Here is my open-source TradingView indicators and strategies
This indicator calculates average returns for trading days across specified number of years in the past and displays this as a histogram. In addition, it displays EMA of these values as filled area plot. Indicator uses ordinal number of trading day in a year, i.e. January 3rd may be 1st trading day, January 4th - 2nd trading day, etc. Large green or red areas may mean that there is a strong seasonal factor at these dates that may support, launch, or break a trend. It only works on daily timeframe at the moment. Maximum number of years it can look back is 15.
This is my implementation of "Beat the Market An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)" paper by Carlo Zarattini, Andrew Aziz, Andrea Barbon It is supposed to run on 30-minute timeframe, there may be issues on other timeframes
Just checking one idea: look at gaps between close and open bars on lower timeframe to try to estimate how much slippage exists there that may be a result of buying or selling pressure. Perhaps it only useful in real time to see if situation of the current bar is changing.
