Hello!
This script looks to distinguish replicable sequences and correlations between earnings releases and price. The indicator calculates the average 1-session to 20-session performance of an asset prior to an earnings release, and the 1-session to 20-session performance of an asset subsequent an earnings release.
You can select the number of sessions the script calculates for asset performance.
In the image above the script calculates the average 1-session performance following an earnings surprise, earnings miss, and in general. 20 sessions is the maximum value!
Also measured is the average performance of an asset before and after earnings, in addition to the average performance following an earnings surprise "green earnings" and the average performance following an earnings miss "red earnings".
I included VaR and CVaR calculations - using the historical method - in the script. For those of you unfamiliar with the metrics, both look to quantify the risk of financial loss for a portfolio, or even a particular position.
The script also calculates the 1st - 5th percentile for earnings losses. A more comprehensive explanation of the metrics is stored in tooltips in the user input tab.
The script also calculates the highest high and lowest low following an earnings release, up to 20 sessions, and calculates the difference between the two.
Keep in mind that a company might not have a significant number of earnings misses, or may have only traded publicly for a short while. If true, the resulting earnings/price calculations *will* be misleading - there is an insufficient sample size; no correlations are ascertainable.
I will be working on this script more, so let me know if there is anything you would like included!
This script looks to distinguish replicable sequences and correlations between earnings releases and price. The indicator calculates the average 1-session to 20-session performance of an asset prior to an earnings release, and the 1-session to 20-session performance of an asset subsequent an earnings release.
You can select the number of sessions the script calculates for asset performance.
In the image above the script calculates the average 1-session performance following an earnings surprise, earnings miss, and in general. 20 sessions is the maximum value!
Also measured is the average performance of an asset before and after earnings, in addition to the average performance following an earnings surprise "green earnings" and the average performance following an earnings miss "red earnings".
I included VaR and CVaR calculations - using the historical method - in the script. For those of you unfamiliar with the metrics, both look to quantify the risk of financial loss for a portfolio, or even a particular position.
The script also calculates the 1st - 5th percentile for earnings losses. A more comprehensive explanation of the metrics is stored in tooltips in the user input tab.
The script also calculates the highest high and lowest low following an earnings release, up to 20 sessions, and calculates the difference between the two.
Keep in mind that a company might not have a significant number of earnings misses, or may have only traded publicly for a short while. If true, the resulting earnings/price calculations *will* be misleading - there is an insufficient sample size; no correlations are ascertainable.
I will be working on this script more, so let me know if there is anything you would like included!
Notas de Lançamento
Fixed a label size issueNotas de Lançamento
Got a bit creative with plots - added a diamond line to help visualize the VaR price level and the corresponding CVaR price level.Notas de Lançamento
Improved VaR and CVaR plotNotas de Lançamento
Made use of Pine's new table.merge_cells feature to spice up the table!
Included an option to plot VaR and CVaR lines across all historical price data.
Notas de Lançamento
Color additionsNotas de Lançamento
Included fundamental ratios/statistics. These labels, and accompanying lines, can be hidden in the user inputs tab!Notas de Lançamento
Notas de Lançamento
Added a few volume measures
Notas de Lançamento
Added more fundamental statistics. There is an options to hide the blue labels in the user input tabNotas de Lançamento
Added calculations for Q1, Q2, Q3, and Q4 earnings releases.
Notas de Lançamento
Fixed a dashed lineNotas de Lançamento
Added some cool features in the top right corner of the chart!Fiscal quarters are highlighted during the period, in addition to a description - "surprise" or "miss" - of the company's earnings performance during that quarter.
Notas de Lançamento
Added earnings actual and earnings estimate number in the top right.Notas de Lançamento
The script will now stamp the year/month/day that earnings occur! Notas de Lançamento
Worked on aesthetics - a checkmark appear when a company exceeds earnings estimates; an "X" appears when a company underperforms estimates. Notas de Lançamento
Included additional volume measures for ER sessions, and sessions within close proximity of ER sessions, which can be adjusted in the user input tab!Notas de Lançamento
Compliant with memory calculation changesScript de código aberto
No verdadeiro espirito do TradingView, o autor desse script o publicou como código aberto, para que os traders possam entendê-lo e verificá-lo. Parabéns ao autor Você pode usá-lo gratuitamente, mas a reutilização desse código em publicações e regida pelas Regras da Casa.
•Access to Next-Gen Optimization Tools: tradingiq.io
•Discord Server: discord.gg/aKWPuM4HPy
•Discord Server: discord.gg/aKWPuM4HPy
Aviso legal
As informações e publicações não devem ser e não constituem conselhos ou recomendações financeiras, de investimento, de negociação ou de qualquer outro tipo, fornecidas ou endossadas pela TradingView. Leia mais em Termos de uso.
Script de código aberto
No verdadeiro espirito do TradingView, o autor desse script o publicou como código aberto, para que os traders possam entendê-lo e verificá-lo. Parabéns ao autor Você pode usá-lo gratuitamente, mas a reutilização desse código em publicações e regida pelas Regras da Casa.
•Access to Next-Gen Optimization Tools: tradingiq.io
•Discord Server: discord.gg/aKWPuM4HPy
•Discord Server: discord.gg/aKWPuM4HPy
Aviso legal
As informações e publicações não devem ser e não constituem conselhos ou recomendações financeiras, de investimento, de negociação ou de qualquer outro tipo, fornecidas ou endossadas pela TradingView. Leia mais em Termos de uso.