TTM Squeeze Formula

Formula name: TTM Squeeze Author/Uploader: Levent Pancuk - lpancuk [at] yahoo.com Date/Time added: 2008-03-22 19:09:32 Origin: John Carter's TTM Squeeze Indicator Keywords: Level: basic Flags: indicator Description: Bollinger Bands AND Keltner Channel define the market conditions, i.e. when BB is narrower than KC then we have a market squeeze. When BB break Outside the KC then trade in the direction of the smoothed Momentum(12). Formula:

// John Carter's TTM Squeeze Indicator // Description: Bollinger Bands AND Keltner Channel define the market // conditions, i.e. when BB is narrower than KC then we have // a market squeeze. When BB break Outside the KC then trade // in the direction of the smoothed Momentum(12). // // Parameters: // * chanPeriod - Bollinger Bands AND Keltner Channel length // * bolBandStdDev - width of the Bollinger Bands // * keltStdDev - width of the Keltner Bands // * momPeriod - # of bars for Momentum indicator // * momEMA - EMA of the Momentum indicator // // // Source : John Carter, www.TradeTheMarkets.com // Interpretation : Kris Tokarzewski, Johannesburg, 15-Dec-2006 // AmiBroker Conversion: Levent Pancuk, 22 Feb-2008

_SECTION_BEGIN("TTM Squeeze"); function Momentum( array, period ) { return array - Ref( array, -period ); }

chanPeriod = Param("Channel Period", 20); bolBandStdDev = Param("Bollinger Band StdDev",2); keltStdDev = Param("Keltner Band StdDev",1.5); momPeriod = Param("Momemtum Period", 12 ); momEMA = Param("Momentum EMA Period", 5);

highBBChl = BBandTop( C, chanPeriod, bolBandStdDev); lowBBChl = BBandBot( C, chanPeriod, bolBandStdDev); centerLine = MA( C, chanPeriod ); highKeltn = centerLine + keltStdDev * ATR(chanPeriod); lowKeltn = centerLine - keltStdDev * ATR(chanPeriod); momHist = EMA(Momentum(C, momPeriod),momEMA); BBUp = IIf(highBBChl > highKeltn AND momHist > 0, momHist, 0); BBDo = IIf(lowBBChl < lowKeltn AND momHist < 0, momHist, 0); BBMid = IIf(BBUp == 0 AND BBDo == 0, momHist, 0);

Buy = BBUp; Sell = BBDo; Buy = ExRem(Buy,Sell); Sell = ExRem(Sell,Buy); Plot(BBUp, "TTM Squeeze - Momentum Up", colorBlue,styleHistogram | styleThick); Plot(BBDo, "Momentum Down", colorOrange, styleHistogram | styleThick); Plot(BBMid, "Momentum Mid", IIf(BBMid > 0, colorLightBlue, colorBrown), styleHistogram | styleThick); PlotShapes( shapeSmallCircle*Buy, colorGreen,0, 0, 0); PlotShapes( shapeSmallCircle*Sell, colorRed,0, 0, 0); _SECTION_END();