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How does RSqueeze work?
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How does RSqueeze work?

  #1 (permalink)
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How does RSqueeze work?

I recently 'found' RSqueeze and it seems that it will work very nicely for me in combination with Stochastics. My problem is that I don't like to use something that I don't understand. I do understand Stochastics but haven't got a clue what RSqueeze does. Can someone either point me to a description or provide one.

Thanks

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gcaldridge View Post
I recently 'found' RSqueeze and it seems that it will work very nicely for me in combination with Stochastics. My problem is that I don't like to use something that I don't understand. I do understand Stochastics but haven't got a clue what RSqueeze does. Can someone either point me to a description or provide one.

Thanks

@gcaldridge

The dots shows the Bollinger/Keltner "squeeze".

The bars are a momentum indicator .

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gcaldridge View Post
I recently 'found' RSqueeze and it seems that it will work very nicely for me in combination with Stochastics. My problem is that I don't like to use something that I don't understand. I do understand Stochastics but haven't got a clue what RSqueeze does. Can someone either point me to a description or provide one.

Thanks

@gcaldridge: The RSqueeze indicators does a few things and is not easy to understand. First of all it has three different settings. You can set it to BBSqueeze, PBFSqueeze and Countertrend.

BBSqueeze

This is the classical Bollinger Bands Squeeze. The squeeze is on when the Bollinger Bands are inside the Keltner Bands. The Bollinger/Keltner thing is more of a visualization. The logic behind is a comparison of standard deviation and average true range.

- The standard deviation measures directional volatility on the base of the variance, which is the squared distance between the last value of a N-period moving average and the preceding N closes.
- The average true range basically measures intra-bar volatility.

If the standard deviation (directional volatility) is smaller than the average true range (non-directional volatility), then you are in a squeeze, as price did not move a lot over the last N bars, all data points are still close to the current value of the moving average.

The squeeze is shown as dots.

Then there is a histogram. This is a bit of voodoo. The indicator calculates an average of the midline of a Donchian Channel and an EMA, then substracts it from the last value of price and applies a linear regression calculation to the resulting DataSeries. The result is something similar as a raw MACD, smoother but with more lag. Honestly, I do not understand what it is good for - which of course does not mean that the author of the indicator had some serious ideas how to use it.


PFSqueeze

This is a nice oscillator based on Gaussian Filters. The oscillator is based on the concept of the MACD. It uses Gaussian Filters instead of the EMAs to calculate the difference between two of them. Remember that the raw MACD is a difference between two EMAs. Here the raw histogram is calculated as the arithmetic average of 4 such differences, each of the differences being calculated from two Gaussian filters. The Guassian filters used have different periods, so the resulting oscillator is a bit of a multiperiod MACD modification.

The squeeze dots just indicate the slope of a Gaussian average, so it has nothing to do with a squeeze at all. Don't know why the author called it squeeze, there is no squeeze.


CounterTrend

Another oscillator, no squeeze. It is a variation of the oscillator, also calculated from Gaussian Filters with a CCI filter added, probably for selecting the colors.


Conclusion

If you just want to have an indication of a Bollinger Band Squeeze, then you do not need this indicator. Only 5% of the code is relevant to calculate the squeeze. But it includes some nice ideas, how to build an MACD type oscillator from Gaussian filters. Whether this can be used for trading is a different question.

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ThatManFromTexas View Post
@gcaldridge

The dots shows the Bollinger/Keltner "squeeze".

The bars are a momentum indicator .

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Thanks for answering. I would have posted a "Thanks" like some others did but I didn't have a button for it.

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  #6 (permalink)
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Fat Tails View Post
@gcaldridge: The RSqueeze indicators does a few things and is not easy to understand. First of all it has three different settings. You can set it to BBSqueeze, PBFSqueeze and Countertrend.

BBSqueeze

This is the classical Bollinger Bands Squeeze. The squeeze is on when the Bollinger Bands are inside the Keltner Bands. The Bollinger/Keltner thing is more of a visualization. The logic behind is a comparison of standard deviation and average true range.

- The standard deviation measures directional volatility on the base of the variance, which is the squared distance between the last value of a N-period moving average and the preceding N closes.
- The average true range basically measures intra-bar volatility.

If the standard deviation (directional volatility) is smaller than the average true range (non-directional volatility), then you are in a squeeze, as price did not move a lot over the last N bars, all data points are still close to the current value of the moving average.

The squeeze is shown as dots.

Then there is a histogram. This is a bit of voodoo. The indicator calculates an average of the midline of a Donchian Channel and an EMA, then substracts it from the last value of price and applies a linear regression calculation to the resulting DataSeries. The result is something similar as a raw MACD, smoother but with more lag. Honestly, I do not understand what it is good for - which of course does not mean that the author of the indicator had some serious ideas how to use it.


PFSqueeze

This is a nice oscillator based on Gaussian Filters. The oscillator is based on the concept of the MACD. It uses Gaussian Filters instead of the EMAs to calculate the difference between two of them. Remember that the raw MACD is a difference between two EMAs. Here the raw histogram is calculated as the arithmetic average of 4 such differences, each of the differences being calculated from two Gaussian filters. The Guassian filters used have different periods, so the resulting oscillator is a bit of a multiperiod MACD modification.

The squeeze dots just indicate the slope of a Gaussian average, so it has nothing to do with a squeeze at all. Don't know why the author called it squeeze, there is no squeeze.


CounterTrend

Another oscillator, no squeeze. It is a variation of the oscillator, also calculated from Gaussian Filters with a CCI filter added, probably for selecting the colors.


Conclusion

If you just want to have an indication of a Bollinger Band Squeeze, then you do not need this indicator. Only 5% of the code is relevant to calculate the squeeze. But it includes some nice ideas, how to build an MACD type oscillator from Gaussian filters. Whether this can be used for trading is a different question.

Thanks. That was the type of detail I was looking for. Now I am going to have to spend some time to understand it and determine if/how I will be able to use it. When I do, I will post any findings.

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  #7 (permalink)
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Hello - Can any one post the latest version of rsqueeze if available some place. I found one from this link but wondering if there are any other versions available for the same or not.

https://futures.io/ninjatrader-programming/3250-rsqueeze-strategy.html

Thanks

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ejtrader View Post
Hello - Can any one post the latest version of rsqueeze if available some place. I found one from this link but wondering if there are any other versions available for the same or not.

https://futures.io/ninjatrader-programming/3250-rsqueeze-strategy.html

Thanks

This is the one I have. I don't remember how/when I downloaded from BigMike's. Good luck. It has more than just RSqueeze in it so you can decide which you want.

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Register to download File Type: zip TSSqueeze_NT7.zip (33.8 KB, 420 views)
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Try this version of R Squeeze

It is highly optimized to run on COBC false with greatly reduced resource load. You must install this with the Import Ninjascript utility. In your indicator list, it will appear as "Oscillator, R Squeeze".

Use at your own risk. No support will be provided. All I can tell you is that it works fine on MY computer.

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Register to download File Type: zip OscillatorRSqueezeOptimized.zip (56.7 KB, 446 views)
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  #10 (permalink)
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Zondor - tried to import this and complaining about duplicate methods. Would it be possible to provide me the .cs file instead so that I can try to figure out the issue myself. If you don't want to - I can understand as well.

Thanks.


Zondor View Post
It is highly optimized to run on COBC false with greatly reduced resource load. You must install this with the Import Ninjascript utility. In your indicator list, it will appear as "Oscillator, R Squeeze".

Use at your own risk. No support will be provided. All I can tell you is that it works fine on MY computer.


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