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Session Times + Strenght M7This Script Aims to Define Session Times, and Rank those. It can help to adjust your Strategy to Higher Volatility, if you choose to use the Session Volatility and Strenght Index from 1-10. Your timezone on Trading View should be NY. You can customize the Following in Settings: Weight of Volatility & Narrative Regarding the ranking + Transparency of the Lines. SP:SPX FX:EURUSD OANDA:EURUSD CAPITALCOM:USDJPY AMEX:SPY NASDAQ:QQQ TVC:DXY CAPITALCOM:USDJPY CME_MINI:NQ1! OANDA:XAUUSD FX:GBPUSD
Pine Script® Indikator
von Venq_r1
BIN Based Support and Resistance [SS]This indicator presents a version of an alternative way to determine support and resistance, using a method called "Bins". Bins provide for a flexible and interesting way to determine support and resistance levels. First off, let's discuss BINS: Bins are ranges or containers into which your data points can be sorted. For example, if you're grouping ages, you might have bins like 0–18, 19–35, 36–50, and 51+. Any data point within these intervals gets placed in the corresponding bin. Binning simplifies complex data sets by grouping values into categories. This is useful for such things as Visualizing data in histograms or bar charts. Reducing noise and highlighting trends. This indicator groups the price action into 10 separate bins. It determines the Support / Resistance level by averaging the values in the Bins to find an iteration of the "central tendency" or average reoccurring value. Pros and Cons Since this is a different approach to support and resistance, I think its important to highlight some of the pros and advantages, but also be open about the cons. First off the PROS Bin Based Support and Resistance Levels dynamically adjust to ranges as opposed to hard / fast peaks and valleys. This makes them better at analyzing price action vs simply drawing lines at random peaks and valleys. Because Bins are analyzing ALL PA within a period's max and min range, Bin Support and Resistance can actually be used similar to Volume profile, where you are able to identify a pseudo-POC, or areas where price tends to consolidate. Take a look at this example on SPY: You can see these 2 SR lines are close together. This represents that this general price range is an area where price likes to accumulate/consolidate. You can see the SPY ended up coming back to this range and consolidating there for a bit. This is a strength of using a BIN based approach to calculating support and resistance, because as indicated before, it looks at price action vs peaks and valleys. As a tip, these areas are areas you want to wait for a break in one direction or the other. The indicator provides for backtest results of the support and resistance lines, to see how many times certain areas acted as resistance or support. Because this is analyzing and distributing PA evenly throughout the period's max and min, the indicator can tell you which areas tend to have higher rejection zones and which have higher support zones.   Now the CONS Because bin based SR take an average approach, the SR lines can sometimes be slightly broken before the ticker finds rejection: To combat this, make sure there is confirmed support. How the indicator actually backtests these lines is by waiting to see if the ticker has 3 consecutive closes above the support line or below the resistance line. So these are things to be mindful of. It doesn't consider pivots. Most support and resistance indicators either identify max and min peaks and valleys or use pivot points. Pivot points are a great way to identify peaks and valleys and thus by extension support and resistance. However, this is also somewhat of a strength, as using BINS forces the indicator to consider ALL price action and not just the extremes (highs and lows). Can be slightly skewed in highly volatile environments. Any time there is a massive drop or rally, it can skew the indicator to give extreme ranges to both ends. For example, the Tariff news collapse on ES1!: Owning to limitations in lookback length, sometimes the min and max range can be exceeded and other traditional areas of support / resistance is where a ticker will find support. Using the indicator Here are some basic use/functionalities of the indicator: Selecting display of backtest results: You can select to have the backtest results shown in a table: Or directly on the lines: Inversely, you can toggle them off completely: You can modify the lookback length. The suggested lookback length is between 250 to 500 candles on smaller timeframes. I also suggest 252 on daily timeframes (which represents 1 trading year). And that's the indicator! It is very easy to use, so you should pick it up in no time! Enjoy and as always, 🚀🚀 safe trades! 🚀🚀
Pine Script® Indikator
von Steversteves
16
Chop ZonesThis indicator plots two "zones" in the form of shaded boxes, one between PMH and PML and one between PDH and PDL, the area that is shaded more has the highest probability of price action to be "choppy", the lesser shaded area has less probability for "choppy" action whilst outside the shaded areas there is high probability of a trend. This indicator can be used to determine one of the three types of day: Chop day Bullish trend day Bearish trend day Chop day example today on AMEX:SPY Bullish trend day example on NASDAQ:DLTR Bearish trend day example on NASDAQ:UAL
Pine Script® Indikator
von Dtrades_TV
Normalized Equity/Bond RatioThis indicator calculates a normalized equity-to-bond ratio over a 252-day lookback (~1 trading year) to assess risk-on vs. risk-off sentiment. It addresses the issue of direct ratios (e.g., SPY/TLT) being visually dominated by high nominal stock prices, which can obscure bond price movements. A rising ratio indicates equities are outperforming bonds, suggesting risk-on conditions, while a declining ratio signals a shift toward bonds, often associated with risk-off behavior. The normalization ensures better visibility and comparability of the trend over time. A ratio > 1 means the equity (e.g., SPY) is outperforming the bond (e.g., AGG) since the lookback. A ratio < 1 means bonds are outperforming.
Pine Script® Indikator
von Summit2003
15-Minute ORB by @RhinoTradezOverview Hey traders, ready to jump on the morning breakout train? The 15-Minute ORB by @RhinoTradez is your go-to pal for rocking the Opening Range Breakout (ORB) scene, zeroing in on the first 15 minutes of the U.S. market day—9:30 to 9:45 AM Eastern Time. Picture this: sleek orange lines mark the high and low of that opening rush, but they only hang out during regular trading hours (9:30 AM-4:00 PM ET) and reset fresh each day—no old baggage here! Built in Pine Script v6 for that cutting-edge feel, it’s loaded with breakout signals and alerts to keep your trading game strong—ideal for SPY, QQQ, or any ticker you love. Crafted by @RhinoTradez to fuel your daily grind—let’s hit those breakouts running! What It Does The ORB strategy is all about that early market spark: the 9:30-9:45 AM range sets the battlefield, and breakouts signal the charge. Here’s the rundown: Captures the Range : Snags the high and low from the 9:30-9:45 AM ET candle—U.S. market kickoff, locked in. Daily Refresh : Wipes yesterday’s lines at 9:30 AM ET each day—today’s all that matters. Regular Hours Focus : Orange lines shine from 9:45 AM to 4:00 PM ET, vanishing outside those hours. Breakout Signals : Green triangles for upside breaks, red for downside, all within regular hours. Alerts You : Chimes in with “Price broke above 15-min ORB High: 597” (or below the low) when the move hits. It’s your morning breakout blueprint—simple, focused, and trader-ready. Functionality Breakdown: 15-Minute ORB Snap: Locks the high and low of the 9:30-9:45 AM ET candle on a 15-minute chart (EST/EDT auto-adjusted). Resets daily at 9:30 AM ET—yesterday’s range is outta here. Regular Hours Only: Lines glow from 9:45 AM to 4:00 PM ET, keeping pre-market and after-hours clean. Breakout Flags: Marks price busting above the ORB high (green triangle below bar) or below the low (red triangle above), only during 9:30 AM-4:00 PM. Alert Action: Drops a custom alert with the breakout price (e.g., “Price broke below 15-min ORB Low: 594”)—stay in the know, hands-free. Customization Options Keep it chill with one slick tweak: ORB Line Color : Starts at orange—vibrant and trader-cool! Flip it to blue, purple, or any shade you dig in the settings. Make it yours. How to Use It Pop It On: Add it to a 15-minute chart—SPY, QQQ, or your hot pick works like a dream. Time It Right: Set your chart to “America/New_York” time (Chart Settings > Time Zone) to sync with 9:30 AM ET. Choose Your Color: Dive into the indicator settings and pick your ORB line color—orange kicks it off, but you’re in charge. Set Alerts: Right-click the indicator, add an alert with “Any alert() function call,” and catch breakouts live. Ride the Wave: Green triangle? Upward vibe. Red? Downside alert. Mix with volume or candles for extra punch. Pro Tips 15-Minute Only : Tailored for that 9:30-9:45 AM ET candle—other timeframes won’t sync up. Daily Reset : Lines refresh at 9:30 AM ET—always today’s play. Breakout Boost : High volume or RSI can seal the deal on those triangle signals. No Clutter : Lines stick to 9:30 AM-4:00 PM ET—your chart stays tidy. Brought to you by @RhinoTradez in Pine Script v6, this ORB script’s your morning breakout wingman. Slap it on, pick a color, and let’s chase those moves together! Happy trading!
Pine Script® Indikator
von Rhinotradez
6
IronCondor 10am 30TF by RMThe IronCondor 10am 30TF indicator shows Iron Condor trades win rate over a large number of days. The default ETFs in this indicators are "QQQ", "SPY", "RUT" , "CBTX" and "SPX", other entries have not been tested. Iron Condor quick explanation: - Iron Condors trades have four options, generally, are based around a Midpoint price (Current Market Price Strike) and - Two equally distances Strikes for the SELL components (called the Body of the Iron Condor) - Further away from the two SELLs, another Two BUYs for protection (not considered in this indicator) - Iron Condors are used for Passive Income based on small gains most of the time. The IronCondor 10am 30TF has its logic created based on the premises that: - Most days the market prices stay within a range. - As example the S&P market prices would stay within 1% on about 80% of the time - The moving markets (bullish or bearish) occur about 20% of the time - The biggest market price volatility generally occurs before market opens and then around the first hour or so of trade in the day. - After the first hour or so of the market the prices would be most likely to stay within a range. The operation is simple: - At the Trade Star time in the day (say 10:30 Hrs.) draws a vertical yellow line, then - Creates two blue horizontal lines for the SELL limits in the Iron Condor Body, at +/- 1% price boundary (check Ticker list below for values) - At the Trade End time (say 16:00 Hrs.) checks that none of the SELL limits have been broken by highs or lows during the trade day (The check is done calculating at Trade End time the high/lows 10 bars back for 30 min TF - timeframe) - There is a label at each Trade End time with Win/Loss and Body value. - There is one final label with overall calculated past performance in Win percentage out of 'n' trades Defaults and User Entries: - The User can modify the Midpoint price called 'IronCondor Midpoint STRIKE' (default is the Candle Close at the selected time) - The User can modify the Body value called 'IronCondor Body' (default is the Ticker's selected value as per list below) "QQQ" or "SPY" Body = 5 "RUT" or "CBTX" Body = 20 "SPX" Body = 60 * Disclaimer: This is not a Financial tool, it cannot used as any kind of advice to invest or risk moneys in any market, Markets are volatile in nature - with little or no warning - and will drain your account if you are not careful. Use only as an academic demonstrator => * Use at your own risk *
Pine Script® Indikator
von raul3429
FACTOR MONITORThe Factor Monitor is a comprehensive designed to track relative strength and standard deviation movements across multiple market segments and investment factors. The indicator calculates and displays normalized percentage moves and their statistical significance (measured in standard deviations) across daily, 5-day, and 20-day periods, providing a multi-timeframe view of market dynamics. Key Features: Real-time tracking of relative performance between various ETF pairs (e.g., QQQ vs SPY, IWM vs SPY) Standard deviation scoring system that identifies statistically significant moves Color-coded visualization (green/red) for quick interpretation of relative strength Multiple timeframe analysis (1-day, 5-day, and 20-day moves) Monitoring of key market segments: Style factors (Value, Growth, Momentum) Market cap segments (Large, Mid, Small) Sector relative strength Risk factors (High Beta vs Low Volatility) Credit conditions (High Yield vs Investment Grade) The tool is particularly valuable for: Identifying significant factor rotations in the market Assessing market breadth through relative strength comparisons Spotting potential trend changes through statistical deviation analysis Monitoring sector leadership and market regime shifts Quantifying the magnitude of market moves relative to historical norms
Pine Script® Indikator
von chosin76
Employee Portfolio Generator [By MUQWISHI]▋ INTRODUCTION : The “Employee Portfolio Generator” simplifies the process of building a long-term investment portfolio tailored for employees seeking to build wealth through investments rather than traditional bank savings. The tool empowers employees to set up recurring deposits at customizable intervals, enabling to make additional purchases in a list of preferred holdings, with the ability to define the purchasing investment weight for each security. The tool serves as a comprehensive solution for tracking portfolio performance, conducting research, and analyzing specific aspects of portfolio investments. The output includes an index value, a table of holdings, and chart plots, providing a deeper understanding of the portfolio's historical movements. _______________________ ▋ OVERVIEW: ● Scenario (The chart above can be taken as an example) : Let say, in 2010, a newly employed individual committed to saving $1,000 each month. Rather than relying on a traditional savings account, chose to invest the majority of monthly savings in stable well-established stocks. Allocating 30% of monthly saving to AMEX:SPY and another 30% to NASDAQ:QQQ , recognizing these as reliable options for steady growth. Additionally, there was an admired toward innovative business models of NASDAQ:AAPL , NASDAQ:MSFT , NASDAQ:AMZN , and NASDAQ:EBAY , leading to invest 10% in each of those companies. By the end of 2024, after 15 years, the total monthly deposits amounted to $179,000, which would have been the result of traditional saving alone. However, by sticking into long term invest, the value of the portfolio assets grew, reaching nearly $900,000. _______________________ ▋ OUTPUTS: The table can be displayed in three formats: 1. Portfolio Index Title: displays the index name at the top, and at the bottom, it shows the index value, along with the chart timeframe, e.g., daily change in points and percentage. 2. Specifications: displays the essential information on portfolio performance, including the investment date range, total deposits, free cash, returns, and assets. 3. Holdings: a list of the holding securities inside a table that contains the ticker, last price, entry price, return percentage of the portfolio's total deposits, and latest weighted percentage of the portfolio. Additionally, a tooltip appears when the user passes the cursor over a ticker's cell, showing brief information about the company, such as the company's name, exchange market, country, sector, and industry. 4. Indication of New Deposit: An indication of a new deposit added to the portfolio for additional purchasing. 5. Chart: The portfolio's historical movements can be visualized in a plot, displayed as a bar chart, candlestick chart, or line chart, depending on the preferred format, as shown below. _______________________ ▋ INDICATOR SETTINGS: Section(1): Table Settings (1) Naming the index. (2) Table location on the chart and cell size. (3) Sorting Holdings Table. By securities’ {Return(%) Portfolio, Weight(%) Portfolio, or Ticker Alphabetical} order. (4) Choose the type of index: {Assets, Return, or Return (%)}, and the plot type for the portfolio index: {Candle, Bar, or Line}. (5) Positive/Negative colors. (6) Table Colors (Title, Cell, and Text). (7) To show/hide any of selected indicator’s components. Section(2): Recurring Deposit Settings (1) From DateTime of starting the investment. (2) To DateTime of ending the investment (3) The amount of recurring deposit into portfolio and currency. (4) The frequency of recurring deposits into the portfolio {Weekly, 2-Weeks, Monthly, Quarterly, Yearly} (5) The Depositing Model: ● Fixed: The amount for recurring deposits remains constant throughout the entire investment period. ● Increased %: The recurring deposit amount increases at the selected frequency and percentage throughout the entire investment period. (5B) If the user selects “ Depositing Model: Increased % ”, specify the growth model (linear or exponential) and define the rate of increase. Section(3): Portfolio Holdings (1) Enable a ticker in the investment portfolio. (2) The selected deposit frequency weight for a ticker. For example, if the monthly deposit is $1,000 and the selected weight for XYZ stock is 30%, $300 will be used to purchase shares of XYZ stock. (3) Select up to 6 tickers that the investor is interested in for long-term investment. Please let me know if you have any questions
Pine Script® Indikator
von MUQWISHI
1
Real Relative Strength Indicator (Multi-Index Comparison)The Real Relative Strength (RRS) indicator implements the "Real Relative Strength" equation, as detailed on the Real Day Trading subreddit wiki. This equation measures whether a stock is outperforming a benchmark (such as SPY or any preferred ETF/index) by calculating price change normalized by the Average True Range (ATR) of both the stock and the indices it’s being compared to. The RRS metric often highlights potential accumulation by institutional players. For example, in this chart, you can observe accumulation in McDonald’s beginning at 1:25 pm ET on the 5-minute chart and continuing until 2:55 pm ET. When used in conjunction with other indicators or technical analysis, RRS can provide valuable buy and sell signals. This indicator also supports multi-index analysis, allowing you to plot relative strength against two indices simultaneously—defaulting to SPY and QQQ—to gain insights into the "real relative strength" across different benchmarks. Additionally, this indicator includes an EMA line and background coloring to help automatically identify relative strength trends, providing a clearer visualization than typical Relative Strength Comparison indicators.
Pine Script® Indikator
von QuantHound
Prometheus Fractal-Based TrendThe Fractal-Based Trend indicator is a tool that uses fractals to try and detect which direction an underlying will continue to go. Calculation: A bullish fractal occurs when the current bar's high is lower than the previous bar high, and the previous bar's high is higher than both the high from two bars ago and the high from three bars ago. A bearish fractal happens when the current bar's low is higher than the previous bar's low, and the previous bar's low is lower than both the low from two bars ago and the low from three bars ago. When a bullish or bearish fractal forms, the corresponding value stored is the previous bar high for a bearish fractal or the previous bar's low for a bullish fractal. The trade scenarios are when these fractals occur, a green or red label being plotted on the chart for whatever direction it predicts. Trade examples: We see on this daily chart of AMEX:SPY that the fractals represent the potential for a directional trade that can last a few days. The more volatile a chart is the more of these fractals we can see. We see on this 5 minute chart for NASDAQ:TSLA there is way more activity, there are more sporadic candles on a lower time frame, so we can see more anomalies in the price action. We see this to be true for BITSTAMP:BTCUSD even on a daily time frame, since it is very volatile. There are a lot of these labels plotted. This is the perspective we aim to provide. We encourage traders to not follow indicators blindly. No indicator is 100% accurate. This one can give you a different perspective of price strength with volatility. We encourage any comments about desired updates or criticism!
Pine Script® Indikator
von ScorsoneEnterprises
3-Bar (Outside Bar) Scanner with Table Display# 3-Bar (Outside Bar) Scanner with Table Display ## Overview The **3-Bar (Outside Bar) Scanner with Table Display** is a custom TradingView indicator designed for traders who utilize **The Strat** methodology. This indicator scans for **3-bar (Outside Bar)** patterns across multiple symbols and displays the results in a convenient table format directly on your chart. ## Purpose - **Efficient Multi-Symbol Scanning**: Monitor up to four symbols simultaneously for 3-bar patterns without the need to switch between charts. - **Real-Time Updates**: The table dynamically updates with new price data, providing immediate insights into potential trading opportunities. - **Visual Clarity**: Displays whether a 3-bar is bullish ("3 Up") or bearish ("3 Down"), helping you quickly interpret market sentiment. ## How It Works - **Data Retrieval**: The indicator uses `request.security()` to fetch high, low, open, and close prices for the specified symbols and timeframe. - **3-Bar Detection**: - **Outside Bar Criteria**: Checks if the current candle's high is higher than the previous candle's high and the current low is lower than the previous low. - **Direction Determination**: - **"3 Up"**: If the candle closes higher than it opens (bullish candle). - **"3 Down"**: If the candle closes lower than it opens (bearish candle). - **Table Display**: - The table shows the **Symbol**, **Timeframe**, and **State** ("3 Up", "3 Down", or blank if no pattern detected). - Customizable colors and positioning to fit your chart's aesthetics. ## Best Use Cases - **Rapid Market Analysis**: Ideal for traders needing a quick overview of multiple assets for potential 3-bar setups. - **Strategic Decision-Making**: Helps identify key reversal or continuation patterns in alignment with **The Strat** principles. - **Scalable Monitoring**: By utilizing TradingView's multi-chart layouts, you can expand monitoring beyond four symbols. ## Instructions for Use ### Adding the Indicator to Your Chart 1. **Copy the Code**: Use the provided Pine Script code for the indicator. 2. **Create a New Indicator**: - In TradingView, click on **Pine Editor** at the bottom of the platform. - Paste the code into the editor. 3. **Save and Add to Chart**: - Click **Save** and give your indicator a name. - Click **Add to Chart** to apply it. ### Customizing the Inputs - **Symbols**: - **Symbol 1**: Leave blank to use the current chart's symbol or enter a specific symbol (e.g., `AAPL`). - **Symbol 2 to Symbol 4**: Enter additional symbols or leave them blank. - **Timeframe**: Select your desired timeframe (e.g., `D` for Daily, `60` for 60-minute). - **Table Colors**: - Customize header and data colors for better visibility against your chart background. ### Interpreting the Table - **Symbol**: Displays the symbol without the exchange prefix for clarity. - **Timeframe**: Shows the timeframe applied to the analysis. - **State**: - **"3 Up"**: A bullish outside bar where the candle closed higher than it opened. - **"3 Down"**: A bearish outside bar where the candle closed lower than it opened. - **Blank**: No 3-bar pattern detected on the latest candle. ### Monitoring More Than Four Symbols - **Multi-Chart Layout**: - Use TradingView's multi-chart feature to display multiple charts within a single workspace. - Apply the indicator to each chart. For example: - **Four-Chart Grid**: Monitor up to 16 symbols by setting up four charts, each with the indicator tracking four symbols. - **Steps**: 1. Arrange your workspace into a multi-chart layout. 2. Add the indicator to each chart. 3. Input different symbols into the indicator on each chart. ## Example Usage Suppose you want to monitor the following symbols on a Daily timeframe: - **Symbol 1**: *(Leave blank to use the current chart's symbol, e.g., `SPY`)* - **Symbol 2**: `AAPL` - **Symbol 3**: `TSLA` - **Symbol 4**: `AMZN` After adding the indicator and entering these symbols: - **SPY**: The table shows "3 Up" in the State column, indicating a bullish outside bar. - **AAPL**: No 3-bar pattern detected; the State column is blank. - **TSLA**: The table shows "3 Down," indicating a bearish outside bar. - **AMZN**: The table shows "3 Up," indicating another bullish outside bar. This setup allows you to quickly assess which symbols are exhibiting significant patterns that may warrant further analysis or action. ## Notes - **Customization**: Feel free to adjust the table's position and colors to suit your preferences. - **Limitations**: - Be aware of TradingView's limitations on `request.security()` calls, which may vary based on your subscription plan. - The indicator is designed to monitor up to four symbols per instance due to these limitations. - **Scalability**: - By using multi-chart layouts, you can effectively monitor more symbols without overloading a single chart. - This approach allows you to scale up your monitoring capabilities to fit your trading strategy. ## Conclusion The **3-Bar (Outside Bar) Scanner with Table Display** is a valuable tool for traders who utilize **The Strat** methodology. It streamlines the process of identifying key 3-bar patterns across multiple symbols and timeframes, enhancing your ability to make informed trading decisions quickly. By integrating this indicator into your trading routine, you can: - Stay alert to significant market movements. - Reduce the time spent manually scanning charts. - Increase efficiency in executing your trading strategy. --- Feel free to share this indicator with the Strat community. Feedback and suggestions are welcome to further enhance its functionality. Happy trading!
Pine Script® Indikator
von mmtrades5643
2
Correlation with AveragesThe "Correlation with Averages" indicator is designed to visualize and analyze the correlation between a selected asset's price and a base symbol's price, such as the S&P 500 (SPY). This indicator allows users to evaluate how closely an asset’s price movements align with those of the base symbol over various time periods, providing insights into market trends and potential portfolio adjustments. Key Features: Base Symbol and Correlation Period: Users can specify the base symbol (default is SPY) and the period for correlation measurement (default is 252 trading days, approximating one year). Correlation Calculation: The indicator computes the correlation between the asset’s closing price and the base symbol’s closing price for the defined period. Visualization: The correlation value is plotted on the chart, with conditional background colors indicating the strength and direction of the correlation: Red for negative correlation (below -0.5) Green for positive correlation (above 0.5) Yellow for neutral correlation (between -0.5 and 0.5) Average Correlation Over Time: Average correlations are calculated and displayed for various periods: one week, one month, one year, and five years. A table on the chart provides dynamic updates of these average values with color-coded backgrounds to indicate correlation strength. The Role of Correlation in Portfolio Management Correlation is a crucial concept in portfolio management because it measures the degree to which two securities move in relation to each other. Understanding correlation helps investors construct diversified portfolios that balance risk and return. Here's why correlation is important: Diversification: By including assets with low or negative correlation in a portfolio, investors can reduce overall portfolio volatility and risk. For instance, if one asset is negatively correlated with another, when one performs poorly, the other may perform well, thus smoothing the overall returns. Risk Management: Correlation analysis helps in identifying the potential impact of one asset’s performance on the entire portfolio. Assets with high correlation can lead to concentrated risk, while those with low correlation offer better risk management. Performance Analysis: Correlation measures the degree to which asset returns move together. This can inform strategic decisions, such as whether to adjust positions based on expected market conditions. Scientific References Markowitz, H. M. (1952). "Portfolio Selection." Journal of Finance, 7(1), 77-91. This foundational paper introduced Modern Portfolio Theory, highlighting the importance of diversification and correlation in reducing portfolio risk. Jorion, P. (2007). Financial Risk Manager Handbook. Wiley. This handbook provides an in-depth exploration of risk management techniques, including the use of correlation in portfolio management. Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2014). Modern Portfolio Theory and Investment Analysis. Wiley. This book elaborates on the concepts of correlation and diversification, offering practical insights into portfolio construction and risk management. By utilizing the "Correlation with Averages" indicator, traders and portfolio managers can make informed decisions based on the relationship between asset prices and the base symbol, ultimately enhancing their investment strategies.
Pine Script® Indikator
von EdgeTools
Prometheus StochasticThe Stochastic indicator is a popular indicator developed in the 1950s. It is designed to identify overbought and oversold scenarios on different assets. A value above 80 is considered overbought and a value below 20 is considered oversold. The formula is as follows: %k = ((Close - Low_i) / (High_i / Low_i)) * 100 Low_i and High_i represent the lowest low and highest high of the selected period. The Prometheus version takes a slightly different approach: %k = ((High - Lowest_Close_i) / (High_i / Low_i)) * 100 Using the Current High minus the Lowest Close provides us with a more robust range that can be slightly more sensitive to moves and provide a different perspective. Code: stoch_func(src_close, src_high, src_low, length) => 100 * (src_high - ta.lowest(src_close, length)) / (ta.highest(src_high, length) - ta.lowest(src_low, length)) This is the function that returns our Stochastic indicator. What period do we use for the calculation? Let Prometheus handle that, we utilize a Sum of Squared Error calculation to find what lookback values can be most useful for a trader. How we do it is we calculate a Simple Moving Average or SMA and the indicator using a lot of different bars back values. Then if there is an event, characterized by the indicator crossing above 80 or below 20, we subtract the close by the SMA and square it. If there is no event we return a big value, we want the error to be as small as possible. Because we loop over every value for bars back, we get the value with the smallest error. We also do this for the smoothing values. // Function to calculate SSE for a given combination of N, K, and D sse_calc(_N, _K, _D) => SMA = ta.sma(close, _N) sf = stoch_func(close, high, low, _N) k = ta.sma(sf, _K) d = ta.sma(k, _D) var float error = na if ta.crossover(d, 80) or ta.crossunder(d, 20) error := math.pow(close - SMA, 2) else error := 999999999999999999999999999999999999999 error var int best_N = na var int best_K = na var int best_D = na var float min_SSE = na // Loop through all combinations of N, K, and D for N in N_range for K in K_range for D in D_range sse = sse_calc(N, K, D) if (na(min_SSE) or sse < min_SSE) min_SSE := sse best_N := N best_K := K best_D := D int N_opt = na int K_opt = na int D_opt = na if c_lkb_bool == false N_opt := best_N K_opt := best_K D_opt := best_D This is the section where the best lookback values are calculated. We provide the option to use this self optimizer or to use your own lookback values. Here is an example on the daily AMEX:SPY chart. The top Stochastic is the value with the SSE calculation, the bottom is with a fixed 14, 1, 3 input values. We see in the candles with boxes where some potential differences and trades may be. This is another comparison of the SSE functionality and the fixed lookbacks on the NYSE:PLTR 1 day chart. Differences may be more apparent on lower time frame charts. We encourage traders to not follow indicators blindly, none are 100% accurate. SSE does not guarantee that the values generated will be the best for a given moment in time. Please comment on any desired updates, all criticism is welcome!
Pine Script® Indikator
von ScorsoneEnterprises
Market Internals: VolumeThe indicator plots the total volume of the NYSE and NASDAQ exchanges and identifies periods with significant asymmetry between Up Volume and Down Volume. It can be used as an additional tool to confirm broad market sentiment. Chart shows Total Volume (TVOL) bars for SPY daily chart. Green bars for UVOL>>DVOL, Red for DVOL>>UVOL. Neutral bars are gray. Blue line shows median TVOL. Rationale: Up Volume (UVOL) and Down Volume (DVOL) represent the total volume of stocks that have increased or decreased in price, respectively, compared to the previous session's closing price. The magnitude of the price change is irrelevant. When UVOL is significantly higher than DVOL, it indicates a prevailing buying sentiment in the broad market. Conversely, when DVOL is higher, it signals prevailing selling sentiment. Occasionally, the UVOL/DVOL (VOLD) ratio may be misaligned with the movement of the S&P index. The picture below illustrates an example of a day when the S&P declined, yet the UVOL was twice larger than DVOL. Such a divergence can suggest that the S&P was pulled down by a decline in a few large-cap stocks, while the broader market remained positive. In this case, the divergence led to a continuation of the rally. Thus, VOLD, when combined with volume analysis, can be an effective tool for confirming market trends. Parameters: VOLD Ratio – minimum ratio of UVOL/DVOL or DVOL/UVOL. Indicator will color code volume columns when condition is true (“green” means buying; “red” selling). Median Length – number of periods to calculate median TVOL. Show Divergencies – indicator marks divergencies between price and volume sentiments on the main chart. Only works for SPY chart. Users can also choose which exchanges (NASDAQ/NYSE) to use for volume calculation. Notes: Volume is shown in millions of contracts Indicator should be used on the daily or higher timeframes. It won't work properly on the intraday charts Disclaimer This indicator should not be used as a standalone tool to make trading decisions but only in conjunction with other technical analysis methods.
Pine Script® Indikator
von hermes_trisme
Market Inner Strength IndexThe "Market Inner Strength Index" is an indicator designed to visually represent the market strength by analyzing the six major sectors: XLK, XLV, XLF, XLY, XLC and XLI. These sectors represent more than 80% of the SPX index, making their performance crucial for understanding overall market conditions. The indicator calculates the individual strengths of these sectors and combines them to provide an overall market strength index, helping to identify scenarios of sector rotation, euphoria, or panic. Rationale: The six major sectors (XLK, XLV, XLF, XLY, XLC, XLI) are essential as they encompass a significant portion of the SPX index. Typically, money rotates among these sectors, meaning some sectors grow while others decline. Rare occasions where all sectors move in the same direction can indicate market-wide euphoria (upwards) or panic (downwards). The Market Inner Strength Index helps track sector performance and identify these scenarios. Methodology: Script requests current timeframe data for each of the sectors and assigns scores, based on its performance. It will work best on the daily and higher timeframes but can also be used on the lower timeframes. Score assignment: If the sector is green (positive performance) for the given timeframe, it receives positive points. If the sector is red (negative performance), it receives negative points. If the current close price is above the previous period high, additional positive points are assigned. If the current close price is below the previous period low, additional negative points are assigned. The scores for the six sectors are averaged to compute a total score, which is plotted on the chart. A table displays the performance of each sector, color-coded based on their scores for the last period. Parameters: Neutral Zone : Define the neutral zone threshold. Heikin Ashi : Option to use Heikin Ashi candles instead of normal ones. Show Divergency : Option to show divergences on the chart. Divergence occurs when the SPY is bullish, but the sector score is bearish, or vice versa. This option will only work on SPY chart. Sector selections : Enable/disable specific sectors in score calculation.
Pine Script® Indikator
von hermes_trisme
3
Sharpe and Sortino Ratios█   OVERVIEW This indicator calculates the Sharpe and Sortino ratios using a chart symbol's periodic price returns, offering insights into the symbol's risk-adjusted performance. It features the option to calculate these ratios by comparing the periodic returns to a fixed annual rate of return or the returns from another selected symbol's context. █   CONCEPTS Returns, risk, and volatility The  return  on an investment is the relative gain or loss over a period, often expressed as a percentage. Investment returns can originate from several sources, including capital gains, dividends, and interest income. Many investors seek the highest returns possible in the quest for profit. However, prudent investing and trading entails evaluating such returns against the associated  risks  (i.e., the uncertainty of returns and the potential for financial losses) for a clearer perspective on overall performance and sustainability. The profitability of an investment typically comes at the cost of enduring market swings, noise, and general uncertainty. To navigate these turbulent waters, investors and portfolio managers often utilize volatility , a measure of the statistical dispersion of historical returns, as a foundational element in their risk assessments because it provides a tangible way to gauge the uncertainty in returns. High volatility suggests increased uncertainty and, consequently, higher risk, whereas low volatility suggests more stable returns with minimal fluctuations, implying lower risk. These concepts are integral components in several risk-adjusted performance metrics, including the Sharpe and Sortino ratios calculated by this indicator. Risk-free rate The  risk-free rate  represents the rate of return on a hypothetical investment carrying no risk of financial loss. This theoretical rate provides a benchmark for comparing the returns on a risky investment and evaluating whether its excess returns justify the risks. If an investment's returns are at or below the theoretical risk-free rate or the risk premium is below a desired amount, it may suggest that the returns do not compensate for the extra risk, which might be a call to reassess the investment. Since the risk-free rate is a theoretical concept, investors often utilize proxies for the rate in practice, such as Treasury bills and other government bonds. Conventionally, analysts consider such instruments "risk-free" for a domestic holder, as they are a form of government obligation with a low perceived likelihood of default. The average yield on short-term Treasury bills, influenced by economic conditions, monetary policies, and inflation expectations, has historically hovered around 2-3% over the long term. This range also aligns with central banks' inflation targets. As such, one may interpret a value within this range as a minimum proxy for the risk-free rate, as it may correspond to the minimum rate required to maintain purchasing power over time. This indicator uses a default value of 2% as the risk-free rate in its Sharpe and Sortino ratio calculations. Users can adjust this value from the "Risk-free rate of return" input in the "Settings/Inputs" tab. Sharpe and Sortino ratios The Sharpe and Sortino ratios are two of the most widely used metrics that offer insight into an investment's risk-adjusted performance . They provide a standardized framework to compare the effectiveness of investments relative to their perceived risks. These metrics can help investors determine whether the returns justify the risks taken to achieve them, promoting more informed investment decisions. Both metrics measure risk-adjusted performance similarly. However, they have some differences in their formulas and their interpretation:   1. Sharpe ratio   The Sharpe ratio , developed by Nobel laureate William F. Sharpe, measures the performance of an investment compared to a theoretically risk-free asset, adjusted for the investment risk. The ratio uses the following formula:   Sharpe Ratio = (𝑅𝑎 − 𝑅𝑓) / 𝜎𝑎   Where:    • 𝑅𝑎 = Average return of the investment    • 𝑅𝑓 = Theoretical risk-free rate of return    • 𝜎𝑎 = Standard deviation of the investment's returns (volatility)   A higher Sharpe ratio indicates a more favorable risk-adjusted return, as it signifies that the investment produced higher excess returns per unit of increase in total perceived risk.   2. Sortino ratio   The Sortino ratio is a modified form of the Sharpe ratio that only considers downside volatility , i.e., the volatility of returns below the theoretical risk-free benchmark. Although it shares close similarities with the Sharpe ratio, it can produce very different values, especially when the returns do not have a symmetrical distribution, since it does not penalize upside and downside volatility equally. The ratio uses the following formula:   Sortino Ratio = (𝑅𝑎 − 𝑅𝑓) / 𝜎𝑑   Where:    • 𝑅𝑎 = Average return of the investment    • 𝑅𝑓 = Theoretical risk-free rate of return    • 𝜎𝑑 = Downside deviation (standard deviation of negative excess returns, or downside volatility)   The Sortino ratio offers an alternative perspective on an investment's return-generating efficiency since it does not consider upside volatility in its calculation. A higher Sortino ratio signifies that the investment produced higher excess returns per unit of increase in perceived downside risk. The risk-free rate (𝑅𝑓) in the numerator of both ratio formulas acts as a baseline for comparing an investment's performance to a theoretical risk-free alternative. By subtracting the risk-free rate from the expected return (𝑅𝑎−𝑅𝑓), the numerator essentially represents the risk premium of the investment. Comparison with another symbol In addition to the conventional Sharpe and Sortino ratios, which compare an instrument's returns to a risk-free rate, this indicator can also compare returns to a user-specified benchmark symbol , allowing the calculation of Information ratios . An Information ratio is a generalized form of the Sharpe ratio that compares an investment's returns to a risky benchmark , such as SPY, rather than a risk-free rate. It measures the investment's active return (the difference between its returns and the benchmark returns) relative to its tracking error (i.e., the volatility of the active return) using the following formula: 𝐼𝑅 = (𝑅𝑝 − 𝑅𝑏) / 𝑇𝐸 Where: • 𝑅𝑝 = Average return on the portfolio or investment • 𝑅𝑏 = Average return from the benchmark instrument • 𝑇𝐸 = Tracking error (volatility of 𝑅𝑝 − 𝑅𝑏) Comparing returns to a benchmark instrument rather than a theoretical risk-free rate offers unique insights into risk-adjusted performance. Higher Information ratios signify that the investment produced higher active returns per unit of increase in risk relative to the benchmark. Conventional choices for non-risk-free benchmarks include major composite indices like the S&P 500 and DJIA, as the resulting ratios can provide insight into the effectiveness of an investment relative to the broader market. Users can enable this generalized calculation for both the Sharpe and Sortino ratios by selecting the "Benchmark symbol returns" option from the "Benchmark type" dropdown in the "Settings/Inputs" tab. It's crucial to note that this indicator compares the charts symbol's rate of change (return) to the rate of change in the benchmark symbol. Consequently, not all symbols available on TradingView are suitable for use with these ratios due to the nature of what their values represent. For instance, using a bond as a benchmark will produce distorted results since each bar's values represent yields rather than prices, meaning it compares the rate of change in the yield. To maintain consistency and relevance in the calculated ratios, ensure the values from the compared symbols strictly represent price information. █   FEATURES This indicator provides traders with two widely used metrics for assessing risk-adjusted performance, generalized to allow users to compare the chart symbol's price returns to a fixed risk-free rate or the returns from another risky symbol. Below are the key features of this indicator: Timeframe selection The "Returns timeframe" input determines the timeframe of the calculated price returns. Users can select any value greater than or equal to the chart's timeframe. The default timeframe is "1M". Periodic returns tracking This indicator compounds and collects requested price returns from the selected timeframe over monthly or daily periods, similar to how the Broker Emulator works when calculating strategy performance metrics on trade data. It employs the following logic: • Track returns over monthly periods if the chart's data spans at least two months. • Track returns over daily periods if the chart's data spans at least two days but not two months. • Do not track or collect returns if the data spans less than two days, as the amount of data is insufficient for meaningful ratio calculations. The indicator uses the returns collected from up to a specified number of periods to calculate the Sharpe and Sortino ratios, depending on the available historical data. It also uses these periodic returns to calculate the average returns it displays in the Data Window. Users can control the maximum number of periods the indicator analyzes with the "Max no. of periods used" input in the "Settings/Inputs" tab. The default value is 60 periods. Benchmark specification The "Benchmark return type" input specifies the benchmark type the indicator compares to the chart symbol's returns in the ratio calculations. It features the following two options: • "Risk-free rate of return (%)": Compares the price returns to a user-specified annual rate of return representing a theoretical risk-free rate (e.g., 2%). • "Benchmark symbol return": Compares the price returns to a selected benchmark symbol (e.g., "AMEX:SPY) to calculate Information ratios. When comparing a chart symbol's returns to a specified benchmark symbol, this indicator aligns the times of data points from the benchmark with the times of data points from the chart's symbol to facilitate a fair comparison between symbols with different active sessions. Visualization and display • The indicator displays the periodic returns requested from the specified "Returns timeframe" in a separate pane. The plot includes dynamic colors to signify positive and negative returns. • When the "Returns timeframe" value represents a higher timeframe, the indicator displays background highlights on the main chart pane to signify when a new value is available and whether the return is positive or negative. • When the specified benchmark return type is a benchmark symbol, the indicator displays the requested symbol's returns in the separate pane as a gray line for visual comparison. • Within the separate pane, the indicator displays a single-cell table that shows the base period it uses for periodic returns, the number of periods it uses in the calculation, the timeframe of the requested data, and the calculated Sharpe and Sortino ratios. • The Data Window displays the chart symbol and benchmark returns, their periodic averages, and the Sharpe and Sortino ratios. █   FOR Pine Script™ CODERS • This script utilizes the functions from our RiskMetrics library to determine the size of the periods, calculate and collect periodic returns, and compute the Sharpe and Sortino ratios. • The `getAlignedPrices()` function in this script requests price data for the chart's symbol and a benchmark symbol with consistent time alignment by utilizing spread symbols , which helps facilitate a fair comparison between different symbol types. Retrieving prices from spreads avoids potential information loss and data misalignment that can otherwise occur when using separate requests from each symbol's context when those symbols have different sessions or data times. • For consistency, the `getAlignedPrices()` function includes extended hours and dividend adjustment modifiers in its data requests. Additionally, it includes other settings inherited from the chart's context, such as "settlement-as-close" preferences for fair comparison between futures instruments. • This script uses the `changePercent()` function from our ta library to calculate the percentage changes of the requested data. • The newly released `force_overlay` parameter in display-related functions allows indicators to display visuals on the main chart and a separate pane simultaneously. We use the parameter in this script's bgcolor() call to display background highlights on the main chart. Look first. Then leap.
Pine Script® Indikator
von TradingView
4
Micho 150 SMA indicatorAMEX:SPY NASDAQ:MSFT This Pine Script indicator is designed to assist traders by displaying a 150-day Simple Moving Average (SMA) and a stop loss level based on a user-defined percentage below the 150-day SMA. It also marks significant crossover events with labels and highlights potential trend changes using Golden Cross and Death Cross indicators. Features: 150-Day Simple Moving Average (SMA): The script calculates and plots the 150-day SMA of the closing prices. This is a common technical indicator used to determine the overall trend of a security. The 150-day SMA is plotted in gray on the chart. Stop Loss Price: Users can define a stop loss percentage through an input field. This percentage is used to calculate a stop loss price that is plotted 1% (or user-defined percentage) below the 150-day SMA. The stop loss line is plotted in red on the chart. This helps traders manage risk by indicating a price level where they might consider exiting a trade to prevent further losses. Buy and Sell Signals: The script identifies potential buy and sell signals based on crossovers of the closing price with the 150-day SMA: Buy Signal: When the closing price crosses above the 150-day SMA. Sell Signal: When the closing price crosses below the 150-day SMA. Labels are plotted at the crossover points to indicate "start follow" for buy signals (in green) and "check stoploss" for sell signals (in red). Golden Cross and Death Cross: The script also identifies Golden Cross and Death Cross events: Golden Cross: Occurs when the 50-day SMA crosses above the 200-day SMA. This is generally considered a bullish signal indicating a potential upward trend. Death Cross: Occurs when the 50-day SMA crosses below the 200-day SMA. This is generally considered a bearish signal indicating a potential downward trend. These crossover events are marked with labels on the chart: "Golden Cross" (in yellow) and "Death Cross" (in yellow)
Pine Script® Indikator
von yaronsb
5
Walnut LevelsThis indicator was specifically designed to plot levels published by Walnut on SPY and ES charts. In the indicator's configuration settings, you are required to input the desired levels in the following format: (Description), (Description), (Description), .... Additionally, you have the option to configure whether to display labels and if those labels should include the numeric value of the level or just the description. Moreover, the indicator allows customization of both color and line style via configuration settings. This flexibility enables users to tailor the appearance of the plotted levels according to their preferences. If there are no levels to plot, a message will be displayed indicating so. Overall, the indicator streamlines the process of incorporating Walnut's published levels into trading analysis on SPY and ES charts, offering enhanced visualization and customization options to suit individual trading strategies.
Pine Script® Indikator
von nnhhuu07
RSI and MACD Crossover SignalsBest for Short-Term/Intraday Trading on SPY, TSLA, NVDA Strategy Concept: This strategy is designed for short-term trading across various assets and timeframes (Recommend: 1min, 5min, 15min, 1hr, 4hr, 1day). It leverages the Relative Strength Index (RSI) and Moving Average Convergence Divergence (MACD) to identify potential buy and sell signals. The strategy aims to capture moments where the asset's price is likely to experience a reversal or a significant momentum shift. By combining the RSI and MACD indicators, the strategy seeks to increase the accuracy of identifying potential trend reversals or continuations, taking into account both the momentum and the trend direction of the asset. RSI (Relative Strength Index) Parameters: The RSI period is set to 14 Overbought and oversold levels are set at 70 and 30, respectively The RSI is used to identify potential reversal points when the asset is overbought or oversold MACD (Moving Average Convergence Divergence) Parameters: The MACD settings are configured with a fast length of 8, a slow length of 34, and a signal smoothing of 8 The MACD line crossing over or under the signal line is used to confirm the potential buy or sell signals indicated by the RSI Signal Generation Logic: Buy Signal: Triggered when the RSI crosses above the oversold level (30). Confirmed if the MACD line crosses above the signal line within a delay period of up to 4 candles after the RSI signal. Sell Signal: Triggered when the RSI crosses below the overbought level (70). Confirmed if the MACD line crosses below the signal line within a delay period of up to 4 candles after the RSI signal. Additional Features: The script includes a notification system that alerts the trader when either a buy or sell signal is detected. The alert signal is combined with both the buy and sell signal in 1 so people without premium can be alerted when any signal appears. Buy signals are visually represented on the chart below the price bars with a green "BUY" label. Sell signals are indicated above the price bars with a red "SELL" label. Usage and Application: This strategy is versatile and recommended to be played with scalps and day trades. I prefer SPY 0DTE on the 1 and 5 minute timeframe and looking for bigger trend reversals on the 1hr, 4hr, and 1 day timeframe.
Pine Script® Indikator
von CPSiphon8
2
Z-Score Forecaster[SS]Hello everyone, I just released a neat library for Forecasting stock and equities. In it, it has a couple of novel approaches to forecasting (namely, a Moving Average forecaster and a Z-Score Forecaster). These were accomplished applying basic theories on Autoregression, ARIMA modelling and Z-Score to make new approaches to forecasting. This is one of the novel approaches, the Z-Score forecaster. How this function works is it identifies the current trend over the duration of the Z-Score assessment period. So, if the Z-Score is being assessed over the previous 75 candles, it will identify the trend over the previous 75 candles. It will then plot out the forecasted levels according to the trend, up to a maximum of the max Z-Score the ticker has reached within its period. At that point, it will show a likely trend reversal. Here is an example: This shows that SPY may go to 475.42 before reversing, as 475.42 is the highest z-score that has been achieved in the current trend. When it is in an uptrend, the forecast line will be green, when in a downtrend, it will be red. The forecasting line is accomplished through pinescript's new polyline feature. In addition to the line, you can also have the indicator plot out a forecast table. The Z-Score Forecast table was formatted in a similar way to ARIMA, where it makes no bias about trend, it simply plots out both ends of the spectrum. So, if an uptrend were to continue, it will list the various uptrend targets along the way, vice versa for downtrends. It will also display what Z-Score these targets would amount to. Here is an example: Looking at SPY on the daily, we can see that a likely upside target would be around 484 at just over 2 Standard Deviations (Z-Score). Its not liklely to go higher than that because then we are getting into 3 and 4 standard deviations. Remember, everything generally should be within 1 and -1 standard deviations of the mean. So if we look at the table, we can see that would be between 466 and 430. Customization You can customize the Z-Score length and source. You can also toggle off and on alerts. The alerts will pop up when a ticker is trading at a previous maximum or previous minimum. I have also added a manual feature to plot the Z-Score SMA, which is simply the SMA over the desired Z-Score lookback time. And that's the indicator! If you are interested in the library, you can access it here . Thanks for checking this out and leave your questions below!
Pine Script® Indikator
von Steversteves
10
Pairs strategyHello, Tradingview community, I am been playing with this idea that nowadays trading instruments are interconnected and when one goes too far "out of order" it should return to the mean. So, here's a relatively simple idea. This is a LONG-ONLY strategy. Buy when your traded instrument's last bar closes down, and the comparing instrument closes up. Sell when close is higher than the previous bar's high. Best results I found with medium timeframes: 45min, 120min, 180min. Also, feel free to test non-typical timeframes such as 59min, 119min, 179min, etc. My reasoning for medium timeframes would be, that they are big enough to avoid "market noise" of smaller timeframes + commissions & slippage is less negligible, and small enough to avoid exposure of higher timeframes, although, I haven't tested D timeframe and above. The best results, I found were with instruments that aren't directly correlated. I mostly tested equities and equity futures, so for equity indexes, equity index futures, or large-cap stocks, NASDAQ:SMH , NASDAQ:NVDA , EURUSD, and Crude Oil would be a good candidate for comparing symbols. When testing either futures or stocks, please adjust the commission for each asset, for stocks I use % equity, so it compounds over time, whereas, for futures, I use 1 contract all the time. Here's NASDAQ:MSFT on 119min chart Here's AMEX:SPY on 59min chart using NASDAQ:NVDA as comparison Here's CME_MINI:ES1! on 179min chart using NYMEX:CL1! as comparison To change comparison symbol just insert your symbol between the brackets on both fields down here. SymbolClose = request.security("YOUR SYMBOL HERE", timeframe.period, close) SymbolOpen = request.security("YOUR SYMBOL HERE", timeframe.period, open) Since I am still relatively new to testing, hence, I am publishing this idea, so you can point out some crucial things I may have missed. Thanks, Enjoy the strategy!
Pine Script® Strategie
von nkrastins95
3
TSI Market Timer + Volatility MeterThis is the TSI Market Timer. It is years in the making and it is comprised of four indicators in one. The stock (or source) is run through an indicator called the True Strength Indicator with settings(5,15) , then the TSI is run on both the Index(SPY) by default and what I call a Trigger line which is basically the TSI applied to the DXY (US Dollar Index). Midline Volatility Indicator: Lastly, we have a volatility indicator on the midline. The colors of the midline indicate levels of volatility. For the lowest volatility in the last 100 days, the dot turns dark blue. For the lowest volatility in 30 days, the dot turns aqua. For regular volatility, it remains orange. And last, for higher volatility of the last 100 days, it turns red. These are more or less arbitrary but they do come in handy. Settings for Green/Red Shading: Next on the indicator are the settings. You can toggle a color change between the stock/source and the index(spy). If the stock/source is greater than the index, it will color the area in between a green and if it is below the index, it will be red. There is also a toggle for the stock/source and the trigger/DXY. This will also show green when the stock is above the trigger and red if it is below the trigger. By turning on both of these, you get light green and dark green areas as well as red and darker red areas. The lighter green represent when the stock is above both the index and the trigger and conversely for the red areas. Settings for vertical line crossings: When the stock crosses the trigger/dxy line, it shows a green vertical line signal. When the stock crosses below the trigger/dxy, a red vertical line is shown. You can turn these off by toggling them in the settings. Stacked Condition: Lastly, we have a "stacked condition" which shows up as a white triangle at the bottom when the condition of the stock being above the index and the trigger below the zero line. New Highs: If you see the stock line turn lime green, this indicates a new high was reached for the last 255 days/periods. This is like a new 52 week high signal. Note: This indicator is made mostly for the stock market. It may work ok during the week for crypto but using the trigger/dxy and index lines on the weekends doesn't work too well as they will be flat. Also note that this indicator is not a recommendation to buy or sell any stock/instrument. It is only a study of market conditions. Any analysis should be followed up with volume analysis or other confirming indicators.
Pine Script® Indikator
von SpreadEagle71
KNN Regression [SS]Another indicator release, I know. But note, this isn't intended to be a stand-alone indicator, this is just a functional addition for those who program Machine Learning algorithms in Pinescript! There isn't enough content here to merit creating a library for (it's only 1 function), but it's a really useful function for those who like machine learning and Nearest Known Neighbour Algos (or KNN). About the indicator: This indicator creates a function to perform KNN-based regression. In contrast to traditional linear regression, KNN-based regression has the following advantages over linear regression: Advantages of KNN Regression vs. Linear Regression: 🎯 Non-linearity: KNN is a non-parametric method, meaning it makes no assumptions about the underlying data distribution. This allows it to capture non-linear relationships between features and the target variable. 🎯Simple Implementation: KNN is conceptually simple and easy to understand. It doesn't require the estimation of parameters, making it straightforward to implement. 🎯Robust to Outliers: KNN is less sensitive to outliers compared to linear regression. Outliers can have a significant impact on linear regression models, but KNN tends to be less affected. Disadvantages of KNN Regression vs. Linear Regression: 🎯 Resource Intensive for Computation: Because KNN operates on identifying the nearest neighbors in a dataset, each new instance has to be searched for and identified within the dataset, vs. linear regression which can create a coefficient-based model and draw from the coefficient for each new data point. 🎯Curse of Dimensionality: KNN performance can degrade with an increasing number of features, leading to a "curse of dimensionality." This is because, in high-dimensional spaces, the concept of proximity becomes less meaningful. 🎯Sensitive to Noise: KNN can be sensitive to noisy data, as it relies on the local neighborhood for predictions. Noisy or irrelevant features may affect its performance. Which is better? I am very biased, coming from a statistics background. I will always love linear regression and will always prefer it over KNN. But depending on what you want to accomplish, KNN makes sense. If you are using highly skewed data or data that you cannot identify linearity in, KNN is probably preferable. However, if you require precise estimations of ranges and outliers, such as creating co-integration models, I would advise sticking with linear regression. However, out of curiosity, I exported the function into a separate dummy indicator and pulled in data from QQQ to predict SPY close, and the results are actually very admirable: And plotted with showing the standard error variance: Pretty impressive, I must say I was a little shocked, it's really giving linear regression a run for its money. In school I was taught LinReg is the gold standard for modeling, nothing else compares. So as with most things in trading, this is challenging some biases of mine ;). Functionality of the function I have permitted 3 types of KNN regression. Traditional KNN regression, as I understand it, revolves around clustering. ( Clustering refers to identifying a cluster, normally 3, of identical cases and averaging out the Dependent variable in each of those cases) . Clustering is great, but when you are working with a finite dataset, identifying exact matches for 2 or 3 clusters can be challenging when you are only looking back at 500 candles or 1000 candles, etc. So to accommodate this, I have added a functionality to clustering called "Tolerance". And it allows you to set a tolerance level for your Euclidean distance parameters. As a default, I have tested this with a default of 0.5 and it has worked great and no need to change even when working with large numbers such as NQ and ES1!. However, I have added 2 additional regression types that can be done with KNN. #1 One is a regression by the last IDENTICAL instance, which will find the most recent instance of a similar Independent variable and pull the Dependent variable from that instance. Or #2 Average from all IDENTICAL instances. Using the function The code has the instructions for integrating the function into your own code, the parameters, and such, so I won't exhaust you with the boring details about that here. But essentially, it exports 3, float variables, the Result, the Correlation, and the simplified R2. As this is KNN regression, there are no coefficients, slopes, or intercepts and you do not need to test for linearity before applying it. Also, the output can be a bit choppy, so I tend to like to throw in a bit of smoothing using the ta.sma function at a deault of 14. For example, here is SPY from QQQ smoothed as a 14 SMA: And it is unsmoothed: It seems relatively similar but it does make a bit of an aesthetic difference. And if you are doing it over 14, there is no data loss and it is still quite reactive to changes in data. And that's it! Hopefully you enjoy and find some interesting uses for this function in your own scripts :-). Safe trades everyone!
Pine Script® Indikator
von Steversteves
10