I would like to create an EA based on Quantitative Qualitative Estimation indicator founded in VT Trader Software ( QQE)
Thx for quotes.
Jean
Here the formula and study overview
{Smoothed RSI}
rsi_r:= (rsiprice – ref(rsiprice,-1));
rsi_rs:= Wilders(if(rsi_r>0,rsi_r,0),rsiperiods) / Wilders(if(rsi_r<0,Abs(rsi_r),0),rsiperiods);
RSIndex:= Mov((100-(100/(1+rsi_rs))),SF,ST);
{Smoothed ATR of Smoothed RSI}
TH:= if(Ref(RSIndex,-1)>RSIndex,Ref(RSIndex,-1),RSIndex);
TL:= if(Ref(RSIndex,-1)<RSIndex,Ref(RSIndex,-1),RSIndex);
TR:= TH-TL;
AtrRsi:= Wilders(TR,atrperiods);
SmoothedAtrRsi:= Wilders(AtrRsi,atrsmperiods);
{Fast and Slow ATR Trailing Levels}
DeltaFastAtrRsi:= SmoothedAtrRsi*fastatrmult;
FastAtrRsiTL:= if(BarCount()<=(rsiperiods*2),null,
if(ref(RSIndex,-1)>PREV(0) AND RSIndex>PREV(0),max(PREV(0),RSIndex-DeltaFastAtrRsi),
if(ref(RSIndex,-1)<PREV(0) AND RSIndex<PREV(0),min(PREV(0),RSIndex+DeltaFastAtrRsi),
if(Cross(RSIndex,PREV(0)),RSIndex-DeltaFastAtrRsi,
if(Cross(PREV(0),RSIndex),RSIndex+DeltaFastAtrRsi,
if(RSIndex=PREV(0),PREV(0),PREV(0)))))));
DeltaSlowAtrRsi:= SmoothedAtrRsi*slowatrmult;
SlowAtrRsiTL:= if(BarCount()<=(rsiperiods*2),null,
if(ref(RSIndex,-1)>PREV(0) AND RSIndex>PREV(0),max(PREV(0),RSIndex-DeltaSlowAtrRsi),
if(ref(RSIndex,-1)<PREV(0) AND RSIndex<PREV(0),min(PREV(0),RSIndex+DeltaSlowAtrRsi),
if(Cross(RSIndex,PREV(0)),RSIndex-DeltaSlowAtrRsi,
if(Cross(PREV(0),RSIndex),RSIndex+DeltaSlowAtrRsi,
if(RSIndex=PREV(0),PREV(0),PREV(0)))))));
OVERVIEW:
Quantitative Qualitative Estimation
Overview
The origin of the Quantitative Qualitative Estimation (QQE) indicator is currently unknown.
Construction
The QQE indicator consists of a smoothed Relative Strength Index (RSI) indicator and two volatility-based trailing levels (fast and slow). The Fast Trailing Level (TL) and Slow TL are constructed by calculating the ATR of the smoothed RSI over n-periods and then further smoothing the ATR using an additional n-periods Wilders smoothing function. This smoothed ATR of RSI is then multiplied by the Fast and Slow ATR Multipliers to calculate the final Fast and Slow Trailing Levels.
Interpretation
There are several different methods in which the QQE can be used to generate trading signals. Here are few of the more common techniques:
Crossovers: 1) RSI / Fast ATR TL or Slow ATR TL Crossover: A buy signal occurs when the RSI crosses above the Fast ATR TL or Slow ATR TL and a sell signal occurs when RSI crosses below the Fast ATR TL or Slow ATR TL. 2) RSI / 50-level Crossover: When the RSI crosses above 50 a buy signal is given. Alternatively, when the RSI crosses below 50 a sell signal is given. 3) Fast ATR TL / Slow ATR TL Crossover: A buy signal occurs when the Fast ATR TL crosses above the Slow ATR TL and a sell signal occurs when Fast ATR TL crosses below the Slow ATR TL.
Divergence: Looking for divergences between the QQE indicator and price can prove to be very effective in identifying potential reversal points in price movement. Trade long on Classic Bullish Divergence: Lower lows in price and higher lows in the QQE; Trade short on Classic Bearish Divergence: Higher highs in price and lower highs in the QQE.
Overbought/Oversold Conditions: Much like the original RSI (and other oscillators), the QQE indicator can be used to identify potential overbought and oversold conditions in price movements. An Overbought condition is generally described as the QQE being greater than or equal to the 70% level while an oversold condition is generally described as the QQE being less than or equal to the 30% level. Trades can be generated when any of the QQE outputs (RSI, Fast ATR TL or Slow ATR TL) crosses these levels. When the RSI, Fast ATR TL or Slow ATR TL crosses above 30 a buy signal is given. Alternatively, when the RSI, Fast ATR TL or Slow ATR TL crosses below 70 a sell signal is given.
Implementation
The RSI Price, RSI Periods, RSI Smoothing Periods, RSI Smoothing Type, ATR Periods, Wilders ATR Smoothing Periods, Fast ATR TL Multiplier, and Slow ATR TL Multiplier have been parameterized to allow the user full customization of the QQE indicator. The RSI is plotted as a solid blue line; The Fast ATR TL line is plotted as a dashed dark blue line; The Slow ATR TL line is plotted as a dashed dark red line; Horizontal dashed lines identifying common overbought and oversold levels are displayed at the 70/30 levels.
