", valuewhen(barstate.islast, time, 0),
barmerge.gaps_off, barmerge.lookahead_on)

nohist = nstart <= max(sLength, LookBack) + 1

change_1 = change(start)
newDay = nohist ? false :
timeframe.isintraday ? change_1 : dayofmonth(time) < dayofmonth(time[1])

// Calculate Annualised Volatility

hv = 0.0
stdev_1 = stdev(log(src1 / src1[1]), LookBack)
security_1 = security(syminfo.tickerid, "D", stdev_1 * sqrt(annual),
barmerge.gaps_off, barmerge.lookahead_on)
stdev_2 = stdev(log(src1 / src1[1]), LookBack)
hv_ = useDaily ? security_1 : stdev_2 * sqrt(annual)
hv := newDay ? hv_ : nz(hv[1], hv_)
hinow = high
hinow := newDay ? high : high > hinow[1] ? high : hinow[1]
lonow = low
lonow := newDay ? low : low < lonow[1] ? low : lonow[1]

prevhi = valuewhen(newDay, hinow[1], 0)

prevlo = valuewhen(newDay, lonow[1], 0)

// get the Daily Settlement

valuewhen_1 = valuewhen(start[1] <= time, src1, 0)
vwma_1 = vwma(src1[1], sLength)
settlement = sLength == 1 ? valuewhen_1 : vwma_1
settlement := newDay ? settlement : nz(settlement[1], open[1])

//--- debug
//plotchar(n,title="n",location=location.bottom,color=na)
//plotchar(nstart,title="nstart",location=location.bottom,color=na)
//plotchar(nohist,title="noHist",location=location.bottom,color=na)
//plotchar(dayofmonth(start),title="startDay",location=location.bottom,color=na)
//plotchar(hour(start),title="startMins",location=location.bottom,color=na)
//plotchar(dayofmonth(first),title="firstDay",location=location.bottom,color=na)
//plotchar(hour(first),title="firstMins",location=location.bottom,color=na)
//plotchar(newDay,title="newDay",location=location.bottom,color=na)
//--- /debug

firstDay = dayofmonth(start) == dayofmonth(first) and month(start) == month(first)

and
year(start) == year(first)
//
// Calculate STDdev over life of the option (generally this is one day for 5min to
60min TFs,
// and 21 days for Daily TF)
stdhv = 0.0
DaystoExpire = DaystoExpire_ == 0 ?
timeframe.isintraday ? useDaily ? 1 : min(annual, 1440 / timeframe.multiplier) :

LookBack : DaystoExpire_
stdhv := newDay ? settlement * hv * sqrt(DaystoExpire / annual) : nz(stdhv[1])

// calculate StdDev lines ratios.

stdhv05 = stdhv * 0.5
stdhv07 = stdhv * 0.7
stdhv1 = stdhv
stdhv15 = stdhv * 1.5
stdhv2 = stdhv * 2.0
stdhv25 = stdhv * 2.5
stdhv3 = stdhv * 3.0

// Plot the StdDev Levels for all Days.

SettleM = plot(not nohist and stddev1 and (not pivotNow or firstDay) and not newDay
? settlement : na, color=color.purple, style = plot.style_linebr,
title="Settlement", linewidth=3, transp=40)
Stdhv05u = plot(not nohist and stddev1 and (not pivotNow or firstDay) and not
newDay ? settlement + stdhv05 : na, color=color.orange, style = plot.style_linebr,
title="+0.5 SD", linewidth=1, transp=20)
Stdhv05d = plot(not nohist and stddev1 and (not pivotNow or firstDay) and not
newDay ? settlement - stdhv05 : na, color=color.orange, style = plot.style_linebr,
title="-0.5 SD", linewidth=1, transp=20)
Stdhv07u = plot(not nohist and stddev1 and (not pivotNow or firstDay) and not
newDay ? settlement + stdhv07 : na, color=color.red, style = plot.style_linebr,
title="+0.7 SD", linewidth=1, transp=20)
Stdhv07d = plot(not nohist and stddev1 and (not pivotNow or firstDay) and not
newDay ? settlement - stdhv07 : na, color=color.red, style = plot.style_linebr,
title="-0.7 SD", linewidth=1, transp=20)
Stdhv1u = plot(not nohist and stddev1 and (not pivotNow or firstDay) and not newDay
? settlement + stdhv1 : na, color=color.lime, style = plot.style_linebr, title="+1
SD", linewidth=3, transp=20)
Stdhv1d = plot(not nohist and stddev1 and (not pivotNow or firstDay) and not newDay
? settlement - stdhv1 : na, color=color.lime, style = plot.style_linebr, title="-1
SD", linewidth=3, transp=20)
Stdhv15u = plot(not nohist and stddev2 and (not pivotNow or firstDay) and not
newDay ? settlement + stdhv15 : na, color=color.green, style = plot.style_linebr,
title="+1.5 SD", linewidth=1, transp=20)
Stdhv15d = plot(not nohist and stddev2 and (not pivotNow or firstDay) and not
newDay ? settlement - stdhv15 : na, color=color.green, style = plot.style_linebr,
title="-1.5 SD", linewidth=1, transp=20)
Stdhv2u = plot(not nohist and stddev2 and (not pivotNow or firstDay) and not newDay
? settlement + stdhv2 : na, color=dodgerblue, style = plot.style_linebr, title="+2
SD", linewidth=3, transp=20)
Stdhv2d = plot(not nohist and stddev2 and (not pivotNow or firstDay) and not newDay
? settlement - stdhv2 : na, color=dodgerblue, style = plot.style_linebr, title="-2
SD", linewidth=3, transp=20)
Stdhv25u = plot(not nohist and stddev3 and (not pivotNow or firstDay) and not
newDay ? settlement + stdhv25 : na, color=dodgerblue, style = plot.style_linebr,
title="+2.5 SD", linewidth=1, transp=20)
Stdhv25d = plot(not nohist and stddev3 and (not pivotNow or firstDay) and not
newDay ? settlement - stdhv25 : na, color=dodgerblue, style = plot.style_linebr,
title="-2.5 SD", linewidth=1, transp=20)
Stdhv3u = plot(not nohist and stddev3 and (not pivotNow or firstDay) and not newDay
? settlement + stdhv3 : na, color=color.gray, style = plot.style_linebr, title="+3
SD", linewidth=3, transp=20)
Stdhv3d = plot(not nohist and stddev3 and (not pivotNow or firstDay) and not newDay
? settlement - stdhv3 : na, color=color.gray, style = plot.style_linebr, title="-3
SD", linewidth=3, transp=20)
//
plot((not pivotNow or firstDay) and not nohist and sHiLo and not newDay ? prevhi :
na, color=color.navy, style = plot.style_linebr, title="PREV HI", linewidth=2,
transp=20, style=plot.style_cross, join=true)
plot((not pivotNow or firstDay) and not nohist and sHiLo and not newDay ? prevlo :
na, color=color.black, style = plot.style_linebr, title="PREV LO", linewidth=2,
transp=20, style=plot.style_cross, join=true)
plot((not pivotNow or firstDay) and not nohist and sHiLoNow and not newDay ?
lonow : na, color=color.fuchsia, style = plot.style_linebr, title="D Lo",
linewidth=2, transp=20, trackprice=false, offset=0, style=plot.style_circles,
join=true)
plot((not pivotNow or firstDay) and not nohist and sHiLoNow and not newDay ?
hinow : na, color=color.teal, style = plot.style_linebr, title="D Hi", linewidth=2,
transp=20, trackprice=false, offset=0, style=plot.style_circles, join=true)

// Colour in between levels.

// Removed causes issues with next option.
fill(Stdhv3d, Stdhv2d, color=color.gray, transp=95, title="-3 Stdev Fill")
fill(Stdhv3u, Stdhv2u, color=color.gray, transp=95, title="+3 Stdev Fill")
fill(Stdhv2d, Stdhv15d, color=color.blue, transp=95, title="-2 Stdev Fill")
fill(Stdhv2u, Stdhv15u, color=color.blue, transp=95, title="+2 Stdev Fill")
fill(Stdhv15d, Stdhv1d, color=color.green, transp=95, title="-1.5 Stdev Fill")
fill(Stdhv15u, Stdhv1u, color=color.green, transp=95, title="+1.5 Stdev Fill")
fill(Stdhv1d, Stdhv07d, color=color.lime, transp=95, title="-1 Stdev Fill")
fill(Stdhv1u, Stdhv07u, color=color.lime, transp=95, title="+1 Stdev Fill")
fill(Stdhv07d, Stdhv05d, color=color.red, transp=95, title="-0.7 Stdev Fill")
fill(Stdhv07u, Stdhv05u, color=color.red, transp=95, title="+0.7 Stdev Fill")
fill(Stdhv05d, SettleM, color=color.purple, transp=92, title="-0.5 Stdev Fill")
fill(Stdhv05u, SettleM, color=color.purple, transp=92, title="+0.5 Stdev Fill")

//