—— Advanced Filters ——- #
The advanced trade filters section is based on the concepts exposed by Martyn Tinsley in his algorithmic trading series.
Please watch the following videos to fully understand the meaning and use of the filters.
Advanced Techniques to Categorize Trading Market Regimes
—— Additional Trend Filter —— #
—— Additional Trend Filter Mode —— (default = Disable Trend Filter (0)): This allows you to choose the behavior of the EA when using the advanced trend filter.
(Note: Indicator available in the Bonus Scripts and Resources section.)
The trend filter uses an SMA to determine trend conditions (price above the SMA line means a Bullish trend, while the price below the line is a Bearish trend). If SMA Slope is selected then the SMA slope is used to determine the trend (Positive SMA slope value means a BUllish trend while a negative SMA slope value means a Bearish trend. Finally, if the SMA slope value is almost completely flat or near 0 there will be a No Trend condition)
| Disable Trend Filter (0) | Disable Trend Filter |
| Trend + No-Trend (1) | Only Trade setups which occur in Trend and No-Trend conditions will be taken as valid, all other setups will be ignored. |
| Counter Trend + No-Trend (2) | Only Trade setups which occur in Counter Trend and No-Trend conditions will be taken as valid, all other setups will be ignored. |
| With Trend Only (3) | Only Trade setups which occur in Trend conditions will be taken as valid, all other setups will be ignored. |
| Counter Trend Only (4) | Only Trade setups which occur in Counter Trend conditions will be taken as valid, all other setups will be ignored. |
| No-Trend Only (5) | Only Trade setups which occur in a No-Trend condition will be taken as valid, all other setups will be ignored. |
SMA Period (default = 100): Length in candles of the SMA to use as the base for the trend filter.
Use SMA Slope (default = false): if “true” the Trend filter will use the SMA slope to determine the trend condition. If “False” the Trend filter will determine the trend by looking at the price relative to the SMA value.
Exit On Trend Change (default = false): If “True” the Trend filter will close exit the trade when the trend has changed from an uptrend to a downtrend or vice versa.
If “NoTrend” Behavior is selected Exit On-Trend Change will have no effect.
***Only exits the trade when the trend has changed from an uptrend to a downtrend or vice versa, not when there is a no-trend condition.***
Supplementary Watching: #
How to Develop Trading Systems using Trend Filters and Indicator Triggers
—— Volatility Filter —— #
—— Volatility Filter Mode —— (default = Disable Volatility Filter (0)): This allows you to choose the behavior of the EA when using the advanced Volatility filter.
The volatility filter uses a percentile-ranked ATR (indicator available in the Bonus Scripts and Resources section) to determine relative volatility for a given asset.
The higher the value of the Percentile Ranked ATR, the higher the relative volatility and vice versa.
| Disable Volatility Filter (0) | Disable Volatility Filter |
| Low Volatility Only (50% Vol or Lower) (1) | Only Trade setups which occur in Low Volatility conditions will be taken as valid, all other setups will be ignored.Low Volatility is defined as 50% or less on the ATR Percentile indicator. |
| High Volatility Only (50% Vol or Higher) (2) | Only Trade setups which occur in HighVolatility conditions will be taken as valid, all other setups will be ignored.High Volatility is defined as 50% or Higher on the ATR Percentile indicator. |
| Avoid Extreme Volatility (75% Vol or Lower) (3) | Avoid Trade setups that occur in Extreme Volatility conditions will be taken as valid, all other setups will be ignored.Extreme Volatility is defined as 75% or Higher on the ATR Percentile indicator. |
| Extreme Volatility Only (75% Vol or Higher) (4) | Only Trade setups which occur in Extreme Volatility conditions will be taken as valid, all other setups will be ignored.Extreme Volatility is defined as 75% or Higher on the ATR Percentile indicator. |
Supplementary Watching: #
Using a ‘percent-based’ ATR (Average True Range) Volatility Filter
—— Market Noise Filter —— #
—— Market Noise Filter Mode —— (default = Disable Market Noise Filter (0)): This allows you to choose the behavior of the EA when using the advanced Market Noise filter.
The volatility filter uses a percentile-ranked Price Density calculation (indicator available in the Bonus Scripts and Resources section) to determine relative market noise for a given asset.
The higher the value of the Percentile Ranked Price Density, the higher the relative market noise and vice versa.
| Disable Market Noise Filter (0) | Disable Market NoiseFilter |
| Low Market Noise Only (50% Market Noise or Lower) (1) | Only Trade setups which occur in Low Market Noise conditions will be taken as valid, all other setups will be ignored.Low Market Noise is defined as 50% or less on the Price Density Percentile indicator. |
| High Market Noise Only (50% Market Noise or Higher) (2) | Only Trade setups which occur in High Market Noise conditions will be taken as valid, all other setups will be ignored.High Market Noise is defined as 50% or higher on the Price Density Percentile indicator. |
| Extreme Low Market Noise Only (25% Market Noise or Lower) (3) | Only Trade setups which occur in Extreme Low Market Noise conditions will be taken as valid, all other setups will be ignored.Extreme Low Market Noise is defined as 25% or less on the Price Density Percentile indicator. |
| Avoid Extremely High Market Noise (75% Market Noise or Lower) (4) | Only Trade setups which occur in Extreme High Market Noise conditions will be taken as valid, all other setups will be ignored.Extreme High Market Noise is defined as 75% or higher on the Price Density Percentile indicator. |
Supplementary Watching: #
Is Market Noise beneficial to Mean-Reversion Trading Strategies?
How Market Noise Affects Trend-Following Trading Systems | Whipsaws
Using a Market Noise Filter to improve Trading Edge | Research Results 3
Trend, Vol, and Noise Filter TimeFrame #
–*-*- Trend, Vol, and Noise Filter TimeFrame -*-*– (default = 2 Timeframes above Base/Execution (2): This allows you to choose the timeframe the EA will use when calculating the advanced Trend, Volatility and Market Noise Filters.
| Base/Execution Timeframe (0) | Additional Filters will use the same Timeframe as the EA execution. |
| 1 Timeframe above Base/Execution (1) | Additional Filters will use 1 MT4 standard Timeframe above the EA execution timeframe. |
| 2 Timeframes above Base/Execution (2) | Additional Filters will use 2 MT4 standard Timeframe above the EA execution timeframe. |
| 3 Timeframes above Base/Execution (3) | Additional Filters will use 3 MT4 standard Timeframe above the EA execution timeframe. |
| 4 Timeframes above Base/Execution (4) | Additional Filters will use 4 MT4 standard Timeframe above the EA execution timeframe. |
