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Quantile Estimator

Quantile Estimator

Overview

This indicator implements a robust statistical method for analyzing price distributions and detecting outliers in financial markets. It's particularly valuable because it:

  1. Uses volume-weighted calculations for more accurate market representation
  2. Handles non-normal price distributions effectively
  3. Provides robust outlier detection through adaptive fencing

Key Components

Core Statistical Methods

  • Harrell-Davis Quantile Estimator: Calculates weighted percentiles using beta distribution
  • Quantile Absolute Deviation (QAD): Measures spread around the quantile estimate
  • Double QAD Fencing: Creates adaptive upper/lower bounds for outlier detection

Main Parameters

  • Sample Source: Default is HL2 (high-low average)
  • Sample Size: Default 39 bars
  • Probability: 0-100% (50% is median)
  • Trim Percentage: Cuts low-density areas from calculations
  • K-Multiplier: Controls fence width for outlier detection

Visual Output

  • Blue line: Main quantile estimate
  • Upper/lower bands: Outlier detection fences
  • Shaded areas: Deviation regions

Comparison To Traditional Indicators

  1. Distribution Agnostic
    • Works with any price distribution shape
    • No normal distribution assumption required
  2. Robust to Outliers
    • Trimming reduces impact of extreme values
    • Adaptive fencing adjusts to market conditions
  3. Volume Integration
    • Optional volume weighting for better market depth representation
    • Can operate without volume data if needed

Usage Guidelines

For Trend Analysis

  • Monitor main quantile line direction
  • Watch for sustained breaks of fences
  • Use larger sample sizes for longer-term trends

For Volatility Assessment

  • Track fence width changes
  • Monitor frequency of fence breaks
  • Compare upper vs lower deviation areas

Implementation Notes

  1. Performance Considerations
    • Volume weighting adds computation time
    • Larger sample sizes increase calculation load
    • Double QAD mode requires more processing
  2. Parameter Optimization
    • K-multiplier affects signal sensitivity
    • Trim percentage impacts calculation speed
    • Sample size balances responsiveness vs stability
  3. Error Handling
    • Handles missing volume data gracefully
    • Maintains numerical stability with extreme values
    • Provides fallbacks for edge cases


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Ce coefficient s'échange sur la trame 5 minutes 5M Veuillez voir les explications dans les images ci-jointes Le trading se fait selon la tendance. Si la tendance est à la hausse, on achète uniquement lorsqu'elle touche la ligne rouge. Si la tendance est à la baisse, nous vendons uniquement lorsqu'elle touche la ligne bleue Dans le cas d'une tendance latérale, on peut vendre lorsqu'elle touche la ligne bleue et acheter lorsqu'elle touche la ligne rouge. Lorsque le prix atteint la ligne d'a
Price Action Scanner Pro is an indicator that identifies price behaviors and provides alerts, offering more features and customization compared to Price Action Scanner. This indicator can simultaneously detect signals for up to 15 symbols across different timeframes. You can configure it to detect signals during specific trading sessions such as Asian, European, and US sessions, using different timeframes. This allows you to use lower timeframes for active trading periods and higher timeframes
'CyberBot Project" is a cutting-edge product with a hybrid formula of "ALGO~VX7", the first in the MQL5 market > It's got a high-level mastermind algorithm that gives u Multi Indicator + 5 Ossillators all in one. With the ability to analyze 8 Pairs + 8 Timeframes + 8 Shadows at once, including Pivot, Support, and Resistance functions, it gives individual traders pro-level tools. Super practical + powerful, for everyone from newbies to pros. No theory needed, it's all real "wysiwyg" -- the subco
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Hurst Cycles Diamonds Description This indicator is an alternative version inspired by the pioneering work of David Hickson and the Hurst Cycles Notes indicator developed by Grafton. The main objective is to provide a clear and intuitive view of the Hurst cycles. Credits Original Concept : David Hickson - Hurst Cycles Theory Inspiration : Grafton - Hurst Diamond Notation Pivots Alternative Version : Fillipe dos Santos Main Features Identifies and displays pivots in multiple time cycles Visual t
SuperTrendAshi
Fillipe Dos Santos
5 (1)
SuperTrendAshi Description SuperTrendAshi is an advanced and optimized version of the SuperTrend indicator that incorporates Heikin Ashi calculation to provide smoother and more reliable signals. This unique combination results in an indicator that reduces false signals and identifies trends with greater precision. Key Features Combines the strength of SuperTrend with Heikin Ashi smoothing More stable signals with less noise Intuitive color system (Aqua for uptrend, Magenta for downtrend) Custo
FREE
through this indicator you can make  analysis and also can to distinguish possible weakness or continuous strength  on  price, it is an indicator initially developed by David Weis. This version is for the meta trader 5 platform. The Weis Waves indicator is based on volume and is aligned with the price, being able to find not only possible strenght and weakness, but also possible divergences between price and volume, bringing an interesting analysis between both.
Weis Waves Result
Fillipe Dos Santos
The result as the name explain, displays the result of a swing. Sometimes weis waves show a big effort, but a little result... The weis waves result is a better revelation about the volume, if united with weis waves. it is a volume indicator, but it is different from a conventional volume indicator, this indicator came from the wyckoff method, if you use the result you will have a different view of the market, regardless of which asset is operating.
DashMarketProfile
Fillipe Dos Santos
this indicator is essential when it's necessary to identify  trade locations on  chart. You can initially get an idea of ​​the candlestick's direction with other graphical tools and then identify the best regions with the DMP. The Dash Market Profile is a statistical indicator, that mean it is an indicator that is based on mathematical calculations, identifying the best regions and observing the candles of the best regions to trade. The financial market is not as easy as it seems, it is necessar
An anchored Vwap With Arrows is an indicator that includes a moving average weighted by volume that allows you to plot on a bottom or a top. Usually banks and institutions measure an average price, this average price is a price range where they agree to make a trade. Using the logic of anchored vwap with arrows it is possible to understand that if the price breaks the vwap it means that someone with enough buying and selling power has lost control. You can use vwap anchored with arrows in any ti
CandleVolume
Fillipe Dos Santos
CandleVolume is an indicator that colors bars according to increasing or decreasing volume. You can use it to identify strategic regions of the chart and complete an analysis. White means low volume, yellow means medium volume and red means climax volume. It is a recommended indicator if you like to interpret market contexts and understand how market cycles work.
BetterVolumeTick
Fillipe Dos Santos
BetterVolumeTick it is a volume indicator. It marks the volume regions where there was a great aggression, also shows the volume intensity. Yellow means low volume, normal activity. Orange means activity with a pretty amount of volume. Red means ultra high volume. This indicator combined with the price chart will give you another view of the market context.
Moving Regression Bands EA  Description The Moving Regression Bands EA is a robust automated trading system that uses polynomial regression analysis to identify market opportunities. Based on moving regression bands, this EA offers a mathematical and statistical approach to trading. Key Features Advanced Analysis : Uses polynomial regression to calculate trends and volatility bands Operational Flexibility : Normal and Inverse modes for different market strategies Risk Management : Configurable S
MovingRegressionBands - Polynomial Regression Indicator with Adaptive Bands Description MovingRegressionBands is an advanced technical indicator that combines polynomial regression with adaptive bands to identify market trends and reversal points. Using sophisticated mathematical calculations, the indicator provides a more precise view of price movements through a higher-order regression model. Key Features Configurable polynomial regression order for greater accuracy Adaptive bands based on mod
SuperTrendAshi EA
Fillipe Dos Santos
SuperTrendAshi EA - Automated Trading System A versatile Expert Advisor based on the SuperTrend indicator adapted for Heikin Ashi candles Key Features: Automated trading system combining SuperTrend precision with Heikin Ashi smoothing Flexible operation with multiple trading modes Advanced risk management with dynamic Trailing Stop Intuitive interface with customizable parameters Detailed Features: Operation Modes Stop Loss and Take Profit Mode: Operates with defined targets Signal-Only Mode: F
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Version 2.0 2025.01.06
Improved bandwidth calculation