Indicators Description

1. Component Deconstruction¶

Moving Average (MA) Weave¶

The core of the script is a ribbon composed of up to 12 moving averages (“filaments”).

• Specific Configuration:

  • MA Type: User-selectable between Exponential (EMA), Simple (SMA), and Smoothed (SMMA/RMA). Default is EMA.

  • Price Source: close for all MAs.

  • Base Period (basePer): Lookback period of the fastest MA. Default: 5.

  • Weave Depth (ribbonN): Total number of MAs in the ribbon. Default: 8.

  • Filament Spacing (spacing): The arithmetic step added to the period of each subsequent MA. Default: 5.

  • Static Periods (Example): With default settings and Volatility Morphing disabled, the MA periods would be: 5, 10, 15, 20, 25, 30, 35, 40.

• Functional Modification (Volatility Morphing): The script employs a non-standard, dynamic period calculation for all MAs when adaptive is enabled. This is the “Volatility Morphing” engine.

  • Mathematical Logic:

    1. A Volatility Regime Ratio (volReg) is calculated: volReg = ta.atr(atrFast) / ta.atr(atrSlowP). By default, this is ATR(10) / ATR(50). This ratio is > 1.0 in high-volatility environments and < 1.0 in low-volatility environments.

    2. An Adaptive Multiplier (adaptMult) is derived from the inverse of this ratio: adaptMult = 1.5 / volReg.

    3. This multiplier is then clamped between a floor (adaptMin, default 0.5) and a ceiling (adaptMax, default 2.0).

    4. The final period for each MA is calculated as math.round((basePeriod + n * spacing) * adaptMult).

  • Intended Effect:

    • During Low Volatility: volReg is low (< 1.0), causing adaptMult to be high (> 1.5). This lengthens the MA lookback periods, increasing their smoothing effect. The goal is to reduce sensitivity and filter out whipsaws during market consolidation.

    • During High Volatility: volReg is high (> 1.0), causing adaptMult to be low (< 1.5). This shortens the MA lookback periods, reducing their lag. The goal is to make the weave more responsive to capture shifts in fast-moving, trending markets.

Average True Range (ATR)¶

• Impulse ATR:

  • Specific Configuration: ta.atr(10).

  • Purpose: Measures short-term volatility to feed the volReg ratio.

• Anchor ATR:

  • Specific Configuration: ta.atr(50).

  • Purpose: Measures long-term, baseline volatility to serve as the denominator in the volReg ratio.

• Reference ATR (atrRef):

  • Specific Configuration: ta.atr(14).

  • Purpose: Used as a standard normalization factor for the ribbon’s spread (spreadN) and to dynamically position signal labels on the chart, ensuring they remain visible relative to price action.

Percent Rank (ta.percentrank)¶

• Compression Chamber (spreadRank):

  • Specific Configuration: ta.percentrank(spread, sqLen), with spread being the raw price difference between the fastest and slowest MAs, and sqLen defaulting to 100.

  • Purpose: Quantifies the current ribbon width relative to its history over the last 100 bars. A value below the sqPctile threshold (default: 10) signifies an unusually tight compression, activating the isSqueeze state.

• Trend Strength (spreadPct):

  • Specific Configuration: ta.percentrank(spreadN, 100), where spreadN is the atrRef-normalized spread.

  • Purpose: Provides a 0-100 score of the trend’s intensity relative to volatility. This is primarily used for the dashboard display and the “Drift Fade” signal.

2. Logic Layering & Confluence¶

The script’s engine filters noise by layering its components hierarchically, demanding confluence for high-conviction signals.

• Interaction Dynamics:

  • Threshold Crosses: The system’s primary state changes are governed by threshold crosses.

    • isSqueeze = spreadRank <= sqPctile: This is the gatekeeper for the “Momentum Surge” signal. The engine is only looking for breakouts when this condition is met.

    • driftWarn = spreadPct <= 15: This triggers a warning when trend strength decays below a critical percentile.

  • State Change Detection (Edge Detection): The script focuses on the transition between states, not the states themselves. This improves signal precision by firing only on the bar where a condition is first met.

    • Squeeze Release: not isSqueeze and isSqueeze[1] identifies the exact bar that a compression period ends.

    • Twist Confirmation: confirmedTwistBull and not confirmedTwistBull[1] identifies the exact bar that a trend reversal has been sustained for the required number of periods.

    • Fan Activation: alignPct >= 100 and nz(alignPct[1]) < 100 identifies the exact bar that the MAs achieve perfect alignment.

• Hierarchical Filtering:

  1. Level 1 (Trend Gatekeeper): The primary filter is the weave’s orientation: bullTrend = fastest > slowest. Most directional signals (e.g., surgeUp, fanBull) are fundamentally gated by this boolean. A bullish signal cannot occur in a bearish weave structure.

  2. Level 2 (Structural Condition): The “Compression Chamber” (isSqueeze) acts as a powerful structural filter. The highest-priority breakout signal, “Momentum Surge,” can only be considered if the market is exiting this compressed state.

  3. Level 3 (Momentum Confirmation): The rising/falling status of the fastest MA and the spreadRoc (rate of change of the spread) act as secondary momentum confirmations. For instance, a “Momentum Surge” requires not only a squeeze release but also an expanding spread (spreadRoc > 0).

  4. Level 4 (Conviction Filter): The alignPct (Alignment Score) serves as the final conviction filter. A score of 100% indicates maximum trend coherence and triggers the “Filament Fan” signal, confirming a well-established, orderly trend.

3. The Execution Engine¶

The script generates six distinct types of signals, each with a unique boolean logic trigger and a cooldown mechanism to prevent redundancy. All signals require barstate.isconfirmed to fire only on bar close.

• 1. Weave Cross (IGNITE/QUENCH)

  • Boolean Logic: ta.crossover(fastest, slowest) or ta.crossunder(fastest, slowest).

  • Analysis: The most basic trend reversal signal, triggered by the intersection of the ribbon’s fastest and slowest MAs.

  • Mathematical Constants: CD_CROSS = 8. A cooldown of 8 bars is enforced.

• 2. Momentum Surge (SURGE)

  • Boolean Logic: (not isSqueeze and isSqueeze[1]) and spreadRoc > 0 and bullTrend.

  • Analysis: The script’s primary breakout signal. It requires the confluence of three events: (1) the end of a compression period, (2) immediate expansion of the ribbon’s width, and (3) alignment with the overall trend direction.

  • Mathematical Constants: CD_SURGE = 12. A 12-bar cooldown. The trigger is defined by sqPctile (default 10) and sqLen (default 100).

• 3. Twist Lock (TWIST LOCK)

  • Boolean Logic: (twistBullCnt == twistConf) and not (twistBullCnt[1] == twistConf).

  • Analysis: A more robust reversal signal than the simple cross. It waits for the new trend direction (post-cross) to be sustained for twistConf bars before firing. It is edge-detected to fire only once upon confirmation.

  • Mathematical Constants: twistConf = 2. The new trend must hold for 2 bars. CD_TWIST = 10.

• 4. Filament Fan (FAN)

  • Boolean Logic: alignPct >= 100 and nz(alignPct[1]) < 100.

  • Analysis: A trend confirmation signal. It triggers on the first bar that all MAs achieve perfect sequential order, indicating maximum trend conviction.

  • Mathematical Constants: CD_FAN = 10.

• 5. Snap Recoil (SNAP)

  • Boolean Logic: ta.crossover(close, ribbonMid) and not bullTrend and spreadN > 0.3.

  • Analysis: A mean-reversion or counter-trend signal. It detects when price crosses back over the ribbon’s midpoint against the prevailing trend direction, but only when the trend has sufficient width (spreadN > 0.3) to avoid noise in ranges.

  • Mathematical Constants: 0.3 is the hard-coded minimum normalized spread required for the signal to be considered valid. CD_SNAP = 8.

• 6. Drift Fade (DRIFT)

  • Boolean Logic: spreadPct <= 15 and nz(spreadPct[1]) > 15.

  • Analysis: A trend exhaustion warning. It triggers when the normalized trend strength falls below the 15th percentile for the first time, signaling that momentum is decaying into a “dormant” state.

  • Mathematical Constants: 15 is the percentile threshold. CD_DRIFT = 15, the longest cooldown, reflecting a potential shift in market regime.