Support and Resistance Pivot Points/Lines [Mauserrifle]Support and Resistance Pivot Points/Lines by Mauserrifle. A personal take on drawing support and resistance pivot lines. This indicator was born as the core of bot strategies I am trying to build. I think this indicator with its feature called “Cooldown rounding” can be useful to others to manually scalp or analyze charts. I did not find other indicators to do the same so I hope you find it useful.
A summary of the features:
It will draw high/low pivot lines based on a maximum of eight higher timeframes
You can set up how many days the lines are valid and appear per timeframe. The default period days are based on a 2m chart strategy. Consider higher values for day charts.
The lines will be drawn from the moment when they are KNOWN, which helps analyzing historical charts. You can change this behavior to make them draw from the pivot (looking at future data on historic data)
The pivot point lines can be rounded by multiple methods: round, ceil/floor, roundn (decimal) and round_to_mintick. This general rounding feature is disabled by default because, in my opinion, a much more useful one can be used which I call “Cooldown rounding” described in the next point.
Cooldown rounding: Round lows and highs for a cooldown period to keep the previous pivot line instead of adding a new line when they match the rounded value within the cooldown period. The existing line will be extended. This feature is useful because it makes sure the initial line is added to the exact high/low pivot level but any future lines within the rounding will just extend the existing line. Consider using roundn on some intraday charts such as SPY 2m.
You can set a maximum minutes for the cooldown. The default is 3 years which is just based on some charting techniques for scalping 2m. It will just enable the cooldown rounding permanently on the intraday (due max bar limit) and with a limit on daily. Tweak it to your needs.
It is possible to always add new pivot lines when a new high is higher or low is lower compared to previous line. Thus ignoring the rounding logic. Consider disabling it on intraday charts such as SPY 2m.
NOTE:
Only configured timeframes EQUAL/ABOVE your chart timeframe will activate
The default period days are optimized for a 2m intraday trading strategy. Consider higher values for day charts.
Max lines rendered is set to 500
Line calculation is limited by the max bars of the chart and date range
Repainting may happen on intraday when for example using a 2m chart timeframe with pivots on 15m+ (as documented by tradingview). Rendered days 7+ will also cause repainting issues on 2m charts. See tradingview support docs: 43000478429. For scalping manually using already known lines this shouldn't be a problem I think but be aware!
The default settings have been set so every chart timeframe will show lines without further configuration.
Keep an eye on the data window how many lines are rendered. Make sure you never exceed 500. Anything above will cause earlier lines to disappear which could be a problem when you use it to analyze historical data.
I hope you find this useful!
DISCLAIMER
Trading is risky & most day traders lose money. This indicator is purely for informational & educational purposes only. Past performance does not guarantee future results.
Pesquisar nos scripts por "spy"
PUMP IndicatorsPUMP Indicator Description
★ Supported Markets and Assets
The PUMP indicator is a versatile tool that can be effectively applied to various markets and assets, including:
▶ Korean Stocks: KOSPI, KOSDAQ, etc.
▶ U.S. Stocks: NYSE, NASDAQ, etc.
▶ Cryptocurrencies: Major cryptocurrencies such as Bitcoin (BTC), Ethereum (ETH), etc.
▶ Futures: Major futures contracts like gold, silver, crude oil, etc.
▶ ETFs: SPY, QQQ, etc.
★ Indicator Description
The PUMP indicator is designed to analyze price divergence and volatility.
It is provided with minimal representation on the chart, allowing users to use it in conjunction with other indicators, such as classical RSI, TRIX, CCI, ADX, BWI, Bollinger Bands, etc.
Everything displayed on the chart can be turned on or off in the options, allowing users to customize their setup.
The PUMP indicator is based on the concept of the MACD indicator, which calculates the difference between the leading line and the lagging line to generate signals.
GOOD, UP, and CR signals predict price increases.
DOWN and BAD signals predict price decreases.
WARN emphasizes that the buy position is not certain, regardless of price increases or decreases.
Therefore, the PUMP indicator is good to use with other indicators. It visually displays divergence and volatility signals along with the MACD movements below, and users can receive alerts for movements in their interested stocks using the alarm function.
It can be used as an indicator for viewing buy and sell signals, as well as predicting the price flow.
▶ (Drawback) Unlike typical TRIX, RSI, TRIX, CCI, ADX, BWI indicators, which are implemented in a new lower window, the PUMP indicator displays both signals and the leading and lagging lines simultaneously, so it is not implemented in a new window, meaning the baseline may vary depending on the daily chart appearance.
★ The PUMP indicator consists of the following components:
▶ PUMP Indicator Leading and Lagging Lines
PUMP t: Leading line (yellow)
PUMP p: Lagging line (blue)
The MACD displayed at the bottom of the chart calculates the divergence between the PUMP t leading line and the PUMP p lagging line.
▶ EA Formula
The core calculation of the PUMP indicator is as follows:
EA (Exponential Average): 100 * (eavg1 / eavg2)
Where eavg1 is the short-term EMA, and eavg2 is the long-term EMA.
It calculates the divergence of the index.
▶ The PUMP indicator is a fixed indicator (cannot be arbitrarily modified).
▶ Highlights: The method of calculating the interval or number of uses is an important part of the index calculation and is therefore private.
★ Signal Description
The PUMP indicator provides a total of six major signals:
▶ UP Signal: Occurs when the divergence between the MACD PUMP t leading line and PUMP p lagging line narrows, and the divergence of the exponential moving average widens compared to before.
▶ DOWN Signal: Occurs when the MACD PUMP t leading line crosses above the PUMP p lagging line.
▶ GOOD Signal: Represents an UP signal with added volume.
(The GOOD signal is not necessarily better than the UP signal. If a GOOD signal appears in a stock that has sufficiently fallen in price, it helps understand that a rebound has started. Therefore, the GOOD signal is made to find a rebound in stocks that have continuously declined, rather than finding signals in consistently rising prices.)
▶ BAD Signal: Occurs when the PUMP t leading line crosses above the 0 baseline, indicating a potential sell signal.
▶ WARN Signal: A warning signal occurring at high levels, indicating that buying is not recommended (regardless of buy or sell).
▶ CR Signal: Occurs in all sections where the PUMP t leading line crosses below the PUMP p lagging line.
★ Lower MACD Horizontal Baseline
The PUMP indicator provides three horizontal baselines from the MACD indicator for additional analysis:
▶ Pump H
▶ PUMP M
▶ PUMP L
It visually provides the divergence of the lower MACD indicator for rising and falling changes, with the default set to 0, and users can change the numbers in the options as needed.
★ Moving Averages
The PUMP indicator provides three basic moving averages:
▶ Buzz 7: 7-day moving average
▶ Buzz 26: 26-day moving average
▶ Buzz 120: 120-day moving average
The number of moving averages is fixed, but users can use them in conjunction with the moving averages provided by TradingView as needed.
★ Alert Function
Using the Alert function of TradingView, you can set alerts for various signals generated by the PUMP indicator.
▶ GOOD Signal Alert
▶ UP Signal Alert
▶ CR Signal Alert
▶ DOWN Signal Alert
▶ BAD Signal Alert
▶ WARN Signal Alert
★ Usage
1. The PUMP indicator is not focused on buy and sell signals but calculates the current price movement and divergence and is designed to express it through MACD leading and lagging lines and signals.
2. The PUMP indicator can be used alone or in conjunction with other indicators for technical analysis.
3. You can analyze buy and sell using the signals of the PUMP indicator along with fundamental analysis, such as news, issues, national policies, company profits, and sales increases.
4. The MACD leading and lagging lines at the bottom of the chart move inversely to the price, ensuring that the PUMP indicator does not interfere when used with other indicators.
5. You can receive real-time alerts using the alarm function.
Below, we attach pictures to help users understand.
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PUMP 인디케이터 설명(한글)
★ 지원되는 시장 및 자산
PUMP 표시기는 다음과 같은 다양한 시장 및 자산에 효과적으로 적용할 수 있는 다용도 도구입니다:
▶ 한국주식: KOSPI, KOSDAQ 등.
▶ 미국주식: NYSE, NASDAQ 등.
▶ 암호화폐: 비트코인(BTC), 이더리움(ETH) 등 주요 암호화폐.
▶ 선물 : 금, 은, 원유 등 주요 선물 계약.
▶ 상장지수펀드(ETF) : SPY, QQQ 등.
★ 지표 설명
PUMP 지표는 가격 이격과 변동성을 분석하도록 설계되었습니다.
사용자가 만든 지표 또는 고전 RSI, TRIX, CCI, ADX, BWI, Bollinger Bands 등과 함께 사용할 수 있게 차트에 최소한의 표현으로 제공됩니다.
그리고 차트에 표현되는 모든 것들을 옵션에서 on / off 가능하게 하였기에 사용자가 커스텀 할 수 있게 하였습니다.
PUMP 지표 신호를 생성하기 위해 선행 라인과 후행 라인 간의 차이를 계산하는 MACD 지표의 개념을 기반으로 합니다.
GOOD, UP, CR 신호는 가격 상승을 예측합니다.
DOWN, BAD 신호는 가격 하락을 예측합니다.
WARN은 가격 상승과 하락에 관계없이, 매수 자리는 확실히 아님을 강조한 신호입니다.
그러므로 PUMP 지표는 다른 지표와 함께 사용하기 좋고, 이격과 변동성을 신호와 하단 MACD 움직임을 눈으로 볼 수 있으며, 알람 기능을 활용하여 관심 있는 종목의 움직임을 알람으로 받아 볼 수 있는 지표입니다.
매수와 매도를 보는 지표로 사용할 수 있으며, 가격의 흐름을 예상하는 지표로 사용할 수 있습니다.
▶ (단점) 보통의 TRIX, RSI, TRIX, CCI, ADX, BWI 지표들은 하단의 새로운 창에서 구현됩니다. 하지만 PUMP 지표는 신호와 하단 선행과 후행을 동시에 표현하기 때문에 새로운 창에서 구현되지 않기에 기준 축이 일봉의 모습에 따라 달라질 수 있습니다.
★ PUMP 지표는 다음과 같은 구성요소로 구성됩니다
▶ PUMP 지표 선행과 후행
PUMP t : 선행라인 (노란색)
PUMP p : 후행라인 (파란색)
차트 하단에 나타나는 MACD는 PUMP t선행라인과 PUMP p 후행라인의 이격도를 계산합니다.
▶ EA공식
PUMP 지표의 핵심 계산식은 다음과 같습니다:
EA(지수평균): 100 * (eavg1 / eavg2)
여기서 eavg1은 단기 EMA이고 eavg2는 장기 EMA입니다.
지수의 이격도를 계산합니다.
▶ PUMP 지표는 고정 지표입니다. (임의 수정 불가)
▶ 강조 : 이격의 계산법이나 사용하는 숫자는 지표 계산의 중요한 부분이므로 비공개입니다.
★ 신호 설명
PUMP 표시등은 총 6개의 주요 신호를 제공합니다:
▶ UP 신호: MACD PUMP t 선행과 PUMP p 후행의 이격이 줄어들 때, 지수 이동 평균의 이격도가 이전 보다 넓어지면 발생합니다.
▶ DOWN 신호: MACD PUMP t 선행이 PUMP p 후행을 상향 교차할 때 발생합니다.
▶ GOOD 신호: 거래량이 추가된 UP 신호를 나타냅니다.
(GOOD 신호가 UP 신호보다 좋다기 보다, 충분히 가격 하락한 종목에서 GOOD 신호가 나온다면 반등이 시작되는 것을 이해할 수 있게 만든 지표입니다. 그러므로 GOOD 신호는 가격이 꾸준히 상승하는 곳에서 신호를 찾기보다, 지속 하락하다 반등을 찾는 신호로 만들었습니다.)
▶ BAD 신호: PUMP t 선행이 0 기준선 이상으로 교차할 때 발생하며, 이는 잠재적인 판매 신호를 나타냅니다.
▶ 경고 신호: 높은 수준에서 발생하는 경고 신호로, 매수가 권장되지 않음을 나타냅니다(매수, 매도와 무관함).
▶ CR 신호: PUMP t 선행 라인이 PUMP p 후행 라인 아래로 교차하는 모든 구간에서 발생합니다.
★ 하단 MACD 가로 기준선
PUMP 표시기는 추가 분석을 위해 MACD 지표에서 3가지 가로 기준을 제공합니다:
▶ pump H
▶ PUMP M
▶ PUMP L
하단의 MACD 지표의 이격도를 상승 및 하강의 변화를 시각적으로 기준을 만들 수 있게 제공하며, 기본은 0으로 제공하고, 사용자의 필요에 따라 옵션에서 숫자를 변경할 수 있게 하였습니다.
★ 이동 평균
PUMP 표시기는 세 가지 기본 이동 평균을 제공 합니다:
▶ Buzz 7: 7일 이동 평균
▶ Buzz 26: 26일 이동 평균
▶ Buzz 120 : 120일 이동 평균
이동 평균의 수는 고정되어 있지만, 사용자는 필요에 따라 TradingView에서 제공하는 이동 평균과 함께 사용할 수 있습니다.
★ 알림 기능
TradingView의 Alert 기능을 사용하여 PUMP 지표 생성되는 다양한 신호에 대한 Alert를 설정할 수 있습니다.
▶ GOOD 신호 알림
▶ UP 신호 알림
▶ CR 신호 알림
▶ DOWN 신호 알림
▶ BAD 신호 알림
▶ WARN 신호 알림
★ 사용법
1.PUMP 지표는 매수와 매도에 중점을 둔 지표가 아니며 현재 가격의 움직임과 이격도를 계산하며 MACD 선행과 후행 그리고 신호로 표현하기 위해 만들어진 지표입니다.
2. PUMP 지표는 단일로 사용할 수 있고, 또는 다른 지표와 함께 기술적분석으로 사용할 수 있습니다.
3. 뉴스와 이슈, 국가의 정책, 회사의 이익, 매출의 상승 등 기본적분석과 함께 PUMP 지표의 신호를 이용하여 매수와 매도 분석을 할 수 있습니다.
4. 차트 하단의 MACD 선행과 후행은 가격의 움직임을 반대로 움직이며, 가격과 반대로 움직이게 함으로써 다른 지표와 함께 사용하였을 때, PUMP 지표가 방해가 되지 않게 하였습니다.
5. 알람을 사용하여 실시간으로 알람을 받아 보실 수 있습니다.
아래 사진을 첨부하여 사용자 이해를 돕습니다.
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UP신호는 이격을
▶ The UP signal indicates horizontal divergence.
CR신호는 선행이 후행을 아래로 돌파
▶ The CR signal indicates vertical divergence when the leading line crosses below the lagging line.
WARN 신호를 확인
▶ Check the WARN signal.
BAD와 DOWN 신호
▶ BAD and DOWN signals.
PUMP 지표의 기준 3개
3 criteria for PUMP indicators
따로 그림을 그리지 않은 차트
▶ A chart without separate drawings.
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다른 지표와 + 조합
+ Combination with other indicators
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.
Options Overlay [Pro] IVR IV Skew Delta Exp.mv MurreyMath Expiry
𝗧𝗵𝗲 𝗳𝗶𝗿𝘀𝘁 𝗿𝗲𝗮𝗹 𝗼𝗽𝘁𝗶𝗼𝗻𝘀 𝗱𝗮𝘁𝗮 𝗶𝗻𝗱𝗶𝗰𝗮𝘁𝗼𝗿 𝗼𝗻 𝗧𝗿𝗮𝗱𝗶𝗻𝗴𝗩𝗶𝗲𝘄, 𝗮𝘃𝗮𝗶𝗹𝗮𝗯𝗹𝗲 𝗳𝗼𝗿 𝗼𝘃𝗲𝗿 𝟭𝟱𝟬+ 𝗹𝗶𝗾𝘂𝗶𝗱 𝗨𝗦 𝗺𝗮𝗿𝗸𝗲𝘁 𝘀𝘆𝗺𝗯𝗼𝗹𝘀.
🔃 Auto-Updating Option Metrics without refresh!
🍒 Developed and maintained by option traders for option traders.
📈 Specifically designed for TradingView users who trade options.
Our indicator provides essential key metrics such as:
✅ IVRank
✅ IVx
✅ 5-Day IVx Change
✅ Delta curves and interpolated distances
✅ Expected move curve
✅ Standard deviation (STD1) curve
✅ Vertical Pricing Skew
✅ Horizontal IVx Skew
✅ Delta Skew
like TastyTrade, TOS, IBKR etc, but in a much more visually intuitive way. See detailed descriptions below.
If this isn't enough, we also include a unique grid system designed specifically for options traders. This package features our innovative dynamic grid system:
✅ Enhanced Murrey Math levels (horizontal scale)
✅ Options expirations (vertical scale)
Designed to help you assess market conditions and make well-informed trading decisions, this tool is an essential addition for every serious options trader!
Ticker Information:
This indicator is currently implemented for more than 150 liquid US market tickers and we are continuously expanding the list:
SP:SPX AMEX:SPY NASDAQ:QQQ NASDAQ:TLT AMEX:GLD
NYSE:AA NASDAQ:AAL NASDAQ:AAPL NYSE:ABBV NASDAQ:ABNB NASDAQ:AMD NASDAQ:AMZN AMEX:ARKK NASDAQ:AVGO NYSE:AXP NYSE:BA NYSE:BABA NYSE:BAC NASDAQ:BIDU AMEX:BITO NYSE:BMY NYSE:BP NASDAQ:BYND NYSE:C NYSE:CAT NYSE:CCJ NYSE:CCL NASDAQ:COIN NYSE:COP NASDAQ:COST NYSE:CRM NASDAQ:CRWD NASDAQ:CSCO NYSE:CVNA NYSE:CVS NYSE:CVX NYSE:DAL NASDAQ:DBX AMEX:DIA NYSE:DIS NASDAQ:DKNG NASDAQ:EBAY NASDAQ:ETSY NASDAQ:EXPE NYSE:F NYSE:FCX NYSE:FDX AMEX:FXI AMEX:GDX AMEX:GDXJ NYSE:GE NYSE:GM NYSE:GME NYSE:GOLD NASDAQ:GOOG NASDAQ:GOOGL NYSE:GPS NYSE:GS NASDAQ:HOOD NYSE:IBM NASDAQ:IEF NASDAQ:INTC AMEX:IWM NASDAQ:JD NYSE:JNJ NYSE:JPM NYSE:JWN NYSE:KO NYSE:LLY NYSE:LOW NYSE:LVS NYSE:MA NASDAQ:MARA NYSE:MCD NYSE:MET NASDAQ:META NYSE:MGM NYSE:MMM NYSE:MPC NYSE:MRK NASDAQ:MRNA NYSE:MRO NASDAQ:MRVL NYSE:MS NASDAQ:MSFT AMEX:MSOS NYSE:NCLH NASDAQ:NDX NYSE:NET NASDAQ:NFLX NYSE:NIO NYSE:NKE NASDAQ:NVDA NASDAQ:ON NYSE:ORCL NYSE:OXY NASDAQ:PEP NYSE:PFE NYSE:PINS NYSE:PLTR NASDAQ:PTON NASDAQ:PYPL NASDAQ:QCOM NYSE:RBLX NYSE:RCL NASDAQ:RIOT NASDAQ:RIVN NASDAQ:ROKU NASDAQ:SBUX NYSE:SHOP AMEX:SLV NASDAQ:SMCI NASDAQ:SMH NYSE:SNAP NYSE:SQ NYSE:T NYSE:TGT NASDAQ:TQQQ NASDAQ:TSLA NYSE:TSM NASDAQ:TTD NASDAQ:TXN NYSE:U NASDAQ:UAL NYSE:UBER AMEX:UNG NYSE:UPS NASDAQ:UPST AMEX:USO NYSE:V AMEX:VXX NYSE:VZ NASDAQ:WBA NYSE:WFC NYSE:WMT NASDAQ:WYNN NYSE:X AMEX:XHB AMEX:XLE AMEX:XLF AMEX:XLI AMEX:XLK AMEX:XLP AMEX:XLU AMEX:XLV AMEX:XLY NYSE:XOM NYSE:XPEV CBOE:XSP NASDAQ:ZM
How does the indicator work and why is it unique?
This Pine Script indicator is a complex tool designed to provide various option metrics and visualization tools for options market traders. The indicator extracts raw options data from an external data provider (ORATS), processes and refines the delayed data package using pineseed, and sends it to TradingView, visualizing the data using specific formulas (see detailed below) or interpolated values (e.g., delta distances). This method of incorporating options data into a visualization framework is unique and entirely innovative on TradingView.
The indicator aims to offer a comprehensive view of the current state of options for the implemented instruments, including implied volatility (IV), IV rank (IVR), options skew, and expected market movements, which are objectively measured as detailed below.
The options metrics we display may be familiar to options traders from various major brokerage platforms such as TastyTrade, IBKR, TOS, Tradier, TD Ameritrade, Schwab, etc.
🟨 𝗗𝗘𝗧𝗔𝗜𝗟𝗘𝗗 𝗗𝗢𝗖𝗨𝗠𝗘𝗡𝗧𝗔𝗧𝗜𝗢𝗡 🟨
🔶 Auto-Updating Option Metrics and Curved Lines
🔹 Interpolated DELTA Curves (16,20,25,30,40)
In our indicator, the curve layer settings allow you to choose the delta value for displaying the delta curve: 16, 20, 25, 30, or even 40. The color of the curve can be customized, and you can also hide the delta curve by selecting the "-" option.
It's important to mention that we display interpolated deltas from the actual option chain of the underlying asset using the Black-Scholes model. This ensures that the 16 delta truly reflects the theoretical, but accurate, 16 delta distance. (For example, deltas shown by brokerages for individual strikes are rounded; a 0.16 delta might actually be 0.1625.)
🔹 Expected Move Curve (Exp.mv)
The expected move is the predicted dollar change in the underlying stock's price by a given option's expiration date, with 68% certainty. It is calculated using the expiration's pricing and implied volatility levels. We chose the TastyTrade method for calculating expected move, as we found it to be the most expressive.
Expected Move Calculation
Expected Move = (ATM straddle price x 0.6) + (1st OTM strangle price x 0.3) + (2nd OTM strangle price x 0.1)
For example , if stock XYZ is trading at 121 and the ATM straddle is 4.40, the 120/122 strangle is 3.46, and the 119/123 strangle is 2.66, the expected move is calculated as follows: 4.40 x 0.60 = 2.64; 3.46 x 0.30 = 1.04; 2.66 x 0.10 = 0.27; Expected move = 2.64 + 1.04 + 0.27 = ±3.9
In this example below, the TastyTrade platform indicates the expected move on the option chain with a brown color, and the exact value is displayed behind the ± symbol for each expiration. By default, we also use brown for this indication, but this can be changed or the curve display can be turned off.
🔹 Standard Deviation Curve (1 STD)
One standard deviation of a stock encompasses approximately 68.2% of outcomes in a distribution of occurrences based on current implied volatility.
We use the expected move formula to calculate the one standard deviation range of a stock. This calculation is based on the days-to-expiration (DTE) of our option contract, the stock price, and the implied volatility of a stock:
Calculation:
Standard Deviation = Closing Price * Implied Volatility * sqrt(Days to Expiration / 365)
According to options literature, there is a 68% probability that the underlying asset will fall within this one standard deviation range at expiration.
If the 1 STD and Exp.mv displays are both enabled, the indicator fills the area between them with a light gray color. This is because both represent probability distributions that appear as a "bell curve" when graphed, making it visually appealing.
Tip and Note:
The 1 STD line might appear jagged at times , which does not indicate a problem with the indicator. This is normal immediately after market open (e.g., during the first data refresh of the day) or if the expirations are illiquid (e.g., weekly expirations). The 1 STD value is calculated based on the aggregated IVx for the expirations, and the aggregated IVx value for weekly expirations updates less frequently due to lower trading volume. In such cases, we recommend enabling the "Only Monthly Expirations" option to smooth out the bell curve.
∑ Quant Observation:
The values of the expected move and the 1st standard deviation (1STD) will not match because they use different calculation methods, even though both are referred to as representing 68% of the underlying asset's movement in options literature. The expected move is based on direct market pricing of ATM options. The 1STD, on the other hand, uses the averaged implied volatility (IVX) for the given expiration to determine its value. Based on our experience, it is better to consider the area between the expected move and the 1STD as the true representation of the original 68% rule.
🔶 IVR Dashboard Panel Rows
🔹 IVR (IV Rank)
The Implied Volatility Rank (IVR) indicator helps options traders assess the current level of implied volatility (IV) in comparison to the past 52 weeks. IVR is a useful metric to determine whether options are relatively cheap or expensive. This can guide traders on whether to buy or sell options. We calculate IVrank, like TastyTrade does.
IVR Calculation:
IV Rank = (current IV - 52 week IV low) / (52 week IV high - 52 week IV low)
IVR Levels and Interpretations:
IVR 0-10 (Green): Very low implied volatility rank. Options might be "cheap," potentially a good time to buy options.
IVR 10-35 (White): Normal implied volatility rank. Options pricing is relatively standard.
IVR 35-50 (Orange): Almost high implied volatility rank.
IVR 50-75 (Red): Definitely high implied volatility rank. Options might be "expensive," potentially a good time to sell options for higher premiums.
IVR above 75 (Highlighted Red): Ultra high implied volatility rank. Indicates very high levels, suggesting a favorable time for selling options.
The panel refreshes automatically if the symbol is implemented. You can hide the panel or change the position and size.
🔹IVx (Implied Volatility Index)
The Implied Volatility Index (IVx) displayed in the option chain is calculated similarly to the VIX. The Cboe uses standard and weekly SPX options to measure the expected volatility of the S&P 500. A similar method is utilized to calculate IVx for each option expiration cycle.
For our purposes on the IVR Panel, we aggregate the IVx values specifically for the 35-70 day monthly expiration cycle . This aggregated value is then presented in the screener and info panel, providing a clear and concise measure of implied volatility over this period.
IVx Color coding:
IVx above 30 is displayed in orange.
IVx above 60 is displayed in red
IVx on curve:
The IVx values for each expiration can be viewed by hovering the mouse over the colored tooltip labels above the Curve.
IVx avg on IVR panel :
If the option is checked in the IVR panel settings, the IVR panel will display the average IVx values up to the optimal expiration.
Important Note:
The IVx value alone does not provide sufficient context. There are stocks that inherently exhibit high IVx values. Therefore, it is crucial to consider IVx in conjunction with the Implied Volatility Rank (IVR), which measures the IVx relative to its own historical values. This combined view helps in accurately assessing the significance of the IVx in relation to the specific stock's typical volatility behavior.
This indicator offers traders a comprehensive view of implied volatility, assisting them in making informed decisions by highlighting both the absolute and relative volatility measures.
🔹IVx 5 days change %
We are displaying the five-day change of the IV Index (IVx value). The IV Index 5-Day Change column provides quick insight into recent expansions or decreases in implied volatility over the last five trading days.
Traders who expect the value of options to decrease might view a decrease in IVX as a positive signal. Strategies such as Strangle and Ratio Spread can benefit from this decrease.
On the other hand, traders anticipating further increases in IVX will focus on the rising IVX values. Strategies like Calendar Spread or Diagonal Spread can take advantage of increasing implied volatility.
This indicator helps traders quickly assess changes in implied volatility, enabling them to make informed decisions based on their trading strategies and market expectations.
🔹 Vertical Pricing Skew
At TanukiTrade, Vertical Pricing Skew refers to the difference in pricing between put and call options with the same expiration date at the same distance (at expected move). We analyze this skew to understand market sentiment. This is the same formula used by TastyTrade for calculations.
We calculate the interpolated strike price based on the expected move , taking into account the neighboring option prices and their distances. This allows us to accurately determine whether the CALL or PUT options are more expensive.
PUT Skew (red): Put options are more expensive than call options, indicating the market expects a downward move (▽). If put options are more expensive by more than 20% at the same expected move distance, we color it lighter red.
CALL Skew (green): Call options are more expensive than put options, indicating the market expects an upward move (△). If call options are priced more than 30% higher at the examined expiration, we color it lighter green.
Vertical Skew on Curve:
The degree of vertical pricing skew for each expiration can be viewed by hovering over the points above the curve. Hover with mouse for more information.
Vertical Skew on IVR panel:
We focus on options with 35-70 days to expiration (DTE) for optimal analysis in case of vertical skew. Hover with mouse for more information.
This approach helps us gauge market expectations accurately, providing insights into potential price movements. Remember, we always evaluate the skew at the expected move using linear interpolation to determine the theoretical pricing of options.
🔹 Delta Skew 🌪️ (Twist)
We have a new metric that examines which monthly expiration indicates a "Delta Skew Twist" where the 16 delta deviates from the monthly STD. This is important because, under normal circumstances, the 16 delta is positioned between the expected move and the standard deviation (STD1) line (see Exp.mv & 1STD exact definitions above). However, if the interpolated 16 delta line exceeds the STD1 line either upwards or downwards, it represents a special case of vertical skew on the option chain.
Normal case : exp.move < delta16 < std1
Delta Skew Twist: exp.move < std1 < delta16
We indicate this with direction-specific colors (red/green) on the delta line. We also color the section of the delta curve affected by the delta skew in this case, even if you choose to display a lower delta, such as 30, instead of 16.
If "Colored Labels with Tooltips" is enabled, we also display a 🌪️ symbol in the tooltip for the expirations affected by Delta Skew.
If you have enabled the display of 'Vertical Pricing Skew' on the IVR Panel, a 🌪️ symbol will also appear next to the value of the vertical skew, and the tooltip will indicate from which expiration Delta Skew is observed.
🔹 Horizontal IVx Skew
In options pricing, it is typically expected that the implied volatility (IVx) increases for options with later expiration dates. This means that options further out in time are generally more expensive. At TanukiTrade, we refer to the phenomenon where this expectation is reversed—when the IVx decreases between two consecutive expirations—as Horizontal Skew or IVx Skew.
Horizontal IVx Skew occurs when: Front Expiry IVx < Back Expiry IVx
This scenario can create opportunities for traders who prefer diagonal or calendar strategies . Based on our experience, we categorize Horizontal Skew into two types:
Weekly Horizontal Skew:
When IVx skew is observed between two consecutive non-monthly expirations, the displayed value is the rounded-up percentage difference. On hover, the approximate location of this skew is also displayed. The precise location can be seen on this indicator.
Monthly Horizontal Skew:
When IVx skew is observed between two consecutive monthly expirations , the displayed value is the rounded-up percentage difference. On hover, the approximate location of this skew is also displayed. The precise location can be seen on our Overlay indicator.
The Monthly Vertical IVx skew is consistently more liquid than the weekly vertical IVx skew. Weekly Horizontal IVx Skew may not carry relevant information for symbols not included in the 'Weeklies & Volume Masters' preset in our Options Screener indicator.
If the options chain follows the normal IVx pattern, no skew value is displayed.
Color codes or tooltip labels above curve:
Gray - No horizontal skew;
Purple - Weekly horizontal skew;
BigBlue - Monthly horizontal skew
The display of monthly and weekly IVx skew can be toggled on or off on the IVR panel. However, if you want to disable the colored tooltips above the curve, this can only be done using the "Colored labels with tooltips" switch.
We indicate this range with colorful information bubbles above the upper STD line.
🔶 The Option Trader’s GRID System: Adaptive MurreyMath + Expiry Lines
At TanukiTrade, we utilize Enhanced MurreyMath and Expiry lines to create a dynamic grid system, unlike the basic built-in vertical grids in TradingView, which provide no insight into specific price levels or option expirations.
These grids are beneficial because they provide a structured layout, making important price levels visible on the chart. The grid automatically resizes as the underlying asset's volatility changes, helping traders identify expected movements for various option expirations.
The Option Trader’s GRID System part of this indicator can be used without limitations for all instruments . There are no type or other restrictions, and it automatically scales to fit every asset. Even if we haven't implemented the option metrics for a particular underlying asset, the GRID system will still function!
🔹 SETUP OF YOUR OPTIONS GRID SYSTEM
You can setup your new grid system in 3 easy steps!
STEP1: Hide default horizontal grid lines in TradingView
Right-click on an empty area of your chart, then select “Settings.” In the Chart settings -> Canvas -> Grid lines section, disable the display of horizontal lines to avoid distraction.
SETUP STEP2: Scaling fix
Right-click on the price scale on the right side, then select "Scale price chart only" to prevent the chart from scaling to the new horizontal lines!
STEP3: Enable Tanuki Options Grid
As a final step, make sure that both the vertical (MurreyMath) and horizontal (Expiry) lines are enabled in the Grid section of our indicator.
You are done, enjoy the new grid system!
🔹 HORIZONTAL: Enhanced MurreyMath Lines
Murrey Math lines are based on the principles observed by William Gann, renowned for his market symmetry forecasts. Gann's techniques, such as Gann Angles, have been adapted by Murrey to make them more accessible to ordinary investors. According to Murrey, markets often correct at specific price levels, and breakouts or returns to these levels can signal good entry points for trades.
At TanukiTrade, we enhance these price levels based on our experience , ensuring a clear display. We acknowledge that while MurreyMath lines aren't infallible predictions, they are useful for identifying likely price movements over a given period (e.g., one month) if the market trend aligns.
Our opinion: MurreyMath lines are not crystal balls (like no other tool). They should be used to identify that if we are trading in the right direction, the price is likely to reach the next unit step within a unit time (e.g. monthly expiration).
One unit step is the distance between Murrey Math lines, such as between the 0/8 and 1/8 lines. This interval helps identify different quadrants and is crucial for recognizing support and resistance levels.
Some option traders use Murrey Math lines to gauge the movement speed of an instrument over a unit time. A quadrant encompasses 4 unit steps.
Key levels, according to TanukiTrade, include:
Of course, the lines can be toggled on or off, and their default color can also be changed.
🔹 VERTICAL: Expiry Lines
The indicator can display monthly and weekly expirations as dashed lines, with customizable colors. Weekly expirations will always appear in a lighter shade compared to monthly expirations.
Monthly Expiry Lines:
You can turn off the lines indicating monthly expirations, or set the direction (past/future/both) and the number of lines to be drawn.
Weekly Expiry Lines:
You can display weekly expirations pointing to the future. You can also turn them off or specify how many weeks ahead the lines should be drawn.
Of course, the lines can be toggled on or off, and their default color can also be changed.
TIP: Hide default vertical grid lines in TradingView
Right-click on an empty area of your chart, then select “Settings.” In the Chart settings -> Canvas -> Grid lines section, disable the display of vertical lines to avoid distraction. Same, like steps above at MurreyMath lines.
🔶 ADDITIONAL IMPORTANT COMMENTS
- U.S. market only:
Since we only deal with liquid option chains: this option indicator only works for the USA options market and do not include future contracts; we have implemented each selected symbol individually.
- Why is there a slight difference between the displayed data and my live brokerage data? There are two reasons for this, and one is beyond our control.
- Brokerage Calculation Differences:
Every brokerage has slight differences in how they calculate metrics like IV and IVx. If you open three windows for TOS, TastyTrade, and IBKR side by side, you will notice that the values are minimally different. We had to choose a standard, so we use the formulas and mathematical models described by TastyTrade when analyzing the options chain and drawing conclusions.
- Option-data update frequency:
According to TradingView's regulations and guidelines, we can update external data a maximum of 5 times per day. We strive to use these updates in the most optimal way:
(1st update) 15 minutes after U.S. market open
(2nd, 3rd, 4th updates) 1.5–3 hours during U.S. market open hours
(5th update) 10 minutes before market close.
You don’t need to refresh your window, our last refreshed data-pack is always automatically applied to your indicator , and you can see the time elapsed since the last update at the bottom of your indicator.
- Skewed Curves:
The delta, expected move, and standard deviation curves also appear relevantly on a daily or intraday timeframe. Data loss is experienced above a daily timeframe: this is a TradingView limitation.
- Weekly illiquid expiries:
Especially for instruments where weekly options are illiquid: the weekly expiration STD1 data is not relevant. In these cases, we recommend checking in the "Display only Monthly labels" checkbox to avoid displaying not relevant weekly options expirations.
-Timeframe Issues:
Our option indicator visualizes relevant data on a daily resolution. If you see strange or incorrect data (e.g., when the options data was last updated), always switch to a daily (1D) timeframe. If you still see strange data, please contact us.
Disclaimer:
Our option indicator uses approximately 15min-3 hour delayed option market snapshot data to calculate the main option metrics. Exact realtime option contract prices are never displayed; only derived metrics and interpolated delta are shown to ensure accurate and consistent visualization. Due to the above, this indicator can only be used for decision support; exclusive decisions cannot be made based on this indicator . We reserve the right to make errors.This indicator is designed for options traders who understand what they are doing. It assumes that they are familiar with options and can make well-informed, independent decisions. We work with public data and are not a data provider; therefore, we do not bear any financial or other liability.
Big 8 Intraday TICKAt the start of each trading day (0930 EST), this indicator calculates the intraday price difference between open and close for the eight largest market cap stocks (AAPL, AMZN, GOOGLE, META, MSFT, NFLX, NVDA, and TSLA), assigns a +/-1 for each, and then plots the cumulative change. An EMA has been added for smoothing purposes that is set to 5 but can be changed. Please note indicator is best used on lower timeframes (15 min or less) and has no applicability to time frames above 1 hour.
The thought behind this indicator is those eight major stocks drive a majority of intraday price change in indices like SPY and QQQ that are heavily weighted towards these stocks, therefore they should be a leading indicator in price change. You can often catch a move in SPY or QQQ one to two bars (on 1 min chart) ahead of the actual move because you see this indicator moving strong to one direction.
It's not perfect as there are divergences you will see when you compare historical charts, but oftentimes those divergences ultimately lead to significant price swings in the same direction as this indicator, so recommend being on watch to pull the trigger when you see those and price confirms.
You can use this indicator in a few ways:
1. Confirmation that your current trade is in the same direction as this indicator
2. Use the zero cross as a trigger for put or call entry
3. Focusing only on calls/longs if the value is above 0, or only puts/shorts if the value is below zero. Just be sure to keep an eye on reversals.
If you have recommendations on how to improve, let me know and I'll do my best to make changes.
Options Screener [Pro] - IVRank, IVx, Deltas, Exp.move, Skew
𝗢𝗽𝘁𝗶𝗼𝗻 𝘀𝗰𝗿𝗲𝗲𝗻𝗲𝗿 𝗼𝗻 𝗧𝗿𝗮𝗱𝗶𝗻𝗴𝗩𝗶𝗲𝘄 𝘄𝗶𝘁𝗵 𝗿𝗲𝗮𝗹 𝗱𝗮𝘁𝗮, 𝗮𝘃𝗮𝗶𝗹𝗮𝗯𝗹𝗲 𝗳𝗼𝗿 𝗼𝘃𝗲𝗿 𝟭𝟱𝟬+ 𝗹𝗶𝗾𝘂𝗶𝗱 𝗨𝗦 𝗺𝗮𝗿𝗸𝗲𝘁 𝘀𝘆𝗺𝗯𝗼𝗹𝘀!
𝗢𝘂𝗿 𝘀𝗰𝗿𝗲𝗲𝗻𝗲𝗿 𝗽𝗿𝗼𝘃𝗶𝗱𝗲𝘀 𝗲𝘀𝘀𝗲𝗻𝘁𝗶𝗮𝗹 𝗸𝗲𝘆 𝗺𝗲𝘁𝗿𝗶𝗰𝘀 𝘀𝘂𝗰𝗵 𝗮𝘀:
✅ IVRank
✅ IVx
✅ 5-Day IVx Change
✅ Vertical Pricing Skew
✅ Horizontal IVx Skew
✅ Delta Skew
like TastyTrade, TOS, IBKR etc.
Designed to help you assess option market conditions and make well-informed trading decisions, this tool is an essential addition for every serious options trader!
Ticker Information:
This screener is currently implemented for more than 150 liquid US market tickers and we are continuously expanding the list:
SP:SPX AMEX:SPY NASDAQ:QQQ NASDAQ:TLT AMEX:GLD
NYSE:AA NASDAQ:AAL NASDAQ:AAPL NYSE:ABBV NASDAQ:ABNB NASDAQ:AMD NASDAQ:AMZN AMEX:ARKK NASDAQ:AVGO NYSE:AXP NYSE:BA NYSE:BABA NYSE:BAC NASDAQ:BIDU AMEX:BITO NYSE:BMY NYSE:BP NASDAQ:BYND NYSE:C NYSE:CAT NYSE:CCJ NYSE:CCL NASDAQ:COIN NYSE:COP NASDAQ:COST NYSE:CRM NASDAQ:CRWD NASDAQ:CSCO NYSE:CVNA NYSE:CVS NYSE:CVX NYSE:DAL NASDAQ:DBX AMEX:DIA NYSE:DIS NASDAQ:DKNG NASDAQ:EBAY NASDAQ:ETSY NASDAQ:EXPE NYSE:F NYSE:FCX NYSE:FDX AMEX:FXI AMEX:GDX AMEX:GDXJ NYSE:GE NYSE:GM NYSE:GME NYSE:GOLD NASDAQ:GOOG NASDAQ:GOOGL NYSE:GPS NYSE:GS NASDAQ:HOOD NYSE:IBM NASDAQ:IEF NASDAQ:INTC AMEX:IWM NASDAQ:JD NYSE:JNJ NYSE:JPM NYSE:JWN NYSE:KO NYSE:LLY NYSE:LOW NYSE:LVS NYSE:MA NASDAQ:MARA NYSE:MCD NYSE:MET NASDAQ:META NYSE:MGM NYSE:MMM NYSE:MPC NYSE:MRK NASDAQ:MRNA NYSE:MRO NASDAQ:MRVL NYSE:MS NASDAQ:MSFT AMEX:MSOS NYSE:NCLH NASDAQ:NDX NYSE:NET NASDAQ:NFLX NYSE:NIO NYSE:NKE NASDAQ:NVDA NASDAQ:ON NYSE:ORCL NYSE:OXY NASDAQ:PEP NYSE:PFE NYSE:PINS NYSE:PLTR NASDAQ:PTON NASDAQ:PYPL NASDAQ:QCOM NYSE:RBLX NYSE:RCL NASDAQ:RIOT NASDAQ:RIVN NASDAQ:ROKU NASDAQ:SBUX NYSE:SHOP AMEX:SLV NASDAQ:SMCI NASDAQ:SMH NYSE:SNAP NYSE:SQ NYSE:T NYSE:TGT NASDAQ:TQQQ NASDAQ:TSLA NYSE:TSM NASDAQ:TTD NASDAQ:TXN NYSE:U NASDAQ:UAL NYSE:UBER AMEX:UNG NYSE:UPS NASDAQ:UPST AMEX:USO NYSE:V AMEX:VXX NYSE:VZ NASDAQ:WBA NYSE:WFC NYSE:WMT NASDAQ:WYNN NYSE:X AMEX:XHB AMEX:XLE AMEX:XLF AMEX:XLI AMEX:XLK AMEX:XLP AMEX:XLU AMEX:XLV AMEX:XLY NYSE:XOM NYSE:XPEV CBOE:XSP NASDAQ:ZM
How does the screener work and why is it unique?
This Pine Script screener is an expert tool created to provide various option metrics and visualization tools for options market traders. The screener extracts raw options data from an external data provider (ORATS), processes, and refines the delayed data package using pineseed, and sends it to TradingView. The data is calculated using specific formulas or interpolated values, such as delta distances. This method of integrating options data into a screener framework is unique and innovative on TradingView.
The screener aims to offer a comprehensive view of the current state of options for the implemented instruments, including implied volatility index (IVx), IV rank (IVR), options skew, and expected market movements, which are objectively measured as detailed below.
The options metrics displayed may be familiar to options traders from various major brokerage platforms such as TastyTrade, IBKR, TOS, Tradier, TD Ameritrade, Schwab, etc.
🟨 𝗗𝗘𝗧𝗔𝗜𝗟𝗘𝗗 𝗗𝗢𝗖𝗨𝗠𝗘𝗡𝗧𝗔𝗧𝗜𝗢𝗡 🟨
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🔶 Auto-Updating Option Metrics
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🔹 IVR (IV Rank)
The Implied Volatility Rank (IVR) indicator helps options traders assess the current level of implied volatility (IV) in comparison to the past 52 weeks. IVR is a useful metric to determine whether options are relatively cheap or expensive. This can guide traders on whether to buy or sell options. We calculate IVrank, like TastyTrade does.
IVR Calculation: IV Rank = (current IV - 52 week IV low) / (52 week IV high - 52 week IV low)
IVR Levels and Interpretations:
IVR 0-10 (Green): Very low implied volatility rank. Options might be "cheap," potentially a good time to buy options.
IVR 10-35 (White): Normal implied volatility rank. Options pricing is relatively standard.
IVR 35-50 (Orange): Almost high implied volatility rank.
IVR 50-75 (Red): Definitely high implied volatility rank. Options might be "expensive," potentially a good time to sell options for higher premiums.
IVR above 75 (Highlighted Red): Ultra high implied volatility rank. Indicates very high levels, suggesting a favorable time for selling options.
Extra: If the IVx value is also greater than 30, the background will be dark highlighted, because a high IVR alone doesn’t mean much without high IVx.
🔹IVx (Implied Volatility Index)
The Implied Volatility Index (IVx) displayed in the option chain is calculated similarly to the VIX. The Cboe employs standard and weekly SPX options to measure the expected volatility of the S&P 500. A similar method is utilized to calculate IVx for each option expiration cycle.
For our purposes, we aggregate the IVx values specifically for the 35-70 day monthly expiration cycle . This aggregated value is then presented in the screener and info panel, providing a clear and concise measure of implied volatility over this period.
We will display a warning if the option chain is heavily skewed and valid, symmetric 16 delta options are not found at optimal monthly expirations.
IVx Color coding:
IVx above 30 is displayed in orange.
IVx above 60 is displayed in red
Important Note: The IVx value alone does not provide sufficient context. There are stocks that inherently exhibit high IVx values. Therefore, it is crucial to consider IVx in conjunction with the Implied Volatility Rank (IVR), which measures the IVx relative to its own historical values. This combined view helps in accurately assessing the significance of the IVx in relation to the specific stock's typical volatility behavior.
This indicator offers traders a comprehensive view of implied volatility, assisting them in making informed decisions by highlighting both the absolute and relative volatility measures.
🔹IVx 5 days change %
We are displaying the five-day change of the IV Index (IVx value). The IV Index 5-Day Change column provides quick insight into recent expansions or decreases in implied volatility over the last five trading days.
Traders who expect the value of options to decrease might view a decrease in IVX as a positive signal. Strategies such as Strangle and Ratio Spread can benefit from this decrease.
On the other hand, traders anticipating further increases in IVX will focus on the rising IVX values. Strategies like Calendar Spread or Diagonal Spread can take advantage of increasing implied volatility.
This indicator helps traders quickly assess changes in implied volatility, enabling them to make informed decisions based on their trading strategies and market expectations.
🔹 Vertical Pricing Skew
At TanukiTrade, Vertical Pricing Skew refers to the difference in pricing between put and call options with the same expiration date at the same distance (at expected move). We analyze this skew to understand market sentiment. This is the same formula used by TastyTrade for calculations.
PUT Skew (red): Put options are more expensive than call options, indicating the market expects a downward move (▽). If put options are more expensive by more than 20% at the same expected move distance, we color it lighter red.
CALL Skew (green): Call options are more expensive than put options, indicating the market expects an upward move (△). If call options are priced more than 30% higher at the examined expiration, we color it lighter green.
We focus on options with 35-70 days to expiration (DTE) for optimal analysis. We always evaluate the skew at the expected move using linear interpolation to determine the theoretical pricing of options. If the pricing have more than C50%/P35% we are highlighting the cell.
This approach helps us gauge market expectations accurately, providing insights into potential price movements.
🔹 Horizontal IVx Skew
In options pricing, it is typically expected that the implied volatility (IVx) increases for options with later expiration dates. This means that options further out in time are generally more expensive. At TanukiTrade, we refer to the phenomenon where this expectation is reversed—when the IVx decreases between two consecutive expirations—as Horizontal Skew or IVx Skew.
Horizontal IVx Skew occurs when: Front Month IVx < Back Month IVx
This scenario can create opportunities for traders who prefer diagonal or calendar strategies. Based on our experience, we categorize Horizontal Skew into two types:
Weekly Horizontal Skew: When IVx skew is observed between two consecutive non-monthly expirations , the displayed value is the rounded-up percentage difference. On hover, the approximate location of this skew is also displayed. The precise location can be seen on the Overlay indicator.
Monthly Horizontal Skew: When IVx skew is observed between two consecutive monthly expirations , the displayed value is the rounded-up percentage difference. On hover, the approximate location of this skew is also displayed. The precise location can be seen on the Overlay indicator.
The Monthly Vertical IVx skew is consistently stronger (more liquid) on average symbols than the weekly vertical IVx skew. Weekly Horizontal IVx Skew may not carry relevant information for symbols not included in the 'Weeklies & Volume Masters' preset.
If the options chain follows the normal IVx pattern, no skew value is displayed.
Additionally , if the Implied Volatility Rank (IVR) is low (indicated by green), the Horizontal Skew background turns black, because this environment is good for Calendar+Diagonal.
Additionally , if the % of the skew is greater than 10, the Horizontal Skew font color turns lighter.
🔹 Delta Skew 🌪️ (Twist)
We have a metric that examines which monthly expiration indicates a "Delta Skew Twist" where the 16 delta deviates from the monthly STD. This is important because, under normal circumstances, the 16 delta is positioned between the expected move and the standard deviation (STD1) line. However, if the interpolated 16 delta line exceeds the STD1 line either upwards or downwards, it represents a special case of vertical skew.
Normal case : exp.move < delta16 < std1
Delta Skew Twist: exp.move < std1 < delta16
If the Days to Expiration of the twist is less than 75, we use a lighter color.
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🔶 HOW WE CALCULATE
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🔹 Expected Move
The expected move is the predicted dollar change in the underlying stock's price by a given option's expiration date, with 68% certainty. It is calculated using the expiration's pricing and implied volatility levels.
Expected Move Calculation
Expected Move = (ATM straddle price x 0.6) + (1st OTM strangle price x 0.3) + (2nd OTM strangle price x 0.1)
For example , if stock XYZ is trading at 121 and the ATM straddle is 4.40, the 120/122 strangle is 3.46, and the 119/123 strangle is 2.66, the expected move is calculated as follows: 4.40 x 0.60 = 2.64; 3.46 x 0.30 = 1.04; 2.66 x 0.10 = 0.27; Expected move = 2.64 + 1.04 + 0.27 = ±3.9
🔹 Standard deviation
One standard deviation of a stock encompasses approximately 68.2% of outcomes in a distribution of occurrences based on current implied volatility.
We use the expected move formula to calculate the one standard deviation range of a stock. This calculation is based on the days-to-expiration (DTE) of our option contract, the stock price, and the implied volatility of a stock:
Calculation:
Standard Deviation = Closing Price * Implied Volatility * sqrt(Days to Expiration / 365)
According to options literature, there is a 68% probability that the underlying asset will fall within this one standard deviation range at expiration.
∑ Quant Observation: The values of the expected move and the 1st standard deviation (1STD) will not match because they use different calculation methods, even though both are referred to as representing 68% of the underlying asset's movement in options literature. The expected move is based on direct market pricing of ATM options. The 1STD, on the other hand, uses the averaged implied volatility (IVX) for the given expiration to determine its value. Based on our experience, it is better to consider the area between the expected move and the 1STD as the true representation of the original 68% rule.
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🔶 USAGE
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🔹 Create a new empty layout for the screener!
You can access this from the dropdown menu in the upper right corner. In the popup window, name it as you like, for example, "Option Screener."
🔹 Hide the candlestick chart
Make the chart invisible using the "Hide" option from the three-dot dropdown menu located in the upper left corner.
🔹 Other Unwanted Elements
If other unnecessary elements are distracting you (e.g., economic data, volume, default grid), you can easily remove them from the layout. Right-click on the empty chart area. Here, click on the gear (Settings) icon and remove everything from the "Events" tab, as well as from the "Trading" tab. Under the "Canvas" tab, it is recommended to set the "Grid lines" setting to "None."
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🔶 Screener Settings
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Naturally, the font size and position can be easily adjusted.
Additionally, there are two basic usage modes: manual input or using the preset list.
🔹If you selected “Manual Below” in the preset dropdown, the tickers you chose from the dropdown (up to a maximum of 40) will be displayed. The panel name will be the one you specified.
🔹If you selected a pre-assembled list , the manually entered list will be ignored, and the preset list will be displayed. (In the future, we will expand the preset list based on your feedback!).
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🔶 Best Practices for TanukiTrade Option Screener:
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🔹 Every Preset on a New Layout:
If you following the steps above, you easy can setup this screener in one window with one split layout:
🔹 Split Layout:
- Left Side: The underlying asset with our Options IV Overlay (IVR, Deltas, Expected Move, STD1, Skew visualized) along with the Enhanced Murrey Math Indicator and Option Expiry.
- Right Side: Searching for opportunities using our Options Screener.
Opportunities Search
🔹 Everything in One Layout + One Window:
This is the all-in-one view:
- The underlying asset with our Options IV Overlay (IVR, Deltas, Expected Move, STD1, Skew visualized)
- Enhanced Murrey Math Indicator and Option Expiry
- Options Screener on the left
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🔶 ADDITIONAL IMPORTANT COMMENTS
- U.S. market only:
Since we only deal with liquid option chains: this option indicator only works for the USA options market and do not include future contracts; we have implemented each selected symbol individually.
- Why is there a slight difference between the displayed data and my live brokerage data? There are two reasons for this, and one is beyond our control.
- Brokerage Calculation Differences:
Every brokerage has slight differences in how they calculate metrics like IV and IVx. If you open three windows for TOS, TastyTrade, and IBKR side by side, you will notice that the values are minimally different. We had to choose a standard, so we use the formulas and mathematical models described by TastyTrade when analyzing the options chain and drawing conclusions.
- Option-data update frequency:
According to TradingView's regulations and guidelines, we can update external data a maximum of 5 times per day. We strive to use these updates in the most optimal way:
(1st update) 15 minutes after U.S. market open
(2nd, 3rd, 4th updates) 1.5–3 hours during U.S. market open hours
(5th update) 10 minutes before market close.
You don’t need to refresh your window, our last refreshed data-pack is always automatically applied to your indicator , and you can see the time elapsed since the last update at the bottom of your indicator.
- Weekly illiquid expiries:
The Weekly Horizontal IVx Skew may not carry relevant information for instruments not included in the 'Weeklies & Volume Masters' preset package.
-Timeframe Issues:
Our option indicator visualizes relevant data on a daily resolution. If you see strange or incorrect data (e.g., when the options data was last updated), always switch to a daily (1D) timeframe. If you still see strange data, please contact us.
Disclaimer:
Our option indicator uses approximately 15min-3 hour delayed option market snapshot data to calculate the main option metrics. Exact realtime option contract prices are never displayed; only derived metrics and interpolated delta are shown to ensure accurate and consistent visualization. Due to the above, this indicator can only be used for decision support; exclusive decisions cannot be made based on this indicator . We reserve the right to make errors.This indicator is designed for options traders who understand what they are doing. It assumes that they are familiar with options and can make well-informed, independent decisions. We work with public data and are not a data provider; therefore, we do not bear any financial or other liability.
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.
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)
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.
Bitcoin ETFs Clustered EMA [UOI]The 'Bitcoin ETFs Clustered EMA ' is designed to track and analyze the combined movement of various Bitcoin-related ETFs. This indicator incorporates a range of prominent ETFs, including iShares Bitcoin (IBIT), Bitwise Bitcoin (BITB), Tidal Bitcoin (DEFI), ARK Bitcoin (ARKB), Grayscale Bitcoin (GBTC), Fidelity Bitcoin (FBTC), WisdomTree Bitcoin (BTCW), Invesco Bitcoin (BTCO), Valkyrie Bitcoin (BRRR), VanEck Bitcoin (HODL), and Franklin Bitcoin (EZBC). By normalizing their prices to a unified scale and applying Exponential Moving Averages (EMAs) of different lengths (Short, Long, and Extra Long), it provides a comprehensive view of the aggregated trend strength and direction in the Bitcoin ETF market. Its color-coded plotting system offers quick visual cues for market sentiment, making it an invaluable tool for traders focusing on Bitcoin-related securities.
Apply this indicator to the charts of NASDAQ:MARA or AMEX:SPY to see how you can effectively trade these ETFs.
Remember, these do not trade 24/7, so when applied to a Bitcoin chart, the indicator only properly shows during regular trading hours. Also, since these ETFs were recently launched, don't expect them to work properly on longer timeframes like the daily chart. You need to use it on lower timeframes; otherwise, the EMAs may not display correctly. As time passes, you will be able to use it on higher timeframes.
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.
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!
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.
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!
TASC 2023.12 Growth and Value Switching System█ OVERVIEW
This script implements a rotation system for trading value and growth ETFs, as developed by Markos Katsanos and detailed in the article titled 'Growth Or Value?' in TASC's December 2023 edition of Traders' Tips . The purpose of this script is to demonstrate how short-term momentum can be employed to track market trends and provide clarity on when to switch between value and growth.
█ CONCEPTS
The central concept of the presented rotation strategy is based on the observation that the stock market undergoes cycles favoring either growth or value stocks. Consequently, the script introduces a momentum trading system that is designed to switch between value and growth equities based on prevailing market conditions. Specifically tailored for long-term index investors, the system focuses on trading Vanguard's value and growth ETFs ( VTV and VUG ) on a weekly timeframe.
To identify the ETF likely to outperform, the script uses a custom relative strength indicator applied to both VTV and VUG in comparison with an index ( SPY ). To minimize risk and drawdowns during bear markets, when both value and growth experience downtrends, the script employs the author's custom volume flow indicator (VFI) and blocks trades when its reading indicates money outflow . Positions are closed if the relative strength of the current open trade ETF falls below that of the other ETF for two consecutive weeks and is also below its moving average. Additionally, the script implements a stop-loss when the ETF is trading below its 40-week moving average, but only during bear markets.
The script plots the relative strengths of the value and growth equities along with the signals triggered by the aforementioned rules. Information about the current readings of the relative strength and volume flow indicators, along with the current open position, is displayed in a table.
█ CALCULATIONS
The script uses the request.security() function to gather price data for both equities and the reference index. Custom relative strength and volume flow indicators are calculated based on the formulas presented in the original article. By default, the script employs the same parameters for these indicators as proposed in the original article for VTV and VUG on a weekly timeframe.
Flux Charts MTF Supply and Demand Zones (Premium)Indicator Overview
The Multi-Timeframe Supply & Demand Zones indicator by Flux Charts displays supply and demand zones on multiple timeframes with two different zone detection methods. These zones are commonly known as areas where there are lots of buyers/sellers present in the market.
Adaptive Detection Method
AMEX:SPY 5m timeframe, October 8 2023
Indicator Settings: (Timeframe: Chart & 15m, Method: Adaptive, Zone Multiplier: 1)
Many times supply and demand scripts try and precisely define conditions that qualify for supply and demand zones. People, however, when locating supply and demand zones manually generally do not take a quantitative approach, rather looking for qualities in price action that have generalized qualities and trends. The adaptive algorithm uniqueness comes from adapting the human approach to work computationally. It generalizes the qualities of supply and demand zones and locates areas in the chart with an acceptable similarity. Specifically, it looks for consolidated areas within the chart that are preceded by a rise or fall in price. The rise or fall length has to be a certain ratio to the consolidation length. If the criteria are met it will draw the zone, if a zone already exists at that price level it will ignore it or merge them if they are different timeframes. This results in a much more consistent ability to identify areas of supply and demand.
Basic Detection Method
The basic detection method looks for areas where price made drastic movements within a small period of time, which could indicate a high level of buyers/sellers at the spot. Thus, these zones are formed and can be used as areas of trading where money is going in/out of the markets.
Multi-Timeframe (MTF) S&D
Flux Charts supply and demand script utilizes MTF. This allows for displaying zones from different timeframes on one chart. Utilizing higher timeframes is a common practice in trading, and it can be easy to forget about key levels & zones on higher timeframes which could cause reversals/bounces.
Here is an example of a 15 minute supply zone formed on the NASDAQ, and with this indicator, you can also see this same 15 minute supply zone while being on a 5 minute candlestick chart, since you have the 15 minute zones enabled in the settings. This indicator offers supply & demand zones on multiple timeframes including the 5 minute, 15 minute, 30 minute, 1 hour, and 4 hour.
Settings
Method:
Choose between the Supply & Demand zones detection (Basic / Adaptive)
Zone Retests:
Choose how retests should be considered. You can choose between a high/low candle wick entering a zone, or a candle closing inside of a zone to be considered a valid retest.
Zone Invalidation:
Choose how zones are invalidated. You can choose between a high/low candle wick exiting a zone, or a candle closing outside of a zone to be considered a zone invalidation.
Zone multiplier:
Adjust zone size (1 is recommended)
Timeframe:
Choose the timeframes you would like Supply & Demand zones to be displayed from.
Zone Appearance:
Adjust the colors of Supply/Demand zones
Enable/Disable the center dashed line in zones
Display Labels:
Choose to toggle on/off retest & break labels
Notifications:
Choose what alerts you would like to receive. You can choose to have new zone formations, zone breaks, and zone retests.
Divergences RefurbishedJust as "a butterfly can flap its wings over a flower in China and cause a hurricane in the Caribbean" (Edward Lorenz), small divergences in markets can signal big trading opportunities.
█Introduction
This is a script forked from LonesomeTheBlue's Divergence for Many Indicators v4.
It is a script that checks for divergence between price and many indicators.
In this version, I added more indicators and also added 40 symbols to check for divergences.
More info on the original script can be found here:
█ Improvements
The following improvements have been implemented over v4:
1. Added parameters to customize indicators.
2. Added new indicators:
- Stoch RSI
- Volume Oscillator
- PVT (Price Volume Trend)
- Ultimate Oscillator
- Fisher Transform
- Z-Score/T-Score
3. Now there is the possibility of using 2 external indicators.
4. New option to show tooltips inside labels.
This allows you to save space on the screen if you choose the option to only show the number of divergences or just the abbreviations.
5. New option to show additional text next to the indicator name.
This allows for grouping of indicators and symbols and better visualization, whether through emojis, for example.
6. Added 40 customizable symbols to check for divergences.
7. Option "show only the first letter" of the indicator replaced by: "show the abbreviation of the indicator".
Reason: the indicator abbreviation is more informative and easier to read.
8. Script converted to PineScript version 5.
█ CONCEPTS
Below I present a brief description of the available indicators.
1. Moving Average Convergence/Divergence (MACD):
Shows the difference between short-term and long-term exponential moving averages.
2. MACD Histogram:
Shows the difference between MACD and its signal line.
3. Relative Strength Index (RSI):
Measures the relative strength of recent price gains to recent price losses of an asset.
4. Stochastic Oscillator (Stoch):
Compares the current price of an asset to its price range over a specified time period.
5. Stoch RSI:
Stochastic of RSI.
6. Commodity Channel Index (CCI):
Measures the relationship between an asset's current price and its moving average.
7. Momentum: Shows the difference between the current price and the price a few periods ago.
Shows the difference between the current price and the price of a certain period in the past.
8. Chaikin Money Flow (CMF):
A variation of A/D that takes into account the daily price variation and weighs trading volume accordingly. Accumulation/Distribution (A/D) identifies buying and selling pressure by tracking the flow of money into and out of an asset based on volume patterns.
9. On-Balance Volume (OBV):
Identify divergences between trading volume and an asset's price.
Sum of trading volume when the price rises and subtracts volume when the price falls.
10. Money Flow Index (MFI):
Measures volume pressure in a range of 0 to 100.
Calculates the ratio of volume when the price goes up and when the price goes down.
11. Volume Oscillator (VO):
Identify divergences between trading volume and an asset's price. Ratio of change of volume, from a fast period in relation to a long period.
12. Price-Volume Trend (PVT):
Identify the strength of an asset's price trend based on its trading volume. Cumulative change in price with volume factor. The PVT calculation is similar to the OBV calculation, but it takes into account the percentage price change multiplied by the current volume, plus the previous PVT value.
13. Ultimate Oscillator (UO):
Combines three different time periods to help identify possible reversal points.
14. Fisher Transform (FT):
Normalize prices into a Gaussian normal distribution.
15. Z-Score/T-Score: Shows the difference between the current price and the price a few periods ago. I is a statistical measurement that indicates how many standard deviations a data point is from the mean of a data set.
When to use t-score instead of z-score? When the sample size is small (length < 30).
Here, the use of z-score or t-score is chosen automatically based on the length parameter.
█ What to look for
The operation is simple. The script checks for divergences between the price and the selected indicators.
Now with the possibility of using multiple symbols, it is possible to check divergences between different assets.
A well-described view on divergences can be found in this cheat sheet:
◈ Examples with SPY ETF versus indicators:
1. Regular bullish divergence with external indicator:
1. Regular bearish divergence with Fisher Transform:
1. Positive hidden divergence with Momentum indicator:
1. Negative hidden divergence with RSI:
◈ Examples with SPY ETF versus other symbols:
1. Regular bearish divergence with European Stoch Market:
2. Regular bearish divergence with DXY inverted:
3. Regular bullish divergence with Taiwan Dollar:
4. Regular bearish divergence with US10Y (10-Year US Treasury Note):
5. Regular bullish divergence with QQQ ETF (Nasdaq 100):
6. Regular bullish divergence with ARKK ETF (ARK Innovation):
7.Positive hidden divergence with RSP ETF (S&P 500 Equal Weight):
8. Negative hidden divergence with EWZ ETF (Brazil):
◈ Examples with BTCUSD versus other symbols:
1. Regular bearish divergence with BTCUSDLONGS from Bitfinex:
2. Regular bearish divergence with BLOK ETF (Amplify Transformational Data Sharing):
3. Negative hidden divergence with NATGAS (Natural Gas):
4. Positive hidden divergence with TOTALDEFI (Total DeFi Market Cap):
█ Conclusion
The symbols available to check divergences were chosen in such a way as to cover the main markets, in the most generic way possible.
You can adjust them according to your needs.
A trader in the American market, for example, could add more ETFs, American stocks, and sectoral indices, such as the XLF (Financial Select Sector SPDR Fund), the XLK (Technology Select Sector SPDR), etc.
On the other hand, a cryptocurrency trader could add more currency pairs and sector indicators, such as BTCUSDSHORTS (Bitfinex), USDT.D (Tether Dominance), etc.
If the chart becomes too cluttered, you can use the option to show only the number of divergences or only the indicator abbreviations.
Or even disable certain indicators and symbols, if they are not of interest to you.
I hope this script is useful.
Don't forget to support LonesomeTheBlue's work too.
Ticker Correlation Matrix Table and Heatmap [SS]Hello everyone,
I am in the process of releasing some of my own utility indicators/things I use to reference and perform analyses.
I do a lot of quantitative/math based analyses, including correlation assessments that I traditionally would need to export data from Tradingview and perform in SPSS, Excel or R. I have been slowly building a repertoire of Excel/R functionality right on pinescript so I do not need to constantly export data and can perform the assessments right on Tradingview.
This is an example of such an indicator.
About the Indicator:
It is a correlation table/matrix indicator. It will allow up to 10 ticker inputs, which can be stocks, economic data, anything available on Tradingview, and it will perform a correlation assessment in a matrix / heatmap style.
The indicator will show the various correlations among all of the selected ticker inputs and will colour them based on correlation strength and type.
Strong negative correlations will appear bright red.
Strong positive correlations will appear bright green.
Complete absence of correlation (i.e. 0) will show bright orange.
The rest will show a darker shade to indicate less strength/correlation.
Calculation Functions
In addition to outputting a correlation matrix, the indicator is also able to express the relationship between tickers in a linear expression using the y = mx + b formula.
If we look at table, we can see that MSFT and AAPL have a significantly strong correlation of 0.82.
If we wanted to express this relationship mathmatically, we can ask the indicator to represent the linear relationship in our y = mx + b format. We simply toggle to our menu and select the Convert From MSFT (Ticker 2) and convert to APPL (Ticker 3):
When we select this, a new table will populate below and give you the expression as well as the amount of error associated with it:
In this case, we can see that the equation is y = 0.553x + 0.626 with a range of around 10 points in either direction.
This means that, to convert MSFT to AAPL, we would multiply the MSFT price by 0.553 and then add 0.626. So if we try it, MSFT closed at 328.41. So we substitute:
AAPL price = 0.553(328.41) + 0.626
AAPL price = 181.61 + 0.626
AAPL Price = 182.24 +/- 10
AAPL actually closed at 184.12. So pretty good. If we try another, let's do SPY to XLF:
So we substitute, SPY closed at 449.16.
XLF Price = 449.16(0.077) + 0.084
XLF price = 34.59 + 0.084
XLF price = 34.67
XLF actually closed at 34.49.
This is handy if you want to see how one stock price may affect another. If you are long on one stock and short on another, you can use this to determine what the likely outcome may be for the alternative stock. However, I recommend only performing this on tickers that have a relationship of 0.7 or higher, or a relationship of -0.7 or lower.
I always had to use SPSS to do this, so being able to do this right in Pinescript for me is a huge convenience!
Some other uses:
As I tend to post educational stuff on Tradingview and I frequently use correlation matrices, I have formatted the indicator to be more aesthetically pleasing for these purposes. Thus, you can unselect extra ticker slots that you do not need. IF I only need to display 3 tickers, I can unselect tickers 4 - 10. The end result is a cleaner table:
Essential Functions:
The assessment length is defaulted to 75 candles on the daily timeframe. Be sure to have the daily timeframe opened when you are viewing the indicator.
You can increase or decrease the assessment length as you desire.
You can also specify the source. The source is defaulted to close, but if you want to see the direct correlation of ticker's highs and/or lows, you can modify the source input in the settings menu to look at this.
Just remember to have the chart opened to whatever timeframe you are looking at.
And that's the indicator! Hopefully you find it helpful. Its more of an academic indicator, but it is performing a function that I personally use frequently in analyses, so I hope you may also benefit from it as well!
Thanks for checking it out! Safe trades everyone!
CE - 42MACRO Equity Factor Table This is Part 1 of 2 from the 42MACRO Recreation Series
The CE - 42MACRO Equity Factor Table is a whole toolbox packaged in a single indicator.
It aims to provide a probabilistic insight into the market realized GRID Macro Regime, use a multiplex of important Assets and Indices to form a high probability Implied Correlation expectation and allows to derive extra market insights by showing the most important aggregates and their performance over multiple timeframes... and what that might mean for the whole market direction, as well as the underlying asset.
WARNING
By the nature of the macro regimes, the outcomes are more accurate over longer Chart Timeframes (Week to Months).
However, it is also a valuable tool to form a proper,
market realized, short to medium term bias.
NOTE
This Indicator is intended to be used alongside the 2nd part "CE - 42MACRO Yield and Macro"
for a more wholistic approach and higher accuracy.
Due to coding limitations they can not be merged into one Indicator.
Methodology:
The Equity Factor Table tracks specifically chosen Assets to identify their performance and add the combined performances together to visualize 42MACRO's GRID Equity Model.
For this it uses the below Assets, with more to come:
Dividend Compounders ( AMEX:SPHD )
Mid Caps ( AMEX:VO )
Emerging Markets ( AMEX:EEM )
Small Caps ( AMEX:IWM )
Mega Cap Growth ( NASDAQ:QQQ )
Brazil ( AMEX:EWZ )
United Kingdom ( AMEX:EWU )
Growth ( AMEX:IWF )
United States ( AMEX:SPY )
Japan ( AMEX:DXJ )
Momentum ( AMEX:MTUM )
China ( AMEX:FXI )
Low Beta ( AMEX:SPLV )
International ex-US ( NASDAQ:ACWX )
India ( AMEX:INDA )
Eurozone ( AMEX:EZU )
Quality ( AMEX:QUAL )
Size ( AMEX:OEF )
Functionalities:
1. Correlations
Takes a measure of Cross Market Correlations
2. Implied Trend
Calculates the trend for each Asset and uses the Correlation to obtain the Implied Trend for the underlying Asset
There are multiple functionalities to enhance Signal Speed and precision...
Reading a signal only over a certain threshold, otherwise being colored in gray to signal noise or unclear market behavior
Normalization of Signal
Double Normalization of Signal for more Speed... ideal for the Crypto Market
Using an additional Hull Moving Average to enhance Signal Speed
Additional simple Background coloring to get a Signal from the HMA
Barcoloring based on the Implied Correlation
3. Equity Factor Table
Shows market realized Asset performance
Provides the approximate realized GRID market regimes
Informs about "Risk ON" and "Risk OFF" market states
Now into the juicy stuff...
Visuals:
There is a variety of options to change visual settings of what is plotted and where
+ additional considerations.
Everything that is relevant in the underlying logic which can improve comprehension can be visualized with these options.
More to come
Market Correlation:
The Market Correlation Table takes the Correlation of all the Assets to the Asset on the Chart,
it furthermore uses the Normalized KAMA Oscillator by IkkeOmar to analyse the current trend of every single Asset.
(To enhance the Signal you can apply the mentioned Indicator on the relevant Assets to find your target Asset movements that you intend to capture...
and then change the length of the Indicator in here)
It then Implies a Correlation based on the Trend and the Correlation to give a probabilistically adjusted expectation for the future Chart Asset Movement.
This is strengthened by taking the average of all Implied Trends.
Thus the Correlation Table provides valuable insights about probabilistically likely Movement of the Asset over the defined time duration,
providing alpha for Traders and Investors alike.
Equity Factors:
The table provides valuable information about the current market environment (whether it's risk on or risk off),
the rough GRID models from 42MACRO and the actual market performance.
This allows you to obtain a deeper understanding of how the market works and makes it simple to identify the actual market direction,
makes it possible to derive overall market Health and shows market strength or weakness.
Utility:
The Equity Factor Table is divided in 4 Sections which are the GRID regimes:
Economic Growth:
Goldilocks
Reflation
Economic Contraction:
Inflation
Deflation
Top 5 Equity Factors:
Are the values green for a specific Column?
If so then the market reflects the corresponding GRID behavior.
Bottom 5 Equity Factors:
Are the values red for a specific Column?
If so then the market reflects the corresponding GRID behavior.
So if we have Goldilocks as current regime we would see green values in the Top 5 Goldilocks Cells and red values in the Bottom 5 Goldilocks Cells.
You will find that Reflation will look similar, as it is also a sign of Economic Growth.
Same is the case for the two Contraction regimes.
This whole Indicator, as well as the second part, is based to a majority on 42MACRO's models.
I only brought them into TV and added things on top of it.
If you have questions or need a more in-depth guide DM me.
Will make a guide to all functionalities if necessity becomes apparent.
GM
Wick-to-Body Ratio Trend Forecast | Flux ChartsThe Wick-to-Body Ratio Trend Forecast Indicator aims to forecast potential movements following the last closed candle using the wick-to-body ratio. The script identifies those candles within the loopback period with a ratio matching that of the last closed candle and provides an analysis of their trends.
➡️ USAGE
Wick-to-body ratios can be used in many strategies. The most common use in stock trading is to discern bullish or bearish sentiment. This indicator extends candle ratios, revealing previous patterns that follow a candle with a similar ratio. The most basic use of this indicator is the single forecast line.
➡️ FORECASTING SYSTEM
This line displays a compilation of the averages of all the previous trends resulting from those historical candles with a matching ratio. It shows the average movements of the trends as well as the 'strength' of the trend. The 'strength' of the trend is a gradient that is blue when the trend deviates more from the average and red when it deviates less.
Chart: AMEX:SPY 30 min; Indicator Settings: Loopback 700, Previous Trends ON
The color-coded deviation is visible in this image of the indicator with the default settings (except for Forecast Lines > Previous Trends ), and the trend line grows bluer as the past patterns deviate more.
➡️ ADAPTIVE ACCEPTABLE RANGE
The algorithm looks back at every candle within the loopback period to find candles that match the last closed candle. The algorithm adaptively changes the acceptable range to which a candle can differ from the ratio of the last closed candle. The algorithm will never have more than 15 historical points used, as it will lower its sensitivity before it reaches that point.
Chart: BITSTAMP:BTCUSD 5 min; Indicator Settings: Loopback 700
Here is the BTC chart on 7/6/23 with default settings except for the loopback period at 700.
Chart: BITSTAMP:BTCUSD 5 min; Indicator Settings: Loopback 200
Here is the exact same chart with a loopback period of 200. While the first ratio for both is the same, a new ratio is revealed for the chart with a loopback of only 200 because the adaptive range is adjusted in the algorithm to find an acceptable number of reference points. Note the table in the top right however, while the algorithm adapts the acceptable range between the current ratio and historical ones to find reference points, there is a threshold at which candles will be considered too inaccurate to be considered. This prevents meaningless associations between candles due to a particularly rare ratio. This threshold can be adjusted in the settings through "Default Accuracy".
Regression Candle Conversion IndicatorHey everyone!
I got a pseudo-request a while ago for something like this, essentially the ability to track where another ticker would fall based on an alternative ticker.
I did create my ticker correlation reference indicator which directly looks at the correlation between 2 tickers. However, this is an indicator that operates on the same principle but is more pragmatic for trading.
What does it do?
Well, in keeping with the theme of what I call my indicators, this has a title that explains exactly what it does, "Regression Candle Conversion Indicator" or "RCCI" for short. It uses simple regression to convert one ticker to another. So while you are tracking one indicator, you can see where the expected value should fall on the other.
Applications?
The big application of this for me is being able to track where SPY/QQQ or IWM is falling during overnight trading sessions. Extended trading hours close at 8 pm NYSE time. After that, you have to guess where futures prices will put the ETF version of it. This indicator will allow you to track where, theoretically, the underlying ETF ticker will fall based on the current trading behaviour.
Some other applications are just the ability to track how similar or dissimilar one stock is to the other. For example, if we wanted to trade, say, Boeing using shares of DFEN or ITA (a defence specific ETF), here is what we get:
In the chart above we can see BA as the primary chart and ITA as the RCCI converted chart. We will see 2 major things that should cause us concern.
First, there is a really poor correlation between the two tickers. This indicates that ITA may not produce the best exposure if I am directly looking for Boeing exposure.
Second, there is a wide standard error. this means that the results that the RCCI is providing may be skewed up to +/- 2 points (as indicated by the standard error chart).
Let's take a look at BA and DFEN:
In the above, we can see that the correlation is not great, but the standard error is quite low.
This means that, while this may not be the best ticker for Boeing exposure, the RCCI is able to confidently calculate the ticker within +/- 0.50 cents based on BA's underlying data.
However, its important to note that it is not advisable to really rely on these results if the correlation is less than + 0.5 or greater than -0.5.
Let's take a look at a few more examples:
Above we have BA (NYSE) vs BA (NEO TSX CAD Hedged). We can see the strong relationship and high confidence calculations.
And some others:
SPX (primary) and ES1! (secondary):
RTY and IWM:
ES1! and SPY:
Customizations:
As you can see above, it is pretty straight forward. There are 3 options:
Lookback Length: Determines the length of assessment for correlation and the regression assessment.
Manual Ticker Input: The indicator will pull the data from your current chart and compare it against a manually selected indicator. You must tell the indicator which ticker you are comparing against.
Data Table: This will show you the data table which contains the standard error assessment and the correlation assessment. These are determined by your lookback length. The lookback length is defaulted to 500.
And that's the indicator! It's pretty straight forward. Hopefully you find it helpful, especially if you track futures during overnight sessions.
Leave your comments/questions and feedback below.
Thanks for checking it out!
Autoregressive CloudHello,
I am releasing this indicator called the Autoregressive Cloud Indicator.
What it does:
The indicator performs an autoregression analysis on 3 price variables of a ticker, those being the High, the Low and the Close. It uses a 1-lag system and looks back at the previous close, high and low’s effect on the proceeding high, low and close. It then plots out the anticipated range for the ticker based on the autoregression analysis, as well as displays the lag-correlation (autocorrelation) in a table.
What is Autoregression analysis?
Autoregression is a modelling technique used to describe a time series based on its own past values. It assumes that the current value of a variable is a linear combination of its previous values and a random error term.
And what is autocorrelation?
Autocorrelation measures the correlation between a time series and its lagged values. It quantifies the degree to which the current value of a series is related to its past values at different lags, indicating any patterns or dependencies in the data over time. Autoregression and autocorrelation are closely related concepts used to analyze and model time series data.
So how does it work?
The indicator calculates autoregressive values for the close, high, and low prices of a security based on the specified lookback length (which is defaulted to 50). It then plots three sets of clouds representing the smoothed autoregressive values for each price component (done using the SMA function). The transparency of the clouds can be adjusted using the "Transparency" input. Additionally, the code includes a correlation table that displays the correlation coefficients between the lagged values of the close, high, and low prices. The table's position can be customized using the "Position" input.
The indicator defaults to the chart timeframe; however, you can manually adjust the indicator to display the range for whatever timeframe you would like. You can view the 30 minute, 15 or even hourly range on the 1 minute or 5 minute chart if you want.
The indicator will show the anticipated “true trading range” of the stock based on the autoregression and autocorrelation of all 3 variables:
Above is SPY on the 5 minute timeframe with 15 minute levels overlayed. Here, you can see the anticipated trading range for that 15 minute time period.
Using the Correlation Table:
The correlation table displays the Pearson Coefficient for all 3 autoregressions.
A positive correlation: A positive autocorrelation indicates a positive relationship between past and current values of a time series variable. It suggests that when the variable has a high value at a certain time, it is more likely to have a high value in the future, and when it has a low value, it is more likely to have a low value in the future. This positive autocorrelation can imply persistence or trend in the data, indicating that past values can provide useful information for predicting future values. The rule of thumb is anything over 0.5 is considered significant.
A positive correlation among all 3 variables also indicates an uptrend. If you see a strong positive (i.e. the values are all greater than 0.8), it indicates an incredibly decisive and strong uptrend.
A negative correlation: A negative autocorrelation indicates an inverse relationship between past and current values of a time series variable. It suggests that when the variable has a high value at a certain time, it is more likely to have a low value in the future, and vice versa. This negative autocorrelation can imply mean reversion or oscillatory behavior in the data, where extreme values tend to be followed by values closer to the average. It indicates that past values can provide useful information for predicting future values by anticipating a reversal in the direction of the variable. The rule of thumb is anything below or equal to -0.5 is considered significant.
A negative correlation among all 3 variables also indicates a downtrend. If you see a strong negative (i.e. the values are all less than or equal to -0.8), it indicates an incredibly decisive and strong downtrend.
Uses of the Indicator:
The indicator can be used for the following functions:
1. Day trading and scalping within an expected range;
2. Determining the strength or weakness of an uptrend or downtrend on various timeframes;
3. Determining the relationship between previous values and past performance and its effect on future performance;
4. Can alert to changes in trend direction in advance (you may see high, low or close turn negative before others, signifying that weakness is beginning to materialize in an uptrend, or inverse in a downtrend (value changes positive)).
Customizability:
SMA: The autoregression data is smoothed by a 3 period lookback. You can change this if you want, but in order for the indicator to present the true trading range, it is recommended to leave it at <= 3.
Lookback Length: This is the length of the lookback period for the autoregression and autocorrelation functions.
Transparency settings: You can adjust the transparency of the clouds manually.
Timeframe: You can adjust the timeframe, as explained above, to display the timeframe of interest. When you adjust the timeframe, the data will all reflect that timeframe and not necessarily the current TF you have open (i.e. you select 30 minutes while viewing it on the 5 minute, it will show the data for the 30 minute TF period).
Video Tutorial:
I have prepared a video outlining the indicator and also explaining the theory of autoregression/correlation. You can find it below:
Let me know any comments, questions or suggestions below.
Thank you for taking the time to read/watch and check out this indicator.
Safe trades everyone!
Put to Call Ratio CorrelationHello!
Excited to share this with the community!
This is actually a very simple indicator but actually usurpingly helpful, especially for those who trade indices such as SPX, IWM, QQQ, etc.
Before I get into the indicator itself, let me explain to you its development.
I have been interested in the use of option data to detect sentiment and potential reversals in the market. However, I found option data on its own is full of noise. Its very difficult if not impossible for a trader to make their own subjective assessment about how option data is reflecting market sentiment.
Generally speaking, put to call ratios generally range between 0.8 to 1.1 on average. Unless there is a dramatic pump in calls or puts causing an aggressive spike up to over this range, or fall below this range, its really difficult to make the subjective assessment about what is happening.
So what I thought about trying to do was, instead of looking directly at put to call ratio, why not see what happens when you perform a correlation analysis of the PTC ratio to the underlying stock.
So I tried this in pinescript, pulling for Tradingview's ticker PCC (Total Equity Put to Call Ratio) and using the ta.correlation function against whichever ticker I was looking at.
I played around with this idea a bit, pulled the data into excel and from this I found something interesting. When there is a very significant negative or positive correlation between PTC ratio and price movement, we see a reversal impending. In fact, a significant negative or positive correlation (defined as a R value of 0.8 or higher or -0.8 or lower) corresponded to a stock reversal about 92% of the time when data was pulled on a 5 minute timeframe on SPY.
But wait, what is a correlation?
If you are not already familiar, a correlation is simply a statistical relationship. It is defined with a Pearson R correlation value which ranges from 0 (no correlation) to 1 (significant positive correlation) and 0 to -1 (significant negative correlation).
So what does positive vs negative mean?
A significant positive correlation means the correlation is moving the same as the underlying. In the case of this indicator, if there is a significant positive correlation could mean the stock price is climbing at the same time as the PTC ratio.
Inversely, it could mean the stock price is falling as well as the PTC ratio.
A significant negative correlation means the correlation is moving in the opposite direction. So in this case, if the stock price is climbing and the PTC ratio is falling proportionately, we would see a significant negative correlation.
So how does this work in real life?
To answer this, let's get into the actual indicator!
In the image above, you will see the arrow pointing to an area of significant POSITIVE correlation.
The indicator will paint the bars on the actual chart purple (customizable of course) to signify this is an area of significant correlation.
So, in the above example this means that the PTC ratio is increase proportionately to the increase in the stock price in the SAME direction (Puts are going up proportionately to the stock price). Thus, we can make the assumption that the underlying sentiment is overwhelmingly BEARISH. Why? Because option trading activity is significantly proportionate to stock movement, meaning that there is consensus among the options being traded and the movement of the market itself.
And in the above example we will see, the stock does indeed end up selling:
In this case, IWM fell roughly 1 point from where there was bearish consensus in the market.
Let's use this same trading day and same example to show the inverse:
You will see a little bit later, a significant NEGATIVE correlation developed.
In this case identified, the stock wise RISING and the PTC ratio was FALLING.
This means that Puts were not being bought up as much as calls and the sentiment had shifted to bullish .
And from that point, IWM ended up going up an additional 0.75 points from where there was a significant INVERSE correlation.
So you can see that it is helpful for identifying reversals. But what is also can be used for is identifying areas of LOW conviction. Meaning, areas where there really is no relationship between option activity and stock movement. Let's take spy on the 1 hour timeframe for this example:
You can see in the above example there really is no consensus in the option trading activity with the overarching sentiment. The price action is choppy and so too is option trading activity. Option traders are not pushing too far in one direction or the other. We can also see the lack of conviction in the option trading activity by looking at the correlation SMA (the white line).
When a ticker is experiencing volatile and good movement up and down, the SMA will generally trade to the top of the correlation range (roughly + 1.0) and then make a move down to the bottom (roughly - 1.0), see the example below:
When the SMA is not moving much and accumulating around the centerline, it generally means a lot of indecision.
Additional Indicator Information:
As I have said, the indicator is very simple. It pulls the data from the ticker PCC and runs a correlation assessment against whichever ticker you are on.
PCC pulls averaged data from all equities within the market and is not limited to a single equity. As such, its helpful to use this with indices such as SPY, IWM and QQQ, but I have had success with using it on individual tickers such as NVDA and AMD.
The correlation length is defaulted to 14. You can modify it if you wish, but I do recommend leaving it at this as the default and the testing I have done with this have all been on the 14 correlation length.
You can chose to smooth the SMA over whichever length of period you wish as well.
When the indicator is approaching a significant negative or positive relationship, you will see the indicator flash red in the upper or lower band to signify the relationship. As well, the chart will change the bar colour to purple:
Everything else is pretty straight forward.
Let me know your questions/comments or suggestions around the indicator and its applications.
As always, no indicator is meant to provide a single, reliable strategy to your trading regimen and no indicator or group of indicators should be relied on solely. Be sure to do your own analysis and assessments of the stock prior to taking any trades.
Safe trades everyone!
Opening Hour/Closing Hour Indices Statistics: high/low times; 5mVery specific indicator designed for 5min timeframe, to show the statistical timings of the highs and lows of Opening hour (9:30-10am) and Closing hour (3pm-4pm) NY time
~~Shown here on SPX 5min chart. Works all variants of the US indices. SPX and SPY typically show more days of history (non-extended session =>> more bars).
//Purpose:
-To get statistics on the timings of the high and low of the opening hour and the high & low of the closing hour.
//Design & Limitations:
- Designed for the 5minute chart ONLY . Need a sweet spot of 'bucket' size for the statistics: to allow meaningful comparison between times.
-Will also display on 1min chart but NOT the statistics panel, only the realtime data (today's opening hour/ closing hour timings).
-Can be slow to load depending on server load at the time. This is becasue of the multiple usage of looping array functions. Please be patient when loading or changing settings.
//User inputs:
-Standard formatting options: highlight color, table text color. Toggle on/off independently
-Decimal % percision (default = 0, i.e. 23%. If set to 1 => 22.8%)
-Show statistics: Show Opening hour statistics, Show Closing hour statistics
//Notes:
-Days of history shown at top of table; this is the size of the dataset. i.e. 254 here (254 trading days) =>> 254 opening hour highs, 254 closing hour lows etc.
--to illustrate with the above: 18% of those 254 closing hour highs occured on the 15:00 5min candle (i.e. between 15:00 and 15:05).
-SPY or SPX offer the largest history/dataset (circa 254 trading days).
-Note that the final timing in each hour is 10:25am and 15:55pm respectively: this is because the 10:25am 5min candle essentially ends at 10:30am =>> we properly captures the opening hour this way
-Pro+ users will get less data history than Premium users (half as much, due to 10k vs 20k bars history limit).
